Identification of linear system models and state estimators for controls

NASA Technical Reports Server (NTRS)

Chen, Chung-Wen

1992-01-01

The following paper is presented in viewgraph format and covers topics including: (1) linear state feedback control system; (2) Kalman filter state estimation; (3) relation between residual and stochastic part of output; (4) obtaining Kalman filter gain; (5) state estimation under unknown system model and unknown noises; and (6) relationship between filter Markov parameters and system Markov parameters.

Output Feedback Stabilization for a Class of Multi-Variable Bilinear Stochastic Systems with Stochastic Coupling Attenuation

DOE Office of Scientific and Technical Information (OSTI.GOV)

Zhang, Qichun; Zhou, Jinglin; Wang, Hong

In this paper, stochastic coupling attenuation is investigated for a class of multi-variable bilinear stochastic systems and a novel output feedback m-block backstepping controller with linear estimator is designed, where gradient descent optimization is used to tune the design parameters of the controller. It has been shown that the trajectories of the closed-loop stochastic systems are bounded in probability sense and the stochastic coupling of the system outputs can be effectively attenuated by the proposed control algorithm. Moreover, the stability of the stochastic systems is analyzed and the effectiveness of the proposed method has been demonstrated using a simulated example.

Stochastic parameter estimation in nonlinear time-delayed vibratory systems with distributed delay

NASA Astrophysics Data System (ADS)

Torkamani, Shahab; Butcher, Eric A.

2013-07-01

The stochastic estimation of parameters and states in linear and nonlinear time-delayed vibratory systems with distributed delay is explored. The approach consists of first employing a continuous time approximation to approximate the delayed integro-differential system with a large set of ordinary differential equations having stochastic excitations. Then the problem of state and parameter estimation in the resulting stochastic ordinary differential system is represented as an optimal filtering problem using a state augmentation technique. By adapting the extended Kalman-Bucy filter to the augmented filtering problem, the unknown parameters of the time-delayed system are estimated from noise-corrupted, possibly incomplete measurements of the states. Similarly, the upper bound of the distributed delay can also be estimated by the proposed technique. As an illustrative example to a practical problem in vibrations, the parameter, delay upper bound, and state estimation from noise-corrupted measurements in a distributed force model widely used for modeling machine tool vibrations in the turning operation is investigated.

Enhanced algorithms for stochastic programming

DOE Office of Scientific and Technical Information (OSTI.GOV)

Krishna, Alamuru S.

1993-09-01

In this dissertation, we present some of the recent advances made in solving two-stage stochastic linear programming problems of large size and complexity. Decomposition and sampling are two fundamental components of techniques to solve stochastic optimization problems. We describe improvements to the current techniques in both these areas. We studied different ways of using importance sampling techniques in the context of Stochastic programming, by varying the choice of approximation functions used in this method. We have concluded that approximating the recourse function by a computationally inexpensive piecewise-linear function is highly efficient. This reduced the problem from finding the mean ofmore » a computationally expensive functions to finding that of a computationally inexpensive function. Then we implemented various variance reduction techniques to estimate the mean of a piecewise-linear function. This method achieved similar variance reductions in orders of magnitude less time than, when we directly applied variance-reduction techniques directly on the given problem. In solving a stochastic linear program, the expected value problem is usually solved before a stochastic solution and also to speed-up the algorithm by making use of the information obtained from the solution of the expected value problem. We have devised a new decomposition scheme to improve the convergence of this algorithm.« less

Gompertzian stochastic model with delay effect to cervical cancer growth

DOE Office of Scientific and Technical Information (OSTI.GOV)

Mazlan, Mazma Syahidatul Ayuni binti; Rosli, Norhayati binti; Bahar, Arifah

2015-02-03

In this paper, a Gompertzian stochastic model with time delay is introduced to describe the cervical cancer growth. The parameters values of the mathematical model are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic model numerically. The efficiency of mathematical model is measured by comparing the simulated result and the clinical data of cervical cancer growth. Low values of Mean-Square Error (MSE) of Gompertzian stochastic model with delay effect indicate good fits.

Minimum mean squared error (MSE) adjustment and the optimal Tykhonov-Phillips regularization parameter via reproducing best invariant quadratic uniformly unbiased estimates (repro-BIQUUE)

NASA Astrophysics Data System (ADS)

Schaffrin, Burkhard

2008-02-01

In a linear Gauss-Markov model, the parameter estimates from BLUUE (Best Linear Uniformly Unbiased Estimate) are not robust against possible outliers in the observations. Moreover, by giving up the unbiasedness constraint, the mean squared error (MSE) risk may be further reduced, in particular when the problem is ill-posed. In this paper, the α-weighted S-homBLE (Best homogeneously Linear Estimate) is derived via formulas originally used for variance component estimation on the basis of the repro-BIQUUE (reproducing Best Invariant Quadratic Uniformly Unbiased Estimate) principle in a model with stochastic prior information. In the present model, however, such prior information is not included, which allows the comparison of the stochastic approach (α-weighted S-homBLE) with the well-established algebraic approach of Tykhonov-Phillips regularization, also known as R-HAPS (Hybrid APproximation Solution), whenever the inverse of the “substitute matrix” S exists and is chosen as the R matrix that defines the relative impact of the regularizing term on the final result.

Stochastic inversion of cross-borehole radar data from metalliferous vein detection

NASA Astrophysics Data System (ADS)

Zeng, Zhaofa; Huai, Nan; Li, Jing; Zhao, Xueyu; Liu, Cai; Hu, Yingsa; Zhang, Ling; Hu, Zuzhi; Yang, Hui

2017-12-01

In the exploration and evaluation of the metalliferous veins with a cross-borehole radar system, traditional linear inversion methods (least squares inversion, LSQR) only get indirect parameters (permittivity, resistivity, or velocity) to estimate the target structure. They cannot accurately reflect the geological parameters of the metalliferous veins’ media properties. In order to get the intrinsic geological parameters and internal distribution, in this paper, we build a metalliferous veins model based on the stochastic effective medium theory, and carry out stochastic inversion and parameter estimation based on the Monte Carlo sampling algorithm. Compared with conventional LSQR, the stochastic inversion can get higher resolution inversion permittivity and velocity of the target body. We can estimate more accurately the distribution characteristics of abnormality and target internal parameters. It provides a new research idea to evaluate the properties of complex target media.

State-space models’ dirty little secrets: even simple linear Gaussian models can have estimation problems

NASA Astrophysics Data System (ADS)

Auger-Méthé, Marie; Field, Chris; Albertsen, Christoffer M.; Derocher, Andrew E.; Lewis, Mark A.; Jonsen, Ian D.; Mills Flemming, Joanna

2016-05-01

State-space models (SSMs) are increasingly used in ecology to model time-series such as animal movement paths and population dynamics. This type of hierarchical model is often structured to account for two levels of variability: biological stochasticity and measurement error. SSMs are flexible. They can model linear and nonlinear processes using a variety of statistical distributions. Recent ecological SSMs are often complex, with a large number of parameters to estimate. Through a simulation study, we show that even simple linear Gaussian SSMs can suffer from parameter- and state-estimation problems. We demonstrate that these problems occur primarily when measurement error is larger than biological stochasticity, the condition that often drives ecologists to use SSMs. Using an animal movement example, we show how these estimation problems can affect ecological inference. Biased parameter estimates of a SSM describing the movement of polar bears (Ursus maritimus) result in overestimating their energy expenditure. We suggest potential solutions, but show that it often remains difficult to estimate parameters. While SSMs are powerful tools, they can give misleading results and we urge ecologists to assess whether the parameters can be estimated accurately before drawing ecological conclusions from their results.

Sliding mode control-based linear functional observers for discrete-time stochastic systems

NASA Astrophysics Data System (ADS)

Singh, Satnesh; Janardhanan, Sivaramakrishnan

2017-11-01

Sliding mode control (SMC) is one of the most popular techniques to stabilise linear discrete-time stochastic systems. However, application of SMC becomes difficult when the system states are not available for feedback. This paper presents a new approach to design a SMC-based functional observer for discrete-time stochastic systems. The functional observer is based on the Kronecker product approach. Existence conditions and stability analysis of the proposed observer are given. The control input is estimated by a novel linear functional observer. This approach leads to a non-switching type of control, thereby eliminating the fundamental cause of chatter. Furthermore, the functional observer is designed in such a way that the effect of process and measurement noise is minimised. Simulation example is given to illustrate and validate the proposed design method.

State estimation of stochastic non-linear hybrid dynamic system using an interacting multiple model algorithm.

PubMed

Elenchezhiyan, M; Prakash, J

2015-09-01

In this work, state estimation schemes for non-linear hybrid dynamic systems subjected to stochastic state disturbances and random errors in measurements using interacting multiple-model (IMM) algorithms are formulated. In order to compute both discrete modes and continuous state estimates of a hybrid dynamic system either an IMM extended Kalman filter (IMM-EKF) or an IMM based derivative-free Kalman filters is proposed in this study. The efficacy of the proposed IMM based state estimation schemes is demonstrated by conducting Monte-Carlo simulation studies on the two-tank hybrid system and switched non-isothermal continuous stirred tank reactor system. Extensive simulation studies reveal that the proposed IMM based state estimation schemes are able to generate fairly accurate continuous state estimates and discrete modes. In the presence and absence of sensor bias, the simulation studies reveal that the proposed IMM unscented Kalman filter (IMM-UKF) based simultaneous state and parameter estimation scheme outperforms multiple-model UKF (MM-UKF) based simultaneous state and parameter estimation scheme. Copyright © 2015 ISA. Published by Elsevier Ltd. All rights reserved.

Computation of output feedback gains for linear stochastic systems using the Zangwill-Powell method

NASA Technical Reports Server (NTRS)

Kaufman, H.

1977-01-01

Because conventional optimal linear regulator theory results in a controller which requires the capability of measuring and/or estimating the entire state vector, it is of interest to consider procedures for computing controls which are restricted to be linear feedback functions of a lower dimensional output vector and which take into account the presence of measurement noise and process uncertainty. To this effect a stochastic linear model has been developed that accounts for process parameter and initial uncertainty, measurement noise, and a restricted number of measurable outputs. Optimization with respect to the corresponding output feedback gains was then performed for both finite and infinite time performance indices without gradient computation by using Zangwill's modification of a procedure originally proposed by Powell.

Estimation of parameters in Shot-Noise-Driven Doubly Stochastic Poisson processes using the EM algorithm--modeling of pre- and postsynaptic spike trains.

PubMed

Mino, H

2007-01-01

To estimate the parameters, the impulse response (IR) functions of some linear time-invariant systems generating intensity processes, in Shot-Noise-Driven Doubly Stochastic Poisson Process (SND-DSPP) in which multivariate presynaptic spike trains and postsynaptic spike trains can be assumed to be modeled by the SND-DSPPs. An explicit formula for estimating the IR functions from observations of multivariate input processes of the linear systems and the corresponding counting process (output process) is derived utilizing the expectation maximization (EM) algorithm. The validity of the estimation formula was verified through Monte Carlo simulations in which two presynaptic spike trains and one postsynaptic spike train were assumed to be observable. The IR functions estimated on the basis of the proposed identification method were close to the true IR functions. The proposed method will play an important role in identifying the input-output relationship of pre- and postsynaptic neural spike trains in practical situations.

Adaptive control of stochastic linear systems with unknown parameters. M.S. Thesis

NASA Technical Reports Server (NTRS)

Ku, R. T.

1972-01-01

The problem of optimal control of linear discrete-time stochastic dynamical system with unknown and, possibly, stochastically varying parameters is considered on the basis of noisy measurements. It is desired to minimize the expected value of a quadratic cost functional. Since the simultaneous estimation of the state and plant parameters is a nonlinear filtering problem, the extended Kalman filter algorithm is used. Several qualitative and asymptotic properties of the open loop feedback optimal control and the enforced separation scheme are discussed. Simulation results via Monte Carlo method show that, in terms of the performance measure, for stable systems the open loop feedback optimal control system is slightly better than the enforced separation scheme, while for unstable systems the latter scheme is far better.

Identification of dynamic systems, theory and formulation

NASA Technical Reports Server (NTRS)

Maine, R. E.; Iliff, K. W.

1985-01-01

The problem of estimating parameters of dynamic systems is addressed in order to present the theoretical basis of system identification and parameter estimation in a manner that is complete and rigorous, yet understandable with minimal prerequisites. Maximum likelihood and related estimators are highlighted. The approach used requires familiarity with calculus, linear algebra, and probability, but does not require knowledge of stochastic processes or functional analysis. The treatment emphasizes unification of the various areas in estimation in dynamic systems is treated as a direct outgrowth of the static system theory. Topics covered include basic concepts and definitions; numerical optimization methods; probability; statistical estimators; estimation in static systems; stochastic processes; state estimation in dynamic systems; output error, filter error, and equation error methods of parameter estimation in dynamic systems, and the accuracy of the estimates.

Calculating Higher-Order Moments of Phylogenetic Stochastic Mapping Summaries in Linear Time.

PubMed

Dhar, Amrit; Minin, Vladimir N

2017-05-01

Stochastic mapping is a simulation-based method for probabilistically mapping substitution histories onto phylogenies according to continuous-time Markov models of evolution. This technique can be used to infer properties of the evolutionary process on the phylogeny and, unlike parsimony-based mapping, conditions on the observed data to randomly draw substitution mappings that do not necessarily require the minimum number of events on a tree. Most stochastic mapping applications simulate substitution mappings only to estimate the mean and/or variance of two commonly used mapping summaries: the number of particular types of substitutions (labeled substitution counts) and the time spent in a particular group of states (labeled dwelling times) on the tree. Fast, simulation-free algorithms for calculating the mean of stochastic mapping summaries exist. Importantly, these algorithms scale linearly in the number of tips/leaves of the phylogenetic tree. However, to our knowledge, no such algorithm exists for calculating higher-order moments of stochastic mapping summaries. We present one such simulation-free dynamic programming algorithm that calculates prior and posterior mapping variances and scales linearly in the number of phylogeny tips. Our procedure suggests a general framework that can be used to efficiently compute higher-order moments of stochastic mapping summaries without simulations. We demonstrate the usefulness of our algorithm by extending previously developed statistical tests for rate variation across sites and for detecting evolutionarily conserved regions in genomic sequences.

Calculating Higher-Order Moments of Phylogenetic Stochastic Mapping Summaries in Linear Time

PubMed Central

Dhar, Amrit

2017-01-01

Abstract Stochastic mapping is a simulation-based method for probabilistically mapping substitution histories onto phylogenies according to continuous-time Markov models of evolution. This technique can be used to infer properties of the evolutionary process on the phylogeny and, unlike parsimony-based mapping, conditions on the observed data to randomly draw substitution mappings that do not necessarily require the minimum number of events on a tree. Most stochastic mapping applications simulate substitution mappings only to estimate the mean and/or variance of two commonly used mapping summaries: the number of particular types of substitutions (labeled substitution counts) and the time spent in a particular group of states (labeled dwelling times) on the tree. Fast, simulation-free algorithms for calculating the mean of stochastic mapping summaries exist. Importantly, these algorithms scale linearly in the number of tips/leaves of the phylogenetic tree. However, to our knowledge, no such algorithm exists for calculating higher-order moments of stochastic mapping summaries. We present one such simulation-free dynamic programming algorithm that calculates prior and posterior mapping variances and scales linearly in the number of phylogeny tips. Our procedure suggests a general framework that can be used to efficiently compute higher-order moments of stochastic mapping summaries without simulations. We demonstrate the usefulness of our algorithm by extending previously developed statistical tests for rate variation across sites and for detecting evolutionarily conserved regions in genomic sequences. PMID:28177780

Cell survival fraction estimation based on the probability densities of domain and cell nucleus specific energies using improved microdosimetric kinetic models.

PubMed

Sato, Tatsuhiko; Furusawa, Yoshiya

2012-10-01

Estimation of the survival fractions of cells irradiated with various particles over a wide linear energy transfer (LET) range is of great importance in the treatment planning of charged-particle therapy. Two computational models were developed for estimating survival fractions based on the concept of the microdosimetric kinetic model. They were designated as the double-stochastic microdosimetric kinetic and stochastic microdosimetric kinetic models. The former model takes into account the stochastic natures of both domain and cell nucleus specific energies, whereas the latter model represents the stochastic nature of domain specific energy by its approximated mean value and variance to reduce the computational time. The probability densities of the domain and cell nucleus specific energies are the fundamental quantities for expressing survival fractions in these models. These densities are calculated using the microdosimetric and LET-estimator functions implemented in the Particle and Heavy Ion Transport code System (PHITS) in combination with the convolution or database method. Both the double-stochastic microdosimetric kinetic and stochastic microdosimetric kinetic models can reproduce the measured survival fractions for high-LET and high-dose irradiations, whereas a previously proposed microdosimetric kinetic model predicts lower values for these fractions, mainly due to intrinsic ignorance of the stochastic nature of cell nucleus specific energies in the calculation. The models we developed should contribute to a better understanding of the mechanism of cell inactivation, as well as improve the accuracy of treatment planning of charged-particle therapy.

Stochastic growth logistic model with aftereffect for batch fermentation process

DOE Office of Scientific and Technical Information (OSTI.GOV)

Rosli, Norhayati; Ayoubi, Tawfiqullah; Bahar, Arifah

2014-06-19

In this paper, the stochastic growth logistic model with aftereffect for the cell growth of C. acetobutylicum P262 and Luedeking-Piret equations for solvent production in batch fermentation system is introduced. The parameters values of the mathematical models are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic models numerically. The effciency of mathematical models is measured by comparing the simulated result and the experimental data of the microbial growth and solvent production in batch system. Low values of Root Mean-Square Error (RMSE) of stochastic models with aftereffect indicate good fits.

Stochastic growth logistic model with aftereffect for batch fermentation process

NASA Astrophysics Data System (ADS)

Rosli, Norhayati; Ayoubi, Tawfiqullah; Bahar, Arifah; Rahman, Haliza Abdul; Salleh, Madihah Md

2014-06-01

In this paper, the stochastic growth logistic model with aftereffect for the cell growth of C. acetobutylicum P262 and Luedeking-Piret equations for solvent production in batch fermentation system is introduced. The parameters values of the mathematical models are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic models numerically. The effciency of mathematical models is measured by comparing the simulated result and the experimental data of the microbial growth and solvent production in batch system. Low values of Root Mean-Square Error (RMSE) of stochastic models with aftereffect indicate good fits.

Quantum algorithms for Gibbs sampling and hitting-time estimation

DOE PAGES

Chowdhury, Anirban Narayan; Somma, Rolando D.

2017-02-01

In this paper, we present quantum algorithms for solving two problems regarding stochastic processes. The first algorithm prepares the thermal Gibbs state of a quantum system and runs in time almost linear in √Nβ/Ζ and polynomial in log(1/ϵ), where N is the Hilbert space dimension, β is the inverse temperature, Ζ is the partition function, and ϵ is the desired precision of the output state. Our quantum algorithm exponentially improves the dependence on 1/ϵ and quadratically improves the dependence on β of known quantum algorithms for this problem. The second algorithm estimates the hitting time of a Markov chain. Formore » a sparse stochastic matrix Ρ, it runs in time almost linear in 1/(ϵΔ 3/2), where ϵ is the absolute precision in the estimation and Δ is a parameter determined by Ρ, and whose inverse is an upper bound of the hitting time. Our quantum algorithm quadratically improves the dependence on 1/ϵ and 1/Δ of the analog classical algorithm for hitting-time estimation. Finally, both algorithms use tools recently developed in the context of Hamiltonian simulation, spectral gap amplification, and solving linear systems of equations.« less

Characterization of flood and precipitation events in Southwestern Germany and stochastic simulation of extreme precipitation (Project FLORIS-SV)

NASA Astrophysics Data System (ADS)

Florian, Ehmele; Michael, Kunz

2016-04-01

Several major flood events occurred in Germany in the past 15-20 years especially in the eastern parts along the rivers Elbe and Danube. Examples include the major floods of 2002 and 2013 with an estimated loss of about 2 billion Euros each. The last major flood events in the State of Baden-Württemberg in southwest Germany occurred in the years 1978 and 1993/1994 along the rivers Rhine and Neckar with an estimated total loss of about 150 million Euros (converted) each. Flood hazard originates from a combination of different meteorological, hydrological and hydraulic processes. Currently there is no defined methodology available for evaluating and quantifying the flood hazard and related risk for larger areas or whole river catchments instead of single gauges. In order to estimate the probable maximum loss for higher return periods (e.g. 200 years, PML200), a stochastic model approach is designed since observational data are limited in time and space. In our approach, precipitation is linearly composed of three elements: background precipitation, orographically-induces precipitation, and a convectively-driven part. We use linear theory of orographic precipitation formation for the stochastic precipitation model (SPM), which is based on fundamental statistics of relevant atmospheric variables. For an adequate number of historic flood events, the corresponding atmospheric conditions and parameters are determined in order to calculate a probability density function (pdf) for each variable. This method involves all theoretically possible scenarios which may not have happened, yet. This work is part of the FLORIS-SV (FLOod RISk Sparkassen Versicherung) project and establishes the first step of a complete modelling chain of the flood risk. On the basis of the generated stochastic precipitation event set, hydrological and hydraulic simulations will be performed to estimate discharge and water level. The resulting stochastic flood event set will be used to quantify the flood risk and to estimate probable maximum loss (e.g. PML200) for a given property (buildings, industry) portfolio.

A matlab framework for estimation of NLME models using stochastic differential equations: applications for estimation of insulin secretion rates.

PubMed

Mortensen, Stig B; Klim, Søren; Dammann, Bernd; Kristensen, Niels R; Madsen, Henrik; Overgaard, Rune V

2007-10-01

The non-linear mixed-effects model based on stochastic differential equations (SDEs) provides an attractive residual error model, that is able to handle serially correlated residuals typically arising from structural mis-specification of the true underlying model. The use of SDEs also opens up for new tools for model development and easily allows for tracking of unknown inputs and parameters over time. An algorithm for maximum likelihood estimation of the model has earlier been proposed, and the present paper presents the first general implementation of this algorithm. The implementation is done in Matlab and also demonstrates the use of parallel computing for improved estimation times. The use of the implementation is illustrated by two examples of application which focus on the ability of the model to estimate unknown inputs facilitated by the extension to SDEs. The first application is a deconvolution-type estimation of the insulin secretion rate based on a linear two-compartment model for C-peptide measurements. In the second application the model is extended to also give an estimate of the time varying liver extraction based on both C-peptide and insulin measurements.

Computation of output feedback gains for linear stochastic systems using the Zangnill-Powell Method

NASA Technical Reports Server (NTRS)

Kaufman, H.

1975-01-01

Because conventional optimal linear regulator theory results in a controller which requires the capability of measuring and/or estimating the entire state vector, it is of interest to consider procedures for computing controls which are restricted to be linear feedback functions of a lower dimensional output vector and which take into account the presence of measurement noise and process uncertainty. To this effect a stochastic linear model has been developed that accounts for process parameter and initial uncertainty, measurement noise, and a restricted number of measurable outputs. Optimization with respect to the corresponding output feedback gains was then performed for both finite and infinite time performance indices without gradient computation by using Zangwill's modification of a procedure originally proposed by Powell. Results using a seventh order process show the proposed procedures to be very effective.

DG-IMEX Stochastic Galerkin Schemes for Linear Transport Equation with Random Inputs and Diffusive Scalings

DOE PAGES

Chen, Zheng; Liu, Liu; Mu, Lin

2017-05-03

In this paper, we consider the linear transport equation under diffusive scaling and with random inputs. The method is based on the generalized polynomial chaos approach in the stochastic Galerkin framework. Several theoretical aspects will be addressed. Additionally, a uniform numerical stability with respect to the Knudsen number ϵ, and a uniform in ϵ error estimate is given. For temporal and spatial discretizations, we apply the implicit–explicit scheme under the micro–macro decomposition framework and the discontinuous Galerkin method, as proposed in Jang et al. (SIAM J Numer Anal 52:2048–2072, 2014) for deterministic problem. Lastly, we provide a rigorous proof ofmore » the stochastic asymptotic-preserving (sAP) property. Extensive numerical experiments that validate the accuracy and sAP of the method are conducted.« less

Modern control concepts in hydrology. [parameter identification in adaptive stochastic control approach

NASA Technical Reports Server (NTRS)

Duong, N.; Winn, C. B.; Johnson, G. R.

1975-01-01

Two approaches to an identification problem in hydrology are presented, based upon concepts from modern control and estimation theory. The first approach treats the identification of unknown parameters in a hydrologic system subject to noisy inputs as an adaptive linear stochastic control problem; the second approach alters the model equation to account for the random part in the inputs, and then uses a nonlinear estimation scheme to estimate the unknown parameters. Both approaches use state-space concepts. The identification schemes are sequential and adaptive and can handle either time-invariant or time-dependent parameters. They are used to identify parameters in the Prasad model of rainfall-runoff. The results obtained are encouraging and confirm the results from two previous studies; the first using numerical integration of the model equation along with a trial-and-error procedure, and the second using a quasi-linearization technique. The proposed approaches offer a systematic way of analyzing the rainfall-runoff process when the input data are imbedded in noise.

Stochastic estimation of human arm impedance under nonlinear friction in robot joints: a model study.

PubMed

Chang, Pyung Hun; Kang, Sang Hoon

2010-05-30

The basic assumption of stochastic human arm impedance estimation methods is that the human arm and robot behave linearly for small perturbations. In the present work, we have identified the degree of influence of nonlinear friction in robot joints to the stochastic human arm impedance estimation. Internal model based impedance control (IMBIC) is then proposed as a means to make the estimation accurate by compensating for the nonlinear friction. From simulations with a nonlinear Lugre friction model, it is observed that the reliability and accuracy of the estimation are severely degraded with nonlinear friction: below 2 Hz, multiple and partial coherence functions are far less than unity; estimated magnitudes and phases are severely deviated from that of a real human arm throughout the frequency range of interest; and the accuracy is not enhanced with an increase of magnitude of the force perturbations. In contrast, the combined use of stochastic estimation and IMBIC provides with accurate estimation results even with large friction: the multiple coherence functions are larger than 0.9 throughout the frequency range of interest and the estimated magnitudes and phases are well matched with that of a real human arm. Furthermore, the performance of suggested method is independent of human arm and robot posture, and human arm impedance. Therefore, the IMBIC will be useful in measuring human arm impedance with conventional robot, as well as in designing a spatial impedance measuring robot, which requires gearing. (c) 2010 Elsevier B.V. All rights reserved.

A Semi-linear Backward Parabolic Cauchy Problem with Unbounded Coefficients of Hamilton–Jacobi–Bellman Type and Applications to Optimal Control

DOE Office of Scientific and Technical Information (OSTI.GOV)

Addona, Davide, E-mail: d.addona@campus.unimib.it

2015-08-15

We obtain weighted uniform estimates for the gradient of the solutions to a class of linear parabolic Cauchy problems with unbounded coefficients. Such estimates are then used to prove existence and uniqueness of the mild solution to a semi-linear backward parabolic Cauchy problem, where the differential equation is the Hamilton–Jacobi–Bellman equation of a suitable optimal control problem. Via backward stochastic differential equations, we show that the mild solution is indeed the value function of the controlled equation and that the feedback law is verified.

M-estimator for the 3D symmetric Helmert coordinate transformation

NASA Astrophysics Data System (ADS)

Chang, Guobin; Xu, Tianhe; Wang, Qianxin

2018-01-01

The M-estimator for the 3D symmetric Helmert coordinate transformation problem is developed. Small-angle rotation assumption is abandoned. The direction cosine matrix or the quaternion is used to represent the rotation. The 3 × 1 multiplicative error vector is defined to represent the rotation estimation error. An analytical solution can be employed to provide the initial approximate for iteration, if the outliers are not large. The iteration is carried out using the iterative reweighted least-squares scheme. In each iteration after the first one, the measurement equation is linearized using the available parameter estimates, the reweighting matrix is constructed using the residuals obtained in the previous iteration, and then the parameter estimates with their variance-covariance matrix are calculated. The influence functions of a single pseudo-measurement on the least-squares estimator and on the M-estimator are derived to theoretically show the robustness. In the solution process, the parameter is rescaled in order to improve the numerical stability. Monte Carlo experiments are conducted to check the developed method. Different cases to investigate whether the assumed stochastic model is correct are considered. The results with the simulated data slightly deviating from the true model are used to show the developed method's statistical efficacy at the assumed stochastic model, its robustness against the deviations from the assumed stochastic model, and the validity of the estimated variance-covariance matrix no matter whether the assumed stochastic model is correct or not.

Elegant anti-disturbance control for discrete-time stochastic systems with nonlinearity and multiple disturbances

NASA Astrophysics Data System (ADS)

Wei, Xinjiang; Sun, Shixiang

2018-03-01

An elegant anti-disturbance control (EADC) strategy for a class of discrete-time stochastic systems with both nonlinearity and multiple disturbances, which include the disturbance with partially known information and a sequence of random vectors, is proposed in this paper. A stochastic disturbance observer is constructed to estimate the disturbance with partially known information, based on which, an EADC scheme is proposed by combining pole placement and linear matrix inequality methods. It is proved that the two different disturbances can be rejected and attenuated, and the corresponding desired performances can be guaranteed for discrete-time stochastic systems with known and unknown nonlinear dynamics, respectively. Simulation examples are given to demonstrate the effectiveness of the proposed schemes compared with some existing results.

Algorithms for adaptive stochastic control for a class of linear systems

NASA Technical Reports Server (NTRS)

Toda, M.; Patel, R. V.

1977-01-01

Control of linear, discrete time, stochastic systems with unknown control gain parameters is discussed. Two suboptimal adaptive control schemes are derived: one is based on underestimating future control and the other is based on overestimating future control. Both schemes require little on-line computation and incorporate in their control laws some information on estimation errors. The performance of these laws is studied by Monte Carlo simulations on a computer. Two single input, third order systems are considered, one stable and the other unstable, and the performance of the two adaptive control schemes is compared with that of the scheme based on enforced certainty equivalence and the scheme where the control gain parameters are known.

Modelling daily water temperature from air temperature for the Missouri River.

PubMed

Zhu, Senlin; Nyarko, Emmanuel Karlo; Hadzima-Nyarko, Marijana

2018-01-01

The bio-chemical and physical characteristics of a river are directly affected by water temperature, which thereby affects the overall health of aquatic ecosystems. It is a complex problem to accurately estimate water temperature. Modelling of river water temperature is usually based on a suitable mathematical model and field measurements of various atmospheric factors. In this article, the air-water temperature relationship of the Missouri River is investigated by developing three different machine learning models (Artificial Neural Network (ANN), Gaussian Process Regression (GPR), and Bootstrap Aggregated Decision Trees (BA-DT)). Standard models (linear regression, non-linear regression, and stochastic models) are also developed and compared to machine learning models. Analyzing the three standard models, the stochastic model clearly outperforms the standard linear model and nonlinear model. All the three machine learning models have comparable results and outperform the stochastic model, with GPR having slightly better results for stations No. 2 and 3, while BA-DT has slightly better results for station No. 1. The machine learning models are very effective tools which can be used for the prediction of daily river temperature.

Effects of Stochastic Traffic Flow Model on Expected System Performance

DTIC Science & Technology

2012-12-01

NSWC-PCD has made considerable improvements to their pedestrian flow modeling . In addition to the linear paths, the 2011 version now includes...using stochastic paths. 2.2 Linear Paths vs. Stochastic Paths 2.2.1 Linear Paths and Direct Maximum Pd Calculation Modeling pedestrian traffic flow...as a stochastic process begins with the linear path model . Let the detec- tion area be R x C voxels. This creates C 2 total linear paths, path(Cs

Experimental Design for Stochastic Models of Nonlinear Signaling Pathways Using an Interval-Wise Linear Noise Approximation and State Estimation.

PubMed

Zimmer, Christoph

2016-01-01

Computational modeling is a key technique for analyzing models in systems biology. There are well established methods for the estimation of the kinetic parameters in models of ordinary differential equations (ODE). Experimental design techniques aim at devising experiments that maximize the information encoded in the data. For ODE models there are well established approaches for experimental design and even software tools. However, data from single cell experiments on signaling pathways in systems biology often shows intrinsic stochastic effects prompting the development of specialized methods. While simulation methods have been developed for decades and parameter estimation has been targeted for the last years, only very few articles focus on experimental design for stochastic models. The Fisher information matrix is the central measure for experimental design as it evaluates the information an experiment provides for parameter estimation. This article suggest an approach to calculate a Fisher information matrix for models containing intrinsic stochasticity and high nonlinearity. The approach makes use of a recently suggested multiple shooting for stochastic systems (MSS) objective function. The Fisher information matrix is calculated by evaluating pseudo data with the MSS technique. The performance of the approach is evaluated with simulation studies on an Immigration-Death, a Lotka-Volterra, and a Calcium oscillation model. The Calcium oscillation model is a particularly appropriate case study as it contains the challenges inherent to signaling pathways: high nonlinearity, intrinsic stochasticity, a qualitatively different behavior from an ODE solution, and partial observability. The computational speed of the MSS approach for the Fisher information matrix allows for an application in realistic size models.

Optimal Estimation of Clock Values and Trends from Finite Data

NASA Technical Reports Server (NTRS)

Greenhall, Charles

2005-01-01

We show how to solve two problems of optimal linear estimation from a finite set of phase data. Clock noise is modeled as a stochastic process with stationary dth increments. The covariance properties of such a process are contained in the generalized autocovariance function (GACV). We set up two principles for optimal estimation: with the help of the GACV, these principles lead to a set of linear equations for the regression coefficients and some auxiliary parameters. The mean square errors of the estimators are easily calculated. The method can be used to check the results of other methods and to find good suboptimal estimators based on a small subset of the available data.

A quantum extended Kalman filter

NASA Astrophysics Data System (ADS)

Emzir, Muhammad F.; Woolley, Matthew J.; Petersen, Ian R.

2017-06-01

In quantum physics, a stochastic master equation (SME) estimates the state (density operator) of a quantum system in the Schrödinger picture based on a record of measurements made on the system. In the Heisenberg picture, the SME is a quantum filter. For a linear quantum system subject to linear measurements and Gaussian noise, the dynamics may be described by quantum stochastic differential equations (QSDEs), also known as quantum Langevin equations, and the quantum filter reduces to a so-called quantum Kalman filter. In this article, we introduce a quantum extended Kalman filter (quantum EKF), which applies a commutative approximation and a time-varying linearization to systems of nonlinear QSDEs. We will show that there are conditions under which a filter similar to a classical EKF can be implemented for quantum systems. The boundedness of estimation errors and the filtering problem with ‘state-dependent’ covariances for process and measurement noises are also discussed. We demonstrate the effectiveness of the quantum EKF by applying it to systems that involve multiple modes, nonlinear Hamiltonians, and simultaneous jump-diffusive measurements.

Normal forms for reduced stochastic climate models

PubMed Central

Majda, Andrew J.; Franzke, Christian; Crommelin, Daan

2009-01-01

The systematic development of reduced low-dimensional stochastic climate models from observations or comprehensive high-dimensional climate models is an important topic for atmospheric low-frequency variability, climate sensitivity, and improved extended range forecasting. Here techniques from applied mathematics are utilized to systematically derive normal forms for reduced stochastic climate models for low-frequency variables. The use of a few Empirical Orthogonal Functions (EOFs) (also known as Principal Component Analysis, Karhunen–Loéve and Proper Orthogonal Decomposition) depending on observational data to span the low-frequency subspace requires the assessment of dyad interactions besides the more familiar triads in the interaction between the low- and high-frequency subspaces of the dynamics. It is shown below that the dyad and multiplicative triad interactions combine with the climatological linear operator interactions to simultaneously produce both strong nonlinear dissipation and Correlated Additive and Multiplicative (CAM) stochastic noise. For a single low-frequency variable the dyad interactions and climatological linear operator alone produce a normal form with CAM noise from advection of the large scales by the small scales and simultaneously strong cubic damping. These normal forms should prove useful for developing systematic strategies for the estimation of stochastic models from climate data. As an illustrative example the one-dimensional normal form is applied below to low-frequency patterns such as the North Atlantic Oscillation (NAO) in a climate model. The results here also illustrate the short comings of a recent linear scalar CAM noise model proposed elsewhere for low-frequency variability. PMID:19228943

Modeling stochastic frontier based on vine copulas

NASA Astrophysics Data System (ADS)

Constantino, Michel; Candido, Osvaldo; Tabak, Benjamin M.; da Costa, Reginaldo Brito

2017-11-01

This article models a production function and analyzes the technical efficiency of listed companies in the United States, Germany and England between 2005 and 2012 based on the vine copula approach. Traditional estimates of the stochastic frontier assume that data is multivariate normally distributed and there is no source of asymmetry. The proposed method based on vine copulas allow us to explore different types of asymmetry and multivariate distribution. Using data on product, capital and labor, we measure the relative efficiency of the vine production function and estimate the coefficient used in the stochastic frontier literature for comparison purposes. This production vine copula predicts the value added by firms with given capital and labor in a probabilistic way. It thereby stands in sharp contrast to the production function, where the output of firms is completely deterministic. The results show that, on average, S&P500 companies are more efficient than companies listed in England and Germany, which presented similar average efficiency coefficients. For comparative purposes, the traditional stochastic frontier was estimated and the results showed discrepancies between the coefficients obtained by the application of the two methods, traditional and frontier-vine, opening new paths of non-linear research.

Estimation and Control for Linear Systems with Additive Cauchy Noise

DTIC Science & Technology

2013-12-17

man & Hall, New York, 1994. [11] J. L. Speyer and W. H. Chung, Stochastic Processes, Estimation, and Control, SIAM, 2008. [12] Nassim N. Taleb ...Gaussian control algorithms. 18 4 References [1] N. N. Taleb . The Black Swan: The Impact of the Highly Improbable...the multivariable system. The estimator was then evaluated numerically for a third-order example. REFERENCES [1] N. N. Taleb , The Black Swan: The

Multi-Sensor Optimal Data Fusion Based on the Adaptive Fading Unscented Kalman Filter

PubMed Central

Gao, Bingbing; Hu, Gaoge; Gao, Shesheng; Gu, Chengfan

2018-01-01

This paper presents a new optimal data fusion methodology based on the adaptive fading unscented Kalman filter for multi-sensor nonlinear stochastic systems. This methodology has a two-level fusion structure: at the bottom level, an adaptive fading unscented Kalman filter based on the Mahalanobis distance is developed and serves as local filters to improve the adaptability and robustness of local state estimations against process-modeling error; at the top level, an unscented transformation-based multi-sensor optimal data fusion for the case of N local filters is established according to the principle of linear minimum variance to calculate globally optimal state estimation by fusion of local estimations. The proposed methodology effectively refrains from the influence of process-modeling error on the fusion solution, leading to improved adaptability and robustness of data fusion for multi-sensor nonlinear stochastic systems. It also achieves globally optimal fusion results based on the principle of linear minimum variance. Simulation and experimental results demonstrate the efficacy of the proposed methodology for INS/GNSS/CNS (inertial navigation system/global navigation satellite system/celestial navigation system) integrated navigation. PMID:29415509

Multi-Sensor Optimal Data Fusion Based on the Adaptive Fading Unscented Kalman Filter.

PubMed

Gao, Bingbing; Hu, Gaoge; Gao, Shesheng; Zhong, Yongmin; Gu, Chengfan

2018-02-06

This paper presents a new optimal data fusion methodology based on the adaptive fading unscented Kalman filter for multi-sensor nonlinear stochastic systems. This methodology has a two-level fusion structure: at the bottom level, an adaptive fading unscented Kalman filter based on the Mahalanobis distance is developed and serves as local filters to improve the adaptability and robustness of local state estimations against process-modeling error; at the top level, an unscented transformation-based multi-sensor optimal data fusion for the case of N local filters is established according to the principle of linear minimum variance to calculate globally optimal state estimation by fusion of local estimations. The proposed methodology effectively refrains from the influence of process-modeling error on the fusion solution, leading to improved adaptability and robustness of data fusion for multi-sensor nonlinear stochastic systems. It also achieves globally optimal fusion results based on the principle of linear minimum variance. Simulation and experimental results demonstrate the efficacy of the proposed methodology for INS/GNSS/CNS (inertial navigation system/global navigation satellite system/celestial navigation system) integrated navigation.

A guidance and navigation system for continuous low-thrust vehicles. M.S. Thesis

NASA Technical Reports Server (NTRS)

Jack-Chingtse, C.

1973-01-01

A midcourse guidance and navigation system for continuous low thrust vehicles was developed. The equinoctial elements are the state variables. Uncertainties are modelled statistically by random vector and stochastic processes. The motion of the vehicle and the measurements are described by nonlinear stochastic differential and difference equations respectively. A minimum time trajectory is defined; equations of motion and measurements are linearized about this trajectory. An exponential cost criterion is constructed and a linear feedback quidance law is derived. An extended Kalman filter is used for state estimation. A short mission using this system is simulated. It is indicated that this system is efficient for short missions, but longer missions require accurate trajectory and ground based measurements.

Input reconstruction for networked control systems subject to deception attacks and data losses on control signals

NASA Astrophysics Data System (ADS)

Keller, J. Y.; Chabir, K.; Sauter, D.

2016-03-01

State estimation of stochastic discrete-time linear systems subject to unknown inputs or constant biases has been widely studied but no work has been dedicated to the case where a disturbance switches between unknown input and constant bias. We show that such disturbance can affect a networked control system subject to deception attacks and data losses on the control signals transmitted by the controller to the plant. This paper proposes to estimate the switching disturbance from an augmented state version of the intermittent unknown input Kalman filter recently developed by the authors. Sufficient stochastic stability conditions are established when the arrival binary sequence of data losses follows a Bernoulli random process.

Experimental Design for Stochastic Models of Nonlinear Signaling Pathways Using an Interval-Wise Linear Noise Approximation and State Estimation

PubMed Central

Zimmer, Christoph

2016-01-01

Background Computational modeling is a key technique for analyzing models in systems biology. There are well established methods for the estimation of the kinetic parameters in models of ordinary differential equations (ODE). Experimental design techniques aim at devising experiments that maximize the information encoded in the data. For ODE models there are well established approaches for experimental design and even software tools. However, data from single cell experiments on signaling pathways in systems biology often shows intrinsic stochastic effects prompting the development of specialized methods. While simulation methods have been developed for decades and parameter estimation has been targeted for the last years, only very few articles focus on experimental design for stochastic models. Methods The Fisher information matrix is the central measure for experimental design as it evaluates the information an experiment provides for parameter estimation. This article suggest an approach to calculate a Fisher information matrix for models containing intrinsic stochasticity and high nonlinearity. The approach makes use of a recently suggested multiple shooting for stochastic systems (MSS) objective function. The Fisher information matrix is calculated by evaluating pseudo data with the MSS technique. Results The performance of the approach is evaluated with simulation studies on an Immigration-Death, a Lotka-Volterra, and a Calcium oscillation model. The Calcium oscillation model is a particularly appropriate case study as it contains the challenges inherent to signaling pathways: high nonlinearity, intrinsic stochasticity, a qualitatively different behavior from an ODE solution, and partial observability. The computational speed of the MSS approach for the Fisher information matrix allows for an application in realistic size models. PMID:27583802

Stochastic sediment property inversion in Shallow Water 06.

PubMed

Michalopoulou, Zoi-Heleni

2017-11-01

Received time-series at a short distance from the source allow the identification of distinct paths; four of these are direct, surface and bottom reflections, and sediment reflection. In this work, a Gibbs sampling method is used for the estimation of the arrival times of these paths and the corresponding probability density functions. The arrival times for the first three paths are then employed along with linearization for the estimation of source range and depth, water column depth, and sound speed in the water. Propagating densities of arrival times through the linearized inverse problem, densities are also obtained for the above parameters, providing maximum a posteriori estimates. These estimates are employed to calculate densities and point estimates of sediment sound speed and thickness using a non-linear, grid-based model. Density computation is an important aspect of this work, because those densities express the uncertainty in the inversion for sediment properties.

Methods of sequential estimation for determining initial data in numerical weather prediction. Ph.D. Thesis

NASA Technical Reports Server (NTRS)

Cohn, S. E.

1982-01-01

Numerical weather prediction (NWP) is an initial-value problem for a system of nonlinear differential equations, in which initial values are known incompletely and inaccurately. Observational data available at the initial time must therefore be supplemented by data available prior to the initial time, a problem known as meteorological data assimilation. A further complication in NWP is that solutions of the governing equations evolve on two different time scales, a fast one and a slow one, whereas fast scale motions in the atmosphere are not reliably observed. This leads to the so called initialization problem: initial values must be constrained to result in a slowly evolving forecast. The theory of estimation of stochastic dynamic systems provides a natural approach to such problems. For linear stochastic dynamic models, the Kalman-Bucy (KB) sequential filter is the optimal data assimilation method, for linear models, the optimal combined data assimilation-initialization method is a modified version of the KB filter.

Application of stochastic particle swarm optimization algorithm to determine the graded refractive index distribution in participating media

NASA Astrophysics Data System (ADS)

Wei, Lin-Yang; Qi, Hong; Ren, Ya-Tao; Ruan, Li-Ming

2016-11-01

Inverse estimation of the refractive index distribution in one-dimensional participating media with graded refractive index (GRI) is investigated. The forward radiative transfer problem is solved by the Chebyshev collocation spectral method. The stochastic particle swarm optimization (SPSO) algorithm is employed to retrieve three kinds of GRI distribution, i.e. the linear, sinusoidal and quadratic GRI distribution. The retrieval accuracy of GRI distribution with different wall emissivity, optical thickness, absorption coefficients and scattering coefficients are discussed thoroughly. To improve the retrieval accuracy of quadratic GRI distribution, a double-layer model is proposed to supply more measurement information. The influence of measurement errors upon the precision of estimated results is also investigated. Considering the GRI distribution is unknown beforehand in practice, a quadratic function is employed to retrieve the linear GRI by SPSO algorithm. All the results show that the SPSO algorithm is applicable to retrieve different GRI distributions in participating media accurately even with noisy data.

Population stochastic modelling (PSM)--an R package for mixed-effects models based on stochastic differential equations.

PubMed

Klim, Søren; Mortensen, Stig Bousgaard; Kristensen, Niels Rode; Overgaard, Rune Viig; Madsen, Henrik

2009-06-01

The extension from ordinary to stochastic differential equations (SDEs) in pharmacokinetic and pharmacodynamic (PK/PD) modelling is an emerging field and has been motivated in a number of articles [N.R. Kristensen, H. Madsen, S.H. Ingwersen, Using stochastic differential equations for PK/PD model development, J. Pharmacokinet. Pharmacodyn. 32 (February(1)) (2005) 109-141; C.W. Tornøe, R.V. Overgaard, H. Agersø, H.A. Nielsen, H. Madsen, E.N. Jonsson, Stochastic differential equations in NONMEM: implementation, application, and comparison with ordinary differential equations, Pharm. Res. 22 (August(8)) (2005) 1247-1258; R.V. Overgaard, N. Jonsson, C.W. Tornøe, H. Madsen, Non-linear mixed-effects models with stochastic differential equations: implementation of an estimation algorithm, J. Pharmacokinet. Pharmacodyn. 32 (February(1)) (2005) 85-107; U. Picchini, S. Ditlevsen, A. De Gaetano, Maximum likelihood estimation of a time-inhomogeneous stochastic differential model of glucose dynamics, Math. Med. Biol. 25 (June(2)) (2008) 141-155]. PK/PD models are traditionally based ordinary differential equations (ODEs) with an observation link that incorporates noise. This state-space formulation only allows for observation noise and not for system noise. Extending to SDEs allows for a Wiener noise component in the system equations. This additional noise component enables handling of autocorrelated residuals originating from natural variation or systematic model error. Autocorrelated residuals are often partly ignored in PK/PD modelling although violating the hypothesis for many standard statistical tests. This article presents a package for the statistical program R that is able to handle SDEs in a mixed-effects setting. The estimation method implemented is the FOCE(1) approximation to the population likelihood which is generated from the individual likelihoods that are approximated using the Extended Kalman Filter's one-step predictions.

Simple stochastic birth and death models of genome evolution: was there enough time for us to evolve?

PubMed

Karev, Georgy P; Wolf, Yuri I; Koonin, Eugene V

2003-10-12

The distributions of many genome-associated quantities, including the membership of paralogous gene families can be approximated with power laws. We are interested in developing mathematical models of genome evolution that adequately account for the shape of these distributions and describe the evolutionary dynamics of their formation. We show that simple stochastic models of genome evolution lead to power-law asymptotics of protein domain family size distribution. These models, called Birth, Death and Innovation Models (BDIM), represent a special class of balanced birth-and-death processes, in which domain duplication and deletion rates are asymptotically equal up to the second order. The simplest, linear BDIM shows an excellent fit to the observed distributions of domain family size in diverse prokaryotic and eukaryotic genomes. However, the stochastic version of the linear BDIM explored here predicts that the actual size of large paralogous families is reached on an unrealistically long timescale. We show that introduction of non-linearity, which might be interpreted as interaction of a particular order between individual family members, allows the model to achieve genome evolution rates that are much better compatible with the current estimates of the rates of individual duplication/loss events.

Stochastic Swift-Hohenberg Equation with Degenerate Linear Multiplicative Noise

NASA Astrophysics Data System (ADS)

Hernández, Marco; Ong, Kiah Wah

2018-03-01

We study the dynamic transition of the Swift-Hohenberg equation (SHE) when linear multiplicative noise acting on a finite set of modes of the dominant linear flow is introduced. Existence of a stochastic flow and a local stochastic invariant manifold for this stochastic form of SHE are both addressed in this work. We show that the approximate reduced system corresponding to the invariant manifold undergoes a stochastic pitchfork bifurcation, and obtain numerical evidence suggesting that this picture is a good approximation for the full system as well.

Finite-Dimensional Representations for Controlled Diffusions with Delay

DOE Office of Scientific and Technical Information (OSTI.GOV)

Federico, Salvatore, E-mail: salvatore.federico@unimi.it; Tankov, Peter, E-mail: tankov@math.univ-paris-diderot.fr

2015-02-15

We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which the solution of the SDDE and a linear path functional of it admit a finite-dimensional Markovian representation. As a second contribution, we show how approximate finite-dimensional Markovian representations may be constructed when these conditions are not satisfied, and provide an estimate of the error corresponding to these approximations. These results are applied to optimal control and optimal stopping problems for stochastic systems with delay.

Unification theory of optimal life histories and linear demographic models in internal stochasticity.

PubMed

Oizumi, Ryo

2014-01-01

Life history of organisms is exposed to uncertainty generated by internal and external stochasticities. Internal stochasticity is generated by the randomness in each individual life history, such as randomness in food intake, genetic character and size growth rate, whereas external stochasticity is due to the environment. For instance, it is known that the external stochasticity tends to affect population growth rate negatively. It has been shown in a recent theoretical study using path-integral formulation in structured linear demographic models that internal stochasticity can affect population growth rate positively or negatively. However, internal stochasticity has not been the main subject of researches. Taking account of effect of internal stochasticity on the population growth rate, the fittest organism has the optimal control of life history affected by the stochasticity in the habitat. The study of this control is known as the optimal life schedule problems. In order to analyze the optimal control under internal stochasticity, we need to make use of "Stochastic Control Theory" in the optimal life schedule problem. There is, however, no such kind of theory unifying optimal life history and internal stochasticity. This study focuses on an extension of optimal life schedule problems to unify control theory of internal stochasticity into linear demographic models. First, we show the relationship between the general age-states linear demographic models and the stochastic control theory via several mathematical formulations, such as path-integral, integral equation, and transition matrix. Secondly, we apply our theory to a two-resource utilization model for two different breeding systems: semelparity and iteroparity. Finally, we show that the diversity of resources is important for species in a case. Our study shows that this unification theory can address risk hedges of life history in general age-states linear demographic models.

Unification Theory of Optimal Life Histories and Linear Demographic Models in Internal Stochasticity

PubMed Central

Oizumi, Ryo

2014-01-01

Life history of organisms is exposed to uncertainty generated by internal and external stochasticities. Internal stochasticity is generated by the randomness in each individual life history, such as randomness in food intake, genetic character and size growth rate, whereas external stochasticity is due to the environment. For instance, it is known that the external stochasticity tends to affect population growth rate negatively. It has been shown in a recent theoretical study using path-integral formulation in structured linear demographic models that internal stochasticity can affect population growth rate positively or negatively. However, internal stochasticity has not been the main subject of researches. Taking account of effect of internal stochasticity on the population growth rate, the fittest organism has the optimal control of life history affected by the stochasticity in the habitat. The study of this control is known as the optimal life schedule problems. In order to analyze the optimal control under internal stochasticity, we need to make use of “Stochastic Control Theory” in the optimal life schedule problem. There is, however, no such kind of theory unifying optimal life history and internal stochasticity. This study focuses on an extension of optimal life schedule problems to unify control theory of internal stochasticity into linear demographic models. First, we show the relationship between the general age-states linear demographic models and the stochastic control theory via several mathematical formulations, such as path–integral, integral equation, and transition matrix. Secondly, we apply our theory to a two-resource utilization model for two different breeding systems: semelparity and iteroparity. Finally, we show that the diversity of resources is important for species in a case. Our study shows that this unification theory can address risk hedges of life history in general age-states linear demographic models. PMID:24945258

Stochastic Stability of Sampled Data Systems with a Jump Linear Controller

NASA Technical Reports Server (NTRS)

Gonzalez, Oscar R.; Herencia-Zapana, Heber; Gray, W. Steven

2004-01-01

In this paper an equivalence between the stochastic stability of a sampled-data system and its associated discrete-time representation is established. The sampled-data system consists of a deterministic, linear, time-invariant, continuous-time plant and a stochastic, linear, time-invariant, discrete-time, jump linear controller. The jump linear controller models computer systems and communication networks that are subject to stochastic upsets or disruptions. This sampled-data model has been used in the analysis and design of fault-tolerant systems and computer-control systems with random communication delays without taking into account the inter-sample response. This paper shows that the known equivalence between the stability of a deterministic sampled-data system and the associated discrete-time representation holds even in a stochastic framework.

Global identification of stochastic dynamical systems under different pseudo-static operating conditions: The functionally pooled ARMAX case

NASA Astrophysics Data System (ADS)

Sakellariou, J. S.; Fassois, S. D.

2017-01-01

The identification of a single global model for a stochastic dynamical system operating under various conditions is considered. Each operating condition is assumed to have a pseudo-static effect on the dynamics and be characterized by a single measurable scheduling variable. Identification is accomplished within a recently introduced Functionally Pooled (FP) framework, which offers a number of advantages over Linear Parameter Varying (LPV) identification techniques. The focus of the work is on the extension of the framework to include the important FP-ARMAX model case. Compared to their simpler FP-ARX counterparts, FP-ARMAX models are much more general and offer improved flexibility in describing various types of stochastic noise, but at the same time lead to a more complicated, non-quadratic, estimation problem. Prediction Error (PE), Maximum Likelihood (ML), and multi-stage estimation methods are postulated, and the PE estimator optimality, in terms of consistency and asymptotic efficiency, is analytically established. The postulated estimators are numerically assessed via Monte Carlo experiments, while the effectiveness of the approach and its superiority over its FP-ARX counterpart are demonstrated via an application case study pertaining to simulated railway vehicle suspension dynamics under various mass loading conditions.

Gradient-based stochastic estimation of the density matrix

NASA Astrophysics Data System (ADS)

Wang, Zhentao; Chern, Gia-Wei; Batista, Cristian D.; Barros, Kipton

2018-03-01

Fast estimation of the single-particle density matrix is key to many applications in quantum chemistry and condensed matter physics. The best numerical methods leverage the fact that the density matrix elements f(H)ij decay rapidly with distance rij between orbitals. This decay is usually exponential. However, for the special case of metals at zero temperature, algebraic decay of the density matrix appears and poses a significant numerical challenge. We introduce a gradient-based probing method to estimate all local density matrix elements at a computational cost that scales linearly with system size. For zero-temperature metals, the stochastic error scales like S-(d+2)/2d, where d is the dimension and S is a prefactor to the computational cost. The convergence becomes exponential if the system is at finite temperature or is insulating.

Enhanced Performance Controller Design for Stochastic Systems by Adding Extra State Estimation onto the Existing Closed Loop Control

DOE Office of Scientific and Technical Information (OSTI.GOV)

Zhou, Yuyang; Zhang, Qichun; Wang, Hong

To enhance the performance of the tracking property , this paper presents a novel control algorithm for a class of linear dynamic stochastic systems with unmeasurable states, where the performance enhancement loop is established based on Kalman filter. Without changing the existing closed loop with the PI controller, the compensative controller is designed to minimize the variances of the tracking errors using the estimated states and the propagation of state variances. Moreover, the stability of the closed-loop systems has been analyzed in the mean-square sense. A simulated example is included to show the effectiveness of the presented control algorithm, wheremore » encouraging results have been obtained.« less

Finite-time H∞ filtering for non-linear stochastic systems

NASA Astrophysics Data System (ADS)

Hou, Mingzhe; Deng, Zongquan; Duan, Guangren

2016-09-01

This paper describes the robust H∞ filtering analysis and the synthesis of general non-linear stochastic systems with finite settling time. We assume that the system dynamic is modelled by Itô-type stochastic differential equations of which the state and the measurement are corrupted by state-dependent noises and exogenous disturbances. A sufficient condition for non-linear stochastic systems to have the finite-time H∞ performance with gain less than or equal to a prescribed positive number is established in terms of a certain Hamilton-Jacobi inequality. Based on this result, the existence of a finite-time H∞ filter is given for the general non-linear stochastic system by a second-order non-linear partial differential inequality, and the filter can be obtained by solving this inequality. The effectiveness of the obtained result is illustrated by a numerical example.

Non-linear dynamic characteristics and optimal control of giant magnetostrictive film subjected to in-plane stochastic excitation

NASA Astrophysics Data System (ADS)

Zhu, Z. W.; Zhang, W. D.; Xu, J.

2014-03-01

The non-linear dynamic characteristics and optimal control of a giant magnetostrictive film (GMF) subjected to in-plane stochastic excitation were studied. Non-linear differential items were introduced to interpret the hysteretic phenomena of the GMF, and the non-linear dynamic model of the GMF subjected to in-plane stochastic excitation was developed. The stochastic stability was analysed, and the probability density function was obtained. The condition of stochastic Hopf bifurcation and noise-induced chaotic response were determined, and the fractal boundary of the system's safe basin was provided. The reliability function was solved from the backward Kolmogorov equation, and an optimal control strategy was proposed in the stochastic dynamic programming method. Numerical simulation shows that the system stability varies with the parameters, and stochastic Hopf bifurcation and chaos appear in the process; the area of the safe basin decreases when the noise intensifies, and the boundary of the safe basin becomes fractal; the system reliability improved through stochastic optimal control. Finally, the theoretical and numerical results were proved by experiments. The results are helpful in the engineering applications of GMF.

Bond-based linear indices of the non-stochastic and stochastic edge-adjacency matrix. 1. Theory and modeling of ChemPhys properties of organic molecules.

PubMed

Marrero-Ponce, Yovani; Martínez-Albelo, Eugenio R; Casañola-Martín, Gerardo M; Castillo-Garit, Juan A; Echevería-Díaz, Yunaimy; Zaldivar, Vicente Romero; Tygat, Jan; Borges, José E Rodriguez; García-Domenech, Ramón; Torrens, Francisco; Pérez-Giménez, Facundo

2010-11-01

Novel bond-level molecular descriptors are proposed, based on linear maps similar to the ones defined in algebra theory. The kth edge-adjacency matrix (E(k)) denotes the matrix of bond linear indices (non-stochastic) with regard to canonical basis set. The kth stochastic edge-adjacency matrix, ES(k), is here proposed as a new molecular representation easily calculated from E(k). Then, the kth stochastic bond linear indices are calculated using ES(k) as operators of linear transformations. In both cases, the bond-type formalism is developed. The kth non-stochastic and stochastic total linear indices are calculated by adding the kth non-stochastic and stochastic bond linear indices, respectively, of all bonds in molecule. First, the new bond-based molecular descriptors (MDs) are tested for suitability, for the QSPRs, by analyzing regressions of novel indices for selected physicochemical properties of octane isomers (first round). General performance of the new descriptors in this QSPR studies is evaluated with regard to the well-known sets of 2D/3D MDs. From the analysis, we can conclude that the non-stochastic and stochastic bond-based linear indices have an overall good modeling capability proving their usefulness in QSPR studies. Later, the novel bond-level MDs are also used for the description and prediction of the boiling point of 28 alkyl-alcohols (second round), and to the modeling of the specific rate constant (log k), partition coefficient (log P), as well as the antibacterial activity of 34 derivatives of 2-furylethylenes (third round). The comparison with other approaches (edge- and vertices-based connectivity indices, total and local spectral moments, and quantum chemical descriptors as well as E-state/biomolecular encounter parameters) exposes a good behavior of our method in this QSPR studies. Finally, the approach described in this study appears to be a very promising structural invariant, useful not only for QSPR studies but also for similarity/diversity analysis and drug discovery protocols.

A theory of fine structure image models with an application to detection and classification of dementia.

PubMed

O'Neill, William; Penn, Richard; Werner, Michael; Thomas, Justin

2015-06-01

Estimation of stochastic process models from data is a common application of time series analysis methods. Such system identification processes are often cast as hypothesis testing exercises whose intent is to estimate model parameters and test them for statistical significance. Ordinary least squares (OLS) regression and the Levenberg-Marquardt algorithm (LMA) have proven invaluable computational tools for models being described by non-homogeneous, linear, stationary, ordinary differential equations. In this paper we extend stochastic model identification to linear, stationary, partial differential equations in two independent variables (2D) and show that OLS and LMA apply equally well to these systems. The method employs an original nonparametric statistic as a test for the significance of estimated parameters. We show gray scale and color images are special cases of 2D systems satisfying a particular autoregressive partial difference equation which estimates an analogous partial differential equation. Several applications to medical image modeling and classification illustrate the method by correctly classifying demented and normal OLS models of axial magnetic resonance brain scans according to subject Mini Mental State Exam (MMSE) scores. Comparison with 13 image classifiers from the literature indicates our classifier is at least 14 times faster than any of them and has a classification accuracy better than all but one. Our modeling method applies to any linear, stationary, partial differential equation and the method is readily extended to 3D whole-organ systems. Further, in addition to being a robust image classifier, estimated image models offer insights into which parameters carry the most diagnostic image information and thereby suggest finer divisions could be made within a class. Image models can be estimated in milliseconds which translate to whole-organ models in seconds; such runtimes could make real-time medicine and surgery modeling possible.

Fast and robust estimation of spectro-temporal receptive fields using stochastic approximations.

PubMed

Meyer, Arne F; Diepenbrock, Jan-Philipp; Ohl, Frank W; Anemüller, Jörn

2015-05-15

The receptive field (RF) represents the signal preferences of sensory neurons and is the primary analysis method for understanding sensory coding. While it is essential to estimate a neuron's RF, finding numerical solutions to increasingly complex RF models can become computationally intensive, in particular for high-dimensional stimuli or when many neurons are involved. Here we propose an optimization scheme based on stochastic approximations that facilitate this task. The basic idea is to derive solutions on a random subset rather than computing the full solution on the available data set. To test this, we applied different optimization schemes based on stochastic gradient descent (SGD) to both the generalized linear model (GLM) and a recently developed classification-based RF estimation approach. Using simulated and recorded responses, we demonstrate that RF parameter optimization based on state-of-the-art SGD algorithms produces robust estimates of the spectro-temporal receptive field (STRF). Results on recordings from the auditory midbrain demonstrate that stochastic approximations preserve both predictive power and tuning properties of STRFs. A correlation of 0.93 with the STRF derived from the full solution may be obtained in less than 10% of the full solution's estimation time. We also present an on-line algorithm that allows simultaneous monitoring of STRF properties of more than 30 neurons on a single computer. The proposed approach may not only prove helpful for large-scale recordings but also provides a more comprehensive characterization of neural tuning in experiments than standard tuning curves. Copyright © 2015 Elsevier B.V. All rights reserved.

Stochastic approach for an unbiased estimation of the probability of a successful separation in conventional chromatography and sequential elution liquid chromatography.

PubMed

Ennis, Erin J; Foley, Joe P

2016-07-15

A stochastic approach was utilized to estimate the probability of a successful isocratic or gradient separation in conventional chromatography for numbers of sample components, peak capacities, and saturation factors ranging from 2 to 30, 20-300, and 0.017-1, respectively. The stochastic probabilities were obtained under conditions of (i) constant peak width ("gradient" conditions) and (ii) peak width increasing linearly with time ("isocratic/constant N" conditions). The isocratic and gradient probabilities obtained stochastically were compared with the probabilities predicted by Martin et al. [Anal. Chem., 58 (1986) 2200-2207] and Davis and Stoll [J. Chromatogr. A, (2014) 128-142]; for a given number of components and peak capacity the same trend is always observed: probability obtained with the isocratic stochastic approach

H∞ filtering for discrete-time systems subject to stochastic missing measurements: a decomposition approach

NASA Astrophysics Data System (ADS)

Gu, Zhou; Fei, Shumin; Yue, Dong; Tian, Engang

2014-07-01

This paper deals with the problem of H∞ filtering for discrete-time systems with stochastic missing measurements. A new missing measurement model is developed by decomposing the interval of the missing rate into several segments. The probability of the missing rate in each subsegment is governed by its corresponding random variables. We aim to design a linear full-order filter such that the estimation error converges to zero exponentially in the mean square with a less conservatism while the disturbance rejection attenuation is constrained to a given level by means of an H∞ performance index. Based on Lyapunov theory, the reliable filter parameters are characterised in terms of the feasibility of a set of linear matrix inequalities. Finally, a numerical example is provided to demonstrate the effectiveness and applicability of the proposed design approach.

Towards Stability Analysis of Jump Linear Systems with State-Dependent and Stochastic Switching

NASA Technical Reports Server (NTRS)

Tejada, Arturo; Gonzalez, Oscar R.; Gray, W. Steven

2004-01-01

This paper analyzes the stability of hierarchical jump linear systems where the supervisor is driven by a Markovian stochastic process and by the values of the supervised jump linear system s states. The stability framework for this class of systems is developed over infinite and finite time horizons. The framework is then used to derive sufficient stability conditions for a specific class of hybrid jump linear systems with performance supervision. New sufficient stochastic stability conditions for discrete-time jump linear systems are also presented.

Extended Mixed-Efects Item Response Models with the MH-RM Algorithm

ERIC Educational Resources Information Center

Chalmers, R. Philip

2015-01-01

A mixed-effects item response theory (IRT) model is presented as a logical extension of the generalized linear mixed-effects modeling approach to formulating explanatory IRT models. Fixed and random coefficients in the extended model are estimated using a Metropolis-Hastings Robbins-Monro (MH-RM) stochastic imputation algorithm to accommodate for…

Stochastic Quantitative Reasoning for Autonomous Mission Planning

DTIC Science & Technology

2014-04-09

points. Figure 4: Linear interpolation Table 1: Wind speed prediction information (ID:0-2 for Albany, ID:3-5 for Pittston, and ID:6-8 for JFK Airport ID...Pittston, and JFK Airport in Table 1, how can we estimate a reasonable wind speed for the current location at the current time? Figure 5: Example

Non-linear dynamic characteristics and optimal control of giant magnetostrictive film subjected to in-plane stochastic excitation

DOE Office of Scientific and Technical Information (OSTI.GOV)

Zhu, Z. W., E-mail: zhuzhiwen@tju.edu.cn; Tianjin Key Laboratory of Non-linear Dynamics and Chaos Control, 300072, Tianjin; Zhang, W. D., E-mail: zhangwenditju@126.com

2014-03-15

The non-linear dynamic characteristics and optimal control of a giant magnetostrictive film (GMF) subjected to in-plane stochastic excitation were studied. Non-linear differential items were introduced to interpret the hysteretic phenomena of the GMF, and the non-linear dynamic model of the GMF subjected to in-plane stochastic excitation was developed. The stochastic stability was analysed, and the probability density function was obtained. The condition of stochastic Hopf bifurcation and noise-induced chaotic response were determined, and the fractal boundary of the system's safe basin was provided. The reliability function was solved from the backward Kolmogorov equation, and an optimal control strategy was proposedmore » in the stochastic dynamic programming method. Numerical simulation shows that the system stability varies with the parameters, and stochastic Hopf bifurcation and chaos appear in the process; the area of the safe basin decreases when the noise intensifies, and the boundary of the safe basin becomes fractal; the system reliability improved through stochastic optimal control. Finally, the theoretical and numerical results were proved by experiments. The results are helpful in the engineering applications of GMF.« less

libSRES: a C library for stochastic ranking evolution strategy for parameter estimation.

PubMed

Ji, Xinglai; Xu, Ying

2006-01-01

Estimation of kinetic parameters in a biochemical pathway or network represents a common problem in systems studies of biological processes. We have implemented a C library, named libSRES, to facilitate a fast implementation of computer software for study of non-linear biochemical pathways. This library implements a (mu, lambda)-ES evolutionary optimization algorithm that uses stochastic ranking as the constraint handling technique. Considering the amount of computing time it might require to solve a parameter-estimation problem, an MPI version of libSRES is provided for parallel implementation, as well as a simple user interface. libSRES is freely available and could be used directly in any C program as a library function. We have extensively tested the performance of libSRES on various pathway parameter-estimation problems and found its performance to be satisfactory. The source code (in C) is free for academic users at http://csbl.bmb.uga.edu/~jix/science/libSRES/

Ion precipitation from the inner plasma sheet due to stochastic diffusion

NASA Technical Reports Server (NTRS)

Zelenyi, L.; Galeev, A.; Kennel, C. F.

1990-01-01

Plasma sheet ions do not conserve their first adiabatic invariant when the magnetic field is appreciably tail-like. They do conserve a different adiabatic invariant but only to linear, rather than exponential, accuracy in the appropriate small parameter. Thus significant stochastic diffusion can occur for particles crossing the separatrix dividing the segments of orbits on which the particles cross and do not cross the tail midplane. Such ions can escape the plasma sheet and precipitate into the atmosphere. Stochastic scattering is strongest from those field lines where the ion's Larmor period in the normal component of the neutral sheet magnetic field approximately equals its bounce period. By comparing the rates of stochastic ion loss and convection in the tail, it is possible to estimate the location and thickness of the inner edge of the ion plasma sheet created by stochastic ion loss. Ions of different masses precipitate into the atmosphere at slightly different locations. Since wave particle interactions are not needed, this precipitation will always occur and should be particularly evident during quiet geomagnetic conditions, when it is less likely to be masked by other precipitation mechanisms.

Optimal Control of Stochastic Systems Driven by Fractional Brownian Motions

DTIC Science & Technology

2014-10-09

problems for stochastic partial differential equations driven by fractional Brownian motions are explicitly solved. For the control of a continuous time...linear systems with Brownian motion or a discrete time linear system with a white Gaussian noise and costs 1. REPORT DATE (DD-MM-YYYY) 4. TITLE AND...Army Research Office P.O. Box 12211 Research Triangle Park, NC 27709-2211 stochastic optimal control, fractional Brownian motion , stochastic

A Simulation-Based Comparison of Several Stochastic Linear Regression Methods in the Presence of Outliers.

ERIC Educational Resources Information Center

Rule, David L.

Several regression methods were examined within the framework of weighted structural regression (WSR), comparing their regression weight stability and score estimation accuracy in the presence of outlier contamination. The methods compared are: (1) ordinary least squares; (2) WSR ridge regression; (3) minimum risk regression; (4) minimum risk 2;…

A stochastic model for stationary dynamics of prices in real estate markets. A case of random intensity for Poisson moments of prices changes

NASA Astrophysics Data System (ADS)

Rusakov, Oleg; Laskin, Michael

2017-06-01

We consider a stochastic model of changes of prices in real estate markets. We suppose that in a book of prices the changes happen in points of jumps of a Poisson process with a random intensity, i.e. moments of changes sequently follow to a random process of the Cox process type. We calculate cumulative mathematical expectations and variances for the random intensity of this point process. In the case that the process of random intensity is a martingale the cumulative variance has a linear grows. We statistically process a number of observations of real estate prices and accept hypotheses of a linear grows for estimations as well for cumulative average, as for cumulative variance both for input and output prises that are writing in the book of prises.

A guidance and navigation system for continuous low thrust vehicles. M.S. Thesis

NASA Technical Reports Server (NTRS)

Tse, C. J. C.

1973-01-01

A midcourse guidance and navigation system for continuous low thrust vehicles is described. A set of orbit elements, known as the equinoctial elements, are selected as the state variables. The uncertainties are modelled statistically by random vector and stochastic processes. The motion of the vehicle and the measurements are described by nonlinear stochastic differential and difference equations respectively. A minimum time nominal trajectory is defined and the equation of motion and the measurement equation are linearized about this nominal trajectory. An exponential cost criterion is constructed and a linear feedback guidance law is derived to control the thrusting direction of the engine. Using this guidance law, the vehicle will fly in a trajectory neighboring the nominal trajectory. The extended Kalman filter is used for state estimation. Finally a short mission using this system is simulated. The results indicate that this system is very efficient for short missions.

A Numerical Approximation Framework for the Stochastic Linear Quadratic Regulator on Hilbert Spaces

DOE Office of Scientific and Technical Information (OSTI.GOV)

Levajković, Tijana, E-mail: tijana.levajkovic@uibk.ac.at, E-mail: t.levajkovic@sf.bg.ac.rs; Mena, Hermann, E-mail: hermann.mena@uibk.ac.at; Tuffaha, Amjad, E-mail: atufaha@aus.edu

We present an approximation framework for computing the solution of the stochastic linear quadratic control problem on Hilbert spaces. We focus on the finite horizon case and the related differential Riccati equations (DREs). Our approximation framework is concerned with the so-called “singular estimate control systems” (Lasiecka in Optimal control problems and Riccati equations for systems with unbounded controls and partially analytic generators: applications to boundary and point control problems, 2004) which model certain coupled systems of parabolic/hyperbolic mixed partial differential equations with boundary or point control. We prove that the solutions of the approximate finite-dimensional DREs converge to the solutionmore » of the infinite-dimensional DRE. In addition, we prove that the optimal state and control of the approximate finite-dimensional problem converge to the optimal state and control of the corresponding infinite-dimensional problem.« less

Stochastic road excitation and control feasibility in a 2D linear tyre model

NASA Astrophysics Data System (ADS)

Rustighi, E.; Elliott, S. J.

2007-03-01

For vehicle under normal driving conditions and speeds above 30-40 km/h the dominating internal and external noise source is the sound generated by the interaction between the tyre and the road. This paper presents a simple model to predict tyre behaviour in the frequency range up to 400 Hz, where the dominant vibration is two dimensional. The tyre is modelled as an elemental system, which permits the analysis of the low-frequency tyre response when excited by distributed stochastic displacements in the contact patch. A linear model has been used to calculate the contact forces from the road roughness and thus calculate the average spectral properties of the resulting radial velocity of the tyre in one step from the spectral properties of the road roughness. Such a model has also been used to provide an estimate of the potential effect of various active control strategies for reducing the tyre vibrations.

Non-linear stochastic growth rates and redshift space distortions

DOE PAGES

Jennings, Elise; Jennings, David

2015-04-09

The linear growth rate is commonly defined through a simple deterministic relation between the velocity divergence and the matter overdensity in the linear regime. We introduce a formalism that extends this to a non-linear, stochastic relation between θ = ∇ ∙ v(x,t)/aH and δ. This provides a new phenomenological approach that examines the conditional mean , together with the fluctuations of θ around this mean. We also measure these stochastic components using N-body simulations and find they are non-negative and increase with decreasing scale from ~10 per cent at k < 0.2 h Mpc -1 to 25 per cent atmore » k ~ 0.45 h Mpc -1 at z = 0. Both the stochastic relation and non-linearity are more pronounced for haloes, M ≤ 5 × 10 12 M ⊙ h -1, compared to the dark matter at z = 0 and 1. Non-linear growth effects manifest themselves as a rotation of the mean away from the linear theory prediction -f LTδ, where f LT is the linear growth rate. This rotation increases with wavenumber, k, and we show that it can be well-described by second-order Lagrangian perturbation theory (2LPT) fork < 0.1 h Mpc -1. Furthermore, the stochasticity in the θ – δ relation is not so simply described by 2LPT, and we discuss its impact on measurements of f LT from two-point statistics in redshift space. Furthermore, given that the relationship between δ and θ is stochastic and non-linear, this will have implications for the interpretation and precision of f LT extracted using models which assume a linear, deterministic expression.« less

Evaluation of Uncertainty in Runoff Analysis Incorporating Theory of Stochastic Process

NASA Astrophysics Data System (ADS)

Yoshimi, Kazuhiro; Wang, Chao-Wen; Yamada, Tadashi

2015-04-01

The aim of this paper is to provide a theoretical framework of uncertainty estimate on rainfall-runoff analysis based on theory of stochastic process. SDE (stochastic differential equation) based on this theory has been widely used in the field of mathematical finance due to predict stock price movement. Meanwhile, some researchers in the field of civil engineering have investigated by using this knowledge about SDE (stochastic differential equation) (e.g. Kurino et.al, 1999; Higashino and Kanda, 2001). However, there have been no studies about evaluation of uncertainty in runoff phenomenon based on comparisons between SDE (stochastic differential equation) and Fokker-Planck equation. The Fokker-Planck equation is a partial differential equation that describes the temporal variation of PDF (probability density function), and there is evidence to suggest that SDEs and Fokker-Planck equations are equivalent mathematically. In this paper, therefore, the uncertainty of discharge on the uncertainty of rainfall is explained theoretically and mathematically by introduction of theory of stochastic process. The lumped rainfall-runoff model is represented by SDE (stochastic differential equation) due to describe it as difference formula, because the temporal variation of rainfall is expressed by its average plus deviation, which is approximated by Gaussian distribution. This is attributed to the observed rainfall by rain-gauge station and radar rain-gauge system. As a result, this paper has shown that it is possible to evaluate the uncertainty of discharge by using the relationship between SDE (stochastic differential equation) and Fokker-Planck equation. Moreover, the results of this study show that the uncertainty of discharge increases as rainfall intensity rises and non-linearity about resistance grows strong. These results are clarified by PDFs (probability density function) that satisfy Fokker-Planck equation about discharge. It means the reasonable discharge can be estimated based on the theory of stochastic processes, and it can be applied to the probabilistic risk of flood management.

Composite Robust $$H_\\infty$$ Control for Uncertain Stochastic Nonlinear Systems with State Delay via Disturbance Observer

DOE Office of Scientific and Technical Information (OSTI.GOV)

Liu, Yunlong; Wang, Hong; Guo, Lei

Here in this note, the robust stochastic stabilization and robust H_infinity control problems are investigated for uncertain stochastic time-delay systems with nonlinearity and multiple disturbances. By estimating the disturbance, which can be described by an exogenous model, a composite hierarchical control scheme is proposed that integrates the output of the disturbance observer with state feedback control law. Sufficient conditions for the existence of the disturbance observer and composite hierarchical controller are established in terms of linear matrix inequalities, which ensure the mean-square asymptotic stability of the resulting closed-loop system and the disturbance attenuation. It has been shown that the disturbancemore » rejection performance can also be achieved. A numerical example is provided to show the potential of the proposed techniques and encouraging results have been obtained.« less

Composite Robust $$H_\\infty$$ Control for Uncertain Stochastic Nonlinear Systems with State Delay via Disturbance Observer

DOE PAGES

Liu, Yunlong; Wang, Hong; Guo, Lei

2018-03-26

Here in this note, the robust stochastic stabilization and robust H_infinity control problems are investigated for uncertain stochastic time-delay systems with nonlinearity and multiple disturbances. By estimating the disturbance, which can be described by an exogenous model, a composite hierarchical control scheme is proposed that integrates the output of the disturbance observer with state feedback control law. Sufficient conditions for the existence of the disturbance observer and composite hierarchical controller are established in terms of linear matrix inequalities, which ensure the mean-square asymptotic stability of the resulting closed-loop system and the disturbance attenuation. It has been shown that the disturbancemore » rejection performance can also be achieved. A numerical example is provided to show the potential of the proposed techniques and encouraging results have been obtained.« less

Stochastic Galerkin methods for the steady-state Navier–Stokes equations

DOE Office of Scientific and Technical Information (OSTI.GOV)

Sousedík, Bedřich, E-mail: sousedik@umbc.edu; Elman, Howard C., E-mail: elman@cs.umd.edu

2016-07-01

We study the steady-state Navier–Stokes equations in the context of stochastic finite element discretizations. Specifically, we assume that the viscosity is a random field given in the form of a generalized polynomial chaos expansion. For the resulting stochastic problem, we formulate the model and linearization schemes using Picard and Newton iterations in the framework of the stochastic Galerkin method, and we explore properties of the resulting stochastic solutions. We also propose a preconditioner for solving the linear systems of equations arising at each step of the stochastic (Galerkin) nonlinear iteration and demonstrate its effectiveness for solving a set of benchmarkmore » problems.« less

Stochastic Galerkin methods for the steady-state Navier–Stokes equations

DOE PAGES

Sousedík, Bedřich; Elman, Howard C.

2016-04-12

We study the steady-state Navier–Stokes equations in the context of stochastic finite element discretizations. Specifically, we assume that the viscosity is a random field given in the form of a generalized polynomial chaos expansion. For the resulting stochastic problem, we formulate the model and linearization schemes using Picard and Newton iterations in the framework of the stochastic Galerkin method, and we explore properties of the resulting stochastic solutions. We also propose a preconditioner for solving the linear systems of equations arising at each step of the stochastic (Galerkin) nonlinear iteration and demonstrate its effectiveness for solving a set of benchmarkmore » problems.« less

Detecting, anticipating, and predicting critical transitions in spatially extended systems.

PubMed

Kwasniok, Frank

2018-03-01

A data-driven linear framework for detecting, anticipating, and predicting incipient bifurcations in spatially extended systems based on principal oscillation pattern (POP) analysis is discussed. The dynamics are assumed to be governed by a system of linear stochastic differential equations which is estimated from the data. The principal modes of the system together with corresponding decay or growth rates and oscillation frequencies are extracted as the eigenvectors and eigenvalues of the system matrix. The method can be applied to stationary datasets to identify the least stable modes and assess the proximity to instability; it can also be applied to nonstationary datasets using a sliding window approach to track the changing eigenvalues and eigenvectors of the system. As a further step, a genuinely nonstationary POP analysis is introduced. Here, the system matrix of the linear stochastic model is time-dependent, allowing for extrapolation and prediction of instabilities beyond the learning data window. The methods are demonstrated and explored using the one-dimensional Swift-Hohenberg equation as an example, focusing on the dynamics of stochastic fluctuations around the homogeneous stable state prior to the first bifurcation. The POP-based techniques are able to extract and track the least stable eigenvalues and eigenvectors of the system; the nonstationary POP analysis successfully predicts the timing of the first instability and the unstable mode well beyond the learning data window.

Detecting, anticipating, and predicting critical transitions in spatially extended systems

NASA Astrophysics Data System (ADS)

Kwasniok, Frank

2018-03-01

A data-driven linear framework for detecting, anticipating, and predicting incipient bifurcations in spatially extended systems based on principal oscillation pattern (POP) analysis is discussed. The dynamics are assumed to be governed by a system of linear stochastic differential equations which is estimated from the data. The principal modes of the system together with corresponding decay or growth rates and oscillation frequencies are extracted as the eigenvectors and eigenvalues of the system matrix. The method can be applied to stationary datasets to identify the least stable modes and assess the proximity to instability; it can also be applied to nonstationary datasets using a sliding window approach to track the changing eigenvalues and eigenvectors of the system. As a further step, a genuinely nonstationary POP analysis is introduced. Here, the system matrix of the linear stochastic model is time-dependent, allowing for extrapolation and prediction of instabilities beyond the learning data window. The methods are demonstrated and explored using the one-dimensional Swift-Hohenberg equation as an example, focusing on the dynamics of stochastic fluctuations around the homogeneous stable state prior to the first bifurcation. The POP-based techniques are able to extract and track the least stable eigenvalues and eigenvectors of the system; the nonstationary POP analysis successfully predicts the timing of the first instability and the unstable mode well beyond the learning data window.

FSILP: fuzzy-stochastic-interval linear programming for supporting municipal solid waste management.

PubMed

Li, Pu; Chen, Bing

2011-04-01

Although many studies on municipal solid waste management (MSW management) were conducted under uncertain conditions of fuzzy, stochastic, and interval coexistence, the solution to the conventional linear programming problems of integrating fuzzy method with the other two was inefficient. In this study, a fuzzy-stochastic-interval linear programming (FSILP) method is developed by integrating Nguyen's method with conventional linear programming for supporting municipal solid waste management. The Nguyen's method was used to convert the fuzzy and fuzzy-stochastic linear programming problems into the conventional linear programs, by measuring the attainment values of fuzzy numbers and/or fuzzy random variables, as well as superiority and inferiority between triangular fuzzy numbers/triangular fuzzy-stochastic variables. The developed method can effectively tackle uncertainties described in terms of probability density functions, fuzzy membership functions, and discrete intervals. Moreover, the method can also improve upon the conventional interval fuzzy programming and two-stage stochastic programming approaches, with advantageous capabilities that are easily achieved with fewer constraints and significantly reduces consumption time. The developed model was applied to a case study of municipal solid waste management system in a city. The results indicated that reasonable solutions had been generated. The solution can help quantify the relationship between the change of system cost and the uncertainties, which could support further analysis of tradeoffs between the waste management cost and the system failure risk. Copyright © 2010 Elsevier Ltd. All rights reserved.

Frontier production function estimates for steam electric generation: a comparative analysis

DOE Office of Scientific and Technical Information (OSTI.GOV)

Kopp, R.J.; Smith, V.K.

1980-04-01

The performance of three frontier steam electric generation estimators is compared in terms of the consideration given to new production technologies and their technical efficiency. The Cobb-Douglas, constant elasticity of substitution, and translog production functions are examined, using the Aigner-Chu linear programming, the sophisticated Aigner-Lovell-Schmidt stochastic frontier, and the direct method of adjusted ordinary least squares frontier estimators. The use of Cobb-Douglas specification is judged to have narrowed the perceived difference between competing estimators. The choice of frontier estimator is concluded to have a greater effect on the plant efficiency than functional form. 19 references. (DCK)

A general moment expansion method for stochastic kinetic models

NASA Astrophysics Data System (ADS)

Ale, Angelique; Kirk, Paul; Stumpf, Michael P. H.

2013-05-01

Moment approximation methods are gaining increasing attention for their use in the approximation of the stochastic kinetics of chemical reaction systems. In this paper we derive a general moment expansion method for any type of propensities and which allows expansion up to any number of moments. For some chemical reaction systems, more than two moments are necessary to describe the dynamic properties of the system, which the linear noise approximation is unable to provide. Moreover, also for systems for which the mean does not have a strong dependence on higher order moments, moment approximation methods give information about higher order moments of the underlying probability distribution. We demonstrate the method using a dimerisation reaction, Michaelis-Menten kinetics and a model of an oscillating p53 system. We show that for the dimerisation reaction and Michaelis-Menten enzyme kinetics system higher order moments have limited influence on the estimation of the mean, while for the p53 system, the solution for the mean can require several moments to converge to the average obtained from many stochastic simulations. We also find that agreement between lower order moments does not guarantee that higher moments will agree. Compared to stochastic simulations, our approach is numerically highly efficient at capturing the behaviour of stochastic systems in terms of the average and higher moments, and we provide expressions for the computational cost for different system sizes and orders of approximation. We show how the moment expansion method can be employed to efficiently quantify parameter sensitivity. Finally we investigate the effects of using too few moments on parameter estimation, and provide guidance on how to estimate if the distribution can be accurately approximated using only a few moments.

Agent based reasoning for the non-linear stochastic models of long-range memory

NASA Astrophysics Data System (ADS)

Kononovicius, A.; Gontis, V.

2012-02-01

We extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets. Stochastic version of the extended Kirman's agent based model is compared to the non-linear stochastic models of long-range memory in financial markets. The agent based model providing matching macroscopic description serves as a microscopic reasoning of the earlier proposed stochastic model exhibiting power law statistics.

Stochastic modeling of macrodispersion in unsaturated heterogeneous porous media. Final report

DOE Office of Scientific and Technical Information (OSTI.GOV)

Yeh, T.C.J.

1995-02-01

Spatial heterogeneity of geologic media leads to uncertainty in predicting both flow and transport in the vadose zone. In this work an efficient and flexible, combined analytical-numerical Monte Carlo approach is developed for the analysis of steady-state flow and transient transport processes in highly heterogeneous, variably saturated porous media. The approach is also used for the investigation of the validity of linear, first order analytical stochastic models. With the Monte Carlo analysis accurate estimates of the ensemble conductivity, head, velocity, and concentration mean and covariance are obtained; the statistical moments describing displacement of solute plumes, solute breakthrough at a compliancemore » surface, and time of first exceedance of a given solute flux level are analyzed; and the cumulative probability density functions for solute flux across a compliance surface are investigated. The results of the Monte Carlo analysis show that for very heterogeneous flow fields, and particularly in anisotropic soils, the linearized, analytical predictions of soil water tension and soil moisture flux become erroneous. Analytical, linearized Lagrangian transport models also overestimate both the longitudinal and the transverse spreading of the mean solute plume in very heterogeneous soils and in dry soils. A combined analytical-numerical conditional simulation algorithm is also developed to estimate the impact of in-situ soil hydraulic measurements on reducing the uncertainty of concentration and solute flux predictions.« less

Optimal estimation of recurrence structures from time series

NASA Astrophysics Data System (ADS)

beim Graben, Peter; Sellers, Kristin K.; Fröhlich, Flavio; Hutt, Axel

2016-05-01

Recurrent temporal dynamics is a phenomenon observed frequently in high-dimensional complex systems and its detection is a challenging task. Recurrence quantification analysis utilizing recurrence plots may extract such dynamics, however it still encounters an unsolved pertinent problem: the optimal selection of distance thresholds for estimating the recurrence structure of dynamical systems. The present work proposes a stochastic Markov model for the recurrent dynamics that allows for the analytical derivation of a criterion for the optimal distance threshold. The goodness of fit is assessed by a utility function which assumes a local maximum for that threshold reflecting the optimal estimate of the system's recurrence structure. We validate our approach by means of the nonlinear Lorenz system and its linearized stochastic surrogates. The final application to neurophysiological time series obtained from anesthetized animals illustrates the method and reveals novel dynamic features of the underlying system. We propose the number of optimal recurrence domains as a statistic for classifying an animals' state of consciousness.

A Stationary North-Finding Scheme for an Azimuth Rotational IMU Utilizing a Linear State Equality Constraint

PubMed Central

Yu, Huapeng; Zhu, Hai; Gao, Dayuan; Yu, Meng; Wu, Wenqi

2015-01-01

The Kalman filter (KF) has always been used to improve north-finding performance under practical conditions. By analyzing the characteristics of the azimuth rotational inertial measurement unit (ARIMU) on a stationary base, a linear state equality constraint for the conventional KF used in the fine north-finding filtering phase is derived. Then, a constrained KF using the state equality constraint is proposed and studied in depth. Estimation behaviors of the concerned navigation errors when implementing the conventional KF scheme and the constrained KF scheme during stationary north-finding are investigated analytically by the stochastic observability approach, which can provide explicit formulations of the navigation errors with influencing variables. Finally, multiple practical experimental tests at a fixed position are done on a postulate system to compare the stationary north-finding performance of the two filtering schemes. In conclusion, this study has successfully extended the utilization of the stochastic observability approach for analytic descriptions of estimation behaviors of the concerned navigation errors, and the constrained KF scheme has demonstrated its superiority over the conventional KF scheme for ARIMU stationary north-finding both theoretically and practically. PMID:25688588

A theory of fine structure image models with an application to detection and classification of dementia

PubMed Central

Penn, Richard; Werner, Michael; Thomas, Justin

2015-01-01

Background Estimation of stochastic process models from data is a common application of time series analysis methods. Such system identification processes are often cast as hypothesis testing exercises whose intent is to estimate model parameters and test them for statistical significance. Ordinary least squares (OLS) regression and the Levenberg-Marquardt algorithm (LMA) have proven invaluable computational tools for models being described by non-homogeneous, linear, stationary, ordinary differential equations. Methods In this paper we extend stochastic model identification to linear, stationary, partial differential equations in two independent variables (2D) and show that OLS and LMA apply equally well to these systems. The method employs an original nonparametric statistic as a test for the significance of estimated parameters. Results We show gray scale and color images are special cases of 2D systems satisfying a particular autoregressive partial difference equation which estimates an analogous partial differential equation. Several applications to medical image modeling and classification illustrate the method by correctly classifying demented and normal OLS models of axial magnetic resonance brain scans according to subject Mini Mental State Exam (MMSE) scores. Comparison with 13 image classifiers from the literature indicates our classifier is at least 14 times faster than any of them and has a classification accuracy better than all but one. Conclusions Our modeling method applies to any linear, stationary, partial differential equation and the method is readily extended to 3D whole-organ systems. Further, in addition to being a robust image classifier, estimated image models offer insights into which parameters carry the most diagnostic image information and thereby suggest finer divisions could be made within a class. Image models can be estimated in milliseconds which translate to whole-organ models in seconds; such runtimes could make real-time medicine and surgery modeling possible. PMID:26029638

Using Stochastic Approximation Techniques to Efficiently Construct Confidence Intervals for Heritability.

PubMed

Schweiger, Regev; Fisher, Eyal; Rahmani, Elior; Shenhav, Liat; Rosset, Saharon; Halperin, Eran

2018-06-22

Estimation of heritability is an important task in genetics. The use of linear mixed models (LMMs) to determine narrow-sense single-nucleotide polymorphism (SNP)-heritability and related quantities has received much recent attention, due of its ability to account for variants with small effect sizes. Typically, heritability estimation under LMMs uses the restricted maximum likelihood (REML) approach. The common way to report the uncertainty in REML estimation uses standard errors (SEs), which rely on asymptotic properties. However, these assumptions are often violated because of the bounded parameter space, statistical dependencies, and limited sample size, leading to biased estimates and inflated or deflated confidence intervals (CIs). In addition, for larger data sets (e.g., tens of thousands of individuals), the construction of SEs itself may require considerable time, as it requires expensive matrix inversions and multiplications. Here, we present FIESTA (Fast confidence IntErvals using STochastic Approximation), a method for constructing accurate CIs. FIESTA is based on parametric bootstrap sampling, and, therefore, avoids unjustified assumptions on the distribution of the heritability estimator. FIESTA uses stochastic approximation techniques, which accelerate the construction of CIs by several orders of magnitude, compared with previous approaches as well as to the analytical approximation used by SEs. FIESTA builds accurate CIs rapidly, for example, requiring only several seconds for data sets of tens of thousands of individuals, making FIESTA a very fast solution to the problem of building accurate CIs for heritability for all data set sizes.

Finite-time synchronization of stochastic coupled neural networks subject to Markovian switching and input saturation.

PubMed

Selvaraj, P; Sakthivel, R; Kwon, O M

2018-06-07

This paper addresses the problem of finite-time synchronization of stochastic coupled neural networks (SCNNs) subject to Markovian switching, mixed time delay, and actuator saturation. In addition, coupling strengths of the SCNNs are characterized by mutually independent random variables. By utilizing a simple linear transformation, the problem of stochastic finite-time synchronization of SCNNs is converted into a mean-square finite-time stabilization problem of an error system. By choosing a suitable mode dependent switched Lyapunov-Krasovskii functional, a new set of sufficient conditions is derived to guarantee the finite-time stability of the error system. Subsequently, with the help of anti-windup control scheme, the actuator saturation risks could be mitigated. Moreover, the derived conditions help to optimize estimation of the domain of attraction by enlarging the contractively invariant set. Furthermore, simulations are conducted to exhibit the efficiency of proposed control scheme. Copyright © 2018 Elsevier Ltd. All rights reserved.

Toward Development of a Stochastic Wake Model: Validation Using LES and Turbine Loads

DOE PAGES

Moon, Jae; Manuel, Lance; Churchfield, Matthew; ...

2017-12-28

Wind turbines within an array do not experience free-stream undisturbed flow fields. Rather, the flow fields on internal turbines are influenced by wakes generated by upwind unit and exhibit different dynamic characteristics relative to the free stream. The International Electrotechnical Commission (IEC) standard 61400-1 for the design of wind turbines only considers a deterministic wake model for the design of a wind plant. This study is focused on the development of a stochastic model for waked wind fields. First, high-fidelity physics-based waked wind velocity fields are generated using Large-Eddy Simulation (LES). Stochastic characteristics of these LES waked wind velocity field,more » including mean and turbulence components, are analyzed. Wake-related mean and turbulence field-related parameters are then estimated for use with a stochastic model, using Multivariate Multiple Linear Regression (MMLR) with the LES data. To validate the simulated wind fields based on the stochastic model, wind turbine tower and blade loads are generated using aeroelastic simulation for utility-scale wind turbine models and compared with those based directly on the LES inflow. The study's overall objective is to offer efficient and validated stochastic approaches that are computationally tractable for assessing the performance and loads of turbines operating in wakes.« less

Toward Development of a Stochastic Wake Model: Validation Using LES and Turbine Loads

DOE Office of Scientific and Technical Information (OSTI.GOV)

Moon, Jae; Manuel, Lance; Churchfield, Matthew

Wind turbines within an array do not experience free-stream undisturbed flow fields. Rather, the flow fields on internal turbines are influenced by wakes generated by upwind unit and exhibit different dynamic characteristics relative to the free stream. The International Electrotechnical Commission (IEC) standard 61400-1 for the design of wind turbines only considers a deterministic wake model for the design of a wind plant. This study is focused on the development of a stochastic model for waked wind fields. First, high-fidelity physics-based waked wind velocity fields are generated using Large-Eddy Simulation (LES). Stochastic characteristics of these LES waked wind velocity field,more » including mean and turbulence components, are analyzed. Wake-related mean and turbulence field-related parameters are then estimated for use with a stochastic model, using Multivariate Multiple Linear Regression (MMLR) with the LES data. To validate the simulated wind fields based on the stochastic model, wind turbine tower and blade loads are generated using aeroelastic simulation for utility-scale wind turbine models and compared with those based directly on the LES inflow. The study's overall objective is to offer efficient and validated stochastic approaches that are computationally tractable for assessing the performance and loads of turbines operating in wakes.« less

EKF-Based Enhanced Performance Controller Design for Nonlinear Stochastic Systems

DOE Office of Scientific and Technical Information (OSTI.GOV)

Zhou, Yuyang; Zhang, Qichun; Wang, Hong

In this paper, a novel control algorithm is presented to enhance the performance of tracking property for a class of non-linear dynamic stochastic systems with unmeasurable variables. To minimize the entropy of tracking errors without changing the existing closed loop with PI controller, the enhanced performance loop is constructed based on the state estimation by extended Kalman Filter and the new controller is designed by full state feedback following this presented control algorithm. Besides, the conditions are obtained for the stability analysis in the mean square sense. In the end, the comparative simulation results are given to illustrate the effectivenessmore » of proposed control algorithm.« less

Analysis of randomly time varying systems by gaussian closure technique

NASA Astrophysics Data System (ADS)

Dash, P. K.; Iyengar, R. N.

1982-07-01

The Gaussian probability closure technique is applied to study the random response of multidegree of freedom stochastically time varying systems under non-Gaussian excitations. Under the assumption that the response, the coefficient and the excitation processes are jointly Gaussian, deterministic equations are derived for the first two response moments. It is further shown that this technique leads to the best Gaussian estimate in a minimum mean square error sense. An example problem is solved which demonstrates the capability of this technique for handling non-linearity, stochastic system parameters and amplitude limited responses in a unified manner. Numerical results obtained through the Gaussian closure technique compare well with the exact solutions.

Slope Estimation in Noisy Piecewise Linear Functions✩

PubMed Central

Ingle, Atul; Bucklew, James; Sethares, William; Varghese, Tomy

2014-01-01

This paper discusses the development of a slope estimation algorithm called MAPSlope for piecewise linear data that is corrupted by Gaussian noise. The number and locations of slope change points (also known as breakpoints) are assumed to be unknown a priori though it is assumed that the possible range of slope values lies within known bounds. A stochastic hidden Markov model that is general enough to encompass real world sources of piecewise linear data is used to model the transitions between slope values and the problem of slope estimation is addressed using a Bayesian maximum a posteriori approach. The set of possible slope values is discretized, enabling the design of a dynamic programming algorithm for posterior density maximization. Numerical simulations are used to justify choice of a reasonable number of quantization levels and also to analyze mean squared error performance of the proposed algorithm. An alternating maximization algorithm is proposed for estimation of unknown model parameters and a convergence result for the method is provided. Finally, results using data from political science, finance and medical imaging applications are presented to demonstrate the practical utility of this procedure. PMID:25419020

Slope Estimation in Noisy Piecewise Linear Functions.

PubMed

Ingle, Atul; Bucklew, James; Sethares, William; Varghese, Tomy

2015-03-01

This paper discusses the development of a slope estimation algorithm called MAPSlope for piecewise linear data that is corrupted by Gaussian noise. The number and locations of slope change points (also known as breakpoints) are assumed to be unknown a priori though it is assumed that the possible range of slope values lies within known bounds. A stochastic hidden Markov model that is general enough to encompass real world sources of piecewise linear data is used to model the transitions between slope values and the problem of slope estimation is addressed using a Bayesian maximum a posteriori approach. The set of possible slope values is discretized, enabling the design of a dynamic programming algorithm for posterior density maximization. Numerical simulations are used to justify choice of a reasonable number of quantization levels and also to analyze mean squared error performance of the proposed algorithm. An alternating maximization algorithm is proposed for estimation of unknown model parameters and a convergence result for the method is provided. Finally, results using data from political science, finance and medical imaging applications are presented to demonstrate the practical utility of this procedure.

Extended Kalman Doppler tracking and model determination for multi-sensor short-range radar

NASA Astrophysics Data System (ADS)

Mittermaier, Thomas J.; Siart, Uwe; Eibert, Thomas F.; Bonerz, Stefan

2016-09-01

A tracking solution for collision avoidance in industrial machine tools based on short-range millimeter-wave radar Doppler observations is presented. At the core of the tracking algorithm there is an Extended Kalman Filter (EKF) that provides dynamic estimation and localization in real-time. The underlying sensor platform consists of several homodyne continuous wave (CW) radar modules. Based on In-phase-Quadrature (IQ) processing and down-conversion, they provide only Doppler shift information about the observed target. Localization with Doppler shift estimates is a nonlinear problem that needs to be linearized before the linear KF can be applied. The accuracy of state estimation depends highly on the introduced linearization errors, the initialization and the models that represent the true physics as well as the stochastic properties. The important issue of filter consistency is addressed and an initialization procedure based on data fitting and maximum likelihood estimation is suggested. Models for both, measurement and process noise are developed. Tracking results from typical three-dimensional courses of movement at short distances in front of a multi-sensor radar platform are presented.

Stochastic Stability of Nonlinear Sampled Data Systems with a Jump Linear Controller

NASA Technical Reports Server (NTRS)

Gonzalez, Oscar R.; Herencia-Zapana, Heber; Gray, W. Steven

2004-01-01

This paper analyzes the stability of a sampled- data system consisting of a deterministic, nonlinear, time- invariant, continuous-time plant and a stochastic, discrete- time, jump linear controller. The jump linear controller mod- els, for example, computer systems and communication net- works that are subject to stochastic upsets or disruptions. This sampled-data model has been used in the analysis and design of fault-tolerant systems and computer-control systems with random communication delays without taking into account the inter-sample response. To analyze stability, appropriate topologies are introduced for the signal spaces of the sampled- data system. With these topologies, the ideal sampling and zero-order-hold operators are shown to be measurable maps. This paper shows that the known equivalence between the stability of a deterministic, linear sampled-data system and its associated discrete-time representation as well as between a nonlinear sampled-data system and a linearized representation holds even in a stochastic framework.

Optimal Control for Stochastic Delay Evolution Equations

DOE Office of Scientific and Technical Information (OSTI.GOV)

Meng, Qingxin, E-mail: mqx@hutc.zj.cn; Shen, Yang, E-mail: skyshen87@gmail.com

2016-08-15

In this paper, we investigate a class of infinite-dimensional optimal control problems, where the state equation is given by a stochastic delay evolution equation with random coefficients, and the corresponding adjoint equation is given by an anticipated backward stochastic evolution equation. We first prove the continuous dependence theorems for stochastic delay evolution equations and anticipated backward stochastic evolution equations, and show the existence and uniqueness of solutions to anticipated backward stochastic evolution equations. Then we establish necessary and sufficient conditions for optimality of the control problem in the form of Pontryagin’s maximum principles. To illustrate the theoretical results, we applymore » stochastic maximum principles to study two examples, an infinite-dimensional linear-quadratic control problem with delay and an optimal control of a Dirichlet problem for a stochastic partial differential equation with delay. Further applications of the two examples to a Cauchy problem for a controlled linear stochastic partial differential equation and an optimal harvesting problem are also considered.« less

Robust stochastic optimization for reservoir operation

NASA Astrophysics Data System (ADS)

Pan, Limeng; Housh, Mashor; Liu, Pan; Cai, Ximing; Chen, Xin

2015-01-01

Optimal reservoir operation under uncertainty is a challenging engineering problem. Application of classic stochastic optimization methods to large-scale problems is limited due to computational difficulty. Moreover, classic stochastic methods assume that the estimated distribution function or the sample inflow data accurately represents the true probability distribution, which may be invalid and the performance of the algorithms may be undermined. In this study, we introduce a robust optimization (RO) approach, Iterative Linear Decision Rule (ILDR), so as to provide a tractable approximation for a multiperiod hydropower generation problem. The proposed approach extends the existing LDR method by accommodating nonlinear objective functions. It also provides users with the flexibility of choosing the accuracy of ILDR approximations by assigning a desired number of piecewise linear segments to each uncertainty. The performance of the ILDR is compared with benchmark policies including the sampling stochastic dynamic programming (SSDP) policy derived from historical data. The ILDR solves both the single and multireservoir systems efficiently. The single reservoir case study results show that the RO method is as good as SSDP when implemented on the original historical inflows and it outperforms SSDP policy when tested on generated inflows with the same mean and covariance matrix as those in history. For the multireservoir case study, which considers water supply in addition to power generation, numerical results show that the proposed approach performs as well as in the single reservoir case study in terms of optimal value and distributional robustness.

Use of LANDSAT images of vegetation cover to estimate effective hydraulic properties of soils

NASA Technical Reports Server (NTRS)

Eagleson, Peter S.; Jasinski, Michael F.

1988-01-01

This work focuses on the characterization of natural, spatially variable, semivegetated landscapes using a linear, stochastic, canopy-soil reflectance model. A first application of the model was the investigation of the effects of subpixel and regional variability of scenes on the shape and structure of red-infrared scattergrams. Additionally, the model was used to investigate the inverse problem, the estimation of subpixel vegetation cover, given only the scattergrams of simulated satellite scale multispectral scenes. The major aspects of that work, including recent field investigations, are summarized.

Stochastic Dynamic Mixed-Integer Programming (SD-MIP)

DTIC Science & Technology

2015-05-05

stochastic linear programming ( SLP ) problems. By using a combination of ideas from cutting plane theory of deterministic MIP (especially disjunctive...developed to date. b) As part of this project, we have also developed tools for very large scale Stochastic Linear Programming ( SLP ). There are...several reasons for this. First, SLP models continue to challenge many of the fastest computers to date, and many applications within the DoD (e.g

Global estimation of long-term persistence in annual river runoff

NASA Astrophysics Data System (ADS)

Markonis, Y.; Moustakis, Y.; Nasika, C.; Sychova, P.; Dimitriadis, P.; Hanel, M.; Máca, P.; Papalexiou, S. M.

2018-03-01

Long-term persistence (LTP) of annual river runoff is a topic of ongoing hydrological research, due to its implications to water resources management. Here, we estimate its strength, measured by the Hurst coefficient H, in 696 annual, globally distributed, streamflow records with at least 80 years of data. We use three estimation methods (maximum likelihood estimator, Whittle estimator and least squares variance) resulting in similar mean values of H close to 0.65. Subsequently, we explore potential factors influencing H by two linear (Spearman's rank correlation, multiple linear regression) and two non-linear (self-organizing maps, random forests) techniques. Catchment area is found to be crucial for medium to larger watersheds, while climatic controls, such as aridity index, have higher impact to smaller ones. Our findings indicate that long-term persistence is weaker than found in other studies, suggesting that enhanced LTP is encountered in large-catchment rivers, were the effect of spatial aggregation is more intense. However, we also show that the estimated values of H can be reproduced by a short-term persistence stochastic model such as an auto-regressive AR(1) process. A direct consequence is that some of the most common methods for the estimation of H coefficient, might not be suitable for discriminating short- and long-term persistence even in long observational records.

A flexible Bayesian assessment for the expected impact of data on prediction confidence for optimal sampling designs

NASA Astrophysics Data System (ADS)

Leube, Philipp; Geiges, Andreas; Nowak, Wolfgang

2010-05-01

Incorporating hydrogeological data, such as head and tracer data, into stochastic models of subsurface flow and transport helps to reduce prediction uncertainty. Considering limited financial resources available for the data acquisition campaign, information needs towards the prediction goal should be satisfied in a efficient and task-specific manner. For finding the best one among a set of design candidates, an objective function is commonly evaluated, which measures the expected impact of data on prediction confidence, prior to their collection. An appropriate approach to this task should be stochastically rigorous, master non-linear dependencies between data, parameters and model predictions, and allow for a wide variety of different data types. Existing methods fail to fulfill all these requirements simultaneously. For this reason, we introduce a new method, denoted as CLUE (Cross-bred Likelihood Uncertainty Estimator), that derives the essential distributions and measures of data utility within a generalized, flexible and accurate framework. The method makes use of Bayesian GLUE (Generalized Likelihood Uncertainty Estimator) and extends it to an optimal design method by marginalizing over the yet unknown data values. Operating in a purely Bayesian Monte-Carlo framework, CLUE is a strictly formal information processing scheme free of linearizations. It provides full flexibility associated with the type of measurements (linear, non-linear, direct, indirect) and accounts for almost arbitrary sources of uncertainty (e.g. heterogeneity, geostatistical assumptions, boundary conditions, model concepts) via stochastic simulation and Bayesian model averaging. This helps to minimize the strength and impact of possible subjective prior assumptions, that would be hard to defend prior to data collection. Our study focuses on evaluating two different uncertainty measures: (i) expected conditional variance and (ii) expected relative entropy of a given prediction goal. The applicability and advantages are shown in a synthetic example. Therefor, we consider a contaminant source, posing a threat on a drinking water well in an aquifer. Furthermore, we assume uncertainty in geostatistical parameters, boundary conditions and hydraulic gradient. The two mentioned measures evaluate the sensitivity of (1) general prediction confidence and (2) exceedance probability of a legal regulatory threshold value on sampling locations.

Stochastic differential equation model for linear growth birth and death processes with immigration and emigration

DOE Office of Scientific and Technical Information (OSTI.GOV)

Granita, E-mail: granitafc@gmail.com; Bahar, A.

This paper discusses on linear birth and death with immigration and emigration (BIDE) process to stochastic differential equation (SDE) model. Forward Kolmogorov equation in continuous time Markov chain (CTMC) with a central-difference approximation was used to find Fokker-Planckequation corresponding to a diffusion process having the stochastic differential equation of BIDE process. The exact solution, mean and variance function of BIDE process was found.

SATA Stochastic Algebraic Topology and Applications

DTIC Science & Technology

2017-01-23

Harris et al. Selective sampling after solving a convex problem". arXiv:1609.05609 [ math , stat] (Sept. 2016). arXiv: 1609.05609. 13. Baryshnikov...Functions, Adv. Math . 245, 573-586, 2014. 15. Y. Baryshnikov, Liberzon, Daniel,Robust stability conditions for switched linear systems: Commutator bounds...Consistency via Kernel Estimation, arXiv:1407.5272 [ math , stat] (July 2014) arXiv: 1407.5272. to appear in Bernoulli 18. O.Bobrowski and S.Weinberger

Orbit Determination Using Vinti’s Solution

DTIC Science & Technology

2016-09-15

Surveillance Network STK Systems Tool Kit TBP Two Body Problem TLE Two-line Element Set xv Acronym Definition UKF Unscented Kalman Filter WPAFB Wright...simplicity, stability, and speed. On the other hand, Kalman filters would be best suited for sequential estimation of stochastic or random components of a...be likened to how an Unscented Kalman Filter samples a system’s nonlinearities directly, avoiding linearizing the dynamics in the partials matrices

A Spreadsheet Model That Estimates the Impact of Reduced Distribution Time on Inventory Investment Savings: What is a Day Taken Out of the Pipeline Worth in Inventory?

DTIC Science & Technology

2012-03-01

fall-2006/lecture-notes/lect11.pdf Chang, C.-T. (2005). A Linearization Approach for Inventory Models with Variable Lead Time. International Journal of Production Economics , 263...Demand and Lead Time are Stochastic. International Journal of Production Economics , 595-605. Hayya, J. C., Harrison, T. P., & He, X. (2011). The Impact

Stochastic Estimation via Polynomial Chaos

DTIC Science & Technology

2015-10-01

AFRL-RW-EG-TR-2015-108 Stochastic Estimation via Polynomial Chaos Douglas V. Nance Air Force Research...COVERED (From - To) 20-04-2015 – 07-08-2015 4. TITLE AND SUBTITLE 5a. CONTRACT NUMBER Stochastic Estimation via Polynomial Chaos ...This expository report discusses fundamental aspects of the polynomial chaos method for representing the properties of second order stochastic

A New Stochastic Equivalent Linearization Implementation for Prediction of Geometrically Nonlinear Vibrations

NASA Technical Reports Server (NTRS)

Muravyov, Alexander A.; Turner, Travis L.; Robinson, Jay H.; Rizzi, Stephen A.

1999-01-01

In this paper, the problem of random vibration of geometrically nonlinear MDOF structures is considered. The solutions obtained by application of two different versions of a stochastic linearization method are compared with exact (F-P-K) solutions. The formulation of a relatively new version of the stochastic linearization method (energy-based version) is generalized to the MDOF system case. Also, a new method for determination of nonlinear sti ness coefficients for MDOF structures is demonstrated. This method in combination with the equivalent linearization technique is implemented in a new computer program. Results in terms of root-mean-square (RMS) displacements obtained by using the new program and an existing in-house code are compared for two examples of beam-like structures.

Optimal preview control for a linear continuous-time stochastic control system in finite-time horizon

NASA Astrophysics Data System (ADS)

Wu, Jiang; Liao, Fucheng; Tomizuka, Masayoshi

2017-01-01

This paper discusses the design of the optimal preview controller for a linear continuous-time stochastic control system in finite-time horizon, using the method of augmented error system. First, an assistant system is introduced for state shifting. Then, in order to overcome the difficulty of the state equation of the stochastic control system being unable to be differentiated because of Brownian motion, the integrator is introduced. Thus, the augmented error system which contains the integrator vector, control input, reference signal, error vector and state of the system is reconstructed. This leads to the tracking problem of the optimal preview control of the linear stochastic control system being transformed into the optimal output tracking problem of the augmented error system. With the method of dynamic programming in the theory of stochastic control, the optimal controller with previewable signals of the augmented error system being equal to the controller of the original system is obtained. Finally, numerical simulations show the effectiveness of the controller.

Stochastic and Statistical Analysis of Utility Revenues and Weather Data Analysis for Consumer Demand Estimation in Smart Grids

PubMed Central

Ali, S. M.; Mehmood, C. A; Khan, B.; Jawad, M.; Farid, U; Jadoon, J. K.; Ali, M.; Tareen, N. K.; Usman, S.; Majid, M.; Anwar, S. M.

2016-01-01

In smart grid paradigm, the consumer demands are random and time-dependent, owning towards stochastic probabilities. The stochastically varying consumer demands have put the policy makers and supplying agencies in a demanding position for optimal generation management. The utility revenue functions are highly dependent on the consumer deterministic stochastic demand models. The sudden drifts in weather parameters effects the living standards of the consumers that in turn influence the power demands. Considering above, we analyzed stochastically and statistically the effect of random consumer demands on the fixed and variable revenues of the electrical utilities. Our work presented the Multi-Variate Gaussian Distribution Function (MVGDF) probabilistic model of the utility revenues with time-dependent consumer random demands. Moreover, the Gaussian probabilities outcome of the utility revenues is based on the varying consumer n demands data-pattern. Furthermore, Standard Monte Carlo (SMC) simulations are performed that validated the factor of accuracy in the aforesaid probabilistic demand-revenue model. We critically analyzed the effect of weather data parameters on consumer demands using correlation and multi-linear regression schemes. The statistical analysis of consumer demands provided a relationship between dependent (demand) and independent variables (weather data) for utility load management, generation control, and network expansion. PMID:27314229

Stochastic and Statistical Analysis of Utility Revenues and Weather Data Analysis for Consumer Demand Estimation in Smart Grids.

PubMed

Ali, S M; Mehmood, C A; Khan, B; Jawad, M; Farid, U; Jadoon, J K; Ali, M; Tareen, N K; Usman, S; Majid, M; Anwar, S M

2016-01-01

In smart grid paradigm, the consumer demands are random and time-dependent, owning towards stochastic probabilities. The stochastically varying consumer demands have put the policy makers and supplying agencies in a demanding position for optimal generation management. The utility revenue functions are highly dependent on the consumer deterministic stochastic demand models. The sudden drifts in weather parameters effects the living standards of the consumers that in turn influence the power demands. Considering above, we analyzed stochastically and statistically the effect of random consumer demands on the fixed and variable revenues of the electrical utilities. Our work presented the Multi-Variate Gaussian Distribution Function (MVGDF) probabilistic model of the utility revenues with time-dependent consumer random demands. Moreover, the Gaussian probabilities outcome of the utility revenues is based on the varying consumer n demands data-pattern. Furthermore, Standard Monte Carlo (SMC) simulations are performed that validated the factor of accuracy in the aforesaid probabilistic demand-revenue model. We critically analyzed the effect of weather data parameters on consumer demands using correlation and multi-linear regression schemes. The statistical analysis of consumer demands provided a relationship between dependent (demand) and independent variables (weather data) for utility load management, generation control, and network expansion.

Stochastic approaches for time series forecasting of boron: a case study of Western Turkey.

PubMed

Durdu, Omer Faruk

2010-10-01

In the present study, a seasonal and non-seasonal prediction of boron concentrations time series data for the period of 1996-2004 from Büyük Menderes river in western Turkey are addressed by means of linear stochastic models. The methodology presented here is to develop adequate linear stochastic models known as autoregressive integrated moving average (ARIMA) and multiplicative seasonal autoregressive integrated moving average (SARIMA) to predict boron content in the Büyük Menderes catchment. Initially, the Box-Whisker plots and Kendall's tau test are used to identify the trends during the study period. The measurements locations do not show significant overall trend in boron concentrations, though marginal increasing and decreasing trends are observed for certain periods at some locations. ARIMA modeling approach involves the following three steps: model identification, parameter estimation, and diagnostic checking. In the model identification step, considering the autocorrelation function (ACF) and partial autocorrelation function (PACF) results of boron data series, different ARIMA models are identified. The model gives the minimum Akaike information criterion (AIC) is selected as the best-fit model. The parameter estimation step indicates that the estimated model parameters are significantly different from zero. The diagnostic check step is applied to the residuals of the selected ARIMA models and the results indicate that the residuals are independent, normally distributed, and homoscadastic. For the model validation purposes, the predicted results using the best ARIMA models are compared to the observed data. The predicted data show reasonably good agreement with the actual data. The comparison of the mean and variance of 3-year (2002-2004) observed data vs predicted data from the selected best models show that the boron model from ARIMA modeling approaches could be used in a safe manner since the predicted values from these models preserve the basic statistics of observed data in terms of mean. The ARIMA modeling approach is recommended for predicting boron concentration series of a river.

Cocaine Dependence Treatment Data: Methods for Measurement Error Problems With Predictors Derived From Stationary Stochastic Processes

PubMed Central

Guan, Yongtao; Li, Yehua; Sinha, Rajita

2011-01-01

In a cocaine dependence treatment study, we use linear and nonlinear regression models to model posttreatment cocaine craving scores and first cocaine relapse time. A subset of the covariates are summary statistics derived from baseline daily cocaine use trajectories, such as baseline cocaine use frequency and average daily use amount. These summary statistics are subject to estimation error and can therefore cause biased estimators for the regression coefficients. Unlike classical measurement error problems, the error we encounter here is heteroscedastic with an unknown distribution, and there are no replicates for the error-prone variables or instrumental variables. We propose two robust methods to correct for the bias: a computationally efficient method-of-moments-based method for linear regression models and a subsampling extrapolation method that is generally applicable to both linear and nonlinear regression models. Simulations and an application to the cocaine dependence treatment data are used to illustrate the efficacy of the proposed methods. Asymptotic theory and variance estimation for the proposed subsampling extrapolation method and some additional simulation results are described in the online supplementary material. PMID:21984854

Scalable domain decomposition solvers for stochastic PDEs in high performance computing

DOE PAGES

Desai, Ajit; Khalil, Mohammad; Pettit, Chris; ...

2017-09-21

Stochastic spectral finite element models of practical engineering systems may involve solutions of linear systems or linearized systems for non-linear problems with billions of unknowns. For stochastic modeling, it is therefore essential to design robust, parallel and scalable algorithms that can efficiently utilize high-performance computing to tackle such large-scale systems. Domain decomposition based iterative solvers can handle such systems. And though these algorithms exhibit excellent scalabilities, significant algorithmic and implementational challenges exist to extend them to solve extreme-scale stochastic systems using emerging computing platforms. Intrusive polynomial chaos expansion based domain decomposition algorithms are extended here to concurrently handle high resolutionmore » in both spatial and stochastic domains using an in-house implementation. Sparse iterative solvers with efficient preconditioners are employed to solve the resulting global and subdomain level local systems through multi-level iterative solvers. We also use parallel sparse matrix–vector operations to reduce the floating-point operations and memory requirements. Numerical and parallel scalabilities of these algorithms are presented for the diffusion equation having spatially varying diffusion coefficient modeled by a non-Gaussian stochastic process. Scalability of the solvers with respect to the number of random variables is also investigated.« less

Scalable domain decomposition solvers for stochastic PDEs in high performance computing

DOE Office of Scientific and Technical Information (OSTI.GOV)

Desai, Ajit; Khalil, Mohammad; Pettit, Chris

Stochastic spectral finite element models of practical engineering systems may involve solutions of linear systems or linearized systems for non-linear problems with billions of unknowns. For stochastic modeling, it is therefore essential to design robust, parallel and scalable algorithms that can efficiently utilize high-performance computing to tackle such large-scale systems. Domain decomposition based iterative solvers can handle such systems. And though these algorithms exhibit excellent scalabilities, significant algorithmic and implementational challenges exist to extend them to solve extreme-scale stochastic systems using emerging computing platforms. Intrusive polynomial chaos expansion based domain decomposition algorithms are extended here to concurrently handle high resolutionmore » in both spatial and stochastic domains using an in-house implementation. Sparse iterative solvers with efficient preconditioners are employed to solve the resulting global and subdomain level local systems through multi-level iterative solvers. We also use parallel sparse matrix–vector operations to reduce the floating-point operations and memory requirements. Numerical and parallel scalabilities of these algorithms are presented for the diffusion equation having spatially varying diffusion coefficient modeled by a non-Gaussian stochastic process. Scalability of the solvers with respect to the number of random variables is also investigated.« less

Bayesian parameter estimation for stochastic models of biological cell migration

NASA Astrophysics Data System (ADS)

Dieterich, Peter; Preuss, Roland

2013-08-01

Cell migration plays an essential role under many physiological and patho-physiological conditions. It is of major importance during embryonic development and wound healing. In contrast, it also generates negative effects during inflammation processes, the transmigration of tumors or the formation of metastases. Thus, a reliable quantification and characterization of cell paths could give insight into the dynamics of these processes. Typically stochastic models are applied where parameters are extracted by fitting models to the so-called mean square displacement of the observed cell group. We show that this approach has several disadvantages and problems. Therefore, we propose a simple procedure directly relying on the positions of the cell's trajectory and the covariance matrix of the positions. It is shown that the covariance is identical with the spatial aging correlation function for the supposed linear Gaussian models of Brownian motion with drift and fractional Brownian motion. The technique is applied and illustrated with simulated data showing a reliable parameter estimation from single cell paths.

Multiobjective fuzzy stochastic linear programming problems with inexact probability distribution

DOE Office of Scientific and Technical Information (OSTI.GOV)

Hamadameen, Abdulqader Othman; Zainuddin, Zaitul Marlizawati

This study deals with multiobjective fuzzy stochastic linear programming problems with uncertainty probability distribution which are defined as fuzzy assertions by ambiguous experts. The problem formulation has been presented and the two solutions strategies are; the fuzzy transformation via ranking function and the stochastic transformation when α{sup –}. cut technique and linguistic hedges are used in the uncertainty probability distribution. The development of Sen’s method is employed to find a compromise solution, supported by illustrative numerical example.

"NONLINEAR DYNAMIC SYSTEMS RESPONSE TO NON-STATIONARY EXCITATION USING THE WAVELET TRANSFORM"

DOE Office of Scientific and Technical Information (OSTI.GOV)

SPANOS, POL D.

2006-01-15

The objective of this research project has been the development of techniques for estimating the power spectra of stochastic processes using wavelet transform, and the development of related techniques for determining the response of linear/nonlinear systems to excitations which are described via the wavelet transform. Both of the objectives have been achieved, and the research findings have been disseminated in papers in archival journals and technical conferences.

A Resume of Stochastic, Time-Varying, Linear System Theory with Application to Active-Sonar Signal-Processing Problems

DTIC Science & Technology

1981-06-15

relationships 5 3. Normalized energy in ambiguity function for i = 0 14 k ilI SACLANTCEN SR-50 A RESUME OF STOCHASTIC, TIME-VARYING, LINEAR SYSTEM THEORY WITH...the order in which systems are concatenated is unimportant. These results are exactly analogous to the results of time-invariant linear system theory in...REFERENCES 1. MEIER, L. A rdsum6 of deterministic time-varying linear system theory with application to active sonar signal processing problems, SACLANTCEN

Control design for robust stability in linear regulators: Application to aerospace flight control

NASA Technical Reports Server (NTRS)

Yedavalli, R. K.

1986-01-01

Time domain stability robustness analysis and design for linear multivariable uncertain systems with bounded uncertainties is the central theme of the research. After reviewing the recently developed upper bounds on the linear elemental (structured), time varying perturbation of an asymptotically stable linear time invariant regulator, it is shown that it is possible to further improve these bounds by employing state transformations. Then introducing a quantitative measure called the stability robustness index, a state feedback conrol design algorithm is presented for a general linear regulator problem and then specialized to the case of modal systems as well as matched systems. The extension of the algorithm to stochastic systems with Kalman filter as the state estimator is presented. Finally an algorithm for robust dynamic compensator design is presented using Parameter Optimization (PO) procedure. Applications in a aircraft control and flexible structure control are presented along with a comparison with other existing methods.

Identifying Bearing Rotodynamic Coefficients Using an Extended Kalman Filter

NASA Technical Reports Server (NTRS)

Miller, Brad A.; Howard, Samuel A.

2008-01-01

An Extended Kalman Filter is developed to estimate the linearized direct and indirect stiffness and damping force coefficients for bearings in rotor dynamic applications from noisy measurements of the shaft displacement in response to imbalance and impact excitation. The bearing properties are modeled as stochastic random variables using a Gauss-Markov model. Noise terms are introduced into the system model to account for all of the estimation error, including modeling errors and uncertainties and the propagation of measurement errors into the parameter estimates. The system model contains two user-defined parameters that can be tuned to improve the filter's performance; these parameters correspond to the covariance of the system and measurement noise variables. The filter is also strongly influenced by the initial values of the states and the error covariance matrix. The filter is demonstrated using numerically simulated data for a rotor bearing system with two identical bearings, which reduces the number of unknown linear dynamic coefficients to eight. The filter estimates for the direct damping coefficients and all four stiffness coefficients correlated well with actual values, whereas the estimates for the cross-coupled damping coefficients were the least accurate.

Stochastic and Geometric Reasoning for Indoor Building Models with Electric Installations - Bridging the Gap Between GIS and Bim

NASA Astrophysics Data System (ADS)

Dehbi, Y.; Haunert, J.-H.; Plümer, L.

2017-10-01

3D city and building models according to CityGML encode the geometry, represent the structure and model semantically relevant building parts such as doors, windows and balconies. Building information models support the building design, construction and the facility management. In contrast to CityGML, they include also objects which cannot be observed from the outside. The three dimensional indoor models characterize a missing link between both worlds. Their derivation, however, is expensive. The semantic automatic interpretation of 3D point clouds of indoor environments is a methodically demanding task. The data acquisition is costly and difficult. The laser scanners and image-based methods require the access to every room. Based on an approach which does not require an additional geometry acquisition of building indoors, we propose an attempt for filling the gaps between 3D building models and building information models. Based on sparse observations such as the building footprint and room areas, 3D indoor models are generated using combinatorial and stochastic reasoning. The derived models are expanded by a-priori not observable structures such as electric installation. Gaussian mixtures, linear and bi-linear constraints are used to represent the background knowledge and structural regularities. The derivation of hypothesised models is performed by stochastic reasoning using graphical models, Gauss-Markov models and MAP-estimators.

The Dropout Learning Algorithm

PubMed Central

Baldi, Pierre; Sadowski, Peter

2014-01-01

Dropout is a recently introduced algorithm for training neural network by randomly dropping units during training to prevent their co-adaptation. A mathematical analysis of some of the static and dynamic properties of dropout is provided using Bernoulli gating variables, general enough to accommodate dropout on units or connections, and with variable rates. The framework allows a complete analysis of the ensemble averaging properties of dropout in linear networks, which is useful to understand the non-linear case. The ensemble averaging properties of dropout in non-linear logistic networks result from three fundamental equations: (1) the approximation of the expectations of logistic functions by normalized geometric means, for which bounds and estimates are derived; (2) the algebraic equality between normalized geometric means of logistic functions with the logistic of the means, which mathematically characterizes logistic functions; and (3) the linearity of the means with respect to sums, as well as products of independent variables. The results are also extended to other classes of transfer functions, including rectified linear functions. Approximation errors tend to cancel each other and do not accumulate. Dropout can also be connected to stochastic neurons and used to predict firing rates, and to backpropagation by viewing the backward propagation as ensemble averaging in a dropout linear network. Moreover, the convergence properties of dropout can be understood in terms of stochastic gradient descent. Finally, for the regularization properties of dropout, the expectation of the dropout gradient is the gradient of the corresponding approximation ensemble, regularized by an adaptive weight decay term with a propensity for self-consistent variance minimization and sparse representations. PMID:24771879

Genetic Algorithm Based Framework for Automation of Stochastic Modeling of Multi-Season Streamflows

NASA Astrophysics Data System (ADS)

Srivastav, R. K.; Srinivasan, K.; Sudheer, K.

2009-05-01

Synthetic streamflow data generation involves the synthesis of likely streamflow patterns that are statistically indistinguishable from the observed streamflow data. The various kinds of stochastic models adopted for multi-season streamflow generation in hydrology are: i) parametric models which hypothesize the form of the periodic dependence structure and the distributional form a priori (examples are PAR, PARMA); disaggregation models that aim to preserve the correlation structure at the periodic level and the aggregated annual level; ii) Nonparametric models (examples are bootstrap/kernel based methods), which characterize the laws of chance, describing the stream flow process, without recourse to prior assumptions as to the form or structure of these laws; (k-nearest neighbor (k-NN), matched block bootstrap (MABB)); non-parametric disaggregation model. iii) Hybrid models which blend both parametric and non-parametric models advantageously to model the streamflows effectively. Despite many of these developments that have taken place in the field of stochastic modeling of streamflows over the last four decades, accurate prediction of the storage and the critical drought characteristics has been posing a persistent challenge to the stochastic modeler. This is partly because, usually, the stochastic streamflow model parameters are estimated by minimizing a statistically based objective function (such as maximum likelihood (MLE) or least squares (LS) estimation) and subsequently the efficacy of the models is being validated based on the accuracy of prediction of the estimates of the water-use characteristics, which requires large number of trial simulations and inspection of many plots and tables. Still accurate prediction of the storage and the critical drought characteristics may not be ensured. In this study a multi-objective optimization framework is proposed to find the optimal hybrid model (blend of a simple parametric model, PAR(1) model and matched block bootstrap (MABB) ) based on the explicit objective functions of minimizing the relative bias and relative root mean square error in estimating the storage capacity of the reservoir. The optimal parameter set of the hybrid model is obtained based on the search over a multi- dimensional parameter space (involving simultaneous exploration of the parametric (PAR(1)) as well as the non-parametric (MABB) components). This is achieved using the efficient evolutionary search based optimization tool namely, non-dominated sorting genetic algorithm - II (NSGA-II). This approach helps in reducing the drudgery involved in the process of manual selection of the hybrid model, in addition to predicting the basic summary statistics dependence structure, marginal distribution and water-use characteristics accurately. The proposed optimization framework is used to model the multi-season streamflows of River Beaver and River Weber of USA. In case of both the rivers, the proposed GA-based hybrid model yields a much better prediction of the storage capacity (where simultaneous exploration of both parametric and non-parametric components is done) when compared with the MLE-based hybrid models (where the hybrid model selection is done in two stages, thus probably resulting in a sub-optimal model). This framework can be further extended to include different linear/non-linear hybrid stochastic models at other temporal and spatial scales as well.

Parameter Estimation and Model Selection for Indoor Environments Based on Sparse Observations

NASA Astrophysics Data System (ADS)

Dehbi, Y.; Loch-Dehbi, S.; Plümer, L.

2017-09-01

This paper presents a novel method for the parameter estimation and model selection for the reconstruction of indoor environments based on sparse observations. While most approaches for the reconstruction of indoor models rely on dense observations, we predict scenes of the interior with high accuracy in the absence of indoor measurements. We use a model-based top-down approach and incorporate strong but profound prior knowledge. The latter includes probability density functions for model parameters and sparse observations such as room areas and the building footprint. The floorplan model is characterized by linear and bi-linear relations with discrete and continuous parameters. We focus on the stochastic estimation of model parameters based on a topological model derived by combinatorial reasoning in a first step. A Gauss-Markov model is applied for estimation and simulation of the model parameters. Symmetries are represented and exploited during the estimation process. Background knowledge as well as observations are incorporated in a maximum likelihood estimation and model selection is performed with AIC/BIC. The likelihood is also used for the detection and correction of potential errors in the topological model. Estimation results are presented and discussed.

Validation of drift and diffusion coefficients from experimental data

NASA Astrophysics Data System (ADS)

Riera, R.; Anteneodo, C.

2010-04-01

Many fluctuation phenomena, in physics and other fields, can be modeled by Fokker-Planck or stochastic differential equations whose coefficients, associated with drift and diffusion components, may be estimated directly from the observed time series. Its correct characterization is crucial to determine the system quantifiers. However, due to the finite sampling rates of real data, the empirical estimates may significantly differ from their true functional forms. In the literature, low-order corrections, or even no corrections, have been applied to the finite-time estimates. A frequent outcome consists of linear drift and quadratic diffusion coefficients. For this case, exact corrections have been recently found, from Itô-Taylor expansions. Nevertheless, model validation constitutes a necessary step before determining and applying the appropriate corrections. Here, we exploit the consequences of the exact theoretical results obtained for the linear-quadratic model. In particular, we discuss whether the observed finite-time estimates are actually a manifestation of that model. The relevance of this analysis is put into evidence by its application to two contrasting real data examples in which finite-time linear drift and quadratic diffusion coefficients are observed. In one case the linear-quadratic model is readily rejected while in the other, although the model constitutes a very good approximation, low-order corrections are inappropriate. These examples give warning signs about the proper interpretation of finite-time analysis even in more general diffusion processes.

From Spiking Neuron Models to Linear-Nonlinear Models

PubMed Central

Ostojic, Srdjan; Brunel, Nicolas

2011-01-01

Neurons transform time-varying inputs into action potentials emitted stochastically at a time dependent rate. The mapping from current input to output firing rate is often represented with the help of phenomenological models such as the linear-nonlinear (LN) cascade, in which the output firing rate is estimated by applying to the input successively a linear temporal filter and a static non-linear transformation. These simplified models leave out the biophysical details of action potential generation. It is not a priori clear to which extent the input-output mapping of biophysically more realistic, spiking neuron models can be reduced to a simple linear-nonlinear cascade. Here we investigate this question for the leaky integrate-and-fire (LIF), exponential integrate-and-fire (EIF) and conductance-based Wang-Buzsáki models in presence of background synaptic activity. We exploit available analytic results for these models to determine the corresponding linear filter and static non-linearity in a parameter-free form. We show that the obtained functions are identical to the linear filter and static non-linearity determined using standard reverse correlation analysis. We then quantitatively compare the output of the corresponding linear-nonlinear cascade with numerical simulations of spiking neurons, systematically varying the parameters of input signal and background noise. We find that the LN cascade provides accurate estimates of the firing rates of spiking neurons in most of parameter space. For the EIF and Wang-Buzsáki models, we show that the LN cascade can be reduced to a firing rate model, the timescale of which we determine analytically. Finally we introduce an adaptive timescale rate model in which the timescale of the linear filter depends on the instantaneous firing rate. This model leads to highly accurate estimates of instantaneous firing rates. PMID:21283777

From spiking neuron models to linear-nonlinear models.

PubMed

Ostojic, Srdjan; Brunel, Nicolas

2011-01-20

Neurons transform time-varying inputs into action potentials emitted stochastically at a time dependent rate. The mapping from current input to output firing rate is often represented with the help of phenomenological models such as the linear-nonlinear (LN) cascade, in which the output firing rate is estimated by applying to the input successively a linear temporal filter and a static non-linear transformation. These simplified models leave out the biophysical details of action potential generation. It is not a priori clear to which extent the input-output mapping of biophysically more realistic, spiking neuron models can be reduced to a simple linear-nonlinear cascade. Here we investigate this question for the leaky integrate-and-fire (LIF), exponential integrate-and-fire (EIF) and conductance-based Wang-Buzsáki models in presence of background synaptic activity. We exploit available analytic results for these models to determine the corresponding linear filter and static non-linearity in a parameter-free form. We show that the obtained functions are identical to the linear filter and static non-linearity determined using standard reverse correlation analysis. We then quantitatively compare the output of the corresponding linear-nonlinear cascade with numerical simulations of spiking neurons, systematically varying the parameters of input signal and background noise. We find that the LN cascade provides accurate estimates of the firing rates of spiking neurons in most of parameter space. For the EIF and Wang-Buzsáki models, we show that the LN cascade can be reduced to a firing rate model, the timescale of which we determine analytically. Finally we introduce an adaptive timescale rate model in which the timescale of the linear filter depends on the instantaneous firing rate. This model leads to highly accurate estimates of instantaneous firing rates.

Stochastic models for atomic clocks

NASA Technical Reports Server (NTRS)

Barnes, J. A.; Jones, R. H.; Tryon, P. V.; Allan, D. W.

1983-01-01

For the atomic clocks used in the National Bureau of Standards Time Scales, an adequate model is the superposition of white FM, random walk FM, and linear frequency drift for times longer than about one minute. The model was tested on several clocks using maximum likelihood techniques for parameter estimation and the residuals were acceptably random. Conventional diagnostics indicate that additional model elements contribute no significant improvement to the model even at the expense of the added model complexity.

Delay-distribution-dependent H∞ state estimation for delayed neural networks with (x,v)-dependent noises and fading channels.

PubMed

Sheng, Li; Wang, Zidong; Tian, Engang; Alsaadi, Fuad E

2016-12-01

This paper deals with the H ∞ state estimation problem for a class of discrete-time neural networks with stochastic delays subject to state- and disturbance-dependent noises (also called (x,v)-dependent noises) and fading channels. The time-varying stochastic delay takes values on certain intervals with known probability distributions. The system measurement is transmitted through fading channels described by the Rice fading model. The aim of the addressed problem is to design a state estimator such that the estimation performance is guaranteed in the mean-square sense against admissible stochastic time-delays, stochastic noises as well as stochastic fading signals. By employing the stochastic analysis approach combined with the Kronecker product, several delay-distribution-dependent conditions are derived to ensure that the error dynamics of the neuron states is stochastically stable with prescribed H ∞ performance. Finally, a numerical example is provided to illustrate the effectiveness of the obtained results. Copyright © 2016 Elsevier Ltd. All rights reserved.

Stochastic multiresonance for a fractional linear oscillator with time-delayed kernel and quadratic noise

NASA Astrophysics Data System (ADS)

Guo, Feng; Wang, Xue-Yuan; Zhu, Cheng-Yin; Cheng, Xiao-Feng; Zhang, Zheng-Yu; Huang, Xu-Hui

2017-12-01

The stochastic resonance for a fractional oscillator with time-delayed kernel and quadratic trichotomous noise is investigated. Applying linear system theory and Laplace transform, the system output amplitude (SPA) for the fractional oscillator is obtained. It is found that the SPA is a periodical function of the kernel delayed-time. Stochastic multiplicative phenomenon appears on the SPA versus the driving frequency, versus the noise amplitude, and versus the fractional exponent. The non-monotonous dependence of the SPA on the system parameters is also discussed.

Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models

NASA Astrophysics Data System (ADS)

Mariani, Maria C.; Bhuiyan, Md Al Masum; Tweneboah, Osei K.

2018-02-01

In this study, we develop a technique for estimating the stochastic volatility (SV) of a financial time series by using Ornstein-Uhlenbeck type models. Using the daily closing prices from developed and emergent stock markets, we conclude that the incorporation of stochastic volatility into the time varying parameter estimation significantly improves the forecasting performance via Maximum Likelihood Estimation. Furthermore, our estimation algorithm is feasible with large data sets and have good convergence properties.

Phenomenology of stochastic exponential growth

NASA Astrophysics Data System (ADS)

Pirjol, Dan; Jafarpour, Farshid; Iyer-Biswas, Srividya

2017-06-01

Stochastic exponential growth is observed in a variety of contexts, including molecular autocatalysis, nuclear fission, population growth, inflation of the universe, viral social media posts, and financial markets. Yet literature on modeling the phenomenology of these stochastic dynamics has predominantly focused on one model, geometric Brownian motion (GBM), which can be described as the solution of a Langevin equation with linear drift and linear multiplicative noise. Using recent experimental results on stochastic exponential growth of individual bacterial cell sizes, we motivate the need for a more general class of phenomenological models of stochastic exponential growth, which are consistent with the observation that the mean-rescaled distributions are approximately stationary at long times. We show that this behavior is not consistent with GBM, instead it is consistent with power-law multiplicative noise with positive fractional powers. Therefore, we consider this general class of phenomenological models for stochastic exponential growth, provide analytical solutions, and identify the important dimensionless combination of model parameters, which determines the shape of the mean-rescaled distribution. We also provide a prescription for robustly inferring model parameters from experimentally observed stochastic growth trajectories.

Modern control concepts in hydrology

NASA Technical Reports Server (NTRS)

Duong, N.; Johnson, G. R.; Winn, C. B.

1974-01-01

Two approaches to an identification problem in hydrology are presented based upon concepts from modern control and estimation theory. The first approach treats the identification of unknown parameters in a hydrologic system subject to noisy inputs as an adaptive linear stochastic control problem; the second approach alters the model equation to account for the random part in the inputs, and then uses a nonlinear estimation scheme to estimate the unknown parameters. Both approaches use state-space concepts. The identification schemes are sequential and adaptive and can handle either time invariant or time dependent parameters. They are used to identify parameters in the Prasad model of rainfall-runoff. The results obtained are encouraging and conform with results from two previous studies; the first using numerical integration of the model equation along with a trial-and-error procedure, and the second, by using a quasi-linearization technique. The proposed approaches offer a systematic way of analyzing the rainfall-runoff process when the input data are imbedded in noise.

Stochastic Convection Parameterizations

NASA Technical Reports Server (NTRS)

Teixeira, Joao; Reynolds, Carolyn; Suselj, Kay; Matheou, Georgios

2012-01-01

computational fluid dynamics, radiation, clouds, turbulence, convection, gravity waves, surface interaction, radiation interaction, cloud and aerosol microphysics, complexity (vegetation, biogeochemistry, radiation versus turbulence/convection stochastic approach, non-linearities, Monte Carlo, high resolutions, large-Eddy Simulations, cloud structure, plumes, saturation in tropics, forecasting, parameterizations, stochastic, radiation-clod interaction, hurricane forecasts

Stochastic Models in the DORIS Position Time Series: Estimates from the IDS Contribution to the ITRF2014

NASA Astrophysics Data System (ADS)

Klos, A.; Bogusz, J.; Moreaux, G.

2017-12-01

This research focuses on the investigation of the deterministic and stochastic parts of the DORIS (Doppler Orbitography and Radiopositioning Integrated by Satellite) weekly coordinate time series from the IDS contribution to the ITRF2014A set of 90 stations was divided into three groups depending on when the data was collected at an individual station. To reliably describe the DORIS time series, we employed a mathematical model that included the long-term nonlinear signal, linear trend, seasonal oscillations (these three sum up to produce the Polynomial Trend Model) and a stochastic part, all being resolved with Maximum Likelihood Estimation (MLE). We proved that the values of the parameters delivered for DORIS data are strictly correlated with the time span of the observations, meaning that the most recent data are the most reliable ones. Not only did the seasonal amplitudes decrease over the years, but also, and most importantly, the noise level and its type changed significantly. We examined five different noise models to be applied to the stochastic part of the DORIS time series: a pure white noise (WN), a pure power-law noise (PL), a combination of white and power-law noise (WNPL), an autoregressive process of first order (AR(1)) and a Generalized Gauss Markov model (GGM). From our study it arises that the PL process may be chosen as the preferred one for most of the DORIS data. Moreover, the preferred noise model has changed through the years from AR(1) to pure PL with few stations characterized by a positive spectral index.

A General Accelerated Degradation Model Based on the Wiener Process.

PubMed

Liu, Le; Li, Xiaoyang; Sun, Fuqiang; Wang, Ning

2016-12-06

Accelerated degradation testing (ADT) is an efficient tool to conduct material service reliability and safety evaluations by analyzing performance degradation data. Traditional stochastic process models are mainly for linear or linearization degradation paths. However, those methods are not applicable for the situations where the degradation processes cannot be linearized. Hence, in this paper, a general ADT model based on the Wiener process is proposed to solve the problem for accelerated degradation data analysis. The general model can consider the unit-to-unit variation and temporal variation of the degradation process, and is suitable for both linear and nonlinear ADT analyses with single or multiple acceleration variables. The statistical inference is given to estimate the unknown parameters in both constant stress and step stress ADT. The simulation example and two real applications demonstrate that the proposed method can yield reliable lifetime evaluation results compared with the existing linear and time-scale transformation Wiener processes in both linear and nonlinear ADT analyses.

A General Accelerated Degradation Model Based on the Wiener Process

PubMed Central

Liu, Le; Li, Xiaoyang; Sun, Fuqiang; Wang, Ning

2016-01-01

Accelerated degradation testing (ADT) is an efficient tool to conduct material service reliability and safety evaluations by analyzing performance degradation data. Traditional stochastic process models are mainly for linear or linearization degradation paths. However, those methods are not applicable for the situations where the degradation processes cannot be linearized. Hence, in this paper, a general ADT model based on the Wiener process is proposed to solve the problem for accelerated degradation data analysis. The general model can consider the unit-to-unit variation and temporal variation of the degradation process, and is suitable for both linear and nonlinear ADT analyses with single or multiple acceleration variables. The statistical inference is given to estimate the unknown parameters in both constant stress and step stress ADT. The simulation example and two real applications demonstrate that the proposed method can yield reliable lifetime evaluation results compared with the existing linear and time-scale transformation Wiener processes in both linear and nonlinear ADT analyses. PMID:28774107

Robust lane detection and tracking using multiple visual cues under stochastic lane shape conditions

NASA Astrophysics Data System (ADS)

Huang, Zhi; Fan, Baozheng; Song, Xiaolin

2018-03-01

As one of the essential components of environment perception techniques for an intelligent vehicle, lane detection is confronted with challenges including robustness against the complicated disturbance and illumination, also adaptability to stochastic lane shapes. To overcome these issues, we proposed a robust lane detection method named classification-generation-growth-based (CGG) operator to the detected lines, whereby the linear lane markings are identified by synergizing multiple visual cues with the a priori knowledge and spatial-temporal information. According to the quality of linear lane fitting, the linear and linear-parabolic models are dynamically switched to describe the actual lane. The Kalman filter with adaptive noise covariance and the region of interests (ROI) tracking are applied to improve the robustness and efficiency. Experiments were conducted with images covering various challenging scenarios. The experimental results evaluate the effectiveness of the presented method for complicated disturbances, illumination, and stochastic lane shapes.

An estimator for the relative entropy rate of path measures for stochastic differential equations

DOE Office of Scientific and Technical Information (OSTI.GOV)

Opper, Manfred, E-mail: manfred.opper@tu-berlin.de

2017-02-01

We address the problem of estimating the relative entropy rate (RER) for two stochastic processes described by stochastic differential equations. For the case where the drift of one process is known analytically, but one has only observations from the second process, we use a variational bound on the RER to construct an estimator.

Improved Stability and Stabilization Results for Stochastic Synchronization of Continuous-Time Semi-Markovian Jump Neural Networks With Time-Varying Delay.

PubMed

Wei, Yanling; Park, Ju H; Karimi, Hamid Reza; Tian, Yu-Chu; Jung, Hoyoul; Yanling Wei; Park, Ju H; Karimi, Hamid Reza; Yu-Chu Tian; Hoyoul Jung; Tian, Yu-Chu; Wei, Yanling; Jung, Hoyoul; Karimi, Hamid Reza; Park, Ju H

2018-06-01

Continuous-time semi-Markovian jump neural networks (semi-MJNNs) are those MJNNs whose transition rates are not constant but depend on the random sojourn time. Addressing stochastic synchronization of semi-MJNNs with time-varying delay, an improved stochastic stability criterion is derived in this paper to guarantee stochastic synchronization of the response systems with the drive systems. This is achieved through constructing a semi-Markovian Lyapunov-Krasovskii functional together as well as making use of a novel integral inequality and the characteristics of cumulative distribution functions. Then, with a linearization procedure, controller synthesis is carried out for stochastic synchronization of the drive-response systems. The desired state-feedback controller gains can be determined by solving a linear matrix inequality-based optimization problem. Simulation studies are carried out to demonstrate the effectiveness and less conservatism of the presented approach.

Cost drivers and resource allocation in military health care systems.

PubMed

Fulton, Larry; Lasdon, Leon S; McDaniel, Reuben R

2007-03-01

This study illustrates the feasibility of incorporating technical efficiency considerations in the funding of military hospitals and identifies the primary drivers for hospital costs. Secondary data collected for 24 U.S.-based Army hospitals and medical centers for the years 2001 to 2003 are the basis for this analysis. Technical efficiency was measured by using data envelopment analysis; subsequently, efficiency estimates were included in logarithmic-linear cost models that specified cost as a function of volume, complexity, efficiency, time, and facility type. These logarithmic-linear models were compared against stochastic frontier analysis models. A parsimonious, three-variable, logarithmic-linear model composed of volume, complexity, and efficiency variables exhibited a strong linear relationship with observed costs (R(2) = 0.98). This model also proved reliable in forecasting (R(2) = 0.96). Based on our analysis, as much as $120 million might be reallocated to improve the United States-based Army hospital performance evaluated in this study.

Time-resolved flow reconstruction with indirect measurements using regression models and Kalman-filtered POD ROM

NASA Astrophysics Data System (ADS)

Leroux, Romain; Chatellier, Ludovic; David, Laurent

2018-01-01

This article is devoted to the estimation of time-resolved particle image velocimetry (TR-PIV) flow fields using a time-resolved point measurements of a voltage signal obtained by hot-film anemometry. A multiple linear regression model is first defined to map the TR-PIV flow fields onto the voltage signal. Due to the high temporal resolution of the signal acquired by the hot-film sensor, the estimates of the TR-PIV flow fields are obtained with a multiple linear regression method called orthonormalized partial least squares regression (OPLSR). Subsequently, this model is incorporated as the observation equation in an ensemble Kalman filter (EnKF) applied on a proper orthogonal decomposition reduced-order model to stabilize it while reducing the effects of the hot-film sensor noise. This method is assessed for the reconstruction of the flow around a NACA0012 airfoil at a Reynolds number of 1000 and an angle of attack of {20}°. Comparisons with multi-time delay-modified linear stochastic estimation show that both the OPLSR and EnKF combined with OPLSR are more accurate as they produce a much lower relative estimation error, and provide a faithful reconstruction of the time evolution of the velocity flow fields.

Maximum principle for a stochastic delayed system involving terminal state constraints.

PubMed

Wen, Jiaqiang; Shi, Yufeng

2017-01-01

We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an equivalent backward delayed system depicted as a time-delayed backward stochastic differential equation. Then a stochastic maximum principle is obtained by virtue of Ekeland's variational principle. Finally, applications to a state constrained stochastic delayed linear-quadratic control model and a production-consumption choice problem are studied to illustrate the main obtained result.

Energy diffusion controlled reaction rate of reacting particle driven by broad-band noise

NASA Astrophysics Data System (ADS)

Deng, M. L.; Zhu, W. Q.

2007-10-01

The energy diffusion controlled reaction rate of a reacting particle with linear weak damping and broad-band noise excitation is studied by using the stochastic averaging method. First, the stochastic averaging method for strongly nonlinear oscillators under broad-band noise excitation using generalized harmonic functions is briefly introduced. Then, the reaction rate of the classical Kramers' reacting model with linear weak damping and broad-band noise excitation is investigated by using the stochastic averaging method. The averaged Itô stochastic differential equation describing the energy diffusion and the Pontryagin equation governing the mean first-passage time (MFPT) are established. The energy diffusion controlled reaction rate is obtained as the inverse of the MFPT by solving the Pontryagin equation. The results of two special cases of broad-band noises, i.e. the harmonic noise and the exponentially corrected noise, are discussed in details. It is demonstrated that the general expression of reaction rate derived by the authors can be reduced to the classical ones via linear approximation and high potential barrier approximation. The good agreement with the results of the Monte Carlo simulation verifies that the reaction rate can be well predicted using the stochastic averaging method.

Stochastic Model of Seasonal Runoff Forecasts

NASA Astrophysics Data System (ADS)

Krzysztofowicz, Roman; Watada, Leslie M.

1986-03-01

Each year the National Weather Service and the Soil Conservation Service issue a monthly sequence of five (or six) categorical forecasts of the seasonal snowmelt runoff volume. To describe uncertainties in these forecasts for the purposes of optimal decision making, a stochastic model is formulated. It is a discrete-time, finite, continuous-space, nonstationary Markov process. Posterior densities of the actual runoff conditional upon a forecast, and transition densities of forecasts are obtained from a Bayesian information processor. Parametric densities are derived for the process with a normal prior density of the runoff and a linear model of the forecast error. The structure of the model and the estimation procedure are motivated by analyses of forecast records from five stations in the Snake River basin, from the period 1971-1983. The advantages of supplementing the current forecasting scheme with a Bayesian analysis are discussed.

Stochastic search, optimization and regression with energy applications

NASA Astrophysics Data System (ADS)

Hannah, Lauren A.

Designing clean energy systems will be an important task over the next few decades. One of the major roadblocks is a lack of mathematical tools to economically evaluate those energy systems. However, solutions to these mathematical problems are also of interest to the operations research and statistical communities in general. This thesis studies three problems that are of interest to the energy community itself or provide support for solution methods: R&D portfolio optimization, nonparametric regression and stochastic search with an observable state variable. First, we consider the one stage R&D portfolio optimization problem to avoid the sequential decision process associated with the multi-stage. The one stage problem is still difficult because of a non-convex, combinatorial decision space and a non-convex objective function. We propose a heuristic solution method that uses marginal project values---which depend on the selected portfolio---to create a linear objective function. In conjunction with the 0-1 decision space, this new problem can be solved as a knapsack linear program. This method scales well to large decision spaces. We also propose an alternate, provably convergent algorithm that does not exploit problem structure. These methods are compared on a solid oxide fuel cell R&D portfolio problem. Next, we propose Dirichlet Process mixtures of Generalized Linear Models (DPGLM), a new method of nonparametric regression that accommodates continuous and categorical inputs, and responses that can be modeled by a generalized linear model. We prove conditions for the asymptotic unbiasedness of the DP-GLM regression mean function estimate. We also give examples for when those conditions hold, including models for compactly supported continuous distributions and a model with continuous covariates and categorical response. We empirically analyze the properties of the DP-GLM and why it provides better results than existing Dirichlet process mixture regression models. We evaluate DP-GLM on several data sets, comparing it to modern methods of nonparametric regression like CART, Bayesian trees and Gaussian processes. Compared to existing techniques, the DP-GLM provides a single model (and corresponding inference algorithms) that performs well in many regression settings. Finally, we study convex stochastic search problems where a noisy objective function value is observed after a decision is made. There are many stochastic search problems whose behavior depends on an exogenous state variable which affects the shape of the objective function. Currently, there is no general purpose algorithm to solve this class of problems. We use nonparametric density estimation to take observations from the joint state-outcome distribution and use them to infer the optimal decision for a given query state. We propose two solution methods that depend on the problem characteristics: function-based and gradient-based optimization. We examine two weighting schemes, kernel-based weights and Dirichlet process-based weights, for use with the solution methods. The weights and solution methods are tested on a synthetic multi-product newsvendor problem and the hour-ahead wind commitment problem. Our results show that in some cases Dirichlet process weights offer substantial benefits over kernel based weights and more generally that nonparametric estimation methods provide good solutions to otherwise intractable problems.

Nonlinear Estimation of Discrete-Time Signals Under Random Observation Delay

DOE Office of Scientific and Technical Information (OSTI.GOV)

Caballero-Aguila, R.; Jimenez-Lopez, J. D.; Hermoso-Carazo, A.

2008-11-06

This paper presents an approximation to the nonlinear least-squares estimation problem of discrete-time stochastic signals using nonlinear observations with additive white noise which can be randomly delayed by one sampling time. The observation delay is modelled by a sequence of independent Bernoulli random variables whose values, zero or one, indicate that the real observation arrives on time or it is delayed and, hence, the available measurement to estimate the signal is not up-to-date. Assuming that the state-space model generating the signal is unknown and only the covariance functions of the processes involved in the observation equation are ready for use,more » a filtering algorithm based on linear approximations of the real observations is proposed.« less

Online sequential Monte Carlo smoother for partially observed diffusion processes

NASA Astrophysics Data System (ADS)

Gloaguen, Pierre; Étienne, Marie-Pierre; Le Corff, Sylvain

2018-12-01

This paper introduces a new algorithm to approximate smoothed additive functionals of partially observed diffusion processes. This method relies on a new sequential Monte Carlo method which allows to compute such approximations online, i.e., as the observations are received, and with a computational complexity growing linearly with the number of Monte Carlo samples. The original algorithm cannot be used in the case of partially observed stochastic differential equations since the transition density of the latent data is usually unknown. We prove that it may be extended to partially observed continuous processes by replacing this unknown quantity by an unbiased estimator obtained for instance using general Poisson estimators. This estimator is proved to be consistent and its performance are illustrated using data from two models.

Efficient Stochastic Inversion Using Adjoint Models and Kernel-PCA

DOE Office of Scientific and Technical Information (OSTI.GOV)

Thimmisetty, Charanraj A.; Zhao, Wenju; Chen, Xiao

2017-10-18

Performing stochastic inversion on a computationally expensive forward simulation model with a high-dimensional uncertain parameter space (e.g. a spatial random field) is computationally prohibitive even when gradient information can be computed efficiently. Moreover, the ‘nonlinear’ mapping from parameters to observables generally gives rise to non-Gaussian posteriors even with Gaussian priors, thus hampering the use of efficient inversion algorithms designed for models with Gaussian assumptions. In this paper, we propose a novel Bayesian stochastic inversion methodology, which is characterized by a tight coupling between the gradient-based Langevin Markov Chain Monte Carlo (LMCMC) method and a kernel principal component analysis (KPCA). Thismore » approach addresses the ‘curse-of-dimensionality’ via KPCA to identify a low-dimensional feature space within the high-dimensional and nonlinearly correlated parameter space. In addition, non-Gaussian posterior distributions are estimated via an efficient LMCMC method on the projected low-dimensional feature space. We will demonstrate this computational framework by integrating and adapting our recent data-driven statistics-on-manifolds constructions and reduction-through-projection techniques to a linear elasticity model.« less

The role of predictive uncertainty in the operational management of reservoirs

NASA Astrophysics Data System (ADS)

Todini, E.

2014-09-01

The present work deals with the operational management of multi-purpose reservoirs, whose optimisation-based rules are derived, in the planning phase, via deterministic (linear and nonlinear programming, dynamic programming, etc.) or via stochastic (generally stochastic dynamic programming) approaches. In operation, the resulting deterministic or stochastic optimised operating rules are then triggered based on inflow predictions. In order to fully benefit from predictions, one must avoid using them as direct inputs to the reservoirs, but rather assess the "predictive knowledge" in terms of a predictive probability density to be operationally used in the decision making process for the estimation of expected benefits and/or expected losses. Using a theoretical and extremely simplified case, it will be shown why directly using model forecasts instead of the full predictive density leads to less robust reservoir management decisions. Moreover, the effectiveness and the tangible benefits for using the entire predictive probability density instead of the model predicted values will be demonstrated on the basis of the Lake Como management system, operational since 1997, as well as on the basis of a case study on the lake of Aswan.

Numerical simulations of piecewise deterministic Markov processes with an application to the stochastic Hodgkin-Huxley model.

PubMed

Ding, Shaojie; Qian, Min; Qian, Hong; Zhang, Xuejuan

2016-12-28

The stochastic Hodgkin-Huxley model is one of the best-known examples of piecewise deterministic Markov processes (PDMPs), in which the electrical potential across a cell membrane, V(t), is coupled with a mesoscopic Markov jump process representing the stochastic opening and closing of ion channels embedded in the membrane. The rates of the channel kinetics, in turn, are voltage-dependent. Due to this interdependence, an accurate and efficient sampling of the time evolution of the hybrid stochastic systems has been challenging. The current exact simulation methods require solving a voltage-dependent hitting time problem for multiple path-dependent intensity functions with random thresholds. This paper proposes a simulation algorithm that approximates an alternative representation of the exact solution by fitting the log-survival function of the inter-jump dwell time, H(t), with a piecewise linear one. The latter uses interpolation points that are chosen according to the time evolution of the H(t), as the numerical solution to the coupled ordinary differential equations of V(t) and H(t). This computational method can be applied to all PDMPs. Pathwise convergence of the approximated sample trajectories to the exact solution is proven, and error estimates are provided. Comparison with a previous algorithm that is based on piecewise constant approximation is also presented.

Rapid transfer alignment of an inertial navigation system using a marginal stochastic integration filter

NASA Astrophysics Data System (ADS)

Zhou, Dapeng; Guo, Lei

2018-01-01

This study aims to address the rapid transfer alignment (RTA) issue of an inertial navigation system with large misalignment angles. The strong nonlinearity and high dimensionality of the system model pose a significant challenge to the estimation of the misalignment angles. In this paper, a 15-dimensional nonlinear model for RTA has been exploited, and it is shown that the functions for the model description exhibit a conditionally linear substructure. Then, a modified stochastic integration filter (SIF) called marginal SIF (MSIF) is developed to incorporate into the nonlinear model, where the number of sample points is significantly reduced but the estimation accuracy of SIF is retained. Comparisons between the MSIF-based RTA and the previously well-known methodologies are carried out through numerical simulations and a van test. The results demonstrate that the newly proposed method has an obvious accuracy advantage over the extended Kalman filter, the unscented Kalman filter and the marginal unscented Kalman filter. Further, the MSIF achieves a comparable performance to SIF, but with a significantly lower computation load.

Quantum stochastic calculus associated with quadratic quantum noises

DOE Office of Scientific and Technical Information (OSTI.GOV)

Ji, Un Cig, E-mail: uncigji@chungbuk.ac.kr; Sinha, Kalyan B., E-mail: kbs-jaya@yahoo.co.in

2016-02-15

We first study a class of fundamental quantum stochastic processes induced by the generators of a six dimensional non-solvable Lie †-algebra consisting of all linear combinations of the generalized Gross Laplacian and its adjoint, annihilation operator, creation operator, conservation, and time, and then we study the quantum stochastic integrals associated with the class of fundamental quantum stochastic processes, and the quantum Itô formula is revisited. The existence and uniqueness of solution of a quantum stochastic differential equation is proved. The unitarity conditions of solutions of quantum stochastic differential equations associated with the fundamental processes are examined. The quantum stochastic calculusmore » extends the Hudson-Parthasarathy quantum stochastic calculus.« less

Optimal Stochastic Modeling and Control of Flexible Structures

DTIC Science & Technology

1988-09-01

1.37] and McLane [1.18] considered multivariable systems and derived their optimal control characteristics. Kleinman, Gorman and Zaborsky considered...Leondes [1.72,1.73] studied various aspects of multivariable linear stochastic, discrete-time systems that are partly deterministic, and partly stochastic...June 1966. 1.8. A.V. Balaknishnan, Applied Functional Analaysis , 2nd ed., New York, N.Y.: Springer-Verlag, 1981 1.9. Peter S. Maybeck, Stochastic

Multivariate moment closure techniques for stochastic kinetic models

DOE Office of Scientific and Technical Information (OSTI.GOV)

Lakatos, Eszter, E-mail: e.lakatos13@imperial.ac.uk; Ale, Angelique; Kirk, Paul D. W.

2015-09-07

Stochastic effects dominate many chemical and biochemical processes. Their analysis, however, can be computationally prohibitively expensive and a range of approximation schemes have been proposed to lighten the computational burden. These, notably the increasingly popular linear noise approximation and the more general moment expansion methods, perform well for many dynamical regimes, especially linear systems. At higher levels of nonlinearity, it comes to an interplay between the nonlinearities and the stochastic dynamics, which is much harder to capture correctly by such approximations to the true stochastic processes. Moment-closure approaches promise to address this problem by capturing higher-order terms of the temporallymore » evolving probability distribution. Here, we develop a set of multivariate moment-closures that allows us to describe the stochastic dynamics of nonlinear systems. Multivariate closure captures the way that correlations between different molecular species, induced by the reaction dynamics, interact with stochastic effects. We use multivariate Gaussian, gamma, and lognormal closure and illustrate their use in the context of two models that have proved challenging to the previous attempts at approximating stochastic dynamics: oscillations in p53 and Hes1. In addition, we consider a larger system, Erk-mediated mitogen-activated protein kinases signalling, where conventional stochastic simulation approaches incur unacceptably high computational costs.« less

Response analysis of a class of quasi-linear systems with fractional derivative excited by Poisson white noise

DOE Office of Scientific and Technical Information (OSTI.GOV)

Yang, Yongge; Xu, Wei, E-mail: weixu@nwpu.edu.cn; Yang, Guidong

The Poisson white noise, as a typical non-Gaussian excitation, has attracted much attention recently. However, little work was referred to the study of stochastic systems with fractional derivative under Poisson white noise excitation. This paper investigates the stationary response of a class of quasi-linear systems with fractional derivative excited by Poisson white noise. The equivalent stochastic system of the original stochastic system is obtained. Then, approximate stationary solutions are obtained with the help of the perturbation method. Finally, two typical examples are discussed in detail to demonstrate the effectiveness of the proposed method. The analysis also shows that the fractionalmore » order and the fractional coefficient significantly affect the responses of the stochastic systems with fractional derivative.« less

Identifying Bearing Rotordynamic Coefficients using an Extended Kalman Filter

NASA Technical Reports Server (NTRS)

Miller, Brad A.; Howard, Samuel A.

2008-01-01

An Extended Kalman Filter is developed to estimate the linearized direct and indirect stiffness and damping force coefficients for bearings in rotor-dynamic applications from noisy measurements of the shaft displacement in response to imbalance and impact excitation. The bearing properties are modeled as stochastic random variables using a Gauss-Markov model. Noise terms are introduced into the system model to account for all of the estimation error, including modeling errors and uncertainties and the propagation of measurement errors into the parameter estimates. The system model contains two user-defined parameters that can be tuned to improve the filter s performance; these parameters correspond to the covariance of the system and measurement noise variables. The filter is also strongly influenced by the initial values of the states and the error covariance matrix. The filter is demonstrated using numerically simulated data for a rotor-bearing system with two identical bearings, which reduces the number of unknown linear dynamic coefficients to eight. The filter estimates for the direct damping coefficients and all four stiffness coefficients correlated well with actual values, whereas the estimates for the cross-coupled damping coefficients were the least accurate.

Probabilistic risk assessment for CO2 storage in geological formations: robust design and support for decision making under uncertainty

NASA Astrophysics Data System (ADS)

Oladyshkin, Sergey; Class, Holger; Helmig, Rainer; Nowak, Wolfgang

2010-05-01

CO2 storage in geological formations is currently being discussed intensively as a technology for mitigating CO2 emissions. However, any large-scale application requires a thorough analysis of the potential risks. Current numerical simulation models are too expensive for probabilistic risk analysis and for stochastic approaches based on brute-force repeated simulation. Even single deterministic simulations may require parallel high-performance computing. The multiphase flow processes involved are too non-linear for quasi-linear error propagation and other simplified stochastic tools. As an alternative approach, we propose a massive stochastic model reduction based on the probabilistic collocation method. The model response is projected onto a orthogonal basis of higher-order polynomials to approximate dependence on uncertain parameters (porosity, permeability etc.) and design parameters (injection rate, depth etc.). This allows for a non-linear propagation of model uncertainty affecting the predicted risk, ensures fast computation and provides a powerful tool for combining design variables and uncertain variables into one approach based on an integrative response surface. Thus, the design task of finding optimal injection regimes explicitly includes uncertainty, which leads to robust designs of the non-linear system that minimize failure probability and provide valuable support for risk-informed management decisions. We validate our proposed stochastic approach by Monte Carlo simulation using a common 3D benchmark problem (Class et al. Computational Geosciences 13, 2009). A reasonable compromise between computational efforts and precision was reached already with second-order polynomials. In our case study, the proposed approach yields a significant computational speedup by a factor of 100 compared to Monte Carlo simulation. We demonstrate that, due to the non-linearity of the flow and transport processes during CO2 injection, including uncertainty in the analysis leads to a systematic and significant shift of predicted leakage rates towards higher values compared with deterministic simulations, affecting both risk estimates and the design of injection scenarios. This implies that, neglecting uncertainty can be a strong simplification for modeling CO2 injection, and the consequences can be stronger than when neglecting several physical phenomena (e.g. phase transition, convective mixing, capillary forces etc.). The authors would like to thank the German Research Foundation (DFG) for financial support of the project within the Cluster of Excellence in Simulation Technology (EXC 310/1) at the University of Stuttgart. Keywords: polynomial chaos; CO2 storage; multiphase flow; porous media; risk assessment; uncertainty; integrative response surfaces

Stochastic stability properties of jump linear systems

NASA Technical Reports Server (NTRS)

Feng, Xiangbo; Loparo, Kenneth A.; Ji, Yuandong; Chizeck, Howard J.

1992-01-01

Jump linear systems are defined as a family of linear systems with randomly jumping parameters (usually governed by a Markov jump process) and are used to model systems subject to failures or changes in structure. The authors study stochastic stability properties in jump linear systems and the relationship among various moment and sample path stability properties. It is shown that all second moment stability properties are equivalent and are sufficient for almost sure sample path stability, and a testable necessary and sufficient condition for second moment stability is derived. The Lyapunov exponent method for the study of almost sure sample stability is discussed, and a theorem which characterizes the Lyapunov exponents of jump linear systems is presented.

Linear regulator design for stochastic systems by a multiple time scales method

NASA Technical Reports Server (NTRS)

Teneketzis, D.; Sandell, N. R., Jr.

1976-01-01

A hierarchically-structured, suboptimal controller for a linear stochastic system composed of fast and slow subsystems is considered. The controller is optimal in the limit as the separation of time scales of the subsystems becomes infinite. The methodology is illustrated by design of a controller to suppress the phugoid and short period modes of the longitudinal dynamics of the F-8 aircraft.

Toward Control of Universal Scaling in Critical Dynamics

DTIC Science & Technology

2016-01-27

program that aims to synergistically combine two powerful and very successful theories for non-linear stochastic dynamics of cooperative multi...RESPONSIBLE PERSON 19b. TELEPHONE NUMBER Uwe Tauber Uwe C. T? uber , Michel Pleimling, Daniel J. Stilwell 611102 c. THIS PAGE The public reporting burden...to synergistically combine two powerful and very successful theories for non-linear stochastic dynamics of cooperative multi-component systems, namely

Reduced state feedback gain computation. [optimization and control theory for aircraft control

NASA Technical Reports Server (NTRS)

Kaufman, H.

1976-01-01

Because application of conventional optimal linear regulator theory to flight controller design requires the capability of measuring and/or estimating the entire state vector, it is of interest to consider procedures for computing controls which are restricted to be linear feedback functions of a lower dimensional output vector and which take into account the presence of measurement noise and process uncertainty. Therefore, a stochastic linear model that was developed is presented which accounts for aircraft parameter and initial uncertainty, measurement noise, turbulence, pilot command and a restricted number of measurable outputs. Optimization with respect to the corresponding output feedback gains was performed for both finite and infinite time performance indices without gradient computation by using Zangwill's modification of a procedure originally proposed by Powell. Results using a seventh order process show the proposed procedures to be very effective.

Reduced linear noise approximation for biochemical reaction networks with time-scale separation: The stochastic tQSSA+

NASA Astrophysics Data System (ADS)

Herath, Narmada; Del Vecchio, Domitilla

2018-03-01

Biochemical reaction networks often involve reactions that take place on different time scales, giving rise to "slow" and "fast" system variables. This property is widely used in the analysis of systems to obtain dynamical models with reduced dimensions. In this paper, we consider stochastic dynamics of biochemical reaction networks modeled using the Linear Noise Approximation (LNA). Under time-scale separation conditions, we obtain a reduced-order LNA that approximates both the slow and fast variables in the system. We mathematically prove that the first and second moments of this reduced-order model converge to those of the full system as the time-scale separation becomes large. These mathematical results, in particular, provide a rigorous justification to the accuracy of LNA models derived using the stochastic total quasi-steady state approximation (tQSSA). Since, in contrast to the stochastic tQSSA, our reduced-order model also provides approximations for the fast variable stochastic properties, we term our method the "stochastic tQSSA+". Finally, we demonstrate the application of our approach on two biochemical network motifs found in gene-regulatory and signal transduction networks.

The slow-scale linear noise approximation: an accurate, reduced stochastic description of biochemical networks under timescale separation conditions

PubMed Central

2012-01-01

Background It is well known that the deterministic dynamics of biochemical reaction networks can be more easily studied if timescale separation conditions are invoked (the quasi-steady-state assumption). In this case the deterministic dynamics of a large network of elementary reactions are well described by the dynamics of a smaller network of effective reactions. Each of the latter represents a group of elementary reactions in the large network and has associated with it an effective macroscopic rate law. A popular method to achieve model reduction in the presence of intrinsic noise consists of using the effective macroscopic rate laws to heuristically deduce effective probabilities for the effective reactions which then enables simulation via the stochastic simulation algorithm (SSA). The validity of this heuristic SSA method is a priori doubtful because the reaction probabilities for the SSA have only been rigorously derived from microscopic physics arguments for elementary reactions. Results We here obtain, by rigorous means and in closed-form, a reduced linear Langevin equation description of the stochastic dynamics of monostable biochemical networks in conditions characterized by small intrinsic noise and timescale separation. The slow-scale linear noise approximation (ssLNA), as the new method is called, is used to calculate the intrinsic noise statistics of enzyme and gene networks. The results agree very well with SSA simulations of the non-reduced network of elementary reactions. In contrast the conventional heuristic SSA is shown to overestimate the size of noise for Michaelis-Menten kinetics, considerably under-estimate the size of noise for Hill-type kinetics and in some cases even miss the prediction of noise-induced oscillations. Conclusions A new general method, the ssLNA, is derived and shown to correctly describe the statistics of intrinsic noise about the macroscopic concentrations under timescale separation conditions. The ssLNA provides a simple and accurate means of performing stochastic model reduction and hence it is expected to be of widespread utility in studying the dynamics of large noisy reaction networks, as is common in computational and systems biology. PMID:22583770

Stochastic P-bifurcation and stochastic resonance in a noisy bistable fractional-order system

NASA Astrophysics Data System (ADS)

Yang, J. H.; Sanjuán, Miguel A. F.; Liu, H. G.; Litak, G.; Li, X.

2016-12-01

We investigate the stochastic response of a noisy bistable fractional-order system when the fractional-order lies in the interval (0, 2]. We focus mainly on the stochastic P-bifurcation and the phenomenon of the stochastic resonance. We compare the generalized Euler algorithm and the predictor-corrector approach which are commonly used for numerical calculations of fractional-order nonlinear equations. Based on the predictor-corrector approach, the stochastic P-bifurcation and the stochastic resonance are investigated. Both the fractional-order value and the noise intensity can induce an stochastic P-bifurcation. The fractional-order may lead the stationary probability density function to turn from a single-peak mode to a double-peak mode. However, the noise intensity may transform the stationary probability density function from a double-peak mode to a single-peak mode. The stochastic resonance is investigated thoroughly, according to the linear and the nonlinear response theory. In the linear response theory, the optimal stochastic resonance may occur when the value of the fractional-order is larger than one. In previous works, the fractional-order is usually limited to the interval (0, 1]. Moreover, the stochastic resonance at the subharmonic frequency and the superharmonic frequency are investigated respectively, by using the nonlinear response theory. When it occurs at the subharmonic frequency, the resonance may be strong and cannot be ignored. When it occurs at the superharmonic frequency, the resonance is weak. We believe that the results in this paper might be useful for the signal processing of nonlinear systems.

Optimal entrainment of circadian clocks in the presence of noise

NASA Astrophysics Data System (ADS)

Monti, Michele; Lubensky, David K.; ten Wolde, Pieter Rein

2018-03-01

Circadian clocks are biochemical oscillators that allow organisms to estimate the time of the day. These oscillators are inherently noisy due to the discrete nature of the reactants and the stochastic character of their interactions. To keep these oscillators in sync with the daily day-night rhythm in the presence of noise, circadian clocks must be coupled to the dark-light cycle. In this paper, we study the entrainment of phase oscillators as a function of the intrinsic noise in the system. Using stochastic simulations, we compute the optimal coupling strength, intrinsic frequency, and shape of the phase-response curve, that maximize the mutual information between the phase of the clock and time. We show that the optimal coupling strength and intrinsic frequency increase with the noise, but that the shape of the phase-response curve varies nonmonotonically with the noise: in the low-noise regime, it features a dead zone that increases in width as the noise increases, while in the high-noise regime, the width decreases with the noise. These results arise from a tradeoff between maximizing stability—noise suppression—and maximizing linearity of the input-output, i.e., time-phase, relation. We also show that three analytic approximations—the linear-noise approximation, the phase-averaging method, and linear-response theory—accurately describe different regimes of the coupling strength and the noise.

Stochastic and deterministic model of microbial heat inactivation.

PubMed

Corradini, Maria G; Normand, Mark D; Peleg, Micha

2010-03-01

Microbial inactivation is described by a model based on the changing survival probabilities of individual cells or spores. It is presented in a stochastic and discrete form for small groups, and as a continuous deterministic model for larger populations. If the underlying mortality probability function remains constant throughout the treatment, the model generates first-order ("log-linear") inactivation kinetics. Otherwise, it produces survival patterns that include Weibullian ("power-law") with upward or downward concavity, tailing with a residual survival level, complete elimination, flat "shoulder" with linear or curvilinear continuation, and sigmoid curves. In both forms, the same algorithm or model equation applies to isothermal and dynamic heat treatments alike. Constructing the model does not require assuming a kinetic order or knowledge of the inactivation mechanism. The general features of its underlying mortality probability function can be deduced from the experimental survival curve's shape. Once identified, the function's coefficients, the survival parameters, can be estimated directly from the experimental survival ratios by regression. The model is testable in principle but matching the estimated mortality or inactivation probabilities with those of the actual cells or spores can be a technical challenge. The model is not intended to replace current models to calculate sterility. Its main value, apart from connecting the various inactivation patterns to underlying probabilities at the cellular level, might be in simulating the irregular survival patterns of small groups of cells and spores. In principle, it can also be used for nonthermal methods of microbial inactivation and their combination with heat.

Stochastic Multiscale Analysis and Design of Engine Disks

DTIC Science & Technology

2010-07-28

shown recently to fail when used with data-driven non-linear stochastic input models (KPCA, IsoMap, etc.). Need for scalable exascale computing algorithms Materials Process Design and Control Laboratory Cornell University

Solution of the finite Milne problem in stochastic media with RVT Technique

NASA Astrophysics Data System (ADS)

Slama, Howida; El-Bedwhey, Nabila A.; El-Depsy, Alia; Selim, Mustafa M.

2017-12-01

This paper presents the solution to the Milne problem in the steady state with isotropic scattering phase function. The properties of the medium are considered as stochastic ones with Gaussian or exponential distributions and hence the problem treated as a stochastic integro-differential equation. To get an explicit form for the radiant energy density, the linear extrapolation distance, reflectivity and transmissivity in the deterministic case the problem is solved using the Pomraning-Eddington method. The obtained solution is found to be dependent on the optical space variable and thickness of the medium which are considered as random variables. The random variable transformation (RVT) technique is used to find the first probability density function (1-PDF) of the solution process. Then the stochastic linear extrapolation distance, reflectivity and transmissivity are calculated. For illustration, numerical results with conclusions are provided.

An accurate nonlinear stochastic model for MEMS-based inertial sensor error with wavelet networks

NASA Astrophysics Data System (ADS)

El-Diasty, Mohammed; El-Rabbany, Ahmed; Pagiatakis, Spiros

2007-12-01

The integration of Global Positioning System (GPS) with Inertial Navigation System (INS) has been widely used in many applications for positioning and orientation purposes. Traditionally, random walk (RW), Gauss-Markov (GM), and autoregressive (AR) processes have been used to develop the stochastic model in classical Kalman filters. The main disadvantage of classical Kalman filter is the potentially unstable linearization of the nonlinear dynamic system. Consequently, a nonlinear stochastic model is not optimal in derivative-based filters due to the expected linearization error. With a derivativeless-based filter such as the unscented Kalman filter or the divided difference filter, the filtering process of a complicated highly nonlinear dynamic system is possible without linearization error. This paper develops a novel nonlinear stochastic model for inertial sensor error using a wavelet network (WN). A wavelet network is a highly nonlinear model, which has recently been introduced as a powerful tool for modelling and prediction. Static and kinematic data sets are collected using a MEMS-based IMU (DQI-100) to develop the stochastic model in the static mode and then implement it in the kinematic mode. The derivativeless-based filtering method using GM, AR, and the proposed WN-based processes are used to validate the new model. It is shown that the first-order WN-based nonlinear stochastic model gives superior positioning results to the first-order GM and AR models with an overall improvement of 30% when 30 and 60 seconds GPS outages are introduced.

Coronal heating by stochastic magnetic pumping

NASA Technical Reports Server (NTRS)

Sturrock, P. A.; Uchida, Y.

1980-01-01

Recent observational data cast serious doubt on the widely held view that the Sun's corona is heated by traveling waves (acoustic or magnetohydrodynamic). It is proposed that the energy responsible for heating the corona is derived from the free energy of the coronal magnetic field derived from motion of the 'feet' of magnetic field lines in the photosphere. Stochastic motion of the feet of magnetic field lines leads, on the average, to a linear increase of magnetic free energy with time. This rate of energy input is calculated for a simple model of a single thin flux tube. The model appears to agree well with observational data if the magnetic flux originates in small regions of high magnetic field strength. On combining this energy input with estimates of energy loss by radiation and of energy redistribution by thermal conduction, we obtain scaling laws for density and temperature in terms of length and coronal magnetic field strength.

Field dynamics inference via spectral density estimation

NASA Astrophysics Data System (ADS)

Frank, Philipp; Steininger, Theo; Enßlin, Torsten A.

2017-11-01

Stochastic differential equations are of utmost importance in various scientific and industrial areas. They are the natural description of dynamical processes whose precise equations of motion are either not known or too expensive to solve, e.g., when modeling Brownian motion. In some cases, the equations governing the dynamics of a physical system on macroscopic scales occur to be unknown since they typically cannot be deduced from general principles. In this work, we describe how the underlying laws of a stochastic process can be approximated by the spectral density of the corresponding process. Furthermore, we show how the density can be inferred from possibly very noisy and incomplete measurements of the dynamical field. Generally, inverse problems like these can be tackled with the help of Information Field Theory. For now, we restrict to linear and autonomous processes. To demonstrate its applicability, we employ our reconstruction algorithm on a time-series and spatiotemporal processes.

Field dynamics inference via spectral density estimation.

PubMed

Frank, Philipp; Steininger, Theo; Enßlin, Torsten A

2017-11-01

Stochastic differential equations are of utmost importance in various scientific and industrial areas. They are the natural description of dynamical processes whose precise equations of motion are either not known or too expensive to solve, e.g., when modeling Brownian motion. In some cases, the equations governing the dynamics of a physical system on macroscopic scales occur to be unknown since they typically cannot be deduced from general principles. In this work, we describe how the underlying laws of a stochastic process can be approximated by the spectral density of the corresponding process. Furthermore, we show how the density can be inferred from possibly very noisy and incomplete measurements of the dynamical field. Generally, inverse problems like these can be tackled with the help of Information Field Theory. For now, we restrict to linear and autonomous processes. To demonstrate its applicability, we employ our reconstruction algorithm on a time-series and spatiotemporal processes.

Observer-based state tracking control of uncertain stochastic systems via repetitive controller

NASA Astrophysics Data System (ADS)

Sakthivel, R.; Susana Ramya, L.; Selvaraj, P.

2017-08-01

This paper develops the repetitive control scheme for state tracking control of uncertain stochastic time-varying delay systems via equivalent-input-disturbance approach. The main purpose of this work is to design a repetitive controller to guarantee the tracking performance under the effects of unknown disturbances with bounded frequency and parameter variations. Specifically, a new set of linear matrix inequality (LMI)-based conditions is derived based on the suitable Lyapunov-Krasovskii functional theory for designing a repetitive controller which guarantees stability and desired tracking performance. More precisely, an equivalent-input-disturbance estimator is incorporated into the control design to reduce the effect of the external disturbances. Simulation results are provided to demonstrate the desired control system stability and their tracking performance. A practical stream water quality preserving system is also provided to show the effectiveness and advantage of the proposed approach.

An approach to assessing stochastic radiogenic risk in medical imaging

DOE Office of Scientific and Technical Information (OSTI.GOV)

Wolbarst, Anthony B.; Hendee, William R.; Department of Radiology, Mayo Clinic, Rochester, Minnesota 55901

2011-12-15

Purpose: This letter suggests a formalism, the medical effective dose (MED), that is suitable for assessing stochastic radiogenic risks in diagnostic medical procedures. Methods: The MED is derived from radiobiological and probabilistic first principals, including: (1) The independence of radiation-induced biological effects in neighboring voxels at low doses; (2) the linear no-threshold assumption for stochastic radiation injury (although other dose-response relationships could be incorporated, instead); (3) the best human radiation dose-response data currently available; and (4) the built-in possibility that the carcinogenic risk to an irradiated organ may depend on its volume. The MED involves a dose-risk summation over irradiatedmore » voxels at high spatial resolution; it reduces to the traditional effective dose when every organ is irradiated uniformly and when the dependence of risk on organ volumes is ignored. Standard relative-risk tissue weighting factors can be used with the MED approach until more refined data become available. Results: The MED is intended for clinical and phantom dosimetry, and it provides an estimate of overall relative radiogenic stochastic risk for any given dose distribution. A result of the MED derivation is that the stochastic risk may increase with the volume of tissue (i.e., the number of cells) irradiated, a feature that can be activated when forthcoming radiobiological research warrants it. In this regard, the MED resembles neither the standard effective dose (E) nor the CT dose index (CTDI), but it is somewhat like the CT dose-length product (DLP). Conclusions: The MED is a novel, probabilistically and biologically based means of estimating stochastic-risk-weighted doses associated with medical imaging. Built in, ab initio, is the ability to link radiogenic risk to organ volume and other clinical factors. It is straightforward to implement when medical dose distributions are available, provided that one is content, for the time being, to accept the relative tissue weighting factors published by the International Commission of Radiological Protection (ICRP). It requires no new radiobiological data and avoids major problems encountered by the E, CTDI, and CT-E formalisms. It makes possible relative inter-patient dosimetry, and also realistic intercomparisons of stochastic risks from different protocols that yield images of comparable quality.« less

The measurement of linear frequency drift in oscillators

NASA Astrophysics Data System (ADS)

Barnes, J. A.

1985-04-01

A linear drift in frequency is an important element in most stochastic models of oscillator performance. Quartz crystal oscillators often have drifts in excess of a part in ten to the tenth power per day. Even commercial cesium beam devices often show drifts of a few parts in ten to the thirteenth per year. There are many ways to estimate the drift rates from data samples (e.g., regress the phase on a quadratic; regress the frequency on a linear; compute the simple mean of the first difference of frequency; use Kalman filters with a drift term as one element in the state vector; and others). Although most of these estimators are unbiased, they vary in efficiency (i.e., confidence intervals). Further, the estimation of confidence intervals using the standard analysis of variance (typically associated with the specific estimating technique) can give amazingly optimistic results. The source of these problems is not an error in, say, the regressions techniques, but rather the problems arise from correlations within the residuals. That is, the oscillator model is often not consistent with constraints on the analysis technique or, in other words, some specific analysis techniques are often inappropriate for the task at hand. The appropriateness of a specific analysis technique is critically dependent on the oscillator model and can often be checked with a simple whiteness test on the residuals.

Reconstructing the hidden states in time course data of stochastic models.

PubMed

Zimmer, Christoph

2015-11-01

Parameter estimation is central for analyzing models in Systems Biology. The relevance of stochastic modeling in the field is increasing. Therefore, the need for tailored parameter estimation techniques is increasing as well. Challenges for parameter estimation are partial observability, measurement noise, and the computational complexity arising from the dimension of the parameter space. This article extends the multiple shooting for stochastic systems' method, developed for inference in intrinsic stochastic systems. The treatment of extrinsic noise and the estimation of the unobserved states is improved, by taking into account the correlation between unobserved and observed species. This article demonstrates the power of the method on different scenarios of a Lotka-Volterra model, including cases in which the prey population dies out or explodes, and a Calcium oscillation system. Besides showing how the new extension improves the accuracy of the parameter estimates, this article analyzes the accuracy of the state estimates. In contrast to previous approaches, the new approach is well able to estimate states and parameters for all the scenarios. As it does not need stochastic simulations, it is of the same order of speed as conventional least squares parameter estimation methods with respect to computational time. Copyright © 2015 The Authors. Published by Elsevier Inc. All rights reserved.

Stochastic Multiresonance for a Fractional Linear Oscillator with Quadratic Trichotomous Noise

NASA Astrophysics Data System (ADS)

Zhu, Jian-Qu; Jin, Wei-Dong; Zheng, Gao; Guo, Feng

2017-11-01

The stochastic multiresonance behavior for a fractional linear oscillator with random system frequency is investigated. The fluctuation of the system frequency is a quadratic trichotomous noise, the memory kernel of the fractional oscillator is modeled as a Mittag-Leffler function. Based on linear system theory, applying Laplace transform and the definition of fractional derivative, the expression of the system output amplitude (SPA) is obtained. Stochastic multiresonance phenomenon is found on the curves of SPA versus the memory time and the memory exponent of the fractional oscillator, as well as versus the trichotomous noise amplitude. The SPA depends non-monotonically on the stationary probability of the trichotomous noise, on the viscous damping coefficient and system characteristic frequency of the oscillator, as well as on the driving frequency of external force. Supported by National Natural Science Foundation of China under Grant No. 61134002

Developing stochastic model of thrust and flight dynamics for small UAVs

NASA Astrophysics Data System (ADS)

Tjhai, Chandra

This thesis presents a stochastic thrust model and aerodynamic model for small propeller driven UAVs whose power plant is a small electric motor. First a model which relates thrust generated by a small propeller driven electric motor as a function of throttle setting and commanded engine RPM is developed. A perturbation of this model is then used to relate the uncertainty in throttle and engine RPM commanded to the error in the predicted thrust. Such a stochastic model is indispensable in the design of state estimation and control systems for UAVs where the performance requirements of the systems are specied in stochastic terms. It is shown that thrust prediction models for small UAVs are not a simple, explicit functions relating throttle input and RPM command to thrust generated. Rather they are non-linear, iterative procedures which depend on a geometric description of the propeller and mathematical model of the motor. A detailed derivation of the iterative procedure is presented and the impact of errors which arise from inaccurate propeller and motor descriptions are discussed. Validation results from a series of wind tunnel tests are presented. The results show a favorable statistical agreement between the thrust uncertainty predicted by the model and the errors measured in the wind tunnel. The uncertainty model of aircraft aerodynamic coefficients developed based on wind tunnel experiment will be discussed at the end of this thesis.

Real-time forecasting of an epidemic using a discrete time stochastic model: a case study of pandemic influenza (H1N1-2009).

PubMed

Nishiura, Hiroshi

2011-02-16

Real-time forecasting of epidemics, especially those based on a likelihood-based approach, is understudied. This study aimed to develop a simple method that can be used for the real-time epidemic forecasting. A discrete time stochastic model, accounting for demographic stochasticity and conditional measurement, was developed and applied as a case study to the weekly incidence of pandemic influenza (H1N1-2009) in Japan. By imposing a branching process approximation and by assuming the linear growth of cases within each reporting interval, the epidemic curve is predicted using only two parameters. The uncertainty bounds of the forecasts are computed using chains of conditional offspring distributions. The quality of the forecasts made before the epidemic peak appears largely to depend on obtaining valid parameter estimates. The forecasts of both weekly incidence and final epidemic size greatly improved at and after the epidemic peak with all the observed data points falling within the uncertainty bounds. Real-time forecasting using the discrete time stochastic model with its simple computation of the uncertainty bounds was successful. Because of the simplistic model structure, the proposed model has the potential to additionally account for various types of heterogeneity, time-dependent transmission dynamics and epidemiological details. The impact of such complexities on forecasting should be explored when the data become available as part of the disease surveillance.

Detecting and isolating abrupt changes in linear switching systems

NASA Astrophysics Data System (ADS)

Nazari, Sohail; Zhao, Qing; Huang, Biao

2015-04-01

In this paper, a novel fault detection and isolation (FDI) method for switching linear systems is developed. All input and output signals are assumed to be corrupted with measurement noises. In the proposed method, a 'lifted' linear model named as stochastic hybrid decoupling polynomial (SHDP) is introduced. The SHDP model governs the dynamics of the switching linear system with all different modes, and is independent of the switching sequence. The error-in-variable (EIV) representation of SHDP is derived, and is used for the fault residual generation and isolation following the well-adopted local approach. The proposed FDI method can detect and isolate the fault-induced abrupt changes in switching models' parameters without estimating the switching modes. Furthermore, in this paper, the analytical expressions of the gradient vector and Hessian matrix are obtained based on the EIV SHDP formulation, so that they can be used to implement the online fault detection scheme. The performance of the proposed method is then illustrated by simulation examples.

Mixed Effects Modeling Using Stochastic Differential Equations: Illustrated by Pharmacokinetic Data of Nicotinic Acid in Obese Zucker Rats.

PubMed

Leander, Jacob; Almquist, Joachim; Ahlström, Christine; Gabrielsson, Johan; Jirstrand, Mats

2015-05-01

Inclusion of stochastic differential equations in mixed effects models provides means to quantify and distinguish three sources of variability in data. In addition to the two commonly encountered sources, measurement error and interindividual variability, we also consider uncertainty in the dynamical model itself. To this end, we extend the ordinary differential equation setting used in nonlinear mixed effects models to include stochastic differential equations. The approximate population likelihood is derived using the first-order conditional estimation with interaction method and extended Kalman filtering. To illustrate the application of the stochastic differential mixed effects model, two pharmacokinetic models are considered. First, we use a stochastic one-compartmental model with first-order input and nonlinear elimination to generate synthetic data in a simulated study. We show that by using the proposed method, the three sources of variability can be successfully separated. If the stochastic part is neglected, the parameter estimates become biased, and the measurement error variance is significantly overestimated. Second, we consider an extension to a stochastic pharmacokinetic model in a preclinical study of nicotinic acid kinetics in obese Zucker rats. The parameter estimates are compared between a deterministic and a stochastic NiAc disposition model, respectively. Discrepancies between model predictions and observations, previously described as measurement noise only, are now separated into a comparatively lower level of measurement noise and a significant uncertainty in model dynamics. These examples demonstrate that stochastic differential mixed effects models are useful tools for identifying incomplete or inaccurate model dynamics and for reducing potential bias in parameter estimates due to such model deficiencies.

Multidirectional In Vivo Characterization of Skin Using Wiener Nonlinear Stochastic System Identification Techniques.

PubMed

Parker, Matthew D; Jones, Lynette A; Hunter, Ian W; Taberner, A J; Nash, M P; Nielsen, P M F

2017-01-01

A triaxial force-sensitive microrobot was developed to dynamically perturb skin in multiple deformation modes, in vivo. Wiener static nonlinear identification was used to extract the linear dynamics and static nonlinearity of the force-displacement behavior of skin. Stochastic input forces were applied to the volar forearm and thenar eminence of the hand, producing probe tip perturbations in indentation and tangential extension. Wiener static nonlinear approaches reproduced the resulting displacements with variances accounted for (VAF) ranging 94-97%, indicating a good fit to the data. These approaches provided VAF improvements of 0.1-3.4% over linear models. Thenar eminence stiffness measures were approximately twice those measured on the forearm. Damping was shown to be significantly higher on the palm, whereas the perturbed mass typically was lower. Coefficients of variation (CVs) for nonlinear parameters were assessed within and across individuals. Individual CVs ranged from 2% to 11% for indentation and from 2% to 19% for extension. Stochastic perturbations with incrementally increasing mean amplitudes were applied to the same test areas. Differences between full-scale and incremental reduced-scale perturbations were investigated. Different incremental preloading schemes were investigated. However, no significant difference in parameters was found between different incremental preloading schemes. Incremental schemes provided depth-dependent estimates of stiffness and damping, ranging from 300 N/m and 2 Ns/m, respectively, at the surface to 5 kN/m and 50 Ns/m at greater depths. The device and techniques used in this research have potential applications in areas, such as evaluating skincare products, assessing skin hydration, or analyzing wound healing.

Generalized Polynomial Chaos Based Uncertainty Quantification for Planning MRgLITT Procedures

PubMed Central

Fahrenholtz, S.; Stafford, R. J.; Maier, F.; Hazle, J. D.; Fuentes, D.

2014-01-01

Purpose A generalized polynomial chaos (gPC) method is used to incorporate constitutive parameter uncertainties within the Pennes representation of bioheat transfer phenomena. The stochastic temperature predictions of the mathematical model are critically evaluated against MR thermometry data for planning MR-guided Laser Induced Thermal Therapies (MRgLITT). Methods Pennes bioheat transfer model coupled with a diffusion theory approximation of laser tissue interaction was implemented as the underlying deterministic kernel. A probabilistic sensitivity study was used to identify parameters that provide the most variance in temperature output. Confidence intervals of the temperature predictions are compared to MR temperature imaging (MRTI) obtained during phantom and in vivo canine (n=4) MRgLITT experiments. The gPC predictions were quantitatively compared to MRTI data using probabilistic linear and temporal profiles as well as 2-D 60 °C isotherms. Results Within the range of physically meaningful constitutive values relevant to the ablative temperature regime of MRgLITT, the sensitivity study indicated that the optical parameters, particularly the anisotropy factor, created the most variance in the stochastic model's output temperature prediction. Further, within the statistical sense considered, a nonlinear model of the temperature and damage dependent perfusion, absorption, and scattering is captured within the confidence intervals of the linear gPC method. Multivariate stochastic model predictions using parameters with the dominant sensitivities show good agreement with experimental MRTI data. Conclusions Given parameter uncertainties and mathematical modeling approximations of the Pennes bioheat model, the statistical framework demonstrates conservative estimates of the therapeutic heating and has potential for use as a computational prediction tool for thermal therapy planning. PMID:23692295

Efficient estimators for likelihood ratio sensitivity indices of complex stochastic dynamics.

PubMed

Arampatzis, Georgios; Katsoulakis, Markos A; Rey-Bellet, Luc

2016-03-14

We demonstrate that centered likelihood ratio estimators for the sensitivity indices of complex stochastic dynamics are highly efficient with low, constant in time variance and consequently they are suitable for sensitivity analysis in long-time and steady-state regimes. These estimators rely on a new covariance formulation of the likelihood ratio that includes as a submatrix a Fisher information matrix for stochastic dynamics and can also be used for fast screening of insensitive parameters and parameter combinations. The proposed methods are applicable to broad classes of stochastic dynamics such as chemical reaction networks, Langevin-type equations and stochastic models in finance, including systems with a high dimensional parameter space and/or disparate decorrelation times between different observables. Furthermore, they are simple to implement as a standard observable in any existing simulation algorithm without additional modifications.

Efficient estimators for likelihood ratio sensitivity indices of complex stochastic dynamics

NASA Astrophysics Data System (ADS)

Arampatzis, Georgios; Katsoulakis, Markos A.; Rey-Bellet, Luc

2016-03-01

We demonstrate that centered likelihood ratio estimators for the sensitivity indices of complex stochastic dynamics are highly efficient with low, constant in time variance and consequently they are suitable for sensitivity analysis in long-time and steady-state regimes. These estimators rely on a new covariance formulation of the likelihood ratio that includes as a submatrix a Fisher information matrix for stochastic dynamics and can also be used for fast screening of insensitive parameters and parameter combinations. The proposed methods are applicable to broad classes of stochastic dynamics such as chemical reaction networks, Langevin-type equations and stochastic models in finance, including systems with a high dimensional parameter space and/or disparate decorrelation times between different observables. Furthermore, they are simple to implement as a standard observable in any existing simulation algorithm without additional modifications.

Efficient estimators for likelihood ratio sensitivity indices of complex stochastic dynamics

DOE Office of Scientific and Technical Information (OSTI.GOV)

Arampatzis, Georgios; Katsoulakis, Markos A.; Rey-Bellet, Luc

2016-03-14

We demonstrate that centered likelihood ratio estimators for the sensitivity indices of complex stochastic dynamics are highly efficient with low, constant in time variance and consequently they are suitable for sensitivity analysis in long-time and steady-state regimes. These estimators rely on a new covariance formulation of the likelihood ratio that includes as a submatrix a Fisher information matrix for stochastic dynamics and can also be used for fast screening of insensitive parameters and parameter combinations. The proposed methods are applicable to broad classes of stochastic dynamics such as chemical reaction networks, Langevin-type equations and stochastic models in finance, including systemsmore » with a high dimensional parameter space and/or disparate decorrelation times between different observables. Furthermore, they are simple to implement as a standard observable in any existing simulation algorithm without additional modifications.« less

The Kolmogorov-Obukhov Statistical Theory of Turbulence

NASA Astrophysics Data System (ADS)

Birnir, Björn

2013-08-01

In 1941 Kolmogorov and Obukhov postulated the existence of a statistical theory of turbulence, which allows the computation of statistical quantities that can be simulated and measured in a turbulent system. These are quantities such as the moments, the structure functions and the probability density functions (PDFs) of the turbulent velocity field. In this paper we will outline how to construct this statistical theory from the stochastic Navier-Stokes equation. The additive noise in the stochastic Navier-Stokes equation is generic noise given by the central limit theorem and the large deviation principle. The multiplicative noise consists of jumps multiplying the velocity, modeling jumps in the velocity gradient. We first estimate the structure functions of turbulence and establish the Kolmogorov-Obukhov 1962 scaling hypothesis with the She-Leveque intermittency corrections. Then we compute the invariant measure of turbulence, writing the stochastic Navier-Stokes equation as an infinite-dimensional Ito process, and solving the linear Kolmogorov-Hopf functional differential equation for the invariant measure. Finally we project the invariant measure onto the PDF. The PDFs turn out to be the normalized inverse Gaussian (NIG) distributions of Barndorff-Nilsen, and compare well with PDFs from simulations and experiments.

Fusion of Hard and Soft Information in Nonparametric Density Estimation

DTIC Science & Technology

2015-06-10

and stochastic optimization models, in analysis of simulation output, and when instantiating probability models. We adopt a constrained maximum...particular, density estimation is needed for generation of input densities to simulation and stochastic optimization models, in analysis of simulation output...an essential step in simulation analysis and stochastic optimization is the generation of probability densities for input random variables; see for

Experimental study of stochastic noise propagation in SPECT images reconstructed using the conjugate gradient algorithm.

PubMed

Mariano-Goulart, D; Fourcade, M; Bernon, J L; Rossi, M; Zanca, M

2003-01-01

Thanks to an experimental study based on simulated and physical phantoms, the propagation of the stochastic noise in slices reconstructed using the conjugate gradient algorithm has been analysed versus iterations. After a first increase corresponding to the reconstruction of the signal, the noise stabilises before increasing linearly with iterations. The level of the plateau as well as the slope of the subsequent linear increase depends on the noise in the projection data.

Local polynomial chaos expansion for linear differential equations with high dimensional random inputs

DOE Office of Scientific and Technical Information (OSTI.GOV)

Chen, Yi; Jakeman, John; Gittelson, Claude

2015-01-08

In this paper we present a localized polynomial chaos expansion for partial differential equations (PDE) with random inputs. In particular, we focus on time independent linear stochastic problems with high dimensional random inputs, where the traditional polynomial chaos methods, and most of the existing methods, incur prohibitively high simulation cost. Furthermore, the local polynomial chaos method employs a domain decomposition technique to approximate the stochastic solution locally. In each subdomain, a subdomain problem is solved independently and, more importantly, in a much lower dimensional random space. In a postprocesing stage, accurate samples of the original stochastic problems are obtained frommore » the samples of the local solutions by enforcing the correct stochastic structure of the random inputs and the coupling conditions at the interfaces of the subdomains. Overall, the method is able to solve stochastic PDEs in very large dimensions by solving a collection of low dimensional local problems and can be highly efficient. In our paper we present the general mathematical framework of the methodology and use numerical examples to demonstrate the properties of the method.« less

Noise stochastic corrected maximum a posteriori estimator for birefringence imaging using polarization-sensitive optical coherence tomography

PubMed Central

Kasaragod, Deepa; Makita, Shuichi; Hong, Young-Joo; Yasuno, Yoshiaki

2017-01-01

This paper presents a noise-stochastic corrected maximum a posteriori estimator for birefringence imaging using Jones matrix optical coherence tomography. The estimator described in this paper is based on the relationship between probability distribution functions of the measured birefringence and the effective signal to noise ratio (ESNR) as well as the true birefringence and the true ESNR. The Monte Carlo method is used to numerically describe this relationship and adaptive 2D kernel density estimation provides the likelihood for a posteriori estimation of the true birefringence. Improved estimation is shown for the new estimator with stochastic model of ESNR in comparison to the old estimator, both based on the Jones matrix noise model. A comparison with the mean estimator is also done. Numerical simulation validates the superiority of the new estimator. The superior performance of the new estimator was also shown by in vivo measurement of optic nerve head. PMID:28270974

Modeling Of In-Vehicle Human Exposure to Ambient Fine Particulate Matter

PubMed Central

Liu, Xiaozhen; Frey, H. Christopher

2012-01-01

A method for estimating in-vehicle PM2.5 exposure as part of a scenario-based population simulation model is developed and assessed. In existing models, such as the Stochastic Exposure and Dose Simulation model for Particulate Matter (SHEDS-PM), in-vehicle exposure is estimated using linear regression based on area-wide ambient PM2.5 concentration. An alternative modeling approach is explored based on estimation of near-road PM2.5 concentration and an in-vehicle mass balance. Near-road PM2.5 concentration is estimated using a dispersion model and fixed site monitor (FSM) data. In-vehicle concentration is estimated based on air exchange rate and filter efficiency. In-vehicle concentration varies with road type, traffic flow, windspeed, stability class, and ventilation. Average in-vehicle exposure is estimated to contribute 10 to 20 percent of average daily exposure. The contribution of in-vehicle exposure to total daily exposure can be higher for some individuals. Recommendations are made for updating exposure models and implementation of the alternative approach. PMID:23101000

Global exponential stability of neutral high-order stochastic Hopfield neural networks with Markovian jump parameters and mixed time delays.

PubMed

Huang, Haiying; Du, Qiaosheng; Kang, Xibing

2013-11-01

In this paper, a class of neutral high-order stochastic Hopfield neural networks with Markovian jump parameters and mixed time delays is investigated. The jumping parameters are modeled as a continuous-time finite-state Markov chain. At first, the existence of equilibrium point for the addressed neural networks is studied. By utilizing the Lyapunov stability theory, stochastic analysis theory and linear matrix inequality (LMI) technique, new delay-dependent stability criteria are presented in terms of linear matrix inequalities to guarantee the neural networks to be globally exponentially stable in the mean square. Numerical simulations are carried out to illustrate the main results. © 2013 ISA. Published by ISA. All rights reserved.

Stochastic spectral projection of electrochemical thermal model for lithium-ion cell state estimation

NASA Astrophysics Data System (ADS)

Tagade, Piyush; Hariharan, Krishnan S.; Kolake, Subramanya Mayya; Song, Taewon; Oh, Dukjin

2017-03-01

A novel approach for integrating a pseudo-two dimensional electrochemical thermal (P2D-ECT) model and data assimilation algorithm is presented for lithium-ion cell state estimation. This approach refrains from making any simplifications in the P2D-ECT model while making it amenable for online state estimation. Though deterministic, uncertainty in the initial states induces stochasticity in the P2D-ECT model. This stochasticity is resolved by spectrally projecting the stochastic P2D-ECT model on a set of orthogonal multivariate Hermite polynomials. Volume averaging in the stochastic dimensions is proposed for efficient numerical solution of the resultant model. A state estimation framework is developed using a transformation of the orthogonal basis to assimilate the measurables with this system of equations. Effectiveness of the proposed method is first demonstrated by assimilating the cell voltage and temperature data generated using a synthetic test bed. This validated method is used with the experimentally observed cell voltage and temperature data for state estimation at different operating conditions and drive cycle protocols. The results show increased prediction accuracy when the data is assimilated every 30s. High accuracy of the estimated states is exploited to infer temperature dependent behavior of the lithium-ion cell.

Solution Methods for Stochastic Dynamic Linear Programs.

DTIC Science & Technology

1980-12-01

16, No. 11, pp. 652-675, July 1970. [28] Glassey, C.R., "Dynamic linear programs for production scheduling", OR 19, pp. 45-56. 1971 . 129 Glassey, C.R...Huang, C.C., I. Vertinsky, W.T. Ziemba, ’Sharp bounds on the value of perfect information", OR 25, pp. 128-139, 1977. [37 Kall , P., ’Computational... 1971 . [701 Ziemba, W.T., *Computational algorithms for convex stochastic programs with simple recourse", OR 8, pp. 414-431, 1970. 131 UNCLASSI FIED

Controllability of fractional higher order stochastic integrodifferential systems with fractional Brownian motion.

PubMed

Sathiyaraj, T; Balasubramaniam, P

2017-11-30

This paper presents a new set of sufficient conditions for controllability of fractional higher order stochastic integrodifferential systems with fractional Brownian motion (fBm) in finite dimensional space using fractional calculus, fixed point technique and stochastic analysis approach. In particular, we discuss the complete controllability for nonlinear fractional stochastic integrodifferential systems under the proved result of the corresponding linear fractional system is controllable. Finally, an example is presented to illustrate the efficiency of the obtained theoretical results. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.

Analysis of stability for stochastic delay integro-differential equations.

PubMed

Zhang, Yu; Li, Longsuo

2018-01-01

In this paper, we concern stability of numerical methods applied to stochastic delay integro-differential equations. For linear stochastic delay integro-differential equations, it is shown that the mean-square stability is derived by the split-step backward Euler method without any restriction on step-size, while the Euler-Maruyama method could reproduce the mean-square stability under a step-size constraint. We also confirm the mean-square stability of the split-step backward Euler method for nonlinear stochastic delay integro-differential equations. The numerical experiments further verify the theoretical results.

General Results in Optimal Control of Discrete-Time Nonlinear Stochastic Systems

DTIC Science & Technology

1988-01-01

P. J. McLane, "Optimal Stochastic Control of Linear System. with State- and Control-Dependent Distur- bances," ZEEE Trans. 4uto. Contr., Vol. 16, No...Vol. 45, No. 1, pp. 359-362, 1987 (9] R. R. Mohler and W. J. Kolodziej, "An Overview of Stochastic Bilinear Control Processes," ZEEE Trans. Syst...34 J. of Math. anal. App.:, Vol. 47, pp. 156-161, 1974 [14) E. Yaz, "A Control Scheme for a Class of Discrete Nonlinear Stochastic Systems," ZEEE Trans

Diffusive motion with nonlinear friction: apparently Brownian.

PubMed

Goohpattader, Partho S; Chaudhury, Manoj K

2010-07-14

We study the diffusive motion of a small object placed on a solid support using an inertial tribometer. With an external bias and a Gaussian noise, the object slides accompanied with a fluctuation of displacement that exhibits unique characteristics at different powers of the noise. While it exhibits a fluidlike motion at high powers, a stick-slip motion occurs at a low power. Below a critical power, no motion is observed. The signature of a nonlinear friction is evident in this type of stochastic motion both in the reduced mobility in comparison to that governed by a linear kinematic (Stokes-Einstein-like) friction and in the non-Gaussian probability distribution of the displacement fluctuation. As the power of the noise increases, the effect of the nonlinearity appears to play a lesser role, so that the displacement fluctuation becomes more Gaussian. When the distribution is exponential, it also exhibits an asymmetry with its skewness increasing with the applied bias. A new finding of this study is that the stochastic velocities of the object are so poorly correlated that its diffusivity is much lower than either the linear or the nonlinear friction cases studied by de Gennes [J. Stat. Phys. 119, 953 (2005)]. The mobilities at different powers of the noise together with the estimated variances of velocity fluctuations follow an Einstein-like relation.

Evaluating the statistical performance of less applied algorithms in classification of worldview-3 imagery data in an urbanized landscape

NASA Astrophysics Data System (ADS)

Ranaie, Mehrdad; Soffianian, Alireza; Pourmanafi, Saeid; Mirghaffari, Noorollah; Tarkesh, Mostafa

2018-03-01

In recent decade, analyzing the remotely sensed imagery is considered as one of the most common and widely used procedures in the environmental studies. In this case, supervised image classification techniques play a central role. Hence, taking a high resolution Worldview-3 over a mixed urbanized landscape in Iran, three less applied image classification methods including Bagged CART, Stochastic gradient boosting model and Neural network with feature extraction were tested and compared with two prevalent methods: random forest and support vector machine with linear kernel. To do so, each method was run ten time and three validation techniques was used to estimate the accuracy statistics consist of cross validation, independent validation and validation with total of train data. Moreover, using ANOVA and Tukey test, statistical difference significance between the classification methods was significantly surveyed. In general, the results showed that random forest with marginal difference compared to Bagged CART and stochastic gradient boosting model is the best performing method whilst based on independent validation there was no significant difference between the performances of classification methods. It should be finally noted that neural network with feature extraction and linear support vector machine had better processing speed than other.

An empirical analysis of the distribution of overshoots in a stationary Gaussian stochastic process

NASA Technical Reports Server (NTRS)

Carter, M. C.; Madison, M. W.

1973-01-01

The frequency distribution of overshoots in a stationary Gaussian stochastic process is analyzed. The primary processes involved in this analysis are computer simulation and statistical estimation. Computer simulation is used to simulate stationary Gaussian stochastic processes that have selected autocorrelation functions. An analysis of the simulation results reveals a frequency distribution for overshoots with a functional dependence on the mean and variance of the process. Statistical estimation is then used to estimate the mean and variance of a process. It is shown that for an autocorrelation function, the mean and the variance for the number of overshoots, a frequency distribution for overshoots can be estimated.

Optimal clinical trial design based on a dichotomous Markov-chain mixed-effect sleep model.

PubMed

Steven Ernest, C; Nyberg, Joakim; Karlsson, Mats O; Hooker, Andrew C

2014-12-01

D-optimal designs for discrete-type responses have been derived using generalized linear mixed models, simulation based methods and analytical approximations for computing the fisher information matrix (FIM) of non-linear mixed effect models with homogeneous probabilities over time. In this work, D-optimal designs using an analytical approximation of the FIM for a dichotomous, non-homogeneous, Markov-chain phase advanced sleep non-linear mixed effect model was investigated. The non-linear mixed effect model consisted of transition probabilities of dichotomous sleep data estimated as logistic functions using piecewise linear functions. Theoretical linear and nonlinear dose effects were added to the transition probabilities to modify the probability of being in either sleep stage. D-optimal designs were computed by determining an analytical approximation the FIM for each Markov component (one where the previous state was awake and another where the previous state was asleep). Each Markov component FIM was weighted either equally or by the average probability of response being awake or asleep over the night and summed to derive the total FIM (FIM(total)). The reference designs were placebo, 0.1, 1-, 6-, 10- and 20-mg dosing for a 2- to 6-way crossover study in six dosing groups. Optimized design variables were dose and number of subjects in each dose group. The designs were validated using stochastic simulation/re-estimation (SSE). Contrary to expectations, the predicted parameter uncertainty obtained via FIM(total) was larger than the uncertainty in parameter estimates computed by SSE. Nevertheless, the D-optimal designs decreased the uncertainty of parameter estimates relative to the reference designs. Additionally, the improvement for the D-optimal designs were more pronounced using SSE than predicted via FIM(total). Through the use of an approximate analytic solution and weighting schemes, the FIM(total) for a non-homogeneous, dichotomous Markov-chain phase advanced sleep model was computed and provided more efficient trial designs and increased nonlinear mixed-effects modeling parameter precision.

Improving satellite-based PM2.5 estimates in China using Gaussian processes modeling in a Bayesian hierarchical setting.

PubMed

Yu, Wenxi; Liu, Yang; Ma, Zongwei; Bi, Jun

2017-08-01

Using satellite-based aerosol optical depth (AOD) measurements and statistical models to estimate ground-level PM 2.5 is a promising way to fill the areas that are not covered by ground PM 2.5 monitors. The statistical models used in previous studies are primarily Linear Mixed Effects (LME) and Geographically Weighted Regression (GWR) models. In this study, we developed a new regression model between PM 2.5 and AOD using Gaussian processes in a Bayesian hierarchical setting. Gaussian processes model the stochastic nature of the spatial random effects, where the mean surface and the covariance function is specified. The spatial stochastic process is incorporated under the Bayesian hierarchical framework to explain the variation of PM 2.5 concentrations together with other factors, such as AOD, spatial and non-spatial random effects. We evaluate the results of our model and compare them with those of other, conventional statistical models (GWR and LME) by within-sample model fitting and out-of-sample validation (cross validation, CV). The results show that our model possesses a CV result (R 2  = 0.81) that reflects higher accuracy than that of GWR and LME (0.74 and 0.48, respectively). Our results indicate that Gaussian process models have the potential to improve the accuracy of satellite-based PM 2.5 estimates.

A stochastic estimate of ground motion at Oceano, California, for the M 6.5 22 December 2003 San Simeon earthquake, derived from aftershock recordings

USGS Publications Warehouse

Di, Alessandro C.; Boatwright, J.

2006-01-01

The U.S. Geological Survey deployed a digital seismic station in Oceano, California, in February 2004, to investigate the cause of damage and liquefaction from the 22 December 2003 M 6.5 San Simeon earthquake. This station recorded 11 M > 2.8 aftershocks in almost 8 weeks. We analyze these recordings, together with recordings of the mainshock and the same aftershocks obtained from nearby stations in Park Hill and San Luis Obispo, to estimate the mainshock ground motion in Oceano. We estimate the Fourier amplitude spectrum using generalized spectral ratio analysis. We test a set of aftershocks as Green's functions by comparing simulated and recorded acceleration amplitude spectra for the mainshock at San Luis Obispo and Park Hill. We convolve the aftershock accelerograms with a stochastic operator to simulate the duration and phase of the mainshock accelerograms. This approximation allows us to extend the range of aftershocks that can be used as Green's functions to events nearly three magnitude units smaller than the mainshock. Our realizations for the mainshock accelerogram at Oceano yield peak ground accelerations distributed as 28% ?? 4%g. We interpret these realizations as upper bounds for the actual ground motion, because our analysis assumes a linear response, whereas the presence of liquefaction indicates that the ground behaved nonlinearly in Oceano.

Nonclassical point of view of the Brownian motion generation via fractional deterministic model

NASA Astrophysics Data System (ADS)

Gilardi-Velázquez, H. E.; Campos-Cantón, E.

In this paper, we present a dynamical system based on the Langevin equation without stochastic term and using fractional derivatives that exhibit properties of Brownian motion, i.e. a deterministic model to generate Brownian motion is proposed. The stochastic process is replaced by considering an additional degree of freedom in the second-order Langevin equation. Thus, it is transformed into a system of three first-order linear differential equations, additionally α-fractional derivative are considered which allow us to obtain better statistical properties. Switching surfaces are established as a part of fluctuating acceleration. The final system of three α-order linear differential equations does not contain a stochastic term, so the system generates motion in a deterministic way. Nevertheless, from the time series analysis, we found that the behavior of the system exhibits statistics properties of Brownian motion, such as, a linear growth in time of mean square displacement, a Gaussian distribution. Furthermore, we use the detrended fluctuation analysis to prove the Brownian character of this motion.

Unveiling Galaxy Bias via the Halo Model, KiDS and GAMA

NASA Astrophysics Data System (ADS)

Dvornik, Andrej; Hoekstra, Henk; Kuijken, Konrad; Schneider, Peter; Amon, Alexandra; Nakajima, Reiko; Viola, Massimo; Choi, Ami; Erben, Thomas; Farrow, Daniel J.; Heymans, Catherine; Hildebrandt, Hendrik; Sifón, Cristóbal; Wang, Lingyu

2018-06-01

We measure the projected galaxy clustering and galaxy-galaxy lensing signals using the Galaxy And Mass Assembly (GAMA) survey and Kilo-Degree Survey (KiDS) to study galaxy bias. We use the concept of non-linear and stochastic galaxy biasing in the framework of halo occupation statistics to constrain the parameters of the halo occupation statistics and to unveil the origin of galaxy biasing. The bias function Γgm(rp), where rp is the projected comoving separation, is evaluated using the analytical halo model from which the scale dependence of Γgm(rp), and the origin of the non-linearity and stochasticity in halo occupation models can be inferred. Our observations unveil the physical reason for the non-linearity and stochasticity, further explored using hydrodynamical simulations, with the stochasticity mostly originating from the non-Poissonian behaviour of satellite galaxies in the dark matter haloes and their spatial distribution, which does not follow the spatial distribution of dark matter in the halo. The observed non-linearity is mostly due to the presence of the central galaxies, as was noted from previous theoretical work on the same topic. We also see that overall, more massive galaxies reveal a stronger scale dependence, and out to a larger radius. Our results show that a wealth of information about galaxy bias is hidden in halo occupation models. These models should therefore be used to determine the influence of galaxy bias in cosmological studies.

Analytical flow duration curves for summer streamflow in Switzerland

NASA Astrophysics Data System (ADS)

Santos, Ana Clara; Portela, Maria Manuela; Rinaldo, Andrea; Schaefli, Bettina

2018-04-01

This paper proposes a systematic assessment of the performance of an analytical modeling framework for streamflow probability distributions for a set of 25 Swiss catchments. These catchments show a wide range of hydroclimatic regimes, including namely snow-influenced streamflows. The model parameters are calculated from a spatially averaged gridded daily precipitation data set and from observed daily discharge time series, both in a forward estimation mode (direct parameter calculation from observed data) and in an inverse estimation mode (maximum likelihood estimation). The performance of the linear and the nonlinear model versions is assessed in terms of reproducing observed flow duration curves and their natural variability. Overall, the nonlinear model version outperforms the linear model for all regimes, but the linear model shows a notable performance increase with catchment elevation. More importantly, the obtained results demonstrate that the analytical model performs well for summer discharge for all analyzed streamflow regimes, ranging from rainfall-driven regimes with summer low flow to snow and glacier regimes with summer high flow. These results suggest that the model's encoding of discharge-generating events based on stochastic soil moisture dynamics is more flexible than previously thought. As shown in this paper, the presence of snowmelt or ice melt is accommodated by a relative increase in the discharge-generating frequency, a key parameter of the model. Explicit quantification of this frequency increase as a function of mean catchment meteorological conditions is left for future research.

Conditioning of Model Identification Task in Immune Inspired Optimizer SILO

NASA Astrophysics Data System (ADS)

Wojdan, K.; Swirski, K.; Warchol, M.; Maciorowski, M.

2009-10-01

Methods which provide good conditioning of model identification task in immune inspired, steady-state controller SILO (Stochastic Immune Layer Optimizer) are presented in this paper. These methods are implemented in a model based optimization algorithm. The first method uses a safe model to assure that gains of the process's model can be estimated. The second method is responsible for elimination of potential linear dependences between columns of observation matrix. Moreover new results from one of SILO implementation in polish power plant are presented. They confirm high efficiency of the presented solution in solving technical problems.

The underdamped Brownian duet and stochastic linear irreversible thermodynamics

NASA Astrophysics Data System (ADS)

Proesmans, Karel; Van den Broeck, Christian

2017-10-01

Building on our earlier work [Proesmans et al., Phys. Rev. X 6, 041010 (2016)], we introduce the underdamped Brownian duet as a prototype model of a dissipative system or of a work-to-work engine. Several recent advances from the theory of stochastic thermodynamics are illustrated with explicit analytic calculations and corresponding Langevin simulations. In particular, we discuss the Onsager-Casimir symmetry, the trade-off relations between power, efficiency and dissipation, and stochastic efficiency.

A two-stage adaptive stochastic collocation method on nested sparse grids for multiphase flow in randomly heterogeneous porous media

NASA Astrophysics Data System (ADS)

Liao, Qinzhuo; Zhang, Dongxiao; Tchelepi, Hamdi

2017-02-01

A new computational method is proposed for efficient uncertainty quantification of multiphase flow in porous media with stochastic permeability. For pressure estimation, it combines the dimension-adaptive stochastic collocation method on Smolyak sparse grids and the Kronrod-Patterson-Hermite nested quadrature formulas. For saturation estimation, an additional stage is developed, in which the pressure and velocity samples are first generated by the sparse grid interpolation and then substituted into the transport equation to solve for the saturation samples, to address the low regularity problem of the saturation. Numerical examples are presented for multiphase flow with stochastic permeability fields to demonstrate accuracy and efficiency of the proposed two-stage adaptive stochastic collocation method on nested sparse grids.

Robust synthetic biology design: stochastic game theory approach.

PubMed

Chen, Bor-Sen; Chang, Chia-Hung; Lee, Hsiao-Ching

2009-07-15

Synthetic biology is to engineer artificial biological systems to investigate natural biological phenomena and for a variety of applications. However, the development of synthetic gene networks is still difficult and most newly created gene networks are non-functioning due to uncertain initial conditions and disturbances of extra-cellular environments on the host cell. At present, how to design a robust synthetic gene network to work properly under these uncertain factors is the most important topic of synthetic biology. A robust regulation design is proposed for a stochastic synthetic gene network to achieve the prescribed steady states under these uncertain factors from the minimax regulation perspective. This minimax regulation design problem can be transformed to an equivalent stochastic game problem. Since it is not easy to solve the robust regulation design problem of synthetic gene networks by non-linear stochastic game method directly, the Takagi-Sugeno (T-S) fuzzy model is proposed to approximate the non-linear synthetic gene network via the linear matrix inequality (LMI) technique through the Robust Control Toolbox in Matlab. Finally, an in silico example is given to illustrate the design procedure and to confirm the efficiency and efficacy of the proposed robust gene design method. http://www.ee.nthu.edu.tw/bschen/SyntheticBioDesign_supplement.pdf.

Real-time forecasting of an epidemic using a discrete time stochastic model: a case study of pandemic influenza (H1N1-2009)

PubMed Central

2011-01-01

Background Real-time forecasting of epidemics, especially those based on a likelihood-based approach, is understudied. This study aimed to develop a simple method that can be used for the real-time epidemic forecasting. Methods A discrete time stochastic model, accounting for demographic stochasticity and conditional measurement, was developed and applied as a case study to the weekly incidence of pandemic influenza (H1N1-2009) in Japan. By imposing a branching process approximation and by assuming the linear growth of cases within each reporting interval, the epidemic curve is predicted using only two parameters. The uncertainty bounds of the forecasts are computed using chains of conditional offspring distributions. Results The quality of the forecasts made before the epidemic peak appears largely to depend on obtaining valid parameter estimates. The forecasts of both weekly incidence and final epidemic size greatly improved at and after the epidemic peak with all the observed data points falling within the uncertainty bounds. Conclusions Real-time forecasting using the discrete time stochastic model with its simple computation of the uncertainty bounds was successful. Because of the simplistic model structure, the proposed model has the potential to additionally account for various types of heterogeneity, time-dependent transmission dynamics and epidemiological details. The impact of such complexities on forecasting should be explored when the data become available as part of the disease surveillance. PMID:21324153

Stability analysis for stochastic BAM nonlinear neural network with delays

NASA Astrophysics Data System (ADS)

Lv, Z. W.; Shu, H. S.; Wei, G. L.

2008-02-01

In this paper, stochastic bidirectional associative memory neural networks with constant or time-varying delays is considered. Based on a Lyapunov-Krasovskii functional and the stochastic stability analysis theory, we derive several sufficient conditions in order to guarantee the global asymptotically stable in the mean square. Our investigation shows that the stochastic bidirectional associative memory neural networks are globally asymptotically stable in the mean square if there are solutions to some linear matrix inequalities(LMIs). Hence, the global asymptotic stability of the stochastic bidirectional associative memory neural networks can be easily checked by the Matlab LMI toolbox. A numerical example is given to demonstrate the usefulness of the proposed global asymptotic stability criteria.

Breaking the theoretical scaling limit for predicting quasiparticle energies: the stochastic GW approach.

PubMed

Neuhauser, Daniel; Gao, Yi; Arntsen, Christopher; Karshenas, Cyrus; Rabani, Eran; Baer, Roi

2014-08-15

We develop a formalism to calculate the quasiparticle energy within the GW many-body perturbation correction to the density functional theory. The occupied and virtual orbitals of the Kohn-Sham Hamiltonian are replaced by stochastic orbitals used to evaluate the Green function G, the polarization potential W, and, thereby, the GW self-energy. The stochastic GW (sGW) formalism relies on novel theoretical concepts such as stochastic time-dependent Hartree propagation, stochastic matrix compression, and spatial or temporal stochastic decoupling techniques. Beyond the theoretical interest, the formalism enables linear scaling GW calculations breaking the theoretical scaling limit for GW as well as circumventing the need for energy cutoff approximations. We illustrate the method for silicon nanocrystals of varying sizes with N_{e}>3000 electrons.

Stochastic dynamics and the predictability of big hits in online videos.

PubMed

Miotto, José M; Kantz, Holger; Altmann, Eduardo G

2017-03-01

The competition for the attention of users is a central element of the Internet. Crucial issues are the origin and predictability of big hits, the few items that capture a big portion of the total attention. We address these issues analyzing 10^{6} time series of videos' views from YouTube. We find that the average gain of views is linearly proportional to the number of views a video already has, in agreement with usual rich-get-richer mechanisms and Gibrat's law, but this fails to explain the prevalence of big hits. The reason is that the fluctuations around the average views are themselves heavy tailed. Based on these empirical observations, we propose a stochastic differential equation with Lévy noise as a model of the dynamics of videos. We show how this model is substantially better in estimating the probability of an ordinary item becoming a big hit, which is considerably underestimated in the traditional proportional-growth models.

Delay compensation in integrated communication and control systems. I - Conceptual development and analysis

NASA Technical Reports Server (NTRS)

Luck, Rogelio; Ray, Asok

1990-01-01

A procedure for compensating for the effects of distributed network-induced delays in integrated communication and control systems (ICCS) is proposed. The problem of analyzing systems with time-varying and possibly stochastic delays could be circumvented by use of a deterministic observer which is designed to perform under certain restrictive but realistic assumptions. The proposed delay-compensation algorithm is based on a deterministic state estimator and a linear state-variable-feedback control law. The deterministic observer can be replaced by a stochastic observer without any structural modifications of the delay compensation algorithm. However, if a feedforward-feedback control law is chosen instead of the state-variable feedback control law, the observer must be modified as a conventional nondelayed system would be. Under these circumstances, the delay compensation algorithm would be accordingly changed. The separation principle of the classical Luenberger observer holds true for the proposed delay compensator. The algorithm is suitable for ICCS in advanced aircraft, spacecraft, manufacturing automation, and chemical process applications.

Stochastic dynamics and the predictability of big hits in online videos

NASA Astrophysics Data System (ADS)

Miotto, José M.; Kantz, Holger; Altmann, Eduardo G.

2017-03-01

The competition for the attention of users is a central element of the Internet. Crucial issues are the origin and predictability of big hits, the few items that capture a big portion of the total attention. We address these issues analyzing 106 time series of videos' views from YouTube. We find that the average gain of views is linearly proportional to the number of views a video already has, in agreement with usual rich-get-richer mechanisms and Gibrat's law, but this fails to explain the prevalence of big hits. The reason is that the fluctuations around the average views are themselves heavy tailed. Based on these empirical observations, we propose a stochastic differential equation with Lévy noise as a model of the dynamics of videos. We show how this model is substantially better in estimating the probability of an ordinary item becoming a big hit, which is considerably underestimated in the traditional proportional-growth models.

Ensemble Grouping Strategies for Embedded Stochastic Collocation Methods Applied to Anisotropic Diffusion Problems

DOE Office of Scientific and Technical Information (OSTI.GOV)

D'Elia, M.; Edwards, H. C.; Hu, J.

Previous work has demonstrated that propagating groups of samples, called ensembles, together through forward simulations can dramatically reduce the aggregate cost of sampling-based uncertainty propagation methods [E. Phipps, M. D'Elia, H. C. Edwards, M. Hoemmen, J. Hu, and S. Rajamanickam, SIAM J. Sci. Comput., 39 (2017), pp. C162--C193]. However, critical to the success of this approach when applied to challenging problems of scientific interest is the grouping of samples into ensembles to minimize the total computational work. For example, the total number of linear solver iterations for ensemble systems may be strongly influenced by which samples form the ensemble whenmore » applying iterative linear solvers to parameterized and stochastic linear systems. In this paper we explore sample grouping strategies for local adaptive stochastic collocation methods applied to PDEs with uncertain input data, in particular canonical anisotropic diffusion problems where the diffusion coefficient is modeled by truncated Karhunen--Loève expansions. Finally, we demonstrate that a measure of the total anisotropy of the diffusion coefficient is a good surrogate for the number of linear solver iterations for each sample and therefore provides a simple and effective metric for grouping samples.« less

Ensemble Grouping Strategies for Embedded Stochastic Collocation Methods Applied to Anisotropic Diffusion Problems

DOE PAGES

D'Elia, M.; Edwards, H. C.; Hu, J.; ...

2018-01-18

Previous work has demonstrated that propagating groups of samples, called ensembles, together through forward simulations can dramatically reduce the aggregate cost of sampling-based uncertainty propagation methods [E. Phipps, M. D'Elia, H. C. Edwards, M. Hoemmen, J. Hu, and S. Rajamanickam, SIAM J. Sci. Comput., 39 (2017), pp. C162--C193]. However, critical to the success of this approach when applied to challenging problems of scientific interest is the grouping of samples into ensembles to minimize the total computational work. For example, the total number of linear solver iterations for ensemble systems may be strongly influenced by which samples form the ensemble whenmore » applying iterative linear solvers to parameterized and stochastic linear systems. In this paper we explore sample grouping strategies for local adaptive stochastic collocation methods applied to PDEs with uncertain input data, in particular canonical anisotropic diffusion problems where the diffusion coefficient is modeled by truncated Karhunen--Loève expansions. Finally, we demonstrate that a measure of the total anisotropy of the diffusion coefficient is a good surrogate for the number of linear solver iterations for each sample and therefore provides a simple and effective metric for grouping samples.« less

Stochastic volatility of the futures prices of emission allowances: A Bayesian approach

NASA Astrophysics Data System (ADS)

Kim, Jungmu; Park, Yuen Jung; Ryu, Doojin

2017-01-01

Understanding the stochastic nature of the spot volatility of emission allowances is crucial for risk management in emissions markets. In this study, by adopting a stochastic volatility model with or without jumps to represent the dynamics of European Union Allowances (EUA) futures prices, we estimate the daily volatilities and model parameters by using the Markov Chain Monte Carlo method for stochastic volatility (SV), stochastic volatility with return jumps (SVJ) and stochastic volatility with correlated jumps (SVCJ) models. Our empirical results reveal three important features of emissions markets. First, the data presented herein suggest that EUA futures prices exhibit significant stochastic volatility. Second, the leverage effect is noticeable regardless of whether or not jumps are included. Third, the inclusion of jumps has a significant impact on the estimation of the volatility dynamics. Finally, the market becomes very volatile and large jumps occur at the beginning of a new phase. These findings are important for policy makers and regulators.

Stochastic inversion of time-lapse geophysical data to characterize the vadose zone at the Arrenaes field site (Denmark)

NASA Astrophysics Data System (ADS)

Marie, S.; Irving, J. D.; Looms, M. C.; Nielsen, L.; Holliger, K.

2011-12-01

Geophysical methods such as ground-penetrating radar (GPR) can provide valuable information on the hydrological properties of the vadose zone. In particular, there is evidence to suggest that the stochastic inversion of such data may allow for significant reductions in uncertainty regarding subsurface van-Genuchten-Mualem (VGM) parameters, which characterize unsaturated hydrodynamic behaviour as defined by the combination of the water retention and hydraulic conductivity functions. A significant challenge associated with the use of geophysical methods in a hydrological context is that they generally exhibit an indirect and/or weak sensitivity to the hydraulic parameters of interest. A novel and increasingly popular means of addressing this issue involves the acquisition of geophysical data in a time-lapse fashion while changes occur in the hydrological condition of the probed subsurface region. Another significant challenge when attempting to use geophysical data for the estimation of subsurface hydrological properties is the inherent non-linearity and non-uniqueness of the corresponding inverse problems. Stochastic inversion approaches have the advantage of providing a comprehensive exploration of the model space, which makes them ideally suited for addressing such issues. In this work, we present the stochastic inversion of time-lapse zero-offset-profile (ZOP) crosshole GPR traveltime data, collected during a forced infiltration experiment at the Arreneas field site in Denmark, in order to estimate subsurface VGM parameters and their corresponding uncertainties. We do this using a Bayesian Markov-chain-Monte-Carlo (MCMC) inversion approach. We find that the Bayesian-MCMC methodology indeed allows for a substantial refinement in the inferred posterior parameter distributions of the VGM parameters as compared to the corresponding priors. To further understand the potential impact on capturing the underlying hydrological behaviour, we also explore how the posterior VGM parameter distributions affect the hydrodynamic characteristics. In doing so, we find clear evidence that the approach pursued in this study allows for effective characterization of the hydrological behaviour of the probed subsurface region.

On the Impact of a Quadratic Acceleration Term in the Analysis of Position Time Series

NASA Astrophysics Data System (ADS)

Bogusz, Janusz; Klos, Anna; Bos, Machiel Simon; Hunegnaw, Addisu; Teferle, Felix Norman

2016-04-01

The analysis of Global Navigation Satellite System (GNSS) position time series generally assumes that each of the coordinate component series is described by the sum of a linear rate (velocity) and various periodic terms. The residuals, the deviations between the fitted model and the observations, are then a measure of the epoch-to-epoch scatter and have been used for the analysis of the stochastic character (noise) of the time series. Often the parameters of interest in GNSS position time series are the velocities and their associated uncertainties, which have to be determined with the highest reliability. It is clear that not all GNSS position time series follow this simple linear behaviour. Therefore, we have added an acceleration term in the form of a quadratic polynomial function to the model in order to better describe the non-linear motion in the position time series. This non-linear motion could be a response to purely geophysical processes, for example, elastic rebound of the Earth's crust due to ice mass loss in Greenland, artefacts due to deficiencies in bias mitigation models, for example, of the GNSS satellite and receiver antenna phase centres, or any combination thereof. In this study we have simulated 20 time series with different stochastic characteristics such as white, flicker or random walk noise of length of 23 years. The noise amplitude was assumed at 1 mm/y-/4. Then, we added the deterministic part consisting of a linear trend of 20 mm/y (that represents the averaged horizontal velocity) and accelerations ranging from minus 0.6 to plus 0.6 mm/y2. For all these data we estimated the noise parameters with Maximum Likelihood Estimation (MLE) using the Hector software package without taken into account the non-linear term. In this way we set the benchmark to then investigate how the noise properties and velocity uncertainty may be affected by any un-modelled, non-linear term. The velocities and their uncertainties versus the accelerations for different types of noise are determined. Furthermore, we have selected 40 globally distributed stations that have a clear non-linear behaviour from two different International GNSS Service (IGS) analysis centers: JPL (Jet Propulsion Laboratory) and BLT (British Isles continuous GNSS Facility and University of Luxembourg Tide Gauge Benchmark Monitoring (TIGA) Analysis Center). We obtained maximum accelerations of -1.8±1.2 mm2/y and -4.5±3.3 mm2/y for the horizontal and vertical components, respectively. The noise analysis tests have shown that the addition of the non-linear term has significantly whitened the power spectra of the position time series, i.e. shifted the spectral index from flicker towards white noise.

Exponential stability of impulsive stochastic genetic regulatory networks with time-varying delays and reaction-diffusion

DOE PAGES

Cao, Boqiang; Zhang, Qimin; Ye, Ming

2016-11-29

We present a mean-square exponential stability analysis for impulsive stochastic genetic regulatory networks (GRNs) with time-varying delays and reaction-diffusion driven by fractional Brownian motion (fBm). By constructing a Lyapunov functional and using linear matrix inequality for stochastic analysis we derive sufficient conditions to guarantee the exponential stability of the stochastic model of impulsive GRNs in the mean-square sense. Meanwhile, the corresponding results are obtained for the GRNs with constant time delays and standard Brownian motion. Finally, an example is presented to illustrate our results of the mean-square exponential stability analysis.

Control system estimation and design for aerospace vehicles with time delay

NASA Technical Reports Server (NTRS)

Allgaier, G. R.; Williams, T. L.

1972-01-01

The problems of estimation and control of discrete, linear, time-varying systems are considered. Previous solutions to these problems involved either approximate techniques, open-loop control solutions, or results which required excessive computation. The estimation problem is solved by two different methods, both of which yield the identical algorithm for determining the optimal filter. The partitioned results achieve a substantial reduction in computation time and storage requirements over the expanded solution, however. The results reduce to the Kalman filter when no delays are present in the system. The control problem is also solved by two different methods, both of which yield identical algorithms for determining the optimal control gains. The stochastic control is shown to be identical to the deterministic control, thus extending the separation principle to time delay systems. The results obtained reduce to the familiar optimal control solution when no time delays are present in the system.

Overarching framework for data-based modelling

NASA Astrophysics Data System (ADS)

Schelter, Björn; Mader, Malenka; Mader, Wolfgang; Sommerlade, Linda; Platt, Bettina; Lai, Ying-Cheng; Grebogi, Celso; Thiel, Marco

2014-02-01

One of the main modelling paradigms for complex physical systems are networks. When estimating the network structure from measured signals, typically several assumptions such as stationarity are made in the estimation process. Violating these assumptions renders standard analysis techniques fruitless. We here propose a framework to estimate the network structure from measurements of arbitrary non-linear, non-stationary, stochastic processes. To this end, we propose a rigorous mathematical theory that underlies this framework. Based on this theory, we present a highly efficient algorithm and the corresponding statistics that are immediately sensibly applicable to measured signals. We demonstrate its performance in a simulation study. In experiments of transitions between vigilance stages in rodents, we infer small network structures with complex, time-dependent interactions; this suggests biomarkers for such transitions, the key to understand and diagnose numerous diseases such as dementia. We argue that the suggested framework combines features that other approaches followed so far lack.

A microprocessor-based multichannel subsensory stochastic resonance electrical stimulator.

PubMed

Chang, Gwo-Ching

2013-01-01

Stochastic resonance electrical stimulation is a novel intervention which provides potential benefits for improving postural control ability in the elderly, those with diabetic neuropathy, and stroke patients. In this paper, a microprocessor-based subsensory white noise electrical stimulator for the applications of stochastic resonance stimulation is developed. The proposed stimulator provides four independent programmable stimulation channels with constant-current output, possesses linear voltage-to-current relationship, and has two types of stimulation modes, pulse amplitude and width modulation.

Stochastic multi-reference perturbation theory with application to the linearized coupled cluster method

NASA Astrophysics Data System (ADS)

Jeanmairet, Guillaume; Sharma, Sandeep; Alavi, Ali

2017-01-01

In this article we report a stochastic evaluation of the recently proposed multireference linearized coupled cluster theory [S. Sharma and A. Alavi, J. Chem. Phys. 143, 102815 (2015)]. In this method, both the zeroth-order and first-order wavefunctions are sampled stochastically by propagating simultaneously two populations of signed walkers. The sampling of the zeroth-order wavefunction follows a set of stochastic processes identical to the one used in the full configuration interaction quantum Monte Carlo (FCIQMC) method. To sample the first-order wavefunction, the usual FCIQMC algorithm is augmented with a source term that spawns walkers in the sampled first-order wavefunction from the zeroth-order wavefunction. The second-order energy is also computed stochastically but requires no additional overhead outside of the added cost of sampling the first-order wavefunction. This fully stochastic method opens up the possibility of simultaneously treating large active spaces to account for static correlation and recovering the dynamical correlation using perturbation theory. The method is used to study a few benchmark systems including the carbon dimer and aromatic molecules. We have computed the singlet-triplet gaps of benzene and m-xylylene. For m-xylylene, which has proved difficult for standard complete active space self consistent field theory with perturbative correction, we find the singlet-triplet gap to be in good agreement with the experimental values.

An iteratively reweighted least-squares approach to adaptive robust adjustment of parameters in linear regression models with autoregressive and t-distributed deviations

NASA Astrophysics Data System (ADS)

Kargoll, Boris; Omidalizarandi, Mohammad; Loth, Ina; Paffenholz, Jens-André; Alkhatib, Hamza

2018-03-01

In this paper, we investigate a linear regression time series model of possibly outlier-afflicted observations and autocorrelated random deviations. This colored noise is represented by a covariance-stationary autoregressive (AR) process, in which the independent error components follow a scaled (Student's) t-distribution. This error model allows for the stochastic modeling of multiple outliers and for an adaptive robust maximum likelihood (ML) estimation of the unknown regression and AR coefficients, the scale parameter, and the degree of freedom of the t-distribution. This approach is meant to be an extension of known estimators, which tend to focus only on the regression model, or on the AR error model, or on normally distributed errors. For the purpose of ML estimation, we derive an expectation conditional maximization either algorithm, which leads to an easy-to-implement version of iteratively reweighted least squares. The estimation performance of the algorithm is evaluated via Monte Carlo simulations for a Fourier as well as a spline model in connection with AR colored noise models of different orders and with three different sampling distributions generating the white noise components. We apply the algorithm to a vibration dataset recorded by a high-accuracy, single-axis accelerometer, focusing on the evaluation of the estimated AR colored noise model.

Renyi entropy measures of heart rate Gaussianity.

PubMed

Lake, Douglas E

2006-01-01

Sample entropy and approximate entropy are measures that have been successfully utilized to study the deterministic dynamics of heart rate (HR). A complementary stochastic point of view and a heuristic argument using the Central Limit Theorem suggests that the Gaussianity of HR is a complementary measure of the physiological complexity of the underlying signal transduction processes. Renyi entropy (or q-entropy) is a widely used measure of Gaussianity in many applications. Particularly important members of this family are differential (or Shannon) entropy (q = 1) and quadratic entropy (q = 2). We introduce the concepts of differential and conditional Renyi entropy rate and, in conjunction with Burg's theorem, develop a measure of the Gaussianity of a linear random process. Robust algorithms for estimating these quantities are presented along with estimates of their standard errors.

Surface plasmon enhanced cell microscopy with blocked random spatial activation

NASA Astrophysics Data System (ADS)

Son, Taehwang; Oh, Youngjin; Lee, Wonju; Yang, Heejin; Kim, Donghyun

2016-03-01

We present surface plasmon enhanced fluorescence microscopy with random spatial sampling using patterned block of silver nanoislands. Rigorous coupled wave analysis was performed to confirm near-field localization on nanoislands. Random nanoislands were fabricated in silver by temperature annealing. By analyzing random near-field distribution, average size of localized fields was found to be on the order of 135 nm. Randomly localized near-fields were used to spatially sample F-actin of J774 cells (mouse macrophage cell-line). Image deconvolution algorithm based on linear imaging theory was established for stochastic estimation of fluorescent molecular distribution. The alignment between near-field distribution and raw image was performed by the patterned block. The achieved resolution is dependent upon factors including the size of localized fields and estimated to be 100-150 nm.

A two-stage adaptive stochastic collocation method on nested sparse grids for multiphase flow in randomly heterogeneous porous media

DOE Office of Scientific and Technical Information (OSTI.GOV)

Liao, Qinzhuo, E-mail: liaoqz@pku.edu.cn; Zhang, Dongxiao; Tchelepi, Hamdi

A new computational method is proposed for efficient uncertainty quantification of multiphase flow in porous media with stochastic permeability. For pressure estimation, it combines the dimension-adaptive stochastic collocation method on Smolyak sparse grids and the Kronrod–Patterson–Hermite nested quadrature formulas. For saturation estimation, an additional stage is developed, in which the pressure and velocity samples are first generated by the sparse grid interpolation and then substituted into the transport equation to solve for the saturation samples, to address the low regularity problem of the saturation. Numerical examples are presented for multiphase flow with stochastic permeability fields to demonstrate accuracy and efficiencymore » of the proposed two-stage adaptive stochastic collocation method on nested sparse grids.« less

Genetic parameters of body weight and ascites in broilers: effect of different incidence rates of ascites syndrome.

PubMed

Ahmadpanah, J; Ghavi Hossein-Zadeh, N; Shadparvar, A A; Pakdel, A

2017-02-01

1. The objectives of the current study were to investigate the effect of incidence rate (5%, 10%, 20%, 30% and 50%) of ascites syndrome on the expression of genetic characteristics for body weight at 5 weeks of age (BW5) and AS and to compare different methods of genetic parameter estimation for these traits. 2. Based on stochastic simulation, a population with discrete generations was created in which random mating was used for 10 generations. Two methods of restricted maximum likelihood and Bayesian approach via Gibbs sampling were used for the estimation of genetic parameters. A bivariate model including maternal effects was used. The root mean square error for direct heritabilities was also calculated. 3. The results showed that when incidence rates of ascites increased from 5% to 30%, the heritability of AS increased from 0.013 and 0.005 to 0.110 and 0.162 for linear and threshold models, respectively. 4. Maternal effects were significant for both BW5 and AS. Genetic correlations were decreased by increasing incidence rates of ascites in the population from 0.678 and 0.587 at 5% level of ascites to 0.393 and -0.260 at 50% occurrence for linear and threshold models, respectively. 5. The RMSE of direct heritability from true values for BW5 was greater based on a linear-threshold model compared with the linear model of analysis (0.0092 vs. 0.0015). The RMSE of direct heritability from true values for AS was greater based on a linear-linear model (1.21 vs. 1.14). 6. In order to rank birds for ascites incidence, it is recommended to use a threshold model because it resulted in higher heritability estimates compared with the linear model and that BW5 could be one of the main components of selection goals.

Optimal Linear Responses for Markov Chains and Stochastically Perturbed Dynamical Systems

NASA Astrophysics Data System (ADS)

Antown, Fadi; Dragičević, Davor; Froyland, Gary

2018-03-01

The linear response of a dynamical system refers to changes to properties of the system when small external perturbations are applied. We consider the little-studied question of selecting an optimal perturbation so as to (i) maximise the linear response of the equilibrium distribution of the system, (ii) maximise the linear response of the expectation of a specified observable, and (iii) maximise the linear response of the rate of convergence of the system to the equilibrium distribution. We also consider the inhomogeneous, sequential, or time-dependent situation where the governing dynamics is not stationary and one wishes to select a sequence of small perturbations so as to maximise the overall linear response at some terminal time. We develop the theory for finite-state Markov chains, provide explicit solutions for some illustrative examples, and numerically apply our theory to stochastically perturbed dynamical systems, where the Markov chain is replaced by a matrix representation of an approximate annealed transfer operator for the random dynamical system.

BACKWARD ESTIMATION OF STOCHASTIC PROCESSES WITH FAILURE EVENTS AS TIME ORIGINS1

PubMed Central

Gary Chan, Kwun Chuen; Wang, Mei-Cheng

2011-01-01

Stochastic processes often exhibit sudden systematic changes in pattern a short time before certain failure events. Examples include increase in medical costs before death and decrease in CD4 counts before AIDS diagnosis. To study such terminal behavior of stochastic processes, a natural and direct way is to align the processes using failure events as time origins. This paper studies backward stochastic processes counting time backward from failure events, and proposes one-sample nonparametric estimation of the mean of backward processes when follow-up is subject to left truncation and right censoring. We will discuss benefits of including prevalent cohort data to enlarge the identifiable region and large sample properties of the proposed estimator with related extensions. A SEER–Medicare linked data set is used to illustrate the proposed methodologies. PMID:21359167

Integration of altimetric lake levels and GRACE gravimetry over Africa: Inferences for terrestrial water storage change 2003-2011

NASA Astrophysics Data System (ADS)

Moore, P.; Williams, S. D. P.

2014-12-01

Terrestrial water storage (TWS) change for 2003-2011 is estimated over Africa from GRACE gravimetric data. The signatures from change in water of the major lakes are removed by utilizing kernel functions with lake heights recovered from retracked ENVISAT satellite altimetry. In addition, the contribution of gravimetric change due to soil moisture and biomass is removed from the total GRACE signal by utilizing the GLDAS land surface model. The residual TWS time series, namely groundwater and the surface waters in rivers, wetlands, and small lakes, are investigated for trends and the seasonal cycle using linear regression. Typically, such analyses assume that the data are temporally uncorrelated but this has been shown to lead to erroneous inferences in related studies concerning the linear rate and acceleration. In this study, we utilize autocorrelation and investigate the appropriate stochastic model. The results show the proper distribution of TWS change and identify the spatial distribution of significant rates and accelerations. The effect of surface water in the major lakes is shown to contribute significantly to the trend and seasonal variation in TWS in the lake basin. Lake Volta, a managed reservoir in Ghana, is seen to have a contribution to the linear trend that is a factor of three greater than that of Lake Victoria despite having a surface area one-eighth of that of Lake Victoria. Analysis also shows the confidence levels of the deterministic trend and acceleration identifying areas where the signatures are most likely due to a physical deterministic cause and not simply stochastic variations.

DOE Office of Scientific and Technical Information (OSTI.GOV)

Bertholon, François; Harant, Olivier; Bourlon, Bertrand

This article introduces a joined Bayesian estimation of gas samples issued from a gas chromatography column (GC) coupled with a NEMS sensor based on Giddings Eyring microscopic molecular stochastic model. The posterior distribution is sampled using a Monte Carlo Markov Chain and Gibbs sampling. Parameters are estimated using the posterior mean. This estimation scheme is finally applied on simulated and real datasets using this molecular stochastic forward model.

Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets

NASA Astrophysics Data System (ADS)

Gontis, V.; Kononovicius, A.

2017-10-01

We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic differential equations. In this contribution we address this problem by analyzing empirical return and trading activity time series from the Forex. From the empirical time series we obtain probability density functions of burst and inter-burst duration. Our analysis reveals that the power-law exponents of the obtained probability density functions are close to 3 / 2, which is a characteristic feature of the one-dimensional stochastic processes. This is in a good agreement with earlier proposed model of absolute return based on the non-linear stochastic differential equations derived from the agent-based herding model.

Stochastic Control of Energy Efficient Buildings: A Semidefinite Programming Approach

DOE Office of Scientific and Technical Information (OSTI.GOV)

Ma, Xiao; Dong, Jin; Djouadi, Seddik M

2015-01-01

The key goal in energy efficient buildings is to reduce energy consumption of Heating, Ventilation, and Air- Conditioning (HVAC) systems while maintaining a comfortable temperature and humidity in the building. This paper proposes a novel stochastic control approach for achieving joint performance and power control of HVAC. We employ a constrained Stochastic Linear Quadratic Control (cSLQC) by minimizing a quadratic cost function with a disturbance assumed to be Gaussian. The problem is formulated to minimize the expected cost subject to a linear constraint and a probabilistic constraint. By using cSLQC, the problem is reduced to a semidefinite optimization problem, wheremore » the optimal control can be computed efficiently by Semidefinite programming (SDP). Simulation results are provided to demonstrate the effectiveness and power efficiency by utilizing the proposed control approach.« less

Universal fuzzy integral sliding-mode controllers for stochastic nonlinear systems.

PubMed

Gao, Qing; Liu, Lu; Feng, Gang; Wang, Yong

2014-12-01

In this paper, the universal integral sliding-mode controller problem for the general stochastic nonlinear systems modeled by Itô type stochastic differential equations is investigated. One of the main contributions is that a novel dynamic integral sliding mode control (DISMC) scheme is developed for stochastic nonlinear systems based on their stochastic T-S fuzzy approximation models. The key advantage of the proposed DISMC scheme is that two very restrictive assumptions in most existing ISMC approaches to stochastic fuzzy systems have been removed. Based on the stochastic Lyapunov theory, it is shown that the closed-loop control system trajectories are kept on the integral sliding surface almost surely since the initial time, and moreover, the stochastic stability of the sliding motion can be guaranteed in terms of linear matrix inequalities. Another main contribution is that the results of universal fuzzy integral sliding-mode controllers for two classes of stochastic nonlinear systems, along with constructive procedures to obtain the universal fuzzy integral sliding-mode controllers, are provided, respectively. Simulation results from an inverted pendulum example are presented to illustrate the advantages and effectiveness of the proposed approaches.

Forecasting financial asset processes: stochastic dynamics via learning neural networks.

PubMed

Giebel, S; Rainer, M

2010-01-01

Models for financial asset dynamics usually take into account their inherent unpredictable nature by including a suitable stochastic component into their process. Unknown (forward) values of financial assets (at a given time in the future) are usually estimated as expectations of the stochastic asset under a suitable risk-neutral measure. This estimation requires the stochastic model to be calibrated to some history of sufficient length in the past. Apart from inherent limitations, due to the stochastic nature of the process, the predictive power is also limited by the simplifying assumptions of the common calibration methods, such as maximum likelihood estimation and regression methods, performed often without weights on the historic time series, or with static weights only. Here we propose a novel method of "intelligent" calibration, using learning neural networks in order to dynamically adapt the parameters of the stochastic model. Hence we have a stochastic process with time dependent parameters, the dynamics of the parameters being themselves learned continuously by a neural network. The back propagation in training the previous weights is limited to a certain memory length (in the examples we consider 10 previous business days), which is similar to the maximal time lag of autoregressive processes. We demonstrate the learning efficiency of the new algorithm by tracking the next-day forecasts for the EURTRY and EUR-HUF exchange rates each.

Further studies using matched filter theory and stochastic simulation for gust loads prediction

NASA Technical Reports Server (NTRS)

Scott, Robert C.; Pototzky, Anthony S.; Perry, Boyd Iii

1993-01-01

This paper describes two analysis methods -- one deterministic, the other stochastic -- for computing maximized and time-correlated gust loads for aircraft with nonlinear control systems. The first method is based on matched filter theory; the second is based on stochastic simulation. The paper summarizes the methods, discusses the selection of gust intensity for each method and presents numerical results. A strong similarity between the results from the two methods is seen to exist for both linear and nonlinear configurations.

Estimating stochastic noise using in situ measurements from a linear wavefront slope sensor.

PubMed

Bharmal, Nazim Ali; Reeves, Andrew P

2016-01-15

It is shown how the solenoidal component of noise from the measurements of a wavefront slope sensor can be utilized to estimate the total noise: specifically, the ensemble noise variance. It is well known that solenoidal noise is orthogonal to the reconstruction of the wavefront under conditions of low scintillation (absence of wavefront vortices). Therefore, it can be retrieved even with a nonzero slope signal present. By explicitly estimating the solenoidal noise from an ensemble of slopes, it can be retrieved for any wavefront sensor configuration. Furthermore, the ensemble variance is demonstrated to be related to the total noise variance via a straightforward relationship. This relationship is revealed via the method of the explicit estimation: it consists of a small, heuristic set of four constants that do not depend on the underlying statistics of the incoming wavefront. These constants seem to apply to all situations-data from a laboratory experiment as well as many configurations of numerical simulation-so the method is concluded to be generic.

Modeling animal movements using stochastic differential equations

Treesearch

Haiganoush K. Preisler; Alan A. Ager; Bruce K. Johnson; John G. Kie

2004-01-01

We describe the use of bivariate stochastic differential equations (SDE) for modeling movements of 216 radiocollared female Rocky Mountain elk at the Starkey Experimental Forest and Range in northeastern Oregon. Spatially and temporally explicit vector fields were estimated using approximating difference equations and nonparametric regression techniques. Estimated...

Event-Based $H_\\infty $ State Estimation for Time-Varying Stochastic Dynamical Networks With State- and Disturbance-Dependent Noises.

PubMed

Sheng, Li; Wang, Zidong; Zou, Lei; Alsaadi, Fuad E

2017-10-01

In this paper, the event-based finite-horizon H ∞ state estimation problem is investigated for a class of discrete time-varying stochastic dynamical networks with state- and disturbance-dependent noises [also called (x,v) -dependent noises]. An event-triggered scheme is proposed to decrease the frequency of the data transmission between the sensors and the estimator, where the signal is transmitted only when certain conditions are satisfied. The purpose of the problem addressed is to design a time-varying state estimator in order to estimate the network states through available output measurements. By employing the completing-the-square technique and the stochastic analysis approach, sufficient conditions are established to ensure that the error dynamics of the state estimation satisfies a prescribed H ∞ performance constraint over a finite horizon. The desired estimator parameters can be designed via solving coupled backward recursive Riccati difference equations. Finally, a numerical example is exploited to demonstrate the effectiveness of the developed state estimation scheme.

On stochastic control and optimal measurement strategies. Ph.D. Thesis

NASA Technical Reports Server (NTRS)

Kramer, L. C.

1971-01-01

The control of stochastic dynamic systems is studied with particular emphasis on those which influence the quality or nature of the measurements which are made to effect control. Four main areas are discussed: (1) the meaning of stochastic optimality and the means by which dynamic programming may be applied to solve a combined control/measurement problem; (2) a technique by which it is possible to apply deterministic methods, specifically the minimum principle, to the study of stochastic problems; (3) the methods described are applied to linear systems with Gaussian disturbances to study the structure of the resulting control system; and (4) several applications are considered.

On the stability and dynamics of stochastic spiking neuron models: Nonlinear Hawkes process and point process GLMs

PubMed Central

Truccolo, Wilson

2017-01-01

Point process generalized linear models (PP-GLMs) provide an important statistical framework for modeling spiking activity in single-neurons and neuronal networks. Stochastic stability is essential when sampling from these models, as done in computational neuroscience to analyze statistical properties of neuronal dynamics and in neuro-engineering to implement closed-loop applications. Here we show, however, that despite passing common goodness-of-fit tests, PP-GLMs estimated from data are often unstable, leading to divergent firing rates. The inclusion of absolute refractory periods is not a satisfactory solution since the activity then typically settles into unphysiological rates. To address these issues, we derive a framework for determining the existence and stability of fixed points of the expected conditional intensity function (CIF) for general PP-GLMs. Specifically, in nonlinear Hawkes PP-GLMs, the CIF is expressed as a function of the previous spike history and exogenous inputs. We use a mean-field quasi-renewal (QR) approximation that decomposes spike history effects into the contribution of the last spike and an average of the CIF over all spike histories prior to the last spike. Fixed points for stationary rates are derived as self-consistent solutions of integral equations. Bifurcation analysis and the number of fixed points predict that the original models can show stable, divergent, and metastable (fragile) dynamics. For fragile models, fluctuations of the single-neuron dynamics predict expected divergence times after which rates approach unphysiologically high values. This metric can be used to estimate the probability of rates to remain physiological for given time periods, e.g., for simulation purposes. We demonstrate the use of the stability framework using simulated single-neuron examples and neurophysiological recordings. Finally, we show how to adapt PP-GLM estimation procedures to guarantee model stability. Overall, our results provide a stability framework for data-driven PP-GLMs and shed new light on the stochastic dynamics of state-of-the-art statistical models of neuronal spiking activity. PMID:28234899

On the stability and dynamics of stochastic spiking neuron models: Nonlinear Hawkes process and point process GLMs.

PubMed

Gerhard, Felipe; Deger, Moritz; Truccolo, Wilson

2017-02-01

Point process generalized linear models (PP-GLMs) provide an important statistical framework for modeling spiking activity in single-neurons and neuronal networks. Stochastic stability is essential when sampling from these models, as done in computational neuroscience to analyze statistical properties of neuronal dynamics and in neuro-engineering to implement closed-loop applications. Here we show, however, that despite passing common goodness-of-fit tests, PP-GLMs estimated from data are often unstable, leading to divergent firing rates. The inclusion of absolute refractory periods is not a satisfactory solution since the activity then typically settles into unphysiological rates. To address these issues, we derive a framework for determining the existence and stability of fixed points of the expected conditional intensity function (CIF) for general PP-GLMs. Specifically, in nonlinear Hawkes PP-GLMs, the CIF is expressed as a function of the previous spike history and exogenous inputs. We use a mean-field quasi-renewal (QR) approximation that decomposes spike history effects into the contribution of the last spike and an average of the CIF over all spike histories prior to the last spike. Fixed points for stationary rates are derived as self-consistent solutions of integral equations. Bifurcation analysis and the number of fixed points predict that the original models can show stable, divergent, and metastable (fragile) dynamics. For fragile models, fluctuations of the single-neuron dynamics predict expected divergence times after which rates approach unphysiologically high values. This metric can be used to estimate the probability of rates to remain physiological for given time periods, e.g., for simulation purposes. We demonstrate the use of the stability framework using simulated single-neuron examples and neurophysiological recordings. Finally, we show how to adapt PP-GLM estimation procedures to guarantee model stability. Overall, our results provide a stability framework for data-driven PP-GLMs and shed new light on the stochastic dynamics of state-of-the-art statistical models of neuronal spiking activity.

Intrinsic nonlinearity and method of disturbed observations in inverse problems of celestial mechanics

NASA Astrophysics Data System (ADS)

Avdyushev, Victor A.

2017-12-01

Orbit determination from a small sample of observations over a very short observed orbital arc is a strongly nonlinear inverse problem. In such problems an evaluation of orbital uncertainty due to random observation errors is greatly complicated, since linear estimations conventionally used are no longer acceptable for describing the uncertainty even as a rough approximation. Nevertheless, if an inverse problem is weakly intrinsically nonlinear, then one can resort to the so-called method of disturbed observations (aka observational Monte Carlo). Previously, we showed that the weaker the intrinsic nonlinearity, the more efficient the method, i.e. the more accurate it enables one to simulate stochastically the orbital uncertainty, while it is strictly exact only when the problem is intrinsically linear. However, as we ascertained experimentally, its efficiency was found to be higher than that of other stochastic methods widely applied in practice. In the present paper we investigate the intrinsic nonlinearity in complicated inverse problems of Celestial Mechanics when orbits are determined from little informative samples of observations, which typically occurs for recently discovered asteroids. To inquire into the question, we introduce an index of intrinsic nonlinearity. In asteroid problems it evinces that the intrinsic nonlinearity can be strong enough to affect appreciably probabilistic estimates, especially at the very short observed orbital arcs that the asteroids travel on for about a hundredth of their orbital periods and less. As it is known from regression analysis, the source of intrinsic nonlinearity is the nonflatness of the estimation subspace specified by a dynamical model in the observation space. Our numerical results indicate that when determining asteroid orbits it is actually very slight. However, in the parametric space the effect of intrinsic nonlinearity is exaggerated mainly by the ill-conditioning of the inverse problem. Even so, as for the method of disturbed observations, we conclude that it practically should be still entirely acceptable to adequately describe the orbital uncertainty since, from a geometrical point of view, the efficiency of the method directly depends only on the nonflatness of the estimation subspace and it gets higher as the nonflatness decreases.

Adaptive non-linear control for cancer therapy through a Fokker-Planck observer.

PubMed

Shakeri, Ehsan; Latif-Shabgahi, Gholamreza; Esmaeili Abharian, Amir

2018-04-01

In recent years, many efforts have been made to present optimal strategies for cancer therapy through the mathematical modelling of tumour-cell population dynamics and optimal control theory. In many cases, therapy effect is included in the drift term of the stochastic Gompertz model. By fitting the model with empirical data, the parameters of therapy function are estimated. The reported research works have not presented any algorithm to determine the optimal parameters of therapy function. In this study, a logarithmic therapy function is entered in the drift term of the Gompertz model. Using the proposed control algorithm, the therapy function parameters are predicted and adaptively adjusted. To control the growth of tumour-cell population, its moments must be manipulated. This study employs the probability density function (PDF) control approach because of its ability to control all the process moments. A Fokker-Planck-based non-linear stochastic observer will be used to determine the PDF of the process. A cost function based on the difference between a predefined desired PDF and PDF of tumour-cell population is defined. Using the proposed algorithm, the therapy function parameters are adjusted in such a manner that the cost function is minimised. The existence of an optimal therapy function is also proved. The numerical results are finally given to demonstrate the effectiveness of the proposed method.

DESIGN OF AQUIFER REMEDIATION SYSTEMS: (2) Estimating site-specific performance and benefits of partial source removal

EPA Science Inventory

A Lagrangian stochastic model is proposed as a tool that can be utilized in forecasting remedial performance and estimating the benefits (in terms of flux and mass reduction) derived from a source zone remedial effort. The stochastic functional relationships that describe the hyd...

Aerofoil broadband and tonal noise modelling using stochastic sound sources and incorporated large scale fluctuations

NASA Astrophysics Data System (ADS)

Proskurov, S.; Darbyshire, O. R.; Karabasov, S. A.

2017-12-01

The present work discusses modifications to the stochastic Fast Random Particle Mesh (FRPM) method featuring both tonal and broadband noise sources. The technique relies on the combination of incorporated vortex-shedding resolved flow available from Unsteady Reynolds-Averaged Navier-Stokes (URANS) simulation with the fine-scale turbulence FRPM solution generated via the stochastic velocity fluctuations in the context of vortex sound theory. In contrast to the existing literature, our method encompasses a unified treatment for broadband and tonal acoustic noise sources at the source level, thus, accounting for linear source interference as well as possible non-linear source interaction effects. When sound sources are determined, for the sound propagation, Acoustic Perturbation Equations (APE-4) are solved in the time-domain. Results of the method's application for two aerofoil benchmark cases, with both sharp and blunt trailing edges are presented. In each case, the importance of individual linear and non-linear noise sources was investigated. Several new key features related to the unsteady implementation of the method were tested and brought into the equation. Encouraging results have been obtained for benchmark test cases using the new technique which is believed to be potentially applicable to other airframe noise problems where both tonal and broadband parts are important.

Approximate reduction of linear population models governed by stochastic differential equations: application to multiregional models.

PubMed

Sanz, Luis; Alonso, Juan Antonio

2017-12-01

In this work we develop approximate aggregation techniques in the context of slow-fast linear population models governed by stochastic differential equations and apply the results to the treatment of populations with spatial heterogeneity. Approximate aggregation techniques allow one to transform a complex system involving many coupled variables and in which there are processes with different time scales, by a simpler reduced model with a fewer number of 'global' variables, in such a way that the dynamics of the former can be approximated by that of the latter. In our model we contemplate a linear fast deterministic process together with a linear slow process in which the parameters are affected by additive noise, and give conditions for the solutions corresponding to positive initial conditions to remain positive for all times. By letting the fast process reach equilibrium we build a reduced system with a lesser number of variables, and provide results relating the asymptotic behaviour of the first- and second-order moments of the population vector for the original and the reduced system. The general technique is illustrated by analysing a multiregional stochastic system in which dispersal is deterministic and the rate growth of the populations in each patch is affected by additive noise.

Stochastic rainfall synthesis for urban applications using different regionalization methods

NASA Astrophysics Data System (ADS)

Callau Poduje, A. C.; Leimbach, S.; Haberlandt, U.

2017-12-01

The proper design and efficient operation of urban drainage systems require long and continuous rainfall series in a high temporal resolution. Unfortunately, these time series are usually available in a few locations and it is therefore suitable to develop a stochastic precipitation model to generate rainfall in locations without observations. The model presented is based on an alternating renewal process and involves an external and an internal structure. The members of these structures are described by probability distributions which are site specific. Different regionalization methods based on site descriptors are presented which are used for estimating the distributions for locations without observations. Regional frequency analysis, multiple linear regressions and a vine-copula method are applied for this purpose. An area located in the north-west of Germany is used to compare the different methods and involves a total of 81 stations with 5 min rainfall records. The site descriptors include information available for the whole region: position, topography and hydrometeorologic characteristics which are estimated from long term observations. The methods are compared directly by cross validation of different rainfall statistics. Given that the model is stochastic the evaluation is performed based on ensembles of many long synthetic time series which are compared with observed ones. The performance is as well indirectly evaluated by setting up a fictional urban hydrological system to test the capability of the different methods regarding flooding and overflow characteristics. The results show a good representation of the seasonal variability and good performance in reproducing the sample statistics of the rainfall characteristics. The copula based method shows to be the most robust of the three methods. Advantages and disadvantages of the different methods are presented and discussed.

Regional-specific Stochastic Simulation of Spatially-distributed Ground-motion Time Histories using Wavelet Packet Analysis

NASA Astrophysics Data System (ADS)

Huang, D.; Wang, G.

2014-12-01

Stochastic simulation of spatially distributed ground-motion time histories is important for performance-based earthquake design of geographically distributed systems. In this study, we develop a novel technique to stochastically simulate regionalized ground-motion time histories using wavelet packet analysis. First, a transient acceleration time history is characterized by wavelet-packet parameters proposed by Yamamoto and Baker (2013). The wavelet-packet parameters fully characterize ground-motion time histories in terms of energy content, time- frequency-domain characteristics and time-frequency nonstationarity. This study further investigates the spatial cross-correlations of wavelet-packet parameters based on geostatistical analysis of 1500 regionalized ground motion data from eight well-recorded earthquakes in California, Mexico, Japan and Taiwan. The linear model of coregionalization (LMC) is used to develop a permissible spatial cross-correlation model for each parameter group. The geostatistical analysis of ground-motion data from different regions reveals significant dependence of the LMC structure on regional site conditions, which can be characterized by the correlation range of Vs30 in each region. In general, the spatial correlation and cross-correlation of wavelet-packet parameters are stronger if the site condition is more homogeneous. Using the regional-specific spatial cross-correlation model and cokriging technique, wavelet packet parameters at unmeasured locations can be best estimated, and regionalized ground-motion time histories can be synthesized. Case studies and blind tests demonstrated that the simulated ground motions generally agree well with the actual recorded data, if the influence of regional-site conditions is considered. The developed method has great potential to be used in computational-based seismic analysis and loss estimation in a regional scale.

Improved PPP Ambiguity Resolution Considering the Stochastic Characteristics of Atmospheric Corrections from Regional Networks

PubMed Central

Li, Yihe; Li, Bofeng; Gao, Yang

2015-01-01

With the increased availability of regional reference networks, Precise Point Positioning (PPP) can achieve fast ambiguity resolution (AR) and precise positioning by assimilating the satellite fractional cycle biases (FCBs) and atmospheric corrections derived from these networks. In such processing, the atmospheric corrections are usually treated as deterministic quantities. This is however unrealistic since the estimated atmospheric corrections obtained from the network data are random and furthermore the interpolated corrections diverge from the realistic corrections. This paper is dedicated to the stochastic modelling of atmospheric corrections and analyzing their effects on the PPP AR efficiency. The random errors of the interpolated corrections are processed as two components: one is from the random errors of estimated corrections at reference stations, while the other arises from the atmospheric delay discrepancies between reference stations and users. The interpolated atmospheric corrections are then applied by users as pseudo-observations with the estimated stochastic model. Two data sets are processed to assess the performance of interpolated corrections with the estimated stochastic models. The results show that when the stochastic characteristics of interpolated corrections are properly taken into account, the successful fix rate reaches 93.3% within 5 min for a medium inter-station distance network and 80.6% within 10 min for a long inter-station distance network. PMID:26633400

Improved PPP Ambiguity Resolution Considering the Stochastic Characteristics of Atmospheric Corrections from Regional Networks.

PubMed

Li, Yihe; Li, Bofeng; Gao, Yang

2015-11-30

With the increased availability of regional reference networks, Precise Point Positioning (PPP) can achieve fast ambiguity resolution (AR) and precise positioning by assimilating the satellite fractional cycle biases (FCBs) and atmospheric corrections derived from these networks. In such processing, the atmospheric corrections are usually treated as deterministic quantities. This is however unrealistic since the estimated atmospheric corrections obtained from the network data are random and furthermore the interpolated corrections diverge from the realistic corrections. This paper is dedicated to the stochastic modelling of atmospheric corrections and analyzing their effects on the PPP AR efficiency. The random errors of the interpolated corrections are processed as two components: one is from the random errors of estimated corrections at reference stations, while the other arises from the atmospheric delay discrepancies between reference stations and users. The interpolated atmospheric corrections are then applied by users as pseudo-observations with the estimated stochastic model. Two data sets are processed to assess the performance of interpolated corrections with the estimated stochastic models. The results show that when the stochastic characteristics of interpolated corrections are properly taken into account, the successful fix rate reaches 93.3% within 5 min for a medium inter-station distance network and 80.6% within 10 min for a long inter-station distance network.

DOE Office of Scientific and Technical Information (OSTI.GOV)

Chen, Chuchu, E-mail: chenchuchu@lsec.cc.ac.cn; Hong, Jialin, E-mail: hjl@lsec.cc.ac.cn; Zhang, Liying, E-mail: lyzhang@lsec.cc.ac.cn

Stochastic Maxwell equations with additive noise are a system of stochastic Hamiltonian partial differential equations intrinsically, possessing the stochastic multi-symplectic conservation law. It is shown that the averaged energy increases linearly with respect to the evolution of time and the flow of stochastic Maxwell equations with additive noise preserves the divergence in the sense of expectation. Moreover, we propose three novel stochastic multi-symplectic methods to discretize stochastic Maxwell equations in order to investigate the preservation of these properties numerically. We make theoretical discussions and comparisons on all of the three methods to observe that all of them preserve the correspondingmore » discrete version of the averaged divergence. Meanwhile, we obtain the corresponding dissipative property of the discrete averaged energy satisfied by each method. Especially, the evolution rates of the averaged energies for all of the three methods are derived which are in accordance with the continuous case. Numerical experiments are performed to verify our theoretical results.« less

Stochastic modeling of mode interactions via linear parabolized stability equations

NASA Astrophysics Data System (ADS)

Ran, Wei; Zare, Armin; Hack, M. J. Philipp; Jovanovic, Mihailo

2017-11-01

Low-complexity approximations of the Navier-Stokes equations have been widely used in the analysis of wall-bounded shear flows. In particular, the parabolized stability equations (PSE) and Floquet theory have been employed to capture the evolution of primary and secondary instabilities in spatially-evolving flows. We augment linear PSE with Floquet analysis to formally treat modal interactions and the evolution of secondary instabilities in the transitional boundary layer via a linear progression. To this end, we leverage Floquet theory by incorporating the primary instability into the base flow and accounting for different harmonics in the flow state. A stochastic forcing is introduced into the resulting linear dynamics to model the effect of nonlinear interactions on the evolution of modes. We examine the H-type transition scenario to demonstrate how our approach can be used to model nonlinear effects and capture the growth of the fundamental and subharmonic modes observed in direct numerical simulations and experiments.

Compensating for estimation smoothing in kriging

USGS Publications Warehouse

Olea, R.A.; Pawlowsky, Vera

1996-01-01

Smoothing is a characteristic inherent to all minimum mean-square-error spatial estimators such as kriging. Cross-validation can be used to detect and model such smoothing. Inversion of the model produces a new estimator-compensated kriging. A numerical comparison based on an exhaustive permeability sampling of a 4-fr2 slab of Berea Sandstone shows that the estimation surface generated by compensated kriging has properties intermediate between those generated by ordinary kriging and stochastic realizations resulting from simulated annealing and sequential Gaussian simulation. The frequency distribution is well reproduced by the compensated kriging surface, which also approximates the experimental semivariogram well - better than ordinary kriging, but not as well as stochastic realizations. Compensated kriging produces surfaces that are more accurate than stochastic realizations, but not as accurate as ordinary kriging. ?? 1996 International Association for Mathematical Geology.

The effect of stochiastic technique on estimates of population viability from transition matrix models

USGS Publications Warehouse

Kaye, T.N.; Pyke, David A.

2003-01-01

Population viability analysis is an important tool for conservation biologists, and matrix models that incorporate stochasticity are commonly used for this purpose. However, stochastic simulations may require assumptions about the distribution of matrix parameters, and modelers often select a statistical distribution that seems reasonable without sufficient data to test its fit. We used data from long-term (5a??10 year) studies with 27 populations of five perennial plant species to compare seven methods of incorporating environmental stochasticity. We estimated stochastic population growth rate (a measure of viability) using a matrix-selection method, in which whole observed matrices were selected at random at each time step of the model. In addition, we drew matrix elements (transition probabilities) at random using various statistical distributions: beta, truncated-gamma, truncated-normal, triangular, uniform, or discontinuous/observed. Recruitment rates were held constant at their observed mean values. Two methods of constraining stage-specific survival to a??100% were also compared. Different methods of incorporating stochasticity and constraining matrix column sums interacted in their effects and resulted in different estimates of stochastic growth rate (differing by up to 16%). Modelers should be aware that when constraining stage-specific survival to 100%, different methods may introduce different levels of bias in transition element means, and when this happens, different distributions for generating random transition elements may result in different viability estimates. There was no species effect on the results and the growth rates derived from all methods were highly correlated with one another. We conclude that the absolute value of population viability estimates is sensitive to model assumptions, but the relative ranking of populations (and management treatments) is robust. Furthermore, these results are applicable to a range of perennial plants and possibly other life histories.

Stochastic control of inertial sea wave energy converter.

PubMed

Raffero, Mattia; Martini, Michele; Passione, Biagio; Mattiazzo, Giuliana; Giorcelli, Ermanno; Bracco, Giovanni

2015-01-01

The ISWEC (inertial sea wave energy converter) is presented, its control problems are stated, and an optimal control strategy is introduced. As the aim of the device is energy conversion, the mean absorbed power by ISWEC is calculated for a plane 2D irregular sea state. The response of the WEC (wave energy converter) is driven by the sea-surface elevation, which is modeled by a stationary and homogeneous zero mean Gaussian stochastic process. System equations are linearized thus simplifying the numerical model of the device. The resulting response is obtained as the output of the coupled mechanic-hydrodynamic model of the device. A stochastic suboptimal controller, derived from optimal control theory, is defined and applied to ISWEC. Results of this approach have been compared with the ones obtained with a linear spring-damper controller, highlighting the capability to obtain a higher value of mean extracted power despite higher power peaks.

Stochastic Control of Inertial Sea Wave Energy Converter

PubMed Central

Mattiazzo, Giuliana; Giorcelli, Ermanno

2015-01-01

The ISWEC (inertial sea wave energy converter) is presented, its control problems are stated, and an optimal control strategy is introduced. As the aim of the device is energy conversion, the mean absorbed power by ISWEC is calculated for a plane 2D irregular sea state. The response of the WEC (wave energy converter) is driven by the sea-surface elevation, which is modeled by a stationary and homogeneous zero mean Gaussian stochastic process. System equations are linearized thus simplifying the numerical model of the device. The resulting response is obtained as the output of the coupled mechanic-hydrodynamic model of the device. A stochastic suboptimal controller, derived from optimal control theory, is defined and applied to ISWEC. Results of this approach have been compared with the ones obtained with a linear spring-damper controller, highlighting the capability to obtain a higher value of mean extracted power despite higher power peaks. PMID:25874267

An asymptotic-preserving stochastic Galerkin method for the radiative heat transfer equations with random inputs and diffusive scalings

DOE Office of Scientific and Technical Information (OSTI.GOV)

Jin, Shi, E-mail: sjin@wisc.edu; Institute of Natural Sciences, Department of Mathematics, MOE-LSEC and SHL-MAC, Shanghai Jiao Tong University, Shanghai 200240; Lu, Hanqing, E-mail: hanqing@math.wisc.edu

2017-04-01

In this paper, we develop an Asymptotic-Preserving (AP) stochastic Galerkin scheme for the radiative heat transfer equations with random inputs and diffusive scalings. In this problem the random inputs arise due to uncertainties in cross section, initial data or boundary data. We use the generalized polynomial chaos based stochastic Galerkin (gPC-SG) method, which is combined with the micro–macro decomposition based deterministic AP framework in order to handle efficiently the diffusive regime. For linearized problem we prove the regularity of the solution in the random space and consequently the spectral accuracy of the gPC-SG method. We also prove the uniform (inmore » the mean free path) linear stability for the space-time discretizations. Several numerical tests are presented to show the efficiency and accuracy of proposed scheme, especially in the diffusive regime.« less

Probabilistic dual heuristic programming-based adaptive critic

NASA Astrophysics Data System (ADS)

Herzallah, Randa

2010-02-01

Adaptive critic (AC) methods have common roots as generalisations of dynamic programming for neural reinforcement learning approaches. Since they approximate the dynamic programming solutions, they are potentially suitable for learning in noisy, non-linear and non-stationary environments. In this study, a novel probabilistic dual heuristic programming (DHP)-based AC controller is proposed. Distinct to current approaches, the proposed probabilistic (DHP) AC method takes uncertainties of forward model and inverse controller into consideration. Therefore, it is suitable for deterministic and stochastic control problems characterised by functional uncertainty. Theoretical development of the proposed method is validated by analytically evaluating the correct value of the cost function which satisfies the Bellman equation in a linear quadratic control problem. The target value of the probabilistic critic network is then calculated and shown to be equal to the analytically derived correct value. Full derivation of the Riccati solution for this non-standard stochastic linear quadratic control problem is also provided. Moreover, the performance of the proposed probabilistic controller is demonstrated on linear and non-linear control examples.

Low-complexity stochastic modeling of wall-bounded shear flows

NASA Astrophysics Data System (ADS)

Zare, Armin

Turbulent flows are ubiquitous in nature and they appear in many engineering applications. Transition to turbulence, in general, increases skin-friction drag in air/water vehicles compromising their fuel-efficiency and reduces the efficiency and longevity of wind turbines. While traditional flow control techniques combine physical intuition with costly experiments, their effectiveness can be significantly enhanced by control design based on low-complexity models and optimization. In this dissertation, we develop a theoretical and computational framework for the low-complexity stochastic modeling of wall-bounded shear flows. Part I of the dissertation is devoted to the development of a modeling framework which incorporates data-driven techniques to refine physics-based models. We consider the problem of completing partially known sample statistics in a way that is consistent with underlying stochastically driven linear dynamics. Neither the statistics nor the dynamics are precisely known. Thus, our objective is to reconcile the two in a parsimonious manner. To this end, we formulate optimization problems to identify the dynamics and directionality of input excitation in order to explain and complete available covariance data. For problem sizes that general-purpose solvers cannot handle, we develop customized optimization algorithms based on alternating direction methods. The solution to the optimization problem provides information about critical directions that have maximal effect in bringing model and statistics in agreement. In Part II, we employ our modeling framework to account for statistical signatures of turbulent channel flow using low-complexity stochastic dynamical models. We demonstrate that white-in-time stochastic forcing is not sufficient to explain turbulent flow statistics and develop models for colored-in-time forcing of the linearized Navier-Stokes equations. We also examine the efficacy of stochastically forced linearized NS equations and their parabolized equivalents in the receptivity analysis of velocity fluctuations to external sources of excitation as well as capturing the effect of the slowly-varying base flow on streamwise streaks and Tollmien-Schlichting waves. In Part III, we develop a model-based approach to design surface actuation of turbulent channel flow in the form of streamwise traveling waves. This approach is capable of identifying the drag reducing trends of traveling waves in a simulation-free manner. We also use the stochastically forced linearized NS equations to examine the Reynolds number independent effects of spanwise wall oscillations on drag reduction in turbulent channel flows. This allows us to extend the predictive capability of our simulation-free approach to high Reynolds numbers.

A Bayesian estimation of a stochastic predator-prey model of economic fluctuations

NASA Astrophysics Data System (ADS)

Dibeh, Ghassan; Luchinsky, Dmitry G.; Luchinskaya, Daria D.; Smelyanskiy, Vadim N.

2007-06-01

In this paper, we develop a Bayesian framework for the empirical estimation of the parameters of one of the best known nonlinear models of the business cycle: The Marx-inspired model of a growth cycle introduced by R. M. Goodwin. The model predicts a series of closed cycles representing the dynamics of labor's share and the employment rate in the capitalist economy. The Bayesian framework is used to empirically estimate a modified Goodwin model. The original model is extended in two ways. First, we allow for exogenous periodic variations of the otherwise steady growth rates of the labor force and productivity per worker. Second, we allow for stochastic variations of those parameters. The resultant modified Goodwin model is a stochastic predator-prey model with periodic forcing. The model is then estimated using a newly developed Bayesian estimation method on data sets representing growth cycles in France and Italy during the years 1960-2005. Results show that inference of the parameters of the stochastic Goodwin model can be achieved. The comparison of the dynamics of the Goodwin model with the inferred values of parameters demonstrates quantitative agreement with the growth cycle empirical data.

State-dependent biasing method for importance sampling in the weighted stochastic simulation algorithm.

PubMed

Roh, Min K; Gillespie, Dan T; Petzold, Linda R

2010-11-07

The weighted stochastic simulation algorithm (wSSA) was developed by Kuwahara and Mura [J. Chem. Phys. 129, 165101 (2008)] to efficiently estimate the probabilities of rare events in discrete stochastic systems. The wSSA uses importance sampling to enhance the statistical accuracy in the estimation of the probability of the rare event. The original algorithm biases the reaction selection step with a fixed importance sampling parameter. In this paper, we introduce a novel method where the biasing parameter is state-dependent. The new method features improved accuracy, efficiency, and robustness.

Introducing Stochastic Simulation of Chemical Reactions Using the Gillespie Algorithm and MATLAB: Revisited and Augmented

ERIC Educational Resources Information Center

Argoti, A.; Fan, L. T.; Cruz, J.; Chou, S. T.

2008-01-01

The stochastic simulation of chemical reactions, specifically, a simple reversible chemical reaction obeying the first-order, i.e., linear, rate law, has been presented by Martinez-Urreaga and his collaborators in this journal. The current contribution is intended to complement and augment their work in two aspects. First, the simple reversible…

Apparent multifractality of self-similar Lévy processes

NASA Astrophysics Data System (ADS)

Zamparo, Marco

2017-07-01

Scaling properties of time series are usually studied in terms of the scaling laws of empirical moments, which are the time average estimates of moments of the dynamic variable. Nonlinearities in the scaling function of empirical moments are generally regarded as a sign of multifractality in the data. We show that, except for the Brownian motion, this method fails to disclose the correct monofractal nature of self-similar Lévy processes. We prove that for this class of processes it produces apparent multifractality characterised by a piecewise-linear scaling function with two different regimes, which match at the stability index of the considered process. This result is motivated by previous numerical evidence. It is obtained by introducing an appropriate stochastic normalisation which is able to cure empirical moments, without hiding their dependence on time, when moments they aim at estimating do not exist.

Analyzing average and conditional effects with multigroup multilevel structural equation models

PubMed Central

Mayer, Axel; Nagengast, Benjamin; Fletcher, John; Steyer, Rolf

2014-01-01

Conventionally, multilevel analysis of covariance (ML-ANCOVA) has been the recommended approach for analyzing treatment effects in quasi-experimental multilevel designs with treatment application at the cluster-level. In this paper, we introduce the generalized ML-ANCOVA with linear effect functions that identifies average and conditional treatment effects in the presence of treatment-covariate interactions. We show how the generalized ML-ANCOVA model can be estimated with multigroup multilevel structural equation models that offer considerable advantages compared to traditional ML-ANCOVA. The proposed model takes into account measurement error in the covariates, sampling error in contextual covariates, treatment-covariate interactions, and stochastic predictors. We illustrate the implementation of ML-ANCOVA with an example from educational effectiveness research where we estimate average and conditional effects of early transition to secondary schooling on reading comprehension. PMID:24795668

n-Iterative Exponential Forgetting Factor for EEG Signals Parameter Estimation

PubMed Central

Palma Orozco, Rosaura

2018-01-01

Electroencephalograms (EEG) signals are of interest because of their relationship with physiological activities, allowing a description of motion, speaking, or thinking. Important research has been developed to take advantage of EEG using classification or predictor algorithms based on parameters that help to describe the signal behavior. Thus, great importance should be taken to feature extraction which is complicated for the Parameter Estimation (PE)–System Identification (SI) process. When based on an average approximation, nonstationary characteristics are presented. For PE the comparison of three forms of iterative-recursive uses of the Exponential Forgetting Factor (EFF) combined with a linear function to identify a synthetic stochastic signal is presented. The one with best results seen through the functional error is applied to approximate an EEG signal for a simple classification example, showing the effectiveness of our proposal. PMID:29568310

Efficiency in the Community College Sector: Stochastic Frontier Analysis

ERIC Educational Resources Information Center

Agasisti, Tommaso; Belfield, Clive

2017-01-01

This paper estimates technical efficiency scores across the community college sector in the United States. Using stochastic frontier analysis and data from the Integrated Postsecondary Education Data System for 2003-2010, we estimate efficiency scores for 950 community colleges and perform a series of sensitivity tests to check for robustness. We…

Adaptive Importance Sampling for Control and Inference

NASA Astrophysics Data System (ADS)

Kappen, H. J.; Ruiz, H. C.

2016-03-01

Path integral (PI) control problems are a restricted class of non-linear control problems that can be solved formally as a Feynman-Kac PI and can be estimated using Monte Carlo sampling. In this contribution we review PI control theory in the finite horizon case. We subsequently focus on the problem how to compute and represent control solutions. We review the most commonly used methods in robotics and control. Within the PI theory, the question of how to compute becomes the question of importance sampling. Efficient importance samplers are state feedback controllers and the use of these requires an efficient representation. Learning and representing effective state-feedback controllers for non-linear stochastic control problems is a very challenging, and largely unsolved, problem. We show how to learn and represent such controllers using ideas from the cross entropy method. We derive a gradient descent method that allows to learn feed-back controllers using an arbitrary parametrisation. We refer to this method as the path integral cross entropy method or PICE. We illustrate this method for some simple examples. The PI control methods can be used to estimate the posterior distribution in latent state models. In neuroscience these problems arise when estimating connectivity from neural recording data using EM. We demonstrate the PI control method as an accurate alternative to particle filtering.

Estimation of High-Dimensional Graphical Models Using Regularized Score Matching

PubMed Central

Lin, Lina; Drton, Mathias; Shojaie, Ali

2017-01-01

Graphical models are widely used to model stochastic dependences among large collections of variables. We introduce a new method of estimating undirected conditional independence graphs based on the score matching loss, introduced by Hyvärinen (2005), and subsequently extended in Hyvärinen (2007). The regularized score matching method we propose applies to settings with continuous observations and allows for computationally efficient treatment of possibly non-Gaussian exponential family models. In the well-explored Gaussian setting, regularized score matching avoids issues of asymmetry that arise when applying the technique of neighborhood selection, and compared to existing methods that directly yield symmetric estimates, the score matching approach has the advantage that the considered loss is quadratic and gives piecewise linear solution paths under ℓ1 regularization. Under suitable irrepresentability conditions, we show that ℓ1-regularized score matching is consistent for graph estimation in sparse high-dimensional settings. Through numerical experiments and an application to RNAseq data, we confirm that regularized score matching achieves state-of-the-art performance in the Gaussian case and provides a valuable tool for computationally efficient estimation in non-Gaussian graphical models. PMID:28638498

Comparison of machine-learning methods for above-ground biomass estimation based on Landsat imagery

NASA Astrophysics Data System (ADS)

Wu, Chaofan; Shen, Huanhuan; Shen, Aihua; Deng, Jinsong; Gan, Muye; Zhu, Jinxia; Xu, Hongwei; Wang, Ke

2016-07-01

Biomass is one significant biophysical parameter of a forest ecosystem, and accurate biomass estimation on the regional scale provides important information for carbon-cycle investigation and sustainable forest management. In this study, Landsat satellite imagery data combined with field-based measurements were integrated through comparisons of five regression approaches [stepwise linear regression, K-nearest neighbor, support vector regression, random forest (RF), and stochastic gradient boosting] with two different candidate variable strategies to implement the optimal spatial above-ground biomass (AGB) estimation. The results suggested that RF algorithm exhibited the best performance by 10-fold cross-validation with respect to R2 (0.63) and root-mean-square error (26.44 ton/ha). Consequently, the map of estimated AGB was generated with a mean value of 89.34 ton/ha in northwestern Zhejiang Province, China, with a similar pattern to the distribution mode of local forest species. This research indicates that machine-learning approaches associated with Landsat imagery provide an economical way for biomass estimation. Moreover, ensemble methods using all candidate variables, especially for Landsat images, provide an alternative for regional biomass simulation.

Robust stability for uncertain stochastic fuzzy BAM neural networks with time-varying delays

NASA Astrophysics Data System (ADS)

Syed Ali, M.; Balasubramaniam, P.

2008-07-01

In this Letter, by utilizing the Lyapunov functional and combining with the linear matrix inequality (LMI) approach, we analyze the global asymptotic stability of uncertain stochastic fuzzy Bidirectional Associative Memory (BAM) neural networks with time-varying delays which are represented by the Takagi-Sugeno (TS) fuzzy models. A new class of uncertain stochastic fuzzy BAM neural networks with time varying delays has been studied and sufficient conditions have been derived to obtain conservative result in stochastic settings. The developed results are more general than those reported in the earlier literatures. In addition, the numerical examples are provided to illustrate the applicability of the result using LMI toolbox in MATLAB.

Impulsive synchronization of stochastic reaction-diffusion neural networks with mixed time delays.

PubMed

Sheng, Yin; Zeng, Zhigang

2018-07-01

This paper discusses impulsive synchronization of stochastic reaction-diffusion neural networks with Dirichlet boundary conditions and hybrid time delays. By virtue of inequality techniques, theories of stochastic analysis, linear matrix inequalities, and the contradiction method, sufficient criteria are proposed to ensure exponential synchronization of the addressed stochastic reaction-diffusion neural networks with mixed time delays via a designed impulsive controller. Compared with some recent studies, the neural network models herein are more general, some restrictions are relaxed, and the obtained conditions enhance and generalize some published ones. Finally, two numerical simulations are performed to substantiate the validity and merits of the developed theoretical analysis. Copyright © 2018 Elsevier Ltd. All rights reserved.

Stochastic Short-term High-resolution Prediction of Solar Irradiance and Photovoltaic Power Output

DOE Office of Scientific and Technical Information (OSTI.GOV)

Melin, Alexander M.; Olama, Mohammed M.; Dong, Jin

The increased penetration of solar photovoltaic (PV) energy sources into electric grids has increased the need for accurate modeling and prediction of solar irradiance and power production. Existing modeling and prediction techniques focus on long-term low-resolution prediction over minutes to years. This paper examines the stochastic modeling and short-term high-resolution prediction of solar irradiance and PV power output. We propose a stochastic state-space model to characterize the behaviors of solar irradiance and PV power output. This prediction model is suitable for the development of optimal power controllers for PV sources. A filter-based expectation-maximization and Kalman filtering mechanism is employed tomore » estimate the parameters and states in the state-space model. The mechanism results in a finite dimensional filter which only uses the first and second order statistics. The structure of the scheme contributes to a direct prediction of the solar irradiance and PV power output without any linearization process or simplifying assumptions of the signal’s model. This enables the system to accurately predict small as well as large fluctuations of the solar signals. The mechanism is recursive allowing the solar irradiance and PV power to be predicted online from measurements. The mechanism is tested using solar irradiance and PV power measurement data collected locally in our lab.« less

An extended stochastic method for seismic hazard estimation

NASA Astrophysics Data System (ADS)

Abd el-aal, A. K.; El-Eraki, M. A.; Mostafa, S. I.

2015-12-01

In this contribution, we developed an extended stochastic technique for seismic hazard assessment purposes. This technique depends on the hypothesis of stochastic technique of Boore (2003) "Simulation of ground motion using the stochastic method. Appl. Geophy. 160:635-676". The essential characteristics of extended stochastic technique are to obtain and simulate ground motion in order to minimize future earthquake consequences. The first step of this technique is defining the seismic sources which mostly affect the study area. Then, the maximum expected magnitude is defined for each of these seismic sources. It is followed by estimating the ground motion using an empirical attenuation relationship. Finally, the site amplification is implemented in calculating the peak ground acceleration (PGA) at each site of interest. We tested and applied this developed technique at Cairo, Suez, Port Said, Ismailia, Zagazig and Damietta cities to predict the ground motion. Also, it is applied at Cairo, Zagazig and Damietta cities to estimate the maximum peak ground acceleration at actual soil conditions. In addition, 0.5, 1, 5, 10 and 20 % damping median response spectra are estimated using the extended stochastic simulation technique. The calculated highest acceleration values at bedrock conditions are found at Suez city with a value of 44 cm s-2. However, these acceleration values decrease towards the north of the study area to reach 14.1 cm s-2 at Damietta city. This comes in agreement with the results of previous studies of seismic hazards in northern Egypt and is found to be comparable. This work can be used for seismic risk mitigation and earthquake engineering purposes.

Stochastic Models of Plant Diversity: Application to White Sands Missile Range

DTIC Science & Technology

2000-02-01

decades and its models have been well developed. These models fall in the categories: dynamic models and stochastic models. In their book , Modeling...Gelb 1974), and dendro- climatology (Visser and Molenaar 1988). Optimal Estimation An optimal estimator is a computational algorithm that...Evaluation, M.B. Usher, ed., Chapman and Hall, London. Visser, H., and J. Molenaar . 1990. "Estimating Trends in Tree-ring Data." For. Sei. 36(1): 87

Assembly Mechanism of the Contractile Ring for Cytokinesis by Fission Yeast

NASA Astrophysics Data System (ADS)

Vavylonis, Dimitrios; Wu, Jian-Qiu; Huang, Xiaolei; O'Shaughnessy, Ben; Pollard, Thomas

2008-03-01

Animals and fungi assemble a contractile ring of actin filaments and the motor protein myosin to separate into individual daughter cells during cytokinesis. We studied the mechanism of contractile ring assembly in fission yeast with high time resolution confocal microscopy, computational image analysis methods, and numerical simulations. Approximately 63 nodes containing myosin, broadly distributed around the cell equator, assembled into a ring through stochastic motions, making many starts, stops, and changes of direction as they condense into a ring. Estimates of node friction coefficients from the mean square displacement of stationary nodes imply forces for node movement are greater than ˜ 4 pN, similarly to forces by a few molecular motors. Skeletonization and topology analysis of images of cells expressing fluorescent actin filament markers showed transient linear elements extending in all directions from myosin nodes and establishing connections among them. We propose a model with traction between nodes depending on transient connections established by stochastic search and capture (``search, capture, pull and release''). Numerical simulations of the model using parameter values obtained from experiment succesfully condense nodes into a continuous ring.

The Development of a Stochastic Model of the Atmosphere Between 30 and 90 Km to Be Used in Determining the Effect of Atmospheric Variability on Space Shuttle Entry Parameters. Ph.D. Thesis - Virginia Polytechnic Inst. and State Univ.

NASA Technical Reports Server (NTRS)

Campbell, J. W.

1973-01-01

A stochasitc model of the atmosphere between 30 and 90 km was developed for use in Monte Carlo space shuttle entry studies. The model is actually a family of models, one for each latitude-season category as defined in the 1966 U.S. Standard Atmosphere Supplements. Each latitude-season model generates a pseudo-random temperature profile whose mean is the appropriate temperature profile from the Standard Atmosphere Supplements. The standard deviation of temperature at each altitude for a given latitude-season model was estimated from sounding-rocket data. Departures from the mean temperature at each altitude were produced by assuming a linear regression of temperature on the solar heating rate of ozone. A profile of random ozone concentrations was first generated using an auxiliary stochastic ozone model, also developed as part of this study, and then solar heating rates were computed for the random ozone concentrations.

FAST: a framework for simulation and analysis of large-scale protein-silicon biosensor circuits.

PubMed

Gu, Ming; Chakrabartty, Shantanu

2013-08-01

This paper presents a computer aided design (CAD) framework for verification and reliability analysis of protein-silicon hybrid circuits used in biosensors. It is envisioned that similar to integrated circuit (IC) CAD design tools, the proposed framework will be useful for system level optimization of biosensors and for discovery of new sensing modalities without resorting to laborious fabrication and experimental procedures. The framework referred to as FAST analyzes protein-based circuits by solving inverse problems involving stochastic functional elements that admit non-linear relationships between different circuit variables. In this regard, FAST uses a factor-graph netlist as a user interface and solving the inverse problem entails passing messages/signals between the internal nodes of the netlist. Stochastic analysis techniques like density evolution are used to understand the dynamics of the circuit and estimate the reliability of the solution. As an example, we present a complete design flow using FAST for synthesis, analysis and verification of our previously reported conductometric immunoassay that uses antibody-based circuits to implement forward error-correction (FEC).

Flood quantile estimation at ungauged sites by Bayesian networks

NASA Astrophysics Data System (ADS)

Mediero, L.; Santillán, D.; Garrote, L.

2012-04-01

Estimating flood quantiles at a site for which no observed measurements are available is essential for water resources planning and management. Ungauged sites have no observations about the magnitude of floods, but some site and basin characteristics are known. The most common technique used is the multiple regression analysis, which relates physical and climatic basin characteristic to flood quantiles. Regression equations are fitted from flood frequency data and basin characteristics at gauged sites. Regression equations are a rigid technique that assumes linear relationships between variables and cannot take the measurement errors into account. In addition, the prediction intervals are estimated in a very simplistic way from the variance of the residuals in the estimated model. Bayesian networks are a probabilistic computational structure taken from the field of Artificial Intelligence, which have been widely and successfully applied to many scientific fields like medicine and informatics, but application to the field of hydrology is recent. Bayesian networks infer the joint probability distribution of several related variables from observations through nodes, which represent random variables, and links, which represent causal dependencies between them. A Bayesian network is more flexible than regression equations, as they capture non-linear relationships between variables. In addition, the probabilistic nature of Bayesian networks allows taking the different sources of estimation uncertainty into account, as they give a probability distribution as result. A homogeneous region in the Tagus Basin was selected as case study. A regression equation was fitted taking the basin area, the annual maximum 24-hour rainfall for a given recurrence interval and the mean height as explanatory variables. Flood quantiles at ungauged sites were estimated by Bayesian networks. Bayesian networks need to be learnt from a huge enough data set. As observational data are reduced, a stochastic generator of synthetic data was developed. Synthetic basin characteristics were randomised, keeping the statistical properties of observed physical and climatic variables in the homogeneous region. The synthetic flood quantiles were stochastically generated taking the regression equation as basis. The learnt Bayesian network was validated by the reliability diagram, the Brier Score and the ROC diagram, which are common measures used in the validation of probabilistic forecasts. Summarising, the flood quantile estimations through Bayesian networks supply information about the prediction uncertainty as a probability distribution function of discharges is given as result. Therefore, the Bayesian network model has application as a decision support for water resources and planning management.

Conserving the linear momentum in stochastic dynamics: Dissipative particle dynamics as a general strategy to achieve local thermostatization in molecular dynamics simulations.

PubMed

Passler, Peter P; Hofer, Thomas S

2017-02-15

Stochastic dynamics is a widely employed strategy to achieve local thermostatization in molecular dynamics simulation studies; however, it suffers from an inherent violation of momentum conservation. Although this short-coming has little impact on structural and short-time dynamic properties, it can be shown that dynamics in the long-time limit such as diffusion is strongly dependent on the respective thermostat setting. Application of the methodically similar dissipative particle dynamics (DPD) provides a simple, effective strategy to ensure the advantages of local, stochastic thermostatization while at the same time the linear momentum of the system remains conserved. In this work, the key parameters to employ the DPD thermostats in the framework of periodic boundary conditions are investigated, in particular the dependence of the system properties on the size of the DPD-region as well as the treatment of forces near the cutoff. Structural and dynamical data for light and heavy water as well as a Lennard-Jones fluid have been compared to simulations executed via stochastic dynamics as well as via use of the widely employed Nose-Hoover chain and Berendsen thermostats. It is demonstrated that a small size of the DPD region is sufficient to achieve local thermalization, while at the same time artifacts in the self-diffusion characteristic for stochastic dynamics are eliminated. © 2016 Wiley Periodicals, Inc. © 2016 Wiley Periodicals, Inc.

Stochastic Mixing Model with Power Law Decay of Variance

NASA Technical Reports Server (NTRS)

Fedotov, S.; Ihme, M.; Pitsch, H.

2003-01-01

Here we present a simple stochastic mixing model based on the law of large numbers (LLN). The reason why the LLN is involved in our formulation of the mixing problem is that the random conserved scalar c = c(t,x(t)) appears to behave as a sample mean. It converges to the mean value mu, while the variance sigma(sup 2)(sub c) (t) decays approximately as t(exp -1). Since the variance of the scalar decays faster than a sample mean (typically is greater than unity), we will introduce some non-linear modifications into the corresponding pdf-equation. The main idea is to develop a robust model which is independent from restrictive assumptions about the shape of the pdf. The remainder of this paper is organized as follows. In Section 2 we derive the integral equation from a stochastic difference equation describing the evolution of the pdf of a passive scalar in time. The stochastic difference equation introduces an exchange rate gamma(sub n) which we model in a first step as a deterministic function. In a second step, we generalize gamma(sub n) as a stochastic variable taking fluctuations in the inhomogeneous environment into account. In Section 3 we solve the non-linear integral equation numerically and analyze the influence of the different parameters on the decay rate. The paper finishes with a conclusion.

Simulation of stochastic wind action on transmission power lines

NASA Astrophysics Data System (ADS)

Wielgos, Piotr; Lipecki, Tomasz; Flaga, Andrzej

2018-01-01

The paper presents FEM analysis of the wind action on overhead transmission power lines. The wind action is based on a stochastic simulation of the wind field in several points of the structure and on the wind tunnel tests on aerodynamic coefficients of the single conductor consisting of three wires. In FEM calculations the section of the transmission power line composed of three spans is considered. Non-linear analysis with deadweight of the structure is performed first to obtain the deformed shape of conductors. Next, time-dependent wind forces are applied to respective points of conductors and non-linear dynamic analysis is carried out.

Self-diffusion in a stochastically heated two-dimensional dusty plasma

NASA Astrophysics Data System (ADS)

Sheridan, T. E.

2016-09-01

Diffusion in a two-dimensional dusty plasma liquid (i.e., a Yukawa liquid) is studied experimentally. The dusty plasma liquid is heated stochastically by a surrounding three-dimensional toroidal dusty plasma gas which acts as a thermal reservoir. The measured dust velocity distribution functions are isotropic Maxwellians, giving a well-defined kinetic temperature. The mean-square displacement for dust particles is found to increase linearly with time, indicating normal diffusion. The measured diffusion coefficients increase approximately linearly with temperature. The effective collision rate is dominated by collective dust-dust interactions rather than neutral gas drag, and is comparable to the dusty-plasma frequency.

Stochastic thermodynamics

NASA Astrophysics Data System (ADS)

Eichhorn, Ralf; Aurell, Erik

2014-04-01

'Stochastic thermodynamics as a conceptual framework combines the stochastic energetics approach introduced a decade ago by Sekimoto [1] with the idea that entropy can consistently be assigned to a single fluctuating trajectory [2]'. This quote, taken from Udo Seifert's [3] 2008 review, nicely summarizes the basic ideas behind stochastic thermodynamics: for small systems, driven by external forces and in contact with a heat bath at a well-defined temperature, stochastic energetics [4] defines the exchanged work and heat along a single fluctuating trajectory and connects them to changes in the internal (system) energy by an energy balance analogous to the first law of thermodynamics. Additionally, providing a consistent definition of trajectory-wise entropy production gives rise to second-law-like relations and forms the basis for a 'stochastic thermodynamics' along individual fluctuating trajectories. In order to construct meaningful concepts of work, heat and entropy production for single trajectories, their definitions are based on the stochastic equations of motion modeling the physical system of interest. Because of this, they are valid even for systems that are prevented from equilibrating with the thermal environment by external driving forces (or other sources of non-equilibrium). In that way, the central notions of equilibrium thermodynamics, such as heat, work and entropy, are consistently extended to the non-equilibrium realm. In the (non-equilibrium) ensemble, the trajectory-wise quantities acquire distributions. General statements derived within stochastic thermodynamics typically refer to properties of these distributions, and are valid in the non-equilibrium regime even beyond the linear response. The extension of statistical mechanics and of exact thermodynamic statements to the non-equilibrium realm has been discussed from the early days of statistical mechanics more than 100 years ago. This debate culminated in the development of linear response theory for small deviations from equilibrium, in which a general framework is constructed from the analysis of non-equilibrium states close to equilibrium. In a next step, Prigogine and others developed linear irreversible thermodynamics, which establishes relations between transport coefficients and entropy production on a phenomenological level in terms of thermodynamic forces and fluxes. However, beyond the realm of linear response no general theoretical results were available for quite a long time. This situation has changed drastically over the last 20 years with the development of stochastic thermodynamics, revealing that the range of validity of thermodynamic statements can indeed be extended deep into the non-equilibrium regime. Early developments in that direction trace back to the observations of symmetry relations between the probabilities for entropy production and entropy annihilation in non-equilibrium steady states [5-8] (nowadays categorized in the class of so-called detailed fluctuation theorems), and the derivations of the Bochkov-Kuzovlev [9, 10] and Jarzynski relations [11] (which are now classified as so-called integral fluctuation theorems). Apart from its fundamental theoretical interest, the developments in stochastic thermodynamics have experienced an additional boost from the recent experimental progress in fabricating, manipulating, controlling and observing systems on the micro- and nano-scale. These advances are not only of formidable use for probing and monitoring biological processes on the cellular, sub-cellular and molecular level, but even include the realization of a microscopic thermodynamic heat engine [12] or the experimental verification of Landauer's principle in a colloidal system [13]. The scientific program Stochastic Thermodynamics held between 4 and 15 March 2013, and hosted by The Nordic Institute for Theoretical Physics (Nordita), was attended by more than 50 scientists from the Nordic countries and elsewhere, amongst them many leading experts in the field. During the program, the most recent developments, open questions and new ideas in stochastic thermodynamics were presented and discussed. From the talks and debates, the notion of information in stochastic thermodynamics, the fundamental properties of entropy production (rate) in non-equilibrium, the efficiency of small thermodynamic machines and the characteristics of optimal protocols for the applied (cyclic) forces were crystallizing as main themes. Surprisingly, the long-studied adiabatic piston, its peculiarities and its relation to stochastic thermodynamics were also the subject of intense discussions. The comment on the Nordita program Stochastic Thermodynamics published in this issue of Physica Scripta exploits the Jarzynski relation for determining free energy differences in the adiabatic piston. This scientific program and the contribution presented here were made possible by the financial and administrative support of The Nordic Institute for Theoretical Physics.

Beer bottle whistling: a stochastic Hopf bifurcation

NASA Astrophysics Data System (ADS)

Boujo, Edouard; Bourquard, Claire; Xiong, Yuan; Noiray, Nicolas

2017-11-01

Blowing in a bottle to produce sound is a popular and yet intriguing entertainment. We reproduce experimentally the common observation that the bottle ``whistles'', i.e. produces a distinct tone, for large enough blowing velocity and over a finite interval of blowing angle. For a given set of parameters, the whistling frequency stays constant over time while the acoustic pressure amplitude fluctuates. Transverse oscillations of the shear layer in the bottle's neck are clearly identified with time-resolved particle image velocimetry (PIV) and proper orthogonal decomposition (POD). To account for these observations, we develop an analytical model of linear acoustic oscillator (the air in the bottle) subject to nonlinear stochastic forcing (the turbulent jet impacting the bottle's neck). We derive a stochastic differential equation and, from the associated Fokker-Planck equation and the measured acoustic pressure signals, we identify the model's parameters with an adjoint optimization technique. Results are further validated experimentally, and allow us to explain (i) the occurrence of whistling in terms of linear instability, and (ii) the amplitude of the limit cycle as a competition between linear growth rate, noise intensity, and nonlinear saturation. E. B. and N. N. acknowledge support by Repower and the ETH Zurich Foundation.

A non-linear dimension reduction methodology for generating data-driven stochastic input models

NASA Astrophysics Data System (ADS)

Ganapathysubramanian, Baskar; Zabaras, Nicholas

2008-06-01

Stochastic analysis of random heterogeneous media (polycrystalline materials, porous media, functionally graded materials) provides information of significance only if realistic input models of the topology and property variations are used. This paper proposes a framework to construct such input stochastic models for the topology and thermal diffusivity variations in heterogeneous media using a data-driven strategy. Given a set of microstructure realizations (input samples) generated from given statistical information about the medium topology, the framework constructs a reduced-order stochastic representation of the thermal diffusivity. This problem of constructing a low-dimensional stochastic representation of property variations is analogous to the problem of manifold learning and parametric fitting of hyper-surfaces encountered in image processing and psychology. Denote by M the set of microstructures that satisfy the given experimental statistics. A non-linear dimension reduction strategy is utilized to map M to a low-dimensional region, A. We first show that M is a compact manifold embedded in a high-dimensional input space Rn. An isometric mapping F from M to a low-dimensional, compact, connected set A⊂Rd(d≪n) is constructed. Given only a finite set of samples of the data, the methodology uses arguments from graph theory and differential geometry to construct the isometric transformation F:M→A. Asymptotic convergence of the representation of M by A is shown. This mapping F serves as an accurate, low-dimensional, data-driven representation of the property variations. The reduced-order model of the material topology and thermal diffusivity variations is subsequently used as an input in the solution of stochastic partial differential equations that describe the evolution of dependant variables. A sparse grid collocation strategy (Smolyak algorithm) is utilized to solve these stochastic equations efficiently. We showcase the methodology by constructing low-dimensional input stochastic models to represent thermal diffusivity in two-phase microstructures. This model is used in analyzing the effect of topological variations of two-phase microstructures on the evolution of temperature in heat conduction processes.

Stochastic processes, estimation theory and image enhancement

NASA Technical Reports Server (NTRS)

Assefi, T.

1978-01-01

An introductory account of stochastic processes, estimation theory, and image enhancement is presented. The book is primarily intended for first-year graduate students and practicing engineers and scientists whose work requires an acquaintance with the theory. Fundamental concepts of probability were reviewed that are required to support the main topics. The appendices discuss the remaining mathematical background.

A class of stochastic optimization problems with one quadratic & several linear objective functions and extended portfolio selection model

NASA Astrophysics Data System (ADS)

Xu, Jiuping; Li, Jun

2002-09-01

In this paper a class of stochastic multiple-objective programming problems with one quadratic, several linear objective functions and linear constraints has been introduced. The former model is transformed into a deterministic multiple-objective nonlinear programming model by means of the introduction of random variables' expectation. The reference direction approach is used to deal with linear objectives and results in a linear parametric optimization formula with a single linear objective function. This objective function is combined with the quadratic function using the weighted sums. The quadratic problem is transformed into a linear (parametric) complementary problem, the basic formula for the proposed approach. The sufficient and necessary conditions for (properly, weakly) efficient solutions and some construction characteristics of (weakly) efficient solution sets are obtained. An interactive algorithm is proposed based on reference direction and weighted sums. Varying the parameter vector on the right-hand side of the model, the DM can freely search the efficient frontier with the model. An extended portfolio selection model is formed when liquidity is considered as another objective to be optimized besides expectation and risk. The interactive approach is illustrated with a practical example.

Kalman filter parameter estimation for a nonlinear diffusion model of epithelial cell migration using stochastic collocation and the Karhunen-Loeve expansion.

PubMed

Barber, Jared; Tanase, Roxana; Yotov, Ivan

2016-06-01

Several Kalman filter algorithms are presented for data assimilation and parameter estimation for a nonlinear diffusion model of epithelial cell migration. These include the ensemble Kalman filter with Monte Carlo sampling and a stochastic collocation (SC) Kalman filter with structured sampling. Further, two types of noise are considered -uncorrelated noise resulting in one stochastic dimension for each element of the spatial grid and correlated noise parameterized by the Karhunen-Loeve (KL) expansion resulting in one stochastic dimension for each KL term. The efficiency and accuracy of the four methods are investigated for two cases with synthetic data with and without noise, as well as data from a laboratory experiment. While it is observed that all algorithms perform reasonably well in matching the target solution and estimating the diffusion coefficient and the growth rate, it is illustrated that the algorithms that employ SC and KL expansion are computationally more efficient, as they require fewer ensemble members for comparable accuracy. In the case of SC methods, this is due to improved approximation in stochastic space compared to Monte Carlo sampling. In the case of KL methods, the parameterization of the noise results in a stochastic space of smaller dimension. The most efficient method is the one combining SC and KL expansion. Copyright © 2016 Elsevier Inc. All rights reserved.

Modelling the cancer growth process by Stochastic Differential Equations with the effect of Chondroitin Sulfate (CS) as anticancer therapeutics

NASA Astrophysics Data System (ADS)

Syahidatul Ayuni Mazlan, Mazma; Rosli, Norhayati; Jauhari Arief Ichwan, Solachuddin; Suhaity Azmi, Nina

2017-09-01

A stochastic model is introduced to describe the growth of cancer affected by anti-cancer therapeutics of Chondroitin Sulfate (CS). The parameters values of the stochastic model are estimated via maximum likelihood function. The numerical method of Euler-Maruyama will be employed to solve the model numerically. The efficiency of the stochastic model is measured by comparing the simulated result with the experimental data.

On the impact of a refined stochastic model for airborne LiDAR measurements

NASA Astrophysics Data System (ADS)

Bolkas, Dimitrios; Fotopoulos, Georgia; Glennie, Craig

2016-09-01

Accurate topographic information is critical for a number of applications in science and engineering. In recent years, airborne light detection and ranging (LiDAR) has become a standard tool for acquiring high quality topographic information. The assessment of airborne LiDAR derived DEMs is typically based on (i) independent ground control points and (ii) forward error propagation utilizing the LiDAR geo-referencing equation. The latter approach is dependent on the stochastic model information of the LiDAR observation components. In this paper, the well-known statistical tool of variance component estimation (VCE) is implemented for a dataset in Houston, Texas, in order to refine the initial stochastic information. Simulations demonstrate the impact of stochastic-model refinement for two practical applications, namely coastal inundation mapping and surface displacement estimation. Results highlight scenarios where erroneous stochastic information is detrimental. Furthermore, the refined stochastic information provides insights on the effect of each LiDAR measurement in the airborne LiDAR error budget. The latter is important for targeting future advancements in order to improve point cloud accuracy.

The simulation of the non-Markovian behaviour of a two-level system

NASA Astrophysics Data System (ADS)

Semina, I.; Petruccione, F.

2016-05-01

Non-Markovian relaxation dynamics of a two-level system is studied with the help of the non-linear stochastic Schrödinger equation with coloured Ornstein-Uhlenbeck noise. This stochastic Schrödinger equation is investigated numerically with an adapted Platen scheme. It is shown, that the memory effects have a significant impact to the dynamics of the system.

Research in Stochastic Processes.

DTIC Science & Technology

1983-10-01

increases. A more detailed investigation for the exceedances themselves (rather than Just the cluster centers) was undertaken, together with J. HUsler and...J. HUsler and M.R. Leadbetter, Compoung Poisson limit theorems for high level exceedances by stationary sequences, Center for Stochastic Processes...stability by a random linear operator. C.D. Hardin, General (asymmetric) stable variables and processes. T. Hsing, J. HUsler and M.R. Leadbetter, Compound

Effect of non-linear fluid pressure diffusion on modeling induced seismicity during reservoir stimulation

NASA Astrophysics Data System (ADS)

Gischig, V.; Goertz-Allmann, B. P.; Bachmann, C. E.; Wiemer, S.

2012-04-01

Success of future enhanced geothermal systems relies on an appropriate pre-estimate of seismic risk associated with fluid injection at high pressure. A forward-model based on a semi-stochastic approach was created, which is able to compute synthetic earthquake catalogues. It proved to be able to reproduce characteristics of the seismic cloud detected during the geothermal project in Basel (Switzerland), such as radial dependence of stress drop and b-values as well as higher probability of large magnitude earthquakes (M>3) after shut-in. The modeling strategy relies on a simplistic fluid pressure model used to trigger failure points (so-called seeds) that are randomly distributed around an injection well. The seed points are assigned principal stress magnitudes drawn from Gaussian distributions representative of the ambient stress field. Once the effective stress state at a seed point meets a pre-defined Mohr-Coulomb failure criterion due to a fluid pressure increase a seismic event is induced. We assume a negative linear relationship between b-values and differential stress. Thus, for each event a magnitude can be drawn from a Gutenberg-Richter distribution with a b-value corresponding to differential stress at failure. The result is a seismic cloud evolving in time and space. Triggering of seismic events depends on appropriately calculating the transient fluid pressure field. Hence an effective continuum reservoir model able to reasonably reproduce the hydraulic behavior of the reservoir during stimulation is required. While analytical solutions for pressure diffusion are computationally efficient, they rely on linear pressure diffusion with constant hydraulic parameters, and only consider well head pressure while neglecting fluid injection rate. They cannot be considered appropriate in a stimulation experiment where permeability irreversibly increases by orders of magnitude during injection. We here suggest a numerical continuum model of non-linear pressure diffusion. Permeability increases both reversibly and, if a certain pressure threshold is reached, irreversibly in the form of a smoothed step-function. The models are able to reproduce realistic well head pressure magnitudes for injection rates common during reservoir stimulation. We connect this numerical model with the semi-stochastic seismicity model, and demonstrate the role of non-linear pressure diffusion on earthquakes probability estimates. We further use the model to explore various injection histories to assess the dependence of seismicity on injection strategy. It allows to qualitatively explore the probability of larger magnitude earthquakes (M>3) for different injection volumes, injection times, as well as injection build-up and shut-in strategies.

Sequential state estimation of nonlinear/non-Gaussian systems with stochastic input for turbine degradation estimation

NASA Astrophysics Data System (ADS)

Hanachi, Houman; Liu, Jie; Banerjee, Avisekh; Chen, Ying

2016-05-01

Health state estimation of inaccessible components in complex systems necessitates effective state estimation techniques using the observable variables of the system. The task becomes much complicated when the system is nonlinear/non-Gaussian and it receives stochastic input. In this work, a novel sequential state estimation framework is developed based on particle filtering (PF) scheme for state estimation of general class of nonlinear dynamical systems with stochastic input. Performance of the developed framework is then validated with simulation on a Bivariate Non-stationary Growth Model (BNGM) as a benchmark. In the next step, three-year operating data of an industrial gas turbine engine (GTE) are utilized to verify the effectiveness of the developed framework. A comprehensive thermodynamic model for the GTE is therefore developed to formulate the relation of the observable parameters and the dominant degradation symptoms of the turbine, namely, loss of isentropic efficiency and increase of the mass flow. The results confirm the effectiveness of the developed framework for simultaneous estimation of multiple degradation symptoms in complex systems with noisy measured inputs.

Constrained model predictive control, state estimation and coordination

NASA Astrophysics Data System (ADS)

Yan, Jun

In this dissertation, we study the interaction between the control performance and the quality of the state estimation in a constrained Model Predictive Control (MPC) framework for systems with stochastic disturbances. This consists of three parts: (i) the development of a constrained MPC formulation that adapts to the quality of the state estimation via constraints; (ii) the application of such a control law in a multi-vehicle formation coordinated control problem in which each vehicle operates subject to a no-collision constraint posed by others' imperfect prediction computed from finite bit-rate, communicated data; (iii) the design of the predictors and the communication resource assignment problem that satisfy the performance requirement from Part (ii). Model Predictive Control (MPC) is of interest because it is one of the few control design methods which preserves standard design variables and yet handles constraints. MPC is normally posed as a full-state feedback control and is implemented in a certainty-equivalence fashion with best estimates of the states being used in place of the exact state. However, if the state constraints were handled in the same certainty-equivalence fashion, the resulting control law could drive the real state to violate the constraints frequently. Part (i) focuses on exploring the inclusion of state estimates into the constraints. It does this by applying constrained MPC to a system with stochastic disturbances. The stochastic nature of the problem requires re-posing the constraints in a probabilistic form. In Part (ii), we consider applying constrained MPC as a local control law in a coordinated control problem of a group of distributed autonomous systems. Interactions between the systems are captured via constraints. First, we inspect the application of constrained MPC to a completely deterministic case. Formation stability theorems are derived for the subsystems and conditions on the local constraint set are derived in order to guarantee local stability or convergence to a target state. If these conditions are met for all subsystems, then this stability is inherited by the overall system. For the case when each subsystem suffers from disturbances in the dynamics, own self-measurement noises, and quantization errors on neighbors' information due to the finite-bit-rate channels, the constrained MPC strategy developed in Part (i) is appropriate to apply. In Part (iii), we discuss the local predictor design and bandwidth assignment problem in a coordinated vehicle formation context. The MPC controller used in Part (ii) relates the formation control performance and the information quality in the way that large standoff implies conservative performance. We first develop an LMI (Linear Matrix Inequality) formulation for cross-estimator design in a simple two-vehicle scenario with non-standard information: one vehicle does not have access to the other's exact control value applied at each sampling time, but to its known, pre-computed, coupling linear feedback control law. Then a similar LMI problem is formulated for the bandwidth assignment problem that minimizes the total number of bits by adjusting the prediction gain matrices and the number of bits assigned to each variable. (Abstract shortened by UMI.)

Investigation for improving Global Positioning System (GPS) orbits using a discrete sequential estimator and stochastic models of selected physical processes

NASA Technical Reports Server (NTRS)

Goad, Clyde C.; Chadwell, C. David

1993-01-01

GEODYNII is a conventional batch least-squares differential corrector computer program with deterministic models of the physical environment. Conventional algorithms were used to process differenced phase and pseudorange data to determine eight-day Global Positioning system (GPS) orbits with several meter accuracy. However, random physical processes drive the errors whose magnitudes prevent improving the GPS orbit accuracy. To improve the orbit accuracy, these random processes should be modeled stochastically. The conventional batch least-squares algorithm cannot accommodate stochastic models, only a stochastic estimation algorithm is suitable, such as a sequential filter/smoother. Also, GEODYNII cannot currently model the correlation among data values. Differenced pseudorange, and especially differenced phase, are precise data types that can be used to improve the GPS orbit precision. To overcome these limitations and improve the accuracy of GPS orbits computed using GEODYNII, we proposed to develop a sequential stochastic filter/smoother processor by using GEODYNII as a type of trajectory preprocessor. Our proposed processor is now completed. It contains a correlated double difference range processing capability, first order Gauss Markov models for the solar radiation pressure scale coefficient and y-bias acceleration, and a random walk model for the tropospheric refraction correction. The development approach was to interface the standard GEODYNII output files (measurement partials and variationals) with software modules containing the stochastic estimator, the stochastic models, and a double differenced phase range processing routine. Thus, no modifications to the original GEODYNII software were required. A schematic of the development is shown. The observational data are edited in the preprocessor and the data are passed to GEODYNII as one of its standard data types. A reference orbit is determined using GEODYNII as a batch least-squares processor and the GEODYNII measurement partial (FTN90) and variational (FTN80, V-matrix) files are generated. These two files along with a control statement file and a satellite identification and mass file are passed to the filter/smoother to estimate time-varying parameter states at each epoch, improved satellite initial elements, and improved estimates of constant parameters.

Importance sampling variance reduction for the Fokker–Planck rarefied gas particle method

DOE Office of Scientific and Technical Information (OSTI.GOV)

Collyer, B.S., E-mail: benjamin.collyer@gmail.com; London Mathematical Laboratory, 14 Buckingham Street, London WC2N 6DF; Connaughton, C.

The Fokker–Planck approximation to the Boltzmann equation, solved numerically by stochastic particle schemes, is used to provide estimates for rarefied gas flows. This paper presents a variance reduction technique for a stochastic particle method that is able to greatly reduce the uncertainty of the estimated flow fields when the characteristic speed of the flow is small in comparison to the thermal velocity of the gas. The method relies on importance sampling, requiring minimal changes to the basic stochastic particle scheme. We test the importance sampling scheme on a homogeneous relaxation, planar Couette flow and a lid-driven-cavity flow, and find thatmore » our method is able to greatly reduce the noise of estimated quantities. Significantly, we find that as the characteristic speed of the flow decreases, the variance of the noisy estimators becomes independent of the characteristic speed.« less

Essays on variational approximation techniques for stochastic optimization problems

NASA Astrophysics Data System (ADS)

Deride Silva, Julio A.

This dissertation presents five essays on approximation and modeling techniques, based on variational analysis, applied to stochastic optimization problems. It is divided into two parts, where the first is devoted to equilibrium problems and maxinf optimization, and the second corresponds to two essays in statistics and uncertainty modeling. Stochastic optimization lies at the core of this research as we were interested in relevant equilibrium applications that contain an uncertain component, and the design of a solution strategy. In addition, every stochastic optimization problem relies heavily on the underlying probability distribution that models the uncertainty. We studied these distributions, in particular, their design process and theoretical properties such as their convergence. Finally, the last aspect of stochastic optimization that we covered is the scenario creation problem, in which we described a procedure based on a probabilistic model to create scenarios for the applied problem of power estimation of renewable energies. In the first part, Equilibrium problems and maxinf optimization, we considered three Walrasian equilibrium problems: from economics, we studied a stochastic general equilibrium problem in a pure exchange economy, described in Chapter 3, and a stochastic general equilibrium with financial contracts, in Chapter 4; finally from engineering, we studied an infrastructure planning problem in Chapter 5. We stated these problems as belonging to the maxinf optimization class and, in each instance, we provided an approximation scheme based on the notion of lopsided convergence and non-concave duality. This strategy is the foundation of the augmented Walrasian algorithm, whose convergence is guaranteed by lopsided convergence, that was implemented computationally, obtaining numerical results for relevant examples. The second part, Essays about statistics and uncertainty modeling, contains two essays covering a convergence problem for a sequence of estimators, and a problem for creating probabilistic scenarios on renewable energies estimation. In Chapter 7 we re-visited one of the "folk theorems" in statistics, where a family of Bayes estimators under 0-1 loss functions is claimed to converge to the maximum a posteriori estimator. This assertion is studied under the scope of the hypo-convergence theory, and the density functions are included in the class of upper semicontinuous functions. We conclude this chapter with an example in which the convergence does not hold true, and we provided sufficient conditions that guarantee convergence. The last chapter, Chapter 8, addresses the important topic of creating probabilistic scenarios for solar power generation. Scenarios are a fundamental input for the stochastic optimization problem of energy dispatch, especially when incorporating renewables. We proposed a model designed to capture the constraints induced by physical characteristics of the variables based on the application of an epi-spline density estimation along with a copula estimation, in order to account for partial correlations between variables.

Modeling precipitation-runoff relationships to determine water yield from a ponderosa pine forest watershed

Treesearch

Assefa S. Desta

2006-01-01

A stochastic precipitation-runoff modeling is used to estimate a cold and warm-seasons water yield from a ponderosa pine forested watershed in the north-central Arizona. The model consists of two parts namely, simulation of the temporal and spatial distribution of precipitation using a stochastic, event-based approach and estimation of water yield from the watershed...

Disease mapping based on stochastic SIR-SI model for Dengue and Chikungunya in Malaysia

NASA Astrophysics Data System (ADS)

Samat, N. A.; Ma'arof, S. H. Mohd Imam

2014-12-01

This paper describes and demonstrates a method for relative risk estimation which is based on the stochastic SIR-SI vector-borne infectious disease transmission model specifically for Dengue and Chikungunya diseases in Malaysia. Firstly, the common compartmental model for vector-borne infectious disease transmission called the SIR-SI model (susceptible-infective-recovered for human populations; susceptible-infective for vector populations) is presented. This is followed by the explanations on the stochastic SIR-SI model which involve the Bayesian description. This stochastic model then is used in the relative risk formulation in order to obtain the posterior relative risk estimation. Then, this relative estimation model is demonstrated using Dengue and Chikungunya data of Malaysia. The viruses of these diseases are transmitted by the same type of female vector mosquito named Aedes Aegypti and Aedes Albopictus. Finally, the findings of the analysis of relative risk estimation for both Dengue and Chikungunya diseases are presented, compared and displayed in graphs and maps. The distribution from risk maps show the high and low risk area of Dengue and Chikungunya diseases occurrence. This map can be used as a tool for the prevention and control strategies for both diseases.

Disease mapping based on stochastic SIR-SI model for Dengue and Chikungunya in Malaysia

DOE Office of Scientific and Technical Information (OSTI.GOV)

Samat, N. A.; Ma'arof, S. H. Mohd Imam

This paper describes and demonstrates a method for relative risk estimation which is based on the stochastic SIR-SI vector-borne infectious disease transmission model specifically for Dengue and Chikungunya diseases in Malaysia. Firstly, the common compartmental model for vector-borne infectious disease transmission called the SIR-SI model (susceptible-infective-recovered for human populations; susceptible-infective for vector populations) is presented. This is followed by the explanations on the stochastic SIR-SI model which involve the Bayesian description. This stochastic model then is used in the relative risk formulation in order to obtain the posterior relative risk estimation. Then, this relative estimation model is demonstrated using Denguemore » and Chikungunya data of Malaysia. The viruses of these diseases are transmitted by the same type of female vector mosquito named Aedes Aegypti and Aedes Albopictus. Finally, the findings of the analysis of relative risk estimation for both Dengue and Chikungunya diseases are presented, compared and displayed in graphs and maps. The distribution from risk maps show the high and low risk area of Dengue and Chikungunya diseases occurrence. This map can be used as a tool for the prevention and control strategies for both diseases.« less

A stochastic hybrid systems based framework for modeling dependent failure processes

PubMed Central

Fan, Mengfei; Zeng, Zhiguo; Zio, Enrico; Kang, Rui; Chen, Ying

2017-01-01

In this paper, we develop a framework to model and analyze systems that are subject to dependent, competing degradation processes and random shocks. The degradation processes are described by stochastic differential equations, whereas transitions between the system discrete states are triggered by random shocks. The modeling is, then, based on Stochastic Hybrid Systems (SHS), whose state space is comprised of a continuous state determined by stochastic differential equations and a discrete state driven by stochastic transitions and reset maps. A set of differential equations are derived to characterize the conditional moments of the state variables. System reliability and its lower bounds are estimated from these conditional moments, using the First Order Second Moment (FOSM) method and Markov inequality, respectively. The developed framework is applied to model three dependent failure processes from literature and a comparison is made to Monte Carlo simulations. The results demonstrate that the developed framework is able to yield an accurate estimation of reliability with less computational costs compared to traditional Monte Carlo-based methods. PMID:28231313

A stochastic hybrid systems based framework for modeling dependent failure processes.

PubMed

Fan, Mengfei; Zeng, Zhiguo; Zio, Enrico; Kang, Rui; Chen, Ying

2017-01-01

In this paper, we develop a framework to model and analyze systems that are subject to dependent, competing degradation processes and random shocks. The degradation processes are described by stochastic differential equations, whereas transitions between the system discrete states are triggered by random shocks. The modeling is, then, based on Stochastic Hybrid Systems (SHS), whose state space is comprised of a continuous state determined by stochastic differential equations and a discrete state driven by stochastic transitions and reset maps. A set of differential equations are derived to characterize the conditional moments of the state variables. System reliability and its lower bounds are estimated from these conditional moments, using the First Order Second Moment (FOSM) method and Markov inequality, respectively. The developed framework is applied to model three dependent failure processes from literature and a comparison is made to Monte Carlo simulations. The results demonstrate that the developed framework is able to yield an accurate estimation of reliability with less computational costs compared to traditional Monte Carlo-based methods.

Tensor methods for parameter estimation and bifurcation analysis of stochastic reaction networks

PubMed Central

Liao, Shuohao; Vejchodský, Tomáš; Erban, Radek

2015-01-01

Stochastic modelling of gene regulatory networks provides an indispensable tool for understanding how random events at the molecular level influence cellular functions. A common challenge of stochastic models is to calibrate a large number of model parameters against the experimental data. Another difficulty is to study how the behaviour of a stochastic model depends on its parameters, i.e. whether a change in model parameters can lead to a significant qualitative change in model behaviour (bifurcation). In this paper, tensor-structured parametric analysis (TPA) is developed to address these computational challenges. It is based on recently proposed low-parametric tensor-structured representations of classical matrices and vectors. This approach enables simultaneous computation of the model properties for all parameter values within a parameter space. The TPA is illustrated by studying the parameter estimation, robustness, sensitivity and bifurcation structure in stochastic models of biochemical networks. A Matlab implementation of the TPA is available at http://www.stobifan.org. PMID:26063822

Methods of Stochastic Analysis of Complex Regimes in the 3D Hindmarsh-Rose Neuron Model

NASA Astrophysics Data System (ADS)

Bashkirtseva, Irina; Ryashko, Lev; Slepukhina, Evdokia

A problem of the stochastic nonlinear analysis of neuronal activity is studied by the example of the Hindmarsh-Rose (HR) model. For the parametric region of tonic spiking oscillations, it is shown that random noise transforms the spiking dynamic regime into the bursting one. This stochastic phenomenon is specified by qualitative changes in distributions of random trajectories and interspike intervals (ISIs). For a quantitative analysis of the noise-induced bursting, we suggest a constructive semi-analytical approach based on the stochastic sensitivity function (SSF) technique and the method of confidence domains that allows us to describe geometrically a distribution of random states around the deterministic attractors. Using this approach, we develop a new algorithm for estimation of critical values for the noise intensity corresponding to the qualitative changes in stochastic dynamics. We show that the obtained estimations are in good agreement with the numerical results. An interplay between noise-induced bursting and transitions from order to chaos is discussed.

Tensor methods for parameter estimation and bifurcation analysis of stochastic reaction networks.

PubMed

Liao, Shuohao; Vejchodský, Tomáš; Erban, Radek

2015-07-06

Stochastic modelling of gene regulatory networks provides an indispensable tool for understanding how random events at the molecular level influence cellular functions. A common challenge of stochastic models is to calibrate a large number of model parameters against the experimental data. Another difficulty is to study how the behaviour of a stochastic model depends on its parameters, i.e. whether a change in model parameters can lead to a significant qualitative change in model behaviour (bifurcation). In this paper, tensor-structured parametric analysis (TPA) is developed to address these computational challenges. It is based on recently proposed low-parametric tensor-structured representations of classical matrices and vectors. This approach enables simultaneous computation of the model properties for all parameter values within a parameter space. The TPA is illustrated by studying the parameter estimation, robustness, sensitivity and bifurcation structure in stochastic models of biochemical networks. A Matlab implementation of the TPA is available at http://www.stobifan.org.

On some stochastic formulations and related statistical moments of pharmacokinetic models.

PubMed

Matis, J H; Wehrly, T E; Metzler, C M

1983-02-01

This paper presents the deterministic and stochastic model for a linear compartment system with constant coefficients, and it develops expressions for the mean residence times (MRT) and the variances of the residence times (VRT) for the stochastic model. The expressions are relatively simple computationally, involving primarily matrix inversion, and they are elegant mathematically, in avoiding eigenvalue analysis and the complex domain. The MRT and VRT provide a set of new meaningful response measures for pharmacokinetic analysis and they give added insight into the system kinetics. The new analysis is illustrated with an example involving the cholesterol turnover in rats.

Stochastic Feshbach Projection for the Dynamics of Open Quantum Systems

NASA Astrophysics Data System (ADS)

Link, Valentin; Strunz, Walter T.

2017-11-01

We present a stochastic projection formalism for the description of quantum dynamics in bosonic or spin environments. The Schrödinger equation in the coherent state representation with respect to the environmental degrees of freedom can be reformulated by employing the Feshbach partitioning technique for open quantum systems based on the introduction of suitable non-Hermitian projection operators. In this picture the reduced state of the system can be obtained as a stochastic average over pure state trajectories, for any temperature of the bath. The corresponding non-Markovian stochastic Schrödinger equations include a memory integral over the past states. In the case of harmonic environments and linear coupling the approach gives a new form of the established non-Markovian quantum state diffusion stochastic Schrödinger equation without functional derivatives. Utilizing spin coherent states, the evolution equation for spin environments resembles the bosonic case with, however, a non-Gaussian average for the reduced density operator.

Identification and stochastic control of helicopter dynamic modes

NASA Technical Reports Server (NTRS)

Molusis, J. A.; Bar-Shalom, Y.

1983-01-01

A general treatment of parameter identification and stochastic control for use on helicopter dynamic systems is presented. Rotor dynamic models, including specific applications to rotor blade flapping and the helicopter ground resonance problem are emphasized. Dynamic systems which are governed by periodic coefficients as well as constant coefficient models are addressed. The dynamic systems are modeled by linear state variable equations which are used in the identification and stochastic control formulation. The pure identification problem as well as the stochastic control problem which includes combined identification and control for dynamic systems is addressed. The stochastic control problem includes the effect of parameter uncertainty on the solution and the concept of learning and how this is affected by the control's duel effect. The identification formulation requires algorithms suitable for on line use and thus recursive identification algorithms are considered. The applications presented use the recursive extended kalman filter for parameter identification which has excellent convergence for systems without process noise.

Trends in modern system theory

NASA Technical Reports Server (NTRS)

Athans, M.

1976-01-01

The topics considered are related to linear control system design, adaptive control, failure detection, control under failure, system reliability, and large-scale systems and decentralized control. It is pointed out that the design of a linear feedback control system which regulates a process about a desirable set point or steady-state condition in the presence of disturbances is a very important problem. The linearized dynamics of the process are used for design purposes. The typical linear-quadratic design involving the solution of the optimal control problem of a linear time-invariant system with respect to a quadratic performance criterion is considered along with gain reduction theorems and the multivariable phase margin theorem. The stumbling block in many adaptive design methodologies is associated with the amount of real time computation which is necessary. Attention is also given to the desperate need to develop good theories for large-scale systems, the beginning of a microprocessor revolution, the translation of the Wiener-Hopf theory into the time domain, and advances made in dynamic team theory, dynamic stochastic games, and finite memory stochastic control.

Simultaneous estimation of deterministic and fractal stochastic components in non-stationary time series

NASA Astrophysics Data System (ADS)

García, Constantino A.; Otero, Abraham; Félix, Paulo; Presedo, Jesús; Márquez, David G.

2018-07-01

In the past few decades, it has been recognized that 1 / f fluctuations are ubiquitous in nature. The most widely used mathematical models to capture the long-term memory properties of 1 / f fluctuations have been stochastic fractal models. However, physical systems do not usually consist of just stochastic fractal dynamics, but they often also show some degree of deterministic behavior. The present paper proposes a model based on fractal stochastic and deterministic components that can provide a valuable basis for the study of complex systems with long-term correlations. The fractal stochastic component is assumed to be a fractional Brownian motion process and the deterministic component is assumed to be a band-limited signal. We also provide a method that, under the assumptions of this model, is able to characterize the fractal stochastic component and to provide an estimate of the deterministic components present in a given time series. The method is based on a Bayesian wavelet shrinkage procedure that exploits the self-similar properties of the fractal processes in the wavelet domain. This method has been validated over simulated signals and over real signals with economical and biological origin. Real examples illustrate how our model may be useful for exploring the deterministic-stochastic duality of complex systems, and uncovering interesting patterns present in time series.

Study on individual stochastic model of GNSS observations for precise kinematic applications

NASA Astrophysics Data System (ADS)

Próchniewicz, Dominik; Szpunar, Ryszard

2015-04-01

The proper definition of mathematical positioning model, which is defined by functional and stochastic models, is a prerequisite to obtain the optimal estimation of unknown parameters. Especially important in this definition is realistic modelling of stochastic properties of observations, which are more receiver-dependent and time-varying than deterministic relationships. This is particularly true with respect to precise kinematic applications which are characterized by weakening model strength. In this case, incorrect or simplified definition of stochastic model causes that the performance of ambiguity resolution and accuracy of position estimation can be limited. In this study we investigate the methods of describing the measurement noise of GNSS observations and its impact to derive precise kinematic positioning model. In particular stochastic modelling of individual components of the variance-covariance matrix of observation noise performed using observations from a very short baseline and laboratory GNSS signal generator, is analyzed. Experimental test results indicate that the utilizing the individual stochastic model of observations including elevation dependency and cross-correlation instead of assumption that raw measurements are independent with the same variance improves the performance of ambiguity resolution as well as rover positioning accuracy. This shows that the proposed stochastic assessment method could be a important part in complex calibration procedure of GNSS equipment.

Application of an NLME-Stochastic Deconvolution Approach to Level A IVIVC Modeling.

PubMed

Kakhi, Maziar; Suarez-Sharp, Sandra; Shepard, Terry; Chittenden, Jason

2017-07-01

Stochastic deconvolution is a parameter estimation method that calculates drug absorption using a nonlinear mixed-effects model in which the random effects associated with absorption represent a Wiener process. The present work compares (1) stochastic deconvolution and (2) numerical deconvolution, using clinical pharmacokinetic (PK) data generated for an in vitro-in vivo correlation (IVIVC) study of extended release (ER) formulations of a Biopharmaceutics Classification System class III drug substance. The preliminary analysis found that numerical and stochastic deconvolution yielded superimposable fraction absorbed (F abs ) versus time profiles when supplied with exactly the same externally determined unit impulse response parameters. In a separate analysis, a full population-PK/stochastic deconvolution was applied to the clinical PK data. Scenarios were considered in which immediate release (IR) data were either retained or excluded to inform parameter estimation. The resulting F abs profiles were then used to model level A IVIVCs. All the considered stochastic deconvolution scenarios, and numerical deconvolution, yielded on average similar results with respect to the IVIVC validation. These results could be achieved with stochastic deconvolution without recourse to IR data. Unlike numerical deconvolution, this also implies that in crossover studies where certain individuals do not receive an IR treatment, their ER data alone can still be included as part of the IVIVC analysis. Published by Elsevier Inc.

Network Adjustment of Orbit Errors in SAR Interferometry

NASA Astrophysics Data System (ADS)

Bahr, Hermann; Hanssen, Ramon

2010-03-01

Orbit errors can induce significant long wavelength error signals in synthetic aperture radar (SAR) interferograms and thus bias estimates of wide-scale deformation phenomena. The presented approach aims for correcting orbit errors in a preprocessing step to deformation analysis by modifying state vectors. Whereas absolute errors in the orbital trajectory are negligible, the influence of relative errors (baseline errors) is parametrised by their parallel and perpendicular component as a linear function of time. As the sensitivity of the interferometric phase is only significant with respect to the perpendicular base-line and the rate of change of the parallel baseline, the algorithm focuses on estimating updates to these two parameters. This is achieved by a least squares approach, where the unwrapped residual interferometric phase is observed and atmospheric contributions are considered to be stochastic with constant mean. To enhance reliability, baseline errors are adjusted in an overdetermined network of interferograms, yielding individual orbit corrections per acquisition.

Distance estimation and collision prediction for on-line robotic motion planning

NASA Technical Reports Server (NTRS)

Kyriakopoulos, K. J.; Saridis, G. N.

1991-01-01

An efficient method for computing the minimum distance and predicting collisions between moving objects is presented. This problem has been incorporated in the framework of an in-line motion planning algorithm to satisfy collision avoidance between a robot and moving objects modeled as convex polyhedra. In the beginning the deterministic problem, where the information about the objects is assumed to be certain is examined. If instead of the Euclidean norm, L(sub 1) or L(sub infinity) norms are used to represent distance, the problem becomes a linear programming problem. The stochastic problem is formulated, where the uncertainty is induced by sensing and the unknown dynamics of the moving obstacles. Two problems are considered: (1) filtering of the minimum distance between the robot and the moving object, at the present time; and (2) prediction of the minimum distance in the future, in order to predict possible collisions with the moving obstacles and estimate the collision time.

Estimating radiative feedbacks from stochastic fluctuations in surface temperature and energy imbalance

NASA Astrophysics Data System (ADS)

Proistosescu, C.; Donohoe, A.; Armour, K.; Roe, G.; Stuecker, M. F.; Bitz, C. M.

2017-12-01

Joint observations of global surface temperature and energy imbalance provide for a unique opportunity to empirically constrain radiative feedbacks. However, the satellite record of Earth's radiative imbalance is relatively short and dominated by stochastic fluctuations. Estimates of radiative feedbacks obtained by regressing energy imbalance against surface temperature depend strongly on sampling choices and on assumptions about whether the stochastic fluctuations are primarily forced by atmospheric or oceanic variability (e.g. Murphy and Forster 2010, Dessler 2011, Spencer and Braswell 2011, Forster 2016). We develop a framework around a stochastic energy balance model that allows us to parse the different contributions of atmospheric and oceanic forcing based on their differing impacts on the covariance structure - or lagged regression - of temperature and radiative imbalance. We validate the framework in a hierarchy of general circulation models: the impact of atmospheric forcing is examined in unforced control simulations of fixed sea-surface temperature and slab ocean model versions; the impact of oceanic forcing is examined in coupled simulations with prescribed ENSO variability. With the impact of atmospheric and oceanic forcing constrained, we are able to predict the relationship between temperature and radiative imbalance in a fully coupled control simulation, finding that both forcing sources are needed to explain the structure of the lagged-regression. We further model the dependence of feedback estimates on sampling interval by considering the effects of a finite equilibration time for the atmosphere, and issues of smoothing and aliasing. Finally, we develop a method to fit the stochastic model to the short timeseries of temperature and radiative imbalance by performing a Bayesian inference based on a modified version of the spectral Whittle likelihood. We are thus able to place realistic joint uncertainty estimates on both stochastic forcing and radiative feedbacks derived from observational records. We find that these records are, as of yet, too short to be useful in constraining radiative feedbacks, and we provide estimates of how the uncertainty narrows as a function of record length.

Improving Forecasts Through Realistic Uncertainty Estimates: A Novel Data Driven Method for Model Uncertainty Quantification in Data Assimilation

NASA Astrophysics Data System (ADS)

Pathiraja, S. D.; Moradkhani, H.; Marshall, L. A.; Sharma, A.; Geenens, G.

2016-12-01

Effective combination of model simulations and observations through Data Assimilation (DA) depends heavily on uncertainty characterisation. Many traditional methods for quantifying model uncertainty in DA require some level of subjectivity (by way of tuning parameters or by assuming Gaussian statistics). Furthermore, the focus is typically on only estimating the first and second moments. We propose a data-driven methodology to estimate the full distributional form of model uncertainty, i.e. the transition density p(xt|xt-1). All sources of uncertainty associated with the model simulations are considered collectively, without needing to devise stochastic perturbations for individual components (such as model input, parameter and structural uncertainty). A training period is used to derive the distribution of errors in observed variables conditioned on hidden states. Errors in hidden states are estimated from the conditional distribution of observed variables using non-linear optimization. The theory behind the framework and case study applications are discussed in detail. Results demonstrate improved predictions and more realistic uncertainty bounds compared to a standard perturbation approach.

Improving stochastic estimates with inference methods: calculating matrix diagonals.

PubMed

Selig, Marco; Oppermann, Niels; Ensslin, Torsten A

2012-02-01

Estimating the diagonal entries of a matrix, that is not directly accessible but only available as a linear operator in the form of a computer routine, is a common necessity in many computational applications, especially in image reconstruction and statistical inference. Here, methods of statistical inference are used to improve the accuracy or the computational costs of matrix probing methods to estimate matrix diagonals. In particular, the generalized Wiener filter methodology, as developed within information field theory, is shown to significantly improve estimates based on only a few sampling probes, in cases in which some form of continuity of the solution can be assumed. The strength, length scale, and precise functional form of the exploited autocorrelation function of the matrix diagonal is determined from the probes themselves. The developed algorithm is successfully applied to mock and real world problems. These performance tests show that, in situations where a matrix diagonal has to be calculated from only a small number of computationally expensive probes, a speedup by a factor of 2 to 10 is possible with the proposed method. © 2012 American Physical Society

Predator-prey model for the self-organization of stochastic oscillators in dual populations

NASA Astrophysics Data System (ADS)

Moradi, Sara; Anderson, Johan; Gürcan, Ozgür D.

2015-12-01

A predator-prey model of dual populations with stochastic oscillators is presented. A linear cross-coupling between the two populations is introduced following the coupling between the motions of a Wilberforce pendulum in two dimensions: one in the longitudinal and the other in torsional plain. Within each population a Kuramoto-type competition between the phases is assumed. Thus, the synchronization state of the whole system is controlled by these two types of competitions. The results of the numerical simulations show that by adding the linear cross-coupling interactions predator-prey oscillations between the two populations appear, which results in self-regulation of the system by a transfer of synchrony between the two populations. The model represents several important features of the dynamical interplay between the drift wave and zonal flow turbulence in magnetically confined plasmas, and a novel interpretation of the coupled dynamics of drift wave-zonal flow turbulence using synchronization of stochastic oscillator is discussed.

Estimated monthly streamflows for selected locations on the Kabul and Logar Rivers, Aynak copper, cobalt, and chromium area of interest, Afghanistan, 1951-2010

USGS Publications Warehouse

Vining, Kevin C.; Vecchia, Aldo V.

2014-01-01

The U.S. Geological Survey, in cooperation with the U.S. Department of Defense Task Force for Business and Stability Operations, used the stochastic monthly water-balance model and existing climate data to estimate monthly streamflows for 1951–2010 for selected streamgaging stations located within the Aynak copper, cobalt, and chromium area of interest in Afghanistan. The model used physically based, nondeterministic methods to estimate the monthly volumetric water-balance components of a watershed. A comparison of estimated and recorded monthly streamflows for the streamgaging stations Kabul River at Maidan and Kabul River at Tangi-Saidan indicated that the stochastic water-balance model was able to provide satisfactory estimates of monthly streamflows for high-flow months and low-flow months even though withdrawals for irrigation likely occurred. A comparison of estimated and recorded monthly streamflows for the streamgaging stations Logar River at Shekhabad and Logar River at Sangi-Naweshta also indicated that the stochastic water-balance model was able to provide reasonable estimates of monthly streamflows for the high-flow months; however, for the upstream streamgaging station, the model overestimated monthly streamflows during periods when summer irrigation withdrawals likely occurred. Results from the stochastic water-balance model indicate that the model should be able to produce satisfactory estimates of monthly streamflows for locations along the Kabul and Logar Rivers. This information could be used by Afghanistan authorities to make decisions about surface-water resources for the Aynak copper, cobalt, and chromium area of interest.

Robust exponential stability of uncertain delayed neural networks with stochastic perturbation and impulse effects.

PubMed

Huang, Tingwen; Li, Chuandong; Duan, Shukai; Starzyk, Janusz A

2012-06-01

This paper focuses on the hybrid effects of parameter uncertainty, stochastic perturbation, and impulses on global stability of delayed neural networks. By using the Ito formula, Lyapunov function, and Halanay inequality, we established several mean-square stability criteria from which we can estimate the feasible bounds of impulses, provided that parameter uncertainty and stochastic perturbations are well-constrained. Moreover, the present method can also be applied to general differential systems with stochastic perturbation and impulses.

Estimating rare events in biochemical systems using conditional sampling.

PubMed

Sundar, V S

2017-01-28

The paper focuses on development of variance reduction strategies to estimate rare events in biochemical systems. Obtaining this probability using brute force Monte Carlo simulations in conjunction with the stochastic simulation algorithm (Gillespie's method) is computationally prohibitive. To circumvent this, important sampling tools such as the weighted stochastic simulation algorithm and the doubly weighted stochastic simulation algorithm have been proposed. However, these strategies require an additional step of determining the important region to sample from, which is not straightforward for most of the problems. In this paper, we apply the subset simulation method, developed as a variance reduction tool in the context of structural engineering, to the problem of rare event estimation in biochemical systems. The main idea is that the rare event probability is expressed as a product of more frequent conditional probabilities. These conditional probabilities are estimated with high accuracy using Monte Carlo simulations, specifically the Markov chain Monte Carlo method with the modified Metropolis-Hastings algorithm. Generating sample realizations of the state vector using the stochastic simulation algorithm is viewed as mapping the discrete-state continuous-time random process to the standard normal random variable vector. This viewpoint opens up the possibility of applying more sophisticated and efficient sampling schemes developed elsewhere to problems in stochastic chemical kinetics. The results obtained using the subset simulation method are compared with existing variance reduction strategies for a few benchmark problems, and a satisfactory improvement in computational time is demonstrated.

Bottom friction optimization for a better barotropic tide modelling

NASA Astrophysics Data System (ADS)

Boutet, Martial; Lathuilière, Cyril; Son Hoang, Hong; Baraille, Rémy

2015-04-01

At a regional scale, barotropic tides are the dominant source of variability of currents and water heights. A precise representation of these processes is essential because of their great impacts on human activities (submersion risks, marine renewable energies, ...). Identified sources of error for tide modelling at a regional scale are the followings: bathymetry, boundary forcing and dissipation due to bottom friction. Nevertheless, bathymetric databases are nowadays known with a good accuracy, especially over shelves, and global tide models performances are better than ever. The most promising improvement is thus the bottom friction representation. The method used to estimate bottom friction is the simultaneous perturbation stochastic approximation (SPSA) which consists in the approximation of the gradient based on a fixed number of cost function measurements, regardless of the dimension of the vector to be estimated. Indeed, each cost function measurement is obtained by randomly perturbing every component of the parameter vector. An important feature of SPSA is its relative ease of implementation. In particular, the method does not require the development of tangent linear and adjoint version of the circulation model. Experiments are carried out to estimate bottom friction with the HYbrid Coordinate Ocean Model (HYCOM) in barotropic mode (one isopycnal layer). The study area is the Northeastern Atlantic margin which is characterized by strong currents and an intense dissipation. Bottom friction is parameterized with a quadratic term and friction coefficient is computed with the water height and the bottom roughness. The latter parameter is the one to be estimated. Assimilated data are the available tide gauge observations. First, the bottom roughness is estimated taking into account bottom sediment natures and bathymetric ranges. Then, it is estimated with geographical degrees of freedom. Finally, the impact of the estimation of a mixed quadratic/linear friction is evaluated.

Advanced Mathematical Tools in Metrology III

NASA Astrophysics Data System (ADS)

Ciarlini, P.

The Table of Contents for the book is as follows: * Foreword * Invited Papers * The ISO Guide to the Expression of Uncertainty in Measurement: A Bridge between Statistics and Metrology * Bootstrap Algorithms and Applications * The TTRSs: 13 Oriented Constraints for Dimensioning, Tolerancing & Inspection * Graded Reference Data Sets and Performance Profiles for Testing Software Used in Metrology * Uncertainty in Chemical Measurement * Mathematical Methods for Data Analysis in Medical Applications * High-Dimensional Empirical Linear Prediction * Wavelet Methods in Signal Processing * Software Problems in Calibration Services: A Case Study * Robust Alternatives to Least Squares * Gaining Information from Biomagnetic Measurements * Full Papers * Increase of Information in the Course of Measurement * A Framework for Model Validation and Software Testing in Regression * Certification of Algorithms for Determination of Signal Extreme Values during Measurement * A Method for Evaluating Trends in Ozone-Concentration Data and Its Application to Data from the UK Rural Ozone Monitoring Network * Identification of Signal Components by Stochastic Modelling in Measurements of Evoked Magnetic Fields from Peripheral Nerves * High Precision 3D-Calibration of Cylindrical Standards * Magnetic Dipole Estimations for MCG-Data * Transfer Functions of Discrete Spline Filters * An Approximation Method for the Linearization of Tridimensional Metrology Problems * Regularization Algorithms for Image Reconstruction from Projections * Quality of Experimental Data in Hydrodynamic Research * Stochastic Drift Models for the Determination of Calibration Intervals * Short Communications * Projection Method for Lidar Measurement * Photon Flux Measurements by Regularised Solution of Integral Equations * Correct Solutions of Fit Problems in Different Experimental Situations * An Algorithm for the Nonlinear TLS Problem in Polynomial Fitting * Designing Axially Symmetric Electromechanical Systems of Superconducting Magnetic Levitation in Matlab Environment * Data Flow Evaluation in Metrology * A Generalized Data Model for Integrating Clinical Data and Biosignal Records of Patients * Assessment of Three-Dimensional Structures in Clinical Dentistry * Maximum Entropy and Bayesian Approaches to Parameter Estimation in Mass Metrology * Amplitude and Phase Determination of Sinusoidal Vibration in the Nanometer Range using Quadrature Signals * A Class of Symmetric Compactly Supported Wavelets and Associated Dual Bases * Analysis of Surface Topography by Maximum Entropy Power Spectrum Estimation * Influence of Different Kinds of Errors on Imaging Results in Optical Tomography * Application of the Laser Interferometry for Automatic Calibration of Height Setting Micrometer * Author Index

Indirect Identification of Linear Stochastic Systems with Known Feedback Dynamics

NASA Technical Reports Server (NTRS)

Huang, Jen-Kuang; Hsiao, Min-Hung; Cox, David E.

1996-01-01

An algorithm is presented for identifying a state-space model of linear stochastic systems operating under known feedback controller. In this algorithm, only the reference input and output of closed-loop data are required. No feedback signal needs to be recorded. The overall closed-loop system dynamics is first identified. Then a recursive formulation is derived to compute the open-loop plant dynamics from the identified closed-loop system dynamics and known feedback controller dynamics. The controller can be a dynamic or constant-gain full-state feedback controller. Numerical simulations and test data of a highly unstable large-gap magnetic suspension system are presented to demonstrate the feasibility of this indirect identification method.

Information-geometric measures as robust estimators of connection strengths and external inputs.

PubMed

Tatsuno, Masami; Fellous, Jean-Marc; Amari, Shun-Ichi

2009-08-01

Information geometry has been suggested to provide a powerful tool for analyzing multineuronal spike trains. Among several advantages of this approach, a significant property is the close link between information-geometric measures and neural network architectures. Previous modeling studies established that the first- and second-order information-geometric measures corresponded to the number of external inputs and the connection strengths of the network, respectively. This relationship was, however, limited to a symmetrically connected network, and the number of neurons used in the parameter estimation of the log-linear model needed to be known. Recently, simulation studies of biophysical model neurons have suggested that information geometry can estimate the relative change of connection strengths and external inputs even with asymmetric connections. Inspired by these studies, we analytically investigated the link between the information-geometric measures and the neural network structure with asymmetrically connected networks of N neurons. We focused on the information-geometric measures of orders one and two, which can be derived from the two-neuron log-linear model, because unlike higher-order measures, they can be easily estimated experimentally. Considering the equilibrium state of a network of binary model neurons that obey stochastic dynamics, we analytically showed that the corrected first- and second-order information-geometric measures provided robust and consistent approximation of the external inputs and connection strengths, respectively. These results suggest that information-geometric measures provide useful insights into the neural network architecture and that they will contribute to the study of system-level neuroscience.

Temperature variation effects on stochastic characteristics for low-cost MEMS-based inertial sensor error

NASA Astrophysics Data System (ADS)

El-Diasty, M.; El-Rabbany, A.; Pagiatakis, S.

2007-11-01

We examine the effect of varying the temperature points on MEMS inertial sensors' noise models using Allan variance and least-squares spectral analysis (LSSA). Allan variance is a method of representing root-mean-square random drift error as a function of averaging times. LSSA is an alternative to the classical Fourier methods and has been applied successfully by a number of researchers in the study of the noise characteristics of experimental series. Static data sets are collected at different temperature points using two MEMS-based IMUs, namely MotionPakII and Crossbow AHRS300CC. The performance of the two MEMS inertial sensors is predicted from the Allan variance estimation results at different temperature points and the LSSA is used to study the noise characteristics and define the sensors' stochastic model parameters. It is shown that the stochastic characteristics of MEMS-based inertial sensors can be identified using Allan variance estimation and LSSA and the sensors' stochastic model parameters are temperature dependent. Also, the Kaiser window FIR low-pass filter is used to investigate the effect of de-noising stage on the stochastic model. It is shown that the stochastic model is also dependent on the chosen cut-off frequency.

Fleet Assignment Using Collective Intelligence

NASA Technical Reports Server (NTRS)

Antoine, Nicolas E.; Bieniawski, Stefan R.; Kroo, Ilan M.; Wolpert, David H.

2004-01-01

Product distribution theory is a new collective intelligence-based framework for analyzing and controlling distributed systems. Its usefulness in distributed stochastic optimization is illustrated here through an airline fleet assignment problem. This problem involves the allocation of aircraft to a set of flights legs in order to meet passenger demand, while satisfying a variety of linear and non-linear constraints. Over the course of the day, the routing of each aircraft is determined in order to minimize the number of required flights for a given fleet. The associated flow continuity and aircraft count constraints have led researchers to focus on obtaining quasi-optimal solutions, especially at larger scales. In this paper, the authors propose the application of this new stochastic optimization algorithm to a non-linear objective cold start fleet assignment problem. Results show that the optimizer can successfully solve such highly-constrained problems (130 variables, 184 constraints).

SLFP: a stochastic linear fractional programming approach for sustainable waste management.

PubMed

Zhu, H; Huang, G H

2011-12-01

A stochastic linear fractional programming (SLFP) approach is developed for supporting sustainable municipal solid waste management under uncertainty. The SLFP method can solve ratio optimization problems associated with random information, where chance-constrained programming is integrated into a linear fractional programming framework. It has advantages in: (1) comparing objectives of two aspects, (2) reflecting system efficiency, (3) dealing with uncertainty expressed as probability distributions, and (4) providing optimal-ratio solutions under different system-reliability conditions. The method is applied to a case study of waste flow allocation within a municipal solid waste (MSW) management system. The obtained solutions are useful for identifying sustainable MSW management schemes with maximized system efficiency under various constraint-violation risks. The results indicate that SLFP can support in-depth analysis of the interrelationships among system efficiency, system cost and system-failure risk. Copyright © 2011 Elsevier Ltd. All rights reserved.

Treatment of constraints in the stochastic quantization method and covariantized Langevin equation

NASA Astrophysics Data System (ADS)

Ikegami, Kenji; Kimura, Tadahiko; Mochizuki, Riuji

1993-04-01

We study the treatment of the constraints in the stochastic quantization method. We improve the treatment of the stochastic consistency condition proposed by Namiki et al. by suitably taking into account the Ito calculus. Then we obtain an improved Langevi equation and the Fokker-Planck equation which naturally leads to the correct path integral quantization of the constrained system as the stochastic equilibrium state. This treatment is applied to an O( N) non-linear α model and it is shown that singular terms appearing in the improved Langevin equation cancel out the σ n(O) divergences in one loop order. We also ascertain that the above Langevin equation, rewritten in terms of idependent variables, is actually equivalent to the one in the general-coordinate transformation covariant and vielbein-rotation invariant formalish.

A new design of robust H∞ sliding mode control for uncertain stochastic T-S fuzzy time-delay systems.

PubMed

Gao, Qing; Feng, Gang; Xi, Zhiyu; Wang, Yong; Qiu, Jianbin

2014-09-01

In this paper, a novel dynamic sliding mode control scheme is proposed for a class of uncertain stochastic nonlinear time-delay systems represented by Takagi-Sugeno fuzzy models. The key advantage of the proposed scheme is that two very restrictive assumptions in most existing sliding mode control approaches for stochastic fuzzy systems have been removed. It is shown that the closed-loop control system trajectories can be driven onto the sliding surface in finite time almost certainly. It is also shown that the stochastic stability of the resulting sliding motion can be guaranteed in terms of linear matrix inequalities; moreover, the sliding-mode controller can be obtained simultaneously. Simulation results illustrating the advantages and effectiveness of the proposed approaches are also provided.

Hybrid deterministic/stochastic simulation of complex biochemical systems.

PubMed

Lecca, Paola; Bagagiolo, Fabio; Scarpa, Marina

2017-11-21

In a biological cell, cellular functions and the genetic regulatory apparatus are implemented and controlled by complex networks of chemical reactions involving genes, proteins, and enzymes. Accurate computational models are indispensable means for understanding the mechanisms behind the evolution of a complex system, not always explored with wet lab experiments. To serve their purpose, computational models, however, should be able to describe and simulate the complexity of a biological system in many of its aspects. Moreover, it should be implemented by efficient algorithms requiring the shortest possible execution time, to avoid enlarging excessively the time elapsing between data analysis and any subsequent experiment. Besides the features of their topological structure, the complexity of biological networks also refers to their dynamics, that is often non-linear and stiff. The stiffness is due to the presence of molecular species whose abundance fluctuates by many orders of magnitude. A fully stochastic simulation of a stiff system is computationally time-expensive. On the other hand, continuous models are less costly, but they fail to capture the stochastic behaviour of small populations of molecular species. We introduce a new efficient hybrid stochastic-deterministic computational model and the software tool MoBioS (MOlecular Biology Simulator) implementing it. The mathematical model of MoBioS uses continuous differential equations to describe the deterministic reactions and a Gillespie-like algorithm to describe the stochastic ones. Unlike the majority of current hybrid methods, the MoBioS algorithm divides the reactions' set into fast reactions, moderate reactions, and slow reactions and implements a hysteresis switching between the stochastic model and the deterministic model. Fast reactions are approximated as continuous-deterministic processes and modelled by deterministic rate equations. Moderate reactions are those whose reaction waiting time is greater than the fast reaction waiting time but smaller than the slow reaction waiting time. A moderate reaction is approximated as a stochastic (deterministic) process if it was classified as a stochastic (deterministic) process at the time at which it crosses the threshold of low (high) waiting time. A Gillespie First Reaction Method is implemented to select and execute the slow reactions. The performances of MoBios were tested on a typical example of hybrid dynamics: that is the DNA transcription regulation. The simulated dynamic profile of the reagents' abundance and the estimate of the error introduced by the fully deterministic approach were used to evaluate the consistency of the computational model and that of the software tool.

Trends and Correlation Estimation in Climate Sciences: Effects of Timescale Errors

NASA Astrophysics Data System (ADS)

Mudelsee, M.; Bermejo, M. A.; Bickert, T.; Chirila, D.; Fohlmeister, J.; Köhler, P.; Lohmann, G.; Olafsdottir, K.; Scholz, D.

2012-12-01

Trend describes time-dependence in the first moment of a stochastic process, and correlation measures the linear relation between two random variables. Accurately estimating the trend and correlation, including uncertainties, from climate time series data in the uni- and bivariate domain, respectively, allows first-order insights into the geophysical process that generated the data. Timescale errors, ubiquitious in paleoclimatology, where archives are sampled for proxy measurements and dated, poses a problem to the estimation. Statistical science and the various applied research fields, including geophysics, have almost completely ignored this problem due to its theoretical almost-intractability. However, computational adaptations or replacements of traditional error formulas have become technically feasible. This contribution gives a short overview of such an adaptation package, bootstrap resampling combined with parametric timescale simulation. We study linear regression, parametric change-point models and nonparametric smoothing for trend estimation. We introduce pairwise-moving block bootstrap resampling for correlation estimation. Both methods share robustness against autocorrelation and non-Gaussian distributional shape. We shortly touch computing-intensive calibration of bootstrap confidence intervals and consider options to parallelize the related computer code. Following examples serve not only to illustrate the methods but tell own climate stories: (1) the search for climate drivers of the Agulhas Current on recent timescales, (2) the comparison of three stalagmite-based proxy series of regional, western German climate over the later part of the Holocene, and (3) trends and transitions in benthic oxygen isotope time series from the Cenozoic. Financial support by Deutsche Forschungsgemeinschaft (FOR 668, FOR 1070, MU 1595/4-1) and the European Commission (MC ITN 238512, MC ITN 289447) is acknowledged.

Temporal variability of spectro-temporal receptive fields in the anesthetized auditory cortex.

PubMed

Meyer, Arne F; Diepenbrock, Jan-Philipp; Ohl, Frank W; Anemüller, Jörn

2014-01-01

Temporal variability of neuronal response characteristics during sensory stimulation is a ubiquitous phenomenon that may reflect processes such as stimulus-driven adaptation, top-down modulation or spontaneous fluctuations. It poses a challenge to functional characterization methods such as the receptive field, since these often assume stationarity. We propose a novel method for estimation of sensory neurons' receptive fields that extends the classic static linear receptive field model to the time-varying case. Here, the long-term estimate of the static receptive field serves as the mean of a probabilistic prior distribution from which the short-term temporally localized receptive field may deviate stochastically with time-varying standard deviation. The derived corresponding generalized linear model permits robust characterization of temporal variability in receptive field structure also for highly non-Gaussian stimulus ensembles. We computed and analyzed short-term auditory spectro-temporal receptive field (STRF) estimates with characteristic temporal resolution 5-30 s based on model simulations and responses from in total 60 single-unit recordings in anesthetized Mongolian gerbil auditory midbrain and cortex. Stimulation was performed with short (100 ms) overlapping frequency-modulated tones. Results demonstrate identification of time-varying STRFs, with obtained predictive model likelihoods exceeding those from baseline static STRF estimation. Quantitative characterization of STRF variability reveals a higher degree thereof in auditory cortex compared to midbrain. Cluster analysis indicates that significant deviations from the long-term static STRF are brief, but reliably estimated. We hypothesize that the observed variability more likely reflects spontaneous or state-dependent internal fluctuations that interact with stimulus-induced processing, rather than experimental or stimulus design.

Genome-Wide Stochastic Adaptive DNA Amplification at Direct and Inverted DNA Repeats in the Parasite Leishmania

PubMed Central

Plourde, Marie; Gingras, Hélène; Roy, Gaétan; Lapointe, Andréanne; Leprohon, Philippe; Papadopoulou, Barbara; Corbeil, Jacques; Ouellette, Marc

2014-01-01

Gene amplification of specific loci has been described in all kingdoms of life. In the protozoan parasite Leishmania, the product of amplification is usually part of extrachromosomal circular or linear amplicons that are formed at the level of direct or inverted repeated sequences. A bioinformatics screen revealed that repeated sequences are widely distributed in the Leishmania genome and the repeats are chromosome-specific, conserved among species, and generally present in low copy number. Using sensitive PCR assays, we provide evidence that the Leishmania genome is continuously being rearranged at the level of these repeated sequences, which serve as a functional platform for constitutive and stochastic amplification (and deletion) of genomic segments in the population. This process is adaptive as the copy number of advantageous extrachromosomal circular or linear elements increases upon selective pressure and is reversible when selection is removed. We also provide mechanistic insights on the formation of circular and linear amplicons through RAD51 recombinase-dependent and -independent mechanisms, respectively. The whole genome of Leishmania is thus stochastically rearranged at the level of repeated sequences, and the selection of parasite subpopulations with changes in the copy number of specific loci is used as a strategy to respond to a changing environment. PMID:24844805

A computational model for telomere-dependent cell-replicative aging.

PubMed

Portugal, R D; Land, M G P; Svaiter, B F

2008-01-01

Telomere shortening provides a molecular basis for the Hayflick limit. Recent data suggest that telomere shortening also influence mitotic rate. We propose a stochastic growth model of this phenomena, assuming that cell division in each time interval is a random process which probability decreases linearly with telomere shortening. Computer simulations of the proposed stochastic telomere-regulated model provides good approximation of the qualitative growth of cultured human mesenchymal stem cells.

Simplified model of statistically stationary spacecraft rotation and associated induced gravity environments

NASA Technical Reports Server (NTRS)

Fichtl, G. H.; Holland, R. L.

1978-01-01

A stochastic model of spacecraft motion was developed based on the assumption that the net torque vector due to crew activity and rocket thruster firings is a statistically stationary Gaussian vector process. The process had zero ensemble mean value, and the components of the torque vector were mutually stochastically independent. The linearized rigid-body equations of motion were used to derive the autospectral density functions of the components of the spacecraft rotation vector. The cross-spectral density functions of the components of the rotation vector vanish for all frequencies so that the components of rotation were mutually stochastically independent. The autospectral and cross-spectral density functions of the induced gravity environment imparted to scientific apparatus rigidly attached to the spacecraft were calculated from the rotation rate spectral density functions via linearized inertial frame to body-fixed principal axis frame transformation formulae. The induced gravity process was a Gaussian one with zero mean value. Transformation formulae were used to rotate the principal axis body-fixed frame to which the rotation rate and induced gravity vector were referred to a body-fixed frame in which the components of the induced gravity vector were stochastically independent. Rice's theory of exceedances was used to calculate expected exceedance rates of the components of the rotation and induced gravity vector processes.

A Lagrangian stochastic model to demonstrate multi-scale interactions between convection and land surface heterogeneity in the atmospheric boundary layer

NASA Astrophysics Data System (ADS)

Parsakhoo, Zahra; Shao, Yaping

2017-04-01

Near-surface turbulent mixing has considerable effect on surface fluxes, cloud formation and convection in the atmospheric boundary layer (ABL). Its quantifications is however a modeling and computational challenge since the small eddies are not fully resolved in Eulerian models directly. We have developed a Lagrangian stochastic model to demonstrate multi-scale interactions between convection and land surface heterogeneity in the atmospheric boundary layer based on the Ito Stochastic Differential Equation (SDE) for air parcels (particles). Due to the complexity of the mixing in the ABL, we find that linear Ito SDE cannot represent convections properly. Three strategies have been tested to solve the problem: 1) to make the deterministic term in the Ito equation non-linear; 2) to change the random term in the Ito equation fractional, and 3) to modify the Ito equation by including Levy flights. We focus on the third strategy and interpret mixing as interaction between at least two stochastic processes with different Lagrangian time scales. The model is in progress to include the collisions among the particles with different characteristic and to apply the 3D model for real cases. One application of the model is emphasized: some land surface patterns are generated and then coupled with the Large Eddy Simulation (LES).

Random variable transformation for generalized stochastic radiative transfer in finite participating slab media

NASA Astrophysics Data System (ADS)

El-Wakil, S. A.; Sallah, M.; El-Hanbaly, A. M.

2015-10-01

The stochastic radiative transfer problem is studied in a participating planar finite continuously fluctuating medium. The problem is considered for specular- and diffusly-reflecting boundaries with linear anisotropic scattering. Random variable transformation (RVT) technique is used to get the complete average for the solution functions, that are represented by the probability-density function (PDF) of the solution process. In the RVT algorithm, a simple integral transformation to the input stochastic process (the extinction function of the medium) is applied. This linear transformation enables us to rewrite the stochastic transport equations in terms of the optical random variable (x) and the optical random thickness (L). Then the transport equation is solved deterministically to get a closed form for the solution as a function of x and L. So, the solution is used to obtain the PDF of the solution functions applying the RVT technique among the input random variable (L) and the output process (the solution functions). The obtained averages of the solution functions are used to get the complete analytical averages for some interesting physical quantities, namely, reflectivity and transmissivity at the medium boundaries. In terms of the average reflectivity and transmissivity, the average of the partial heat fluxes for the generalized problem with internal source of radiation are obtained and represented graphically.

Estimation of correlation functions by stochastic approximation.

NASA Technical Reports Server (NTRS)

Habibi, A.; Wintz, P. A.

1972-01-01

Consideration of the autocorrelation function of a zero-mean stationary random process. The techniques are applicable to processes with nonzero mean provided the mean is estimated first and subtracted. Two recursive techniques are proposed, both of which are based on the method of stochastic approximation and assume a functional form for the correlation function that depends on a number of parameters that are recursively estimated from successive records. One technique uses a standard point estimator of the correlation function to provide estimates of the parameters that minimize the mean-square error between the point estimates and the parametric function. The other technique provides estimates of the parameters that maximize a likelihood function relating the parameters of the function to the random process. Examples are presented.

Aircraft adaptive learning control

NASA Technical Reports Server (NTRS)

Lee, P. S. T.; Vanlandingham, H. F.

1979-01-01

The optimal control theory of stochastic linear systems is discussed in terms of the advantages of distributed-control systems, and the control of randomly-sampled systems. An optimal solution to longitudinal control is derived and applied to the F-8 DFBW aircraft. A randomly-sampled linear process model with additive process and noise is developed.

Linear kinetic theory and particle transport in stochastic mixtures

DOE Office of Scientific and Technical Information (OSTI.GOV)

Pomraning, G.C.

We consider the formulation of linear transport and kinetic theory describing energy and particle flow in a random mixture of two or more immiscible materials. Following an introduction, we summarize early and fundamental work in this area, and we conclude with a brief discussion of recent results.

Representing Lumped Markov Chains by Minimal Polynomials over Field GF(q)

NASA Astrophysics Data System (ADS)

Zakharov, V. M.; Shalagin, S. V.; Eminov, B. F.

2018-05-01

A method has been proposed to represent lumped Markov chains by minimal polynomials over a finite field. The accuracy of representing lumped stochastic matrices, the law of lumped Markov chains depends linearly on the minimum degree of polynomials over field GF(q). The method allows constructing the realizations of lumped Markov chains on linear shift registers with a pre-defined “linear complexity”.

Simulated maximum likelihood method for estimating kinetic rates in gene expression.

PubMed

Tian, Tianhai; Xu, Songlin; Gao, Junbin; Burrage, Kevin

2007-01-01

Kinetic rate in gene expression is a key measurement of the stability of gene products and gives important information for the reconstruction of genetic regulatory networks. Recent developments in experimental technologies have made it possible to measure the numbers of transcripts and protein molecules in single cells. Although estimation methods based on deterministic models have been proposed aimed at evaluating kinetic rates from experimental observations, these methods cannot tackle noise in gene expression that may arise from discrete processes of gene expression, small numbers of mRNA transcript, fluctuations in the activity of transcriptional factors and variability in the experimental environment. In this paper, we develop effective methods for estimating kinetic rates in genetic regulatory networks. The simulated maximum likelihood method is used to evaluate parameters in stochastic models described by either stochastic differential equations or discrete biochemical reactions. Different types of non-parametric density functions are used to measure the transitional probability of experimental observations. For stochastic models described by biochemical reactions, we propose to use the simulated frequency distribution to evaluate the transitional density based on the discrete nature of stochastic simulations. The genetic optimization algorithm is used as an efficient tool to search for optimal reaction rates. Numerical results indicate that the proposed methods can give robust estimations of kinetic rates with good accuracy.

On the Boltzmann Equation with Stochastic Kinetic Transport: Global Existence of Renormalized Martingale Solutions

NASA Astrophysics Data System (ADS)

Punshon-Smith, Samuel; Smith, Scott

2018-02-01

This article studies the Cauchy problem for the Boltzmann equation with stochastic kinetic transport. Under a cut-off assumption on the collision kernel and a coloring hypothesis for the noise coefficients, we prove the global existence of renormalized (in the sense of DiPerna/Lions) martingale solutions to the Boltzmann equation for large initial data with finite mass, energy, and entropy. Our analysis includes a detailed study of weak martingale solutions to a class of linear stochastic kinetic equations. This study includes a criterion for renormalization, the weak closedness of the solution set, and tightness of velocity averages in {{L}1}.

A non-linear dimension reduction methodology for generating data-driven stochastic input models

DOE Office of Scientific and Technical Information (OSTI.GOV)

Ganapathysubramanian, Baskar; Zabaras, Nicholas

Stochastic analysis of random heterogeneous media (polycrystalline materials, porous media, functionally graded materials) provides information of significance only if realistic input models of the topology and property variations are used. This paper proposes a framework to construct such input stochastic models for the topology and thermal diffusivity variations in heterogeneous media using a data-driven strategy. Given a set of microstructure realizations (input samples) generated from given statistical information about the medium topology, the framework constructs a reduced-order stochastic representation of the thermal diffusivity. This problem of constructing a low-dimensional stochastic representation of property variations is analogous to the problem ofmore » manifold learning and parametric fitting of hyper-surfaces encountered in image processing and psychology. Denote by M the set of microstructures that satisfy the given experimental statistics. A non-linear dimension reduction strategy is utilized to map M to a low-dimensional region, A. We first show that M is a compact manifold embedded in a high-dimensional input space R{sup n}. An isometric mapping F from M to a low-dimensional, compact, connected set A is contained in R{sup d}(d<

Algorithm refinement for stochastic partial differential equations: II. Correlated systems

DOE Office of Scientific and Technical Information (OSTI.GOV)

Alexander, Francis J.; Garcia, Alejandro L.; Tartakovsky, Daniel M.

2005-08-10

We analyze a hybrid particle/continuum algorithm for a hydrodynamic system with long ranged correlations. Specifically, we consider the so-called train model for viscous transport in gases, which is based on a generalization of the random walk process for the diffusion of momentum. This discrete model is coupled with its continuous counterpart, given by a pair of stochastic partial differential equations. At the interface between the particle and continuum computations the coupling is by flux matching, giving exact mass and momentum conservation. This methodology is an extension of our stochastic Algorithm Refinement (AR) hybrid for simple diffusion [F. Alexander, A. Garcia,more » D. Tartakovsky, Algorithm refinement for stochastic partial differential equations: I. Linear diffusion, J. Comput. Phys. 182 (2002) 47-66]. Results from a variety of numerical experiments are presented for steady-state scenarios. In all cases the mean and variance of density and velocity are captured correctly by the stochastic hybrid algorithm. For a non-stochastic version (i.e., using only deterministic continuum fluxes) the long-range correlations of velocity fluctuations are qualitatively preserved but at reduced magnitude.« less

A high resolution model of linear trend in mass variations from DMT-2: Added value of accounting for coloured noise in GRACE data

NASA Astrophysics Data System (ADS)

Farahani, Hassan H.; Ditmar, Pavel; Inácio, Pedro; Didova, Olga; Gunter, Brian; Klees, Roland; Guo, Xiang; Guo, Jing; Sun, Yu; Liu, Xianglin; Zhao, Qile; Riva, Riccardo

2017-01-01

We present a high resolution model of the linear trend in the Earth's mass variations based on DMT-2 (Delft Mass Transport model, release 2). DMT-2 was produced primarily from K-Band Ranging (KBR) data of the Gravity Recovery And Climate Experiment (GRACE). It comprises a time series of monthly solutions complete to spherical harmonic degree 120. A novel feature in its production was the accurate computation and incorporation of stochastic properties of coloured noise when processing KBR data. The unconstrained DMT-2 monthly solutions are used to estimate the linear trend together with a bias, as well as annual and semi-annual sinusoidal terms. The linear term is further processed with an anisotropic Wiener filter, which uses full noise and signal covariance matrices. Given the fact that noise in an unconstrained model of the trend is reduced substantially as compared to monthly solutions, the Wiener filter associated with the trend is much less aggressive compared to a Wiener filter applied to monthly solutions. Consequently, the trend estimate shows an enhanced spatial resolution. It allows signals in relatively small water bodies, such as Aral sea and Ladoga lake, to be detected. Over the ice sheets, it allows for a clear identification of signals associated with some outlet glaciers or their groups. We compare the obtained trend estimate with the ones from the CSR-RL05 model using (i) the same approach based on monthly noise covariance matrices and (ii) a commonly-used approach based on the DDK-filtered monthly solutions. We use satellite altimetry data as independent control data. The comparison demonstrates a high spatial resolution of the DMT-2 linear trend. We link this to the usage of high-accuracy monthly noise covariance matrices, which is due to an accurate computation and incorporation of coloured noise when processing KBR data. A preliminary comparison of the linear trend based on DMT-2 with that computed from GSFC_global_mascons_v01 reveals, among other, a high concentration of the signal along the coast for both models in areas like the ice sheets, Gulf of Alaska, and Iceland.

Comparison of floods non-stationarity detection methods: an Austrian case study

NASA Astrophysics Data System (ADS)

Salinas, Jose Luis; Viglione, Alberto; Blöschl, Günter

2016-04-01

Non-stationarities in flood regimes have a huge impact in any mid and long term flood management strategy. In particular the estimation of design floods is very sensitive to any kind of flood non-stationarity, as they should be linked to a return period, concept that can be ill defined in a non-stationary context. Therefore it is crucial when analyzing existent flood time series to detect and, where possible, attribute flood non-stationarities to changing hydroclimatic and land-use processes. This works presents the preliminary results of applying different non-stationarity detection methods on annual peak discharges time series over more than 400 gauging stations in Austria. The kind of non-stationarities analyzed include trends (linear and non-linear), breakpoints, clustering beyond stochastic randomness, and detection of flood rich/flood poor periods. Austria presents a large variety of landscapes, elevations and climates that allow us to interpret the spatial patterns obtained with the non-stationarity detection methods in terms of the dominant flood generation mechanisms.

Low Dimensional Tools for Flow-Structure Interaction Problems: Application to Micro Air Vehicles

NASA Technical Reports Server (NTRS)

Schmit, Ryan F.; Glauser, Mark N.; Gorton, Susan A.

2003-01-01

A low dimensional tool for flow-structure interaction problems based on Proper Orthogonal Decomposition (POD) and modified Linear Stochastic Estimation (mLSE) has been proposed and was applied to a Micro Air Vehicle (MAV) wing. The method utilizes the dynamic strain measurements from the wing to estimate the POD expansion coefficients from which an estimation of the velocity in the wake can be obtained. For this experiment the MAV wing was set at five different angles of attack, from 0 deg to 20 deg. The tunnel velocities varied from 44 to 58 ft/sec with corresponding Reynolds numbers of 46,000 to 70,000. A stereo Particle Image Velocimetry (PIV) system was used to measure the wake of the MAV wing simultaneously with the signals from the twelve dynamic strain gauges mounted on the wing. With 20 out of 2400 POD modes, a reasonable estimation of the flow flow was observed. By increasing the number of POD modes, a better estimation of the flow field will occur. Utilizing the simultaneously sampled strain gauges and flow field measurements in conjunction with mLSE, an estimation of the flow field with lower energy modes is reasonable. With these results, the methodology for estimating the wake flow field from just dynamic strain gauges is validated.

Gene regulatory networks: a coarse-grained, equation-free approach to multiscale computation.

PubMed

Erban, Radek; Kevrekidis, Ioannis G; Adalsteinsson, David; Elston, Timothy C

2006-02-28

We present computer-assisted methods for analyzing stochastic models of gene regulatory networks. The main idea that underlies this equation-free analysis is the design and execution of appropriately initialized short bursts of stochastic simulations; the results of these are processed to estimate coarse-grained quantities of interest, such as mesoscopic transport coefficients. In particular, using a simple model of a genetic toggle switch, we illustrate the computation of an effective free energy Phi and of a state-dependent effective diffusion coefficient D that characterize an unavailable effective Fokker-Planck equation. Additionally we illustrate the linking of equation-free techniques with continuation methods for performing a form of stochastic "bifurcation analysis"; estimation of mean switching times in the case of a bistable switch is also implemented in this equation-free context. The accuracy of our methods is tested by direct comparison with long-time stochastic simulations. This type of equation-free analysis appears to be a promising approach to computing features of the long-time, coarse-grained behavior of certain classes of complex stochastic models of gene regulatory networks, circumventing the need for long Monte Carlo simulations.

Noise-induced modulation of the relaxation kinetics around a non-equilibrium steady state of non-linear chemical reaction networks.

PubMed

Ramaswamy, Rajesh; Sbalzarini, Ivo F; González-Segredo, Nélido

2011-01-28

Stochastic effects from correlated noise non-trivially modulate the kinetics of non-linear chemical reaction networks. This is especially important in systems where reactions are confined to small volumes and reactants are delivered in bursts. We characterise how the two noise sources confinement and burst modulate the relaxation kinetics of a non-linear reaction network around a non-equilibrium steady state. We find that the lifetimes of species change with burst input and confinement. Confinement increases the lifetimes of all species that are involved in any non-linear reaction as a reactant. Burst monotonically increases or decreases lifetimes. Competition between burst-induced and confinement-induced modulation may hence lead to a non-monotonic modulation. We quantify lifetime as the integral of the time autocorrelation function (ACF) of concentration fluctuations around a non-equilibrium steady state of the reaction network. Furthermore, we look at the first and second derivatives of the ACF, each of which is affected in opposite ways by burst and confinement. This allows discriminating between these two noise sources. We analytically derive the ACF from the linear Fokker-Planck approximation of the chemical master equation in order to establish a baseline for the burst-induced modulation at low confinement. Effects of higher confinement are then studied using a partial-propensity stochastic simulation algorithm. The results presented here may help understand the mechanisms that deviate stochastic kinetics from its deterministic counterpart. In addition, they may be instrumental when using fluorescence-lifetime imaging microscopy (FLIM) or fluorescence-correlation spectroscopy (FCS) to measure confinement and burst in systems with known reaction rates, or, alternatively, to correct for the effects of confinement and burst when experimentally measuring reaction rates.

Stochastic stability of sigma-point Unscented Predictive Filter.

PubMed

Cao, Lu; Tang, Yu; Chen, Xiaoqian; Zhao, Yong

2015-07-01

In this paper, the Unscented Predictive Filter (UPF) is derived based on unscented transformation for nonlinear estimation, which breaks the confine of conventional sigma-point filters by employing Kalman filter as subject investigated merely. In order to facilitate the new method, the algorithm flow of UPF is given firstly. Then, the theoretical analyses demonstrate that the estimate accuracy of the model error and system for the UPF is higher than that of the conventional PF. Moreover, the authors analyze the stochastic boundedness and the error behavior of Unscented Predictive Filter (UPF) for general nonlinear systems in a stochastic framework. In particular, the theoretical results present that the estimation error remains bounded and the covariance keeps stable if the system׳s initial estimation error, disturbing noise terms as well as the model error are small enough, which is the core part of the UPF theory. All of the results have been demonstrated by numerical simulations for a nonlinear example system. Copyright © 2015 ISA. Published by Elsevier Ltd. All rights reserved.

Estimation of Kubo number and correlation length of fluctuating magnetic fields and pressure in BOUT + + edge pedestal collapse simulation

NASA Astrophysics Data System (ADS)

Kim, Jaewook; Lee, W.-J.; Jhang, Hogun; Kaang, H. H.; Ghim, Y.-C.

2017-10-01

Stochastic magnetic fields are thought to be as one of the possible mechanisms for anomalous transport of density, momentum and heat across the magnetic field lines. Kubo number and Chirikov parameter are quantifications of the stochasticity, and previous studies show that perpendicular transport strongly depends on the magnetic Kubo number (MKN). If MKN is smaller than one, diffusion process will follow Rechester-Rosenbluth model; whereas if it is larger than one, percolation theory dominates the diffusion process. Thus, estimation of Kubo number plays an important role to understand diffusion process caused by stochastic magnetic fields. However, spatially localized experimental measurement of fluctuating magnetic fields in a tokamak is difficult, and we attempt to estimate MKNs using BOUT + + simulation data with pedestal collapse. In addition, we calculate correlation length of fluctuating pressures and Chirikov parameters to investigate variation correlation lengths in the simulation. We, then, discuss how one may experimentally estimate MKNs.

Forecasting the stochastic demand for inpatient care: the case of the Greek national health system.

PubMed

Boutsioli, Zoe

2010-08-01

The aim of this study is to estimate the unexpected demand of Greek public hospitals. A multivariate model with four explanatory variables is used. These are as follows: the weekend effect, the duty effect, the summer holiday and the official holiday. The method of the ordinary least squares is used to estimate the impact of these variables on the daily hospital emergency admissions series. The forecasted residuals of hospital regressions for each year give the estimated stochastic demand. Daily emergency admissions decline during weekends, summer months and official holidays, and increase on duty hospital days. Stochastic hospital demand varies both among hospitals and over the five-year time period under investigation. Variations among hospitals are larger than time variations. Hospital managers and health policy-makers can be availed by forecasting the future flows of emergent patients. The benefit can be both at managerial and economical level. More advanced models including additional daily variables such as the weather forecasts could provide more accurate estimations.

Improved estimation of hydraulic conductivity by combining stochastically simulated hydrofacies with geophysical data.

PubMed

Zhu, Lin; Gong, Huili; Chen, Yun; Li, Xiaojuan; Chang, Xiang; Cui, Yijiao

2016-03-01

Hydraulic conductivity is a major parameter affecting the output accuracy of groundwater flow and transport models. The most commonly used semi-empirical formula for estimating conductivity is Kozeny-Carman equation. However, this method alone does not work well with heterogeneous strata. Two important parameters, grain size and porosity, often show spatial variations at different scales. This study proposes a method for estimating conductivity distributions by combining a stochastic hydrofacies model with geophysical methods. The Markov chain model with transition probability matrix was adopted to re-construct structures of hydrofacies for deriving spatial deposit information. The geophysical and hydro-chemical data were used to estimate the porosity distribution through the Archie's law. Results show that the stochastic simulated hydrofacies model reflects the sedimentary features with an average model accuracy of 78% in comparison with borehole log data in the Chaobai alluvial fan. The estimated conductivity is reasonable and of the same order of magnitude of the outcomes of the pumping tests. The conductivity distribution is consistent with the sedimentary distributions. This study provides more reliable spatial distributions of the hydraulic parameters for further numerical modeling.

Do stochastic inhomogeneities affect dark-energy precision measurements?

PubMed

Ben-Dayan, I; Gasperini, M; Marozzi, G; Nugier, F; Veneziano, G

2013-01-11

The effect of a stochastic background of cosmological perturbations on the luminosity-redshift relation is computed to second order through a recently proposed covariant and gauge-invariant light-cone averaging procedure. The resulting expressions are free from both ultraviolet and infrared divergences, implying that such perturbations cannot mimic a sizable fraction of dark energy. Different averages are estimated and depend on the particular function of the luminosity distance being averaged. The energy flux being minimally affected by perturbations at large z is proposed as the best choice for precision estimates of dark-energy parameters. Nonetheless, its irreducible (stochastic) variance induces statistical errors on Ω(Λ)(z) typically lying in the few-percent range.

Identification of hydraulic conductivity structure in sand and gravel aquifers: Cape Cod data set

USGS Publications Warehouse

Eggleston, J.R.; Rojstaczer, S.A.; Peirce, J.J.

1996-01-01

This study evaluates commonly used geostatistical methods to assess reproduction of hydraulic conductivity (K) structure and sensitivity under limiting amounts of data. Extensive conductivity measurements from the Cape Cod sand and gravel aquifer are used to evaluate two geostatistical estimation methods, conditional mean as an estimate and ordinary kriging, and two stochastic simulation methods, simulated annealing and sequential Gaussian simulation. Our results indicate that for relatively homogeneous sand and gravel aquifers such as the Cape Cod aquifer, neither estimation methods nor stochastic simulation methods give highly accurate point predictions of hydraulic conductivity despite the high density of collected data. Although the stochastic simulation methods yielded higher errors than the estimation methods, the stochastic simulation methods yielded better reproduction of the measured In (K) distribution and better reproduction of local contrasts in In (K). The inability of kriging to reproduce high In (K) values, as reaffirmed by this study, provides a strong instigation for choosing stochastic simulation methods to generate conductivity fields when performing fine-scale contaminant transport modeling. Results also indicate that estimation error is relatively insensitive to the number of hydraulic conductivity measurements so long as more than a threshold number of data are used to condition the realizations. This threshold occurs for the Cape Cod site when there are approximately three conductivity measurements per integral volume. The lack of improvement with additional data suggests that although fine-scale hydraulic conductivity structure is evident in the variogram, it is not accurately reproduced by geostatistical estimation methods. If the Cape Cod aquifer spatial conductivity characteristics are indicative of other sand and gravel deposits, then the results on predictive error versus data collection obtained here have significant practical consequences for site characterization. Heavily sampled sand and gravel aquifers, such as Cape Cod and Borden, may have large amounts of redundant data, while in more common real world settings, our results suggest that denser data collection will likely improve understanding of permeability structure.

Estimating the effects of 17α-ethinylestradiol on stochastic population growth rate of fathead minnows: a population synthesis of empirically derived vital rates.

PubMed

Schwindt, Adam R; Winkelman, Dana L

2016-09-01

Urban freshwater streams in arid climates are wastewater effluent dominated ecosystems particularly impacted by bioactive chemicals including steroid estrogens that disrupt vertebrate reproduction. However, more understanding of the population and ecological consequences of exposure to wastewater effluent is needed. We used empirically derived vital rate estimates from a mesocosm study to develop a stochastic stage-structured population model and evaluated the effect of 17α-ethinylestradiol (EE2), the estrogen in human contraceptive pills, on fathead minnow Pimephales promelas stochastic population growth rate. Tested EE2 concentrations ranged from 3.2 to 10.9 ng L(-1) and produced stochastic population growth rates (λ S ) below 1 at the lowest concentration, indicating potential for population decline. Declines in λ S compared to controls were evident in treatments that were lethal to adult males despite statistically insignificant effects on egg production and juvenile recruitment. In fact, results indicated that λ S was most sensitive to the survival of juveniles and female egg production. More broadly, our results document that population model results may differ even when empirically derived estimates of vital rates are similar among experimental treatments, and demonstrate how population models integrate and project the effects of stressors throughout the life cycle. Thus, stochastic population models can more effectively evaluate the ecological consequences of experimentally derived vital rates.

Topological interlocking provides stiffness to stochastically micro-cracked materials beyond the transport percolation limit

NASA Astrophysics Data System (ADS)

Pal, Anirban; Picu, Catalin; Lupulescu, Marian V.

We study the mechanical behavior of two-dimensional, stochastically microcracked continua in the range of crack densities close to, and above the transport percolation threshold. We show that these materials retain stiffness up to crack densities much larger than the transport percolation threshold, due to topological interlocking of sample sub-domains. Even with a linear constitutive law for the continuum, the mechanical behavior becomes non-linear in the range of crack densities bounded by the transport and stiffness percolation thresholds. The effect is due to the fractal nature of the fragmentation process and is not linked to the roughness of individual cracks. We associate this behavior to that of itacolumite, a sandstone that exhibits unusual flexibility.

Universal ideal behavior and macroscopic work relation of linear irreversible stochastic thermodynamics

NASA Astrophysics Data System (ADS)

Ma, Yi-An; Qian, Hong

2015-06-01

We revisit the Ornstein-Uhlenbeck (OU) process as the fundamental mathematical description of linear irreversible phenomena, with fluctuations, near an equilibrium. By identifying the underlying circulating dynamics in a stationary process as the natural generalization of classical conservative mechanics, a bridge between a family of OU processes with equilibrium fluctuations and thermodynamics is established through the celebrated Helmholtz theorem. The Helmholtz theorem provides an emergent macroscopic ‘equation of state’ of the entire system, which exhibits a universal ideal thermodynamic behavior. Fluctuating macroscopic quantities are studied from the stochastic thermodynamic point of view and a non-equilibrium work relation is obtained in the macroscopic picture, which may facilitate experimental study and application of the equalities due to Jarzynski, Crooks, and Hatano and Sasa.

On a stochastic control method for weakly coupled linear systems. M.S. Thesis

NASA Technical Reports Server (NTRS)

Kwong, R. H.

1972-01-01

The stochastic control of two weakly coupled linear systems with different controllers is considered. Each controller only makes measurements about his own system; no information about the other system is assumed to be available. Based on the noisy measurements, the controllers are to generate independently suitable control policies which minimize a quadratic cost functional. To account for the effects of weak coupling directly, an approximate model, which involves replacing the influence of one system on the other by a white noise process is proposed. Simple suboptimal control problem for calculating the covariances of these noises is solved using the matrix minimum principle. The overall system performance based on this scheme is analyzed as a function of the degree of intersystem coupling.

Granger-causality maps of diffusion processes.

PubMed

Wahl, Benjamin; Feudel, Ulrike; Hlinka, Jaroslav; Wächter, Matthias; Peinke, Joachim; Freund, Jan A

2016-02-01

Granger causality is a statistical concept devised to reconstruct and quantify predictive information flow between stochastic processes. Although the general concept can be formulated model-free it is often considered in the framework of linear stochastic processes. Here we show how local linear model descriptions can be employed to extend Granger causality into the realm of nonlinear systems. This novel treatment results in maps that resolve Granger causality in regions of state space. Through examples we provide a proof of concept and illustrate the utility of these maps. Moreover, by integration we convert the local Granger causality into a global measure that yields a consistent picture for a global Ornstein-Uhlenbeck process. Finally, we recover invariance transformations known from the theory of autoregressive processes.

Improved result on stability analysis of discrete stochastic neural networks with time delay

NASA Astrophysics Data System (ADS)

Wu, Zhengguang; Su, Hongye; Chu, Jian; Zhou, Wuneng

2009-04-01

This Letter investigates the problem of exponential stability for discrete stochastic time-delay neural networks. By defining a novel Lyapunov functional, an improved delay-dependent exponential stability criterion is established in terms of linear matrix inequality (LMI) approach. Meanwhile, the computational complexity of the newly established stability condition is reduced because less variables are involved. Numerical example is given to illustrate the effectiveness and the benefits of the proposed method.

A cavitation model based on Eulerian stochastic fields

NASA Astrophysics Data System (ADS)

Magagnato, F.; Dumond, J.

2013-12-01

Non-linear phenomena can often be described using probability density functions (pdf) and pdf transport models. Traditionally the simulation of pdf transport requires Monte-Carlo codes based on Lagrangian "particles" or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic-field method solving pdf transport based on Eulerian fields has been proposed which eliminates the necessity to mix Eulerian and Lagrangian techniques or prescribed pdf assumptions. In the present work, for the first time the stochastic-field method is applied to multi-phase flow and in particular to cavitating flow. To validate the proposed stochastic-field cavitation model, two applications are considered. Firstly, sheet cavitation is simulated in a Venturi-type nozzle. The second application is an innovative fluidic diode which exhibits coolant flashing. Agreement with experimental results is obtained for both applications with a fixed set of model constants. The stochastic-field cavitation model captures the wide range of pdf shapes present at different locations.

Stochastic modification of the Schrödinger-Newton equation

NASA Astrophysics Data System (ADS)

Bera, Sayantani; Mohan, Ravi; Singh, Tejinder P.

2015-07-01

The Schrödinger-Newton (SN) equation describes the effect of self-gravity on the evolution of a quantum system, and it has been proposed that gravitationally induced decoherence drives the system to one of the stationary solutions of the SN equation. However, the equation itself lacks a decoherence mechanism, because it does not possess any stochastic feature. In the present work we derive a stochastic modification of the Schrödinger-Newton equation, starting from the Einstein-Langevin equation in the theory of stochastic semiclassical gravity. We specialize this equation to the case of a single massive point particle, and by using Karolyhazy's phase variance method, we derive the Diósi-Penrose criterion for the decoherence time. We obtain a (nonlinear) master equation corresponding to this stochastic SN equation. This equation is, however, linear at the level of the approximation we use to prove decoherence; hence, the no-signaling requirement is met. Lastly, we use physical arguments to obtain expressions for the decoherence length of extended objects.

A computational method for solving stochastic Itô–Volterra integral equations based on stochastic operational matrix for generalized hat basis functions

DOE Office of Scientific and Technical Information (OSTI.GOV)

Heydari, M.H., E-mail: heydari@stu.yazd.ac.ir; The Laboratory of Quantum Information Processing, Yazd University, Yazd; Hooshmandasl, M.R., E-mail: hooshmandasl@yazd.ac.ir

2014-08-01

In this paper, a new computational method based on the generalized hat basis functions is proposed for solving stochastic Itô–Volterra integral equations. In this way, a new stochastic operational matrix for generalized hat functions on the finite interval [0,T] is obtained. By using these basis functions and their stochastic operational matrix, such problems can be transformed into linear lower triangular systems of algebraic equations which can be directly solved by forward substitution. Also, the rate of convergence of the proposed method is considered and it has been shown that it is O(1/(n{sup 2}) ). Further, in order to show themore » accuracy and reliability of the proposed method, the new approach is compared with the block pulse functions method by some examples. The obtained results reveal that the proposed method is more accurate and efficient in comparison with the block pule functions method.« less

Stochastic resonance in a fractional oscillator driven by multiplicative quadratic noise

NASA Astrophysics Data System (ADS)

Ren, Ruibin; Luo, Maokang; Deng, Ke

2017-02-01

Stochastic resonance of a fractional oscillator subject to an external periodic field as well as to multiplicative and additive noise is investigated. The fluctuations of the eigenfrequency are modeled as the quadratic function of the trichotomous noise. Applying the moment equation method and Shapiro-Loginov formula, we obtain the exact expression of the complex susceptibility and related stability criteria. Theoretical analysis and numerical simulations indicate that the spectral amplification (SPA) depends non-monotonicly both on the external driving frequency and the parameters of the quadratic noise. In addition, the investigations into fractional stochastic systems have suggested that both the noise parameters and the memory effect can induce the phenomenon of stochastic multi-resonance (SMR), which is previously reported and believed to be absent in the case of the multiplicative noise with only a linear term.

Stochastic lumping analysis for linear kinetics and its application to the fluctuation relations between hierarchical kinetic networks.

PubMed

Deng, De-Ming; Chang, Cheng-Hung

2015-05-14

Conventional studies of biomolecular behaviors rely largely on the construction of kinetic schemes. Since the selection of these networks is not unique, a concern is raised whether and under which conditions hierarchical schemes can reveal the same experimentally measured fluctuating behaviors and unique fluctuation related physical properties. To clarify these questions, we introduce stochasticity into the traditional lumping analysis, generalize it from rate equations to chemical master equations and stochastic differential equations, and extract the fluctuation relations between kinetically and thermodynamically equivalent networks under intrinsic and extrinsic noises. The results provide a theoretical basis for the legitimate use of low-dimensional models in the studies of macromolecular fluctuations and, more generally, for exploring stochastic features in different levels of contracted networks in chemical and biological kinetic systems.

Estimation of stochastic volatility with long memory for index prices of FTSE Bursa Malaysia KLCI

DOE Office of Scientific and Technical Information (OSTI.GOV)

Chen, Kho Chia; Kane, Ibrahim Lawal; Rahman, Haliza Abd

In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a long memory process. This paper considers the structural break of data in order to determine true long memory time series data. Unlike usual short memory models for log volatility, the fractional Ornstein-Uhlenbeck process is neither a Markovian process nor can it be easily transformed into a Markovian process. This makes the likelihood evaluation and parametermore » estimation for the long memory stochastic volatility (LMSV) model challenging tasks. The drift and volatility parameters of the fractional Ornstein-Unlenbeck model are estimated separately using the least square estimator (lse) and quadratic generalized variations (qgv) method respectively. Finally, the empirical distribution of unobserved volatility is estimated using the particle filtering with sequential important sampling-resampling (SIR) method. The mean square error (MSE) between the estimated and empirical volatility indicates that the performance of the model towards the index prices of FTSE Bursa Malaysia KLCI is fairly well.« less

Estimation of stochastic volatility with long memory for index prices of FTSE Bursa Malaysia KLCI

NASA Astrophysics Data System (ADS)

Chen, Kho Chia; Bahar, Arifah; Kane, Ibrahim Lawal; Ting, Chee-Ming; Rahman, Haliza Abd

2015-02-01

In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a long memory process. This paper considers the structural break of data in order to determine true long memory time series data. Unlike usual short memory models for log volatility, the fractional Ornstein-Uhlenbeck process is neither a Markovian process nor can it be easily transformed into a Markovian process. This makes the likelihood evaluation and parameter estimation for the long memory stochastic volatility (LMSV) model challenging tasks. The drift and volatility parameters of the fractional Ornstein-Unlenbeck model are estimated separately using the least square estimator (lse) and quadratic generalized variations (qgv) method respectively. Finally, the empirical distribution of unobserved volatility is estimated using the particle filtering with sequential important sampling-resampling (SIR) method. The mean square error (MSE) between the estimated and empirical volatility indicates that the performance of the model towards the index prices of FTSE Bursa Malaysia KLCI is fairly well.

A simulation to study the feasibility of improving the temporal resolution of LAGEOS geodynamic solutions by using a sequential process noise filter

NASA Technical Reports Server (NTRS)

Hartman, Brian Davis

1995-01-01

A key drawback to estimating geodetic and geodynamic parameters over time based on satellite laser ranging (SLR) observations is the inability to accurately model all the forces acting on the satellite. Errors associated with the observations and the measurement model can detract from the estimates as well. These 'model errors' corrupt the solutions obtained from the satellite orbit determination process. Dynamical models for satellite motion utilize known geophysical parameters to mathematically detail the forces acting on the satellite. However, these parameters, while estimated as constants, vary over time. These temporal variations must be accounted for in some fashion to maintain meaningful solutions. The primary goal of this study is to analyze the feasibility of using a sequential process noise filter for estimating geodynamic parameters over time from the Laser Geodynamics Satellite (LAGEOS) SLR data. This evaluation is achieved by first simulating a sequence of realistic LAGEOS laser ranging observations. These observations are generated using models with known temporal variations in several geodynamic parameters (along track drag and the J(sub 2), J(sub 3), J(sub 4), and J(sub 5) geopotential coefficients). A standard (non-stochastic) filter and a stochastic process noise filter are then utilized to estimate the model parameters from the simulated observations. The standard non-stochastic filter estimates these parameters as constants over consecutive fixed time intervals. Thus, the resulting solutions contain constant estimates of parameters that vary in time which limits the temporal resolution and accuracy of the solution. The stochastic process noise filter estimates these parameters as correlated process noise variables. As a result, the stochastic process noise filter has the potential to estimate the temporal variations more accurately since the constraint of estimating the parameters as constants is eliminated. A comparison of the temporal resolution of solutions obtained from standard sequential filtering methods and process noise sequential filtering methods shows that the accuracy is significantly improved using process noise. The results show that the positional accuracy of the orbit is improved as well. The temporal resolution of the resulting solutions are detailed, and conclusions drawn about the results. Benefits and drawbacks of using process noise filtering in this type of scenario are also identified.

Water resources planning and management : A stochastic dual dynamic programming approach

NASA Astrophysics Data System (ADS)

Goor, Q.; Pinte, D.; Tilmant, A.

2008-12-01

Allocating water between different users and uses, including the environment, is one of the most challenging task facing water resources managers and has always been at the heart of Integrated Water Resources Management (IWRM). As water scarcity is expected to increase over time, allocation decisions among the different uses will have to be found taking into account the complex interactions between water and the economy. Hydro-economic optimization models can capture those interactions while prescribing efficient allocation policies. Many hydro-economic models found in the literature are formulated as large-scale non linear optimization problems (NLP), seeking to maximize net benefits from the system operation while meeting operational and/or institutional constraints, and describing the main hydrological processes. However, those models rarely incorporate the uncertainty inherent to the availability of water, essentially because of the computational difficulties associated stochastic formulations. The purpose of this presentation is to present a stochastic programming model that can identify economically efficient allocation policies in large-scale multipurpose multireservoir systems. The model is based on stochastic dual dynamic programming (SDDP), an extension of traditional SDP that is not affected by the curse of dimensionality. SDDP identify efficient allocation policies while considering the hydrologic uncertainty. The objective function includes the net benefits from the hydropower and irrigation sectors, as well as penalties for not meeting operational and/or institutional constraints. To be able to implement the efficient decomposition scheme that remove the computational burden, the one-stage SDDP problem has to be a linear program. Recent developments improve the representation of the non-linear and mildly non- convex hydropower function through a convex hull approximation of the true hydropower function. This model is illustrated on a cascade of 14 reservoirs on the Nile river basin.

Radiation Physics for Space and High Altitude Air Travel

NASA Technical Reports Server (NTRS)

Cucinotta, F. A.; Wilson, J. W.; Goldhagen, P.; Saganti, P.; Shavers, M. R.; McKay, Gordon A. (Technical Monitor)

2000-01-01

Galactic cosmic rays (GCR) are of extra-solar origin consisting of high-energy hydrogen, helium, and heavy ions. The GCR are modified by physical processes as they traverse through the solar system, spacecraft shielding, atmospheres, and tissues producing copious amounts of secondary radiation including fragmentation products, neutrons, mesons, and muons. We discuss physical models and measurements relevant for estimating biological risks in space and high-altitude air travel. Ambient and internal spacecraft computational models for the International Space Station and a Mars mission are discussed. Risk assessment is traditionally based on linear addition of components. We discuss alternative models that include stochastic treatments of columnar damage by heavy ion tracks and multi-cellular damage following nuclear fragmentation in tissue.

Stochastic model for threat assessment in multi-sensor defense system

NASA Astrophysics Data System (ADS)

Wang, Yongcheng; Wang, Hongfei; Jiang, Changsheng

2007-11-01

This paper puts forward a stochastic model for target detecting and tracking in multi-sensor defense systems and applies the Lanchester differential equations to threat assessment in combat. The two different modes of targets tracking and their respective Lanchester differential equations are analyzed and established. By use of these equations, we could briefly estimate the loss of each combat side and accordingly get the threat estimation results, given the situation analysis is accomplished.

Crank-Nicholson difference scheme for a stochastic parabolic equation with a dependent operator coefficient

DOE Office of Scientific and Technical Information (OSTI.GOV)

Ashyralyev, Allaberen; Okur, Ulker

In the present paper, the Crank-Nicolson difference scheme for the numerical solution of the stochastic parabolic equation with the dependent operator coefficient is considered. Theorem on convergence estimates for the solution of this difference scheme is established. In applications, convergence estimates for the solution of difference schemes for the numerical solution of three mixed problems for parabolic equations are obtained. The numerical results are given.

Stochastic Modelling, Analysis, and Simulations of the Solar Cycle Dynamic Process

NASA Astrophysics Data System (ADS)

Turner, Douglas C.; Ladde, Gangaram S.

2018-03-01

Analytical solutions, discretization schemes and simulation results are presented for the time delay deterministic differential equation model of the solar dynamo presented by Wilmot-Smith et al. In addition, this model is extended under stochastic Gaussian white noise parametric fluctuations. The introduction of stochastic fluctuations incorporates variables affecting the dynamo process in the solar interior, estimation error of parameters, and uncertainty of the α-effect mechanism. Simulation results are presented and analyzed to exhibit the effects of stochastic parametric volatility-dependent perturbations. The results generalize and extend the work of Hazra et al. In fact, some of these results exhibit the oscillatory dynamic behavior generated by the stochastic parametric additative perturbations in the absence of time delay. In addition, the simulation results of the modified stochastic models influence the change in behavior of the very recently developed stochastic model of Hazra et al.

Optimum Damping in a Non-Linear Base Isolation System

NASA Astrophysics Data System (ADS)

Jangid, R. S.

1996-02-01

Optimum isolation damping for minimum acceleration of a base-isolated structure subjected to earthquake ground excitation is investigated. The stochastic model of the El-Centro1940 earthquake, which preserves the non-stationary evolution of amplitude and frequency content of ground motion, is used as an earthquake excitation. The base isolated structure consists of a linear flexible shear type multi-storey building supported on a base isolation system. The resilient-friction base isolator (R-FBI) is considered as an isolation system. The non-stationary stochastic response of the system is obtained by the time dependent equivalent linearization technique as the force-deformation of the R-FBI system is non-linear. The optimum damping of the R-FBI system is obtained under important parametric variations; i.e., the coefficient of friction of the R-FBI system, the period and damping of the superstructure; the effective period of base isolation. The criterion selected for optimality is the minimization of the top floor root mean square (r.m.s.) acceleration. It is shown that the above parameters have significant effects on optimum isolation damping.

Permanence and asymptotic behaviors of stochastic predator-prey system with Markovian switching and Lévy noise

NASA Astrophysics Data System (ADS)

Wang, Sheng; Wang, Linshan; Wei, Tengda

2018-04-01

This paper concerns the dynamics of a stochastic predator-prey system with Markovian switching and Lévy noise. First, the existence and uniqueness of global positive solution to the system is proved. Then, by combining stochastic analytical techniques with M-matrix analysis, sufficient conditions of stochastic permanence and extinction are obtained. Furthermore, for the stochastic permanence case, by means of four constants related to the stationary probability distribution of the Markov chain and the parameters of the subsystems, both the superior limit and the inferior limit of the average in time of the sample path of the solution are estimated. Finally, our conclusions are illustrated through an example.

An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models

DOE Office of Scientific and Technical Information (OSTI.GOV)

Harlim, John, E-mail: jharlim@psu.edu; Mahdi, Adam, E-mail: amahdi@ncsu.edu; Majda, Andrew J., E-mail: jonjon@cims.nyu.edu

2014-01-15

A central issue in contemporary science is the development of nonlinear data driven statistical–dynamical models for time series of noisy partial observations from nature or a complex model. It has been established recently that ad-hoc quadratic multi-level regression models can have finite-time blow-up of statistical solutions and/or pathological behavior of their invariant measure. Recently, a new class of physics constrained nonlinear regression models were developed to ameliorate this pathological behavior. Here a new finite ensemble Kalman filtering algorithm is developed for estimating the state, the linear and nonlinear model coefficients, the model and the observation noise covariances from available partialmore » noisy observations of the state. Several stringent tests and applications of the method are developed here. In the most complex application, the perfect model has 57 degrees of freedom involving a zonal (east–west) jet, two topographic Rossby waves, and 54 nonlinearly interacting Rossby waves; the perfect model has significant non-Gaussian statistics in the zonal jet with blocked and unblocked regimes and a non-Gaussian skewed distribution due to interaction with the other 56 modes. We only observe the zonal jet contaminated by noise and apply the ensemble filter algorithm for estimation. Numerically, we find that a three dimensional nonlinear stochastic model with one level of memory mimics the statistical effect of the other 56 modes on the zonal jet in an accurate fashion, including the skew non-Gaussian distribution and autocorrelation decay. On the other hand, a similar stochastic model with zero memory levels fails to capture the crucial non-Gaussian behavior of the zonal jet from the perfect 57-mode model.« less

Real-time estimation of incident delay in dynamic and stochastic networks

DOT National Transportation Integrated Search

1997-01-01

The ability to predict the link travel times is a necessary requirement for most intelligent transportation systems (ITS) applications such as route guidance systems. In an urban traffic environment, these travel times are dynamic and stochastic and ...

A stochastic automata network for earthquake simulation and hazard estimation

NASA Astrophysics Data System (ADS)

Belubekian, Maya Ernest

1998-11-01

This research develops a model for simulation of earthquakes on seismic faults with available earthquake catalog data. The model allows estimation of the seismic hazard at a site of interest and assessment of the potential damage and loss in a region. There are two approaches for studying the earthquakes: mechanistic and stochastic. In the mechanistic approach, seismic processes, such as changes in stress or slip on faults, are studied in detail. In the stochastic approach, earthquake occurrences are simulated as realizations of a certain stochastic process. In this dissertation, a stochastic earthquake occurrence model is developed that uses the results from dislocation theory for the estimation of slip released in earthquakes. The slip accumulation and release laws and the event scheduling mechanism adopted in the model result in a memoryless Poisson process for the small and moderate events and in a time- and space-dependent process for large events. The minimum and maximum of the hazard are estimated by the model when the initial conditions along the faults correspond to a situation right after a largest event and after a long seismic gap, respectively. These estimates are compared with the ones obtained from a Poisson model. The Poisson model overestimates the hazard after the maximum event and underestimates it in the period of a long seismic quiescence. The earthquake occurrence model is formulated as a stochastic automata network. Each fault is divided into cells, or automata, that interact by means of information exchange. The model uses a statistical method called bootstrap for the evaluation of the confidence bounds on its results. The parameters of the model are adjusted to the target magnitude patterns obtained from the catalog. A case study is presented for the city of Palo Alto, where the hazard is controlled by the San Andreas, Hayward and Calaveras faults. The results of the model are used to evaluate the damage and loss distribution in Palo Alto. The sensitivity analysis of the model results to the variation in basic parameters shows that the maximum magnitude has the most significant impact on the hazard, especially for long forecast periods.

On the reach of perturbative descriptions for dark matter displacement fields

DOE Office of Scientific and Technical Information (OSTI.GOV)

Baldauf, Tobias; Zaldarriaga, Matias; Schaan, Emmanuel, E-mail: baldauf@ias.edu, E-mail: eschaan@astro.princeton.edu, E-mail: matiasz@ias.edu

We study Lagrangian Perturbation Theory (LPT) and its regularization in the Effective Field Theory (EFT) approach. We evaluate the LPT displacement with the same phases as a corresponding N-body simulation, which allows us to compare perturbation theory to the non-linear simulation with significantly reduced cosmic variance, and provides a more stringent test than simply comparing power spectra. We reliably detect a non-vanishing leading order EFT coefficient and a stochastic displacement term, uncorrelated with the LPT terms. This stochastic term is expected in the EFT framework, and, to the best of our understanding, is not an artifact of numerical errors ormore » transients in our simulations. This term constitutes a limit to the accuracy of perturbative descriptions of the displacement field and its phases, corresponding to a 1% error on the non-linear power spectrum at k = 0.2 h{sup −1}Mpc at z = 0. Predicting the displacement power spectrum to higher accuracy or larger wavenumbers thus requires a model for the stochastic displacement.« less

An uncertainty model of acoustic metamaterials with random parameters

NASA Astrophysics Data System (ADS)

He, Z. C.; Hu, J. Y.; Li, Eric

2018-01-01

Acoustic metamaterials (AMs) are man-made composite materials. However, the random uncertainties are unavoidable in the application of AMs due to manufacturing and material errors which lead to the variance of the physical responses of AMs. In this paper, an uncertainty model based on the change of variable perturbation stochastic finite element method (CVPS-FEM) is formulated to predict the probability density functions of physical responses of AMs with random parameters. Three types of physical responses including the band structure, mode shapes and frequency response function of AMs are studied in the uncertainty model, which is of great interest in the design of AMs. In this computation, the physical responses of stochastic AMs are expressed as linear functions of the pre-defined random parameters by using the first-order Taylor series expansion and perturbation technique. Then, based on the linear function relationships of parameters and responses, the probability density functions of the responses can be calculated by the change-of-variable technique. Three numerical examples are employed to demonstrate the effectiveness of the CVPS-FEM for stochastic AMs, and the results are validated by Monte Carlo method successfully.

Pointwise nonparametric maximum likelihood estimator of stochastically ordered survivor functions

PubMed Central

Park, Yongseok; Taylor, Jeremy M. G.; Kalbfleisch, John D.

2012-01-01

In this paper, we consider estimation of survivor functions from groups of observations with right-censored data when the groups are subject to a stochastic ordering constraint. Many methods and algorithms have been proposed to estimate distribution functions under such restrictions, but none have completely satisfactory properties when the observations are censored. We propose a pointwise constrained nonparametric maximum likelihood estimator, which is defined at each time t by the estimates of the survivor functions subject to constraints applied at time t only. We also propose an efficient method to obtain the estimator. The estimator of each constrained survivor function is shown to be nonincreasing in t, and its consistency and asymptotic distribution are established. A simulation study suggests better small and large sample properties than for alternative estimators. An example using prostate cancer data illustrates the method. PMID:23843661

Collective effect of personal behavior induced preventive measures and differential rate of transmission on spread of epidemics

NASA Astrophysics Data System (ADS)

Sagar, Vikram; Zhao, Yi

2017-02-01

In the present work, the effect of personal behavior induced preventive measures is studied on the spread of epidemics over scale free networks that are characterized by the differential rate of disease transmission. The role of personal behavior induced preventive measures is parameterized in terms of variable λ, which modulates the number of concurrent contacts a node makes with the fraction of its neighboring nodes. The dynamics of the disease is described by a non-linear Susceptible Infected Susceptible model based upon the discrete time Markov Chain method. The network mean field approach is generalized to account for the effect of non-linear coupling between the aforementioned factors on the collective dynamics of nodes. The upper bound estimates of the disease outbreak threshold obtained from the mean field theory are found to be in good agreement with the corresponding non-linear stochastic model. From the results of parametric study, it is shown that the epidemic size has inverse dependence on the preventive measures (λ). It has also been shown that the increase in the average degree of the nodes lowers the time of spread and enhances the size of epidemics.

Proton imaging of stochastic magnetic fields

NASA Astrophysics Data System (ADS)

Bott, A. F. A.; Graziani, C.; Tzeferacos, P.; White, T. G.; Lamb, D. Q.; Gregori, G.; Schekochihin, A. A.

2017-12-01

Recent laser-plasma experiments (Fox et al., Phys. Rev. Lett., vol. 111, 2013, 225002; Huntington et al., Nat. Phys., vol. 11(2), 2015, 173-176 Tzeferacos et al., Phys. Plasmas, vol. 24(4), 2017a, 041404; Tzeferacos et al., 2017b, arXiv:1702.03016 [physics.plasm-ph]) report the existence of dynamically significant magnetic fields, whose statistical characterisation is essential for a complete understanding of the physical processes these experiments are attempting to investigate. In this paper, we show how a proton-imaging diagnostic can be used to determine a range of relevant magnetic-field statistics, including the magnetic-energy spectrum. To achieve this goal, we explore the properties of an analytic relation between a stochastic magnetic field and the image-flux distribution created upon imaging that field. This `Kugland image-flux relation' was previously derived (Kugland et al., Rev. Sci. Instrum. vol. 83(10), 2012, 101301) under simplifying assumptions typically valid in actual proton-imaging set-ups. We conclude that, as with regular electromagnetic fields, features of the beam's final image-flux distribution often display a universal character determined by a single, field-scale dependent parameter - the contrast parameter s/{\\mathcal{M}}lB$ - which quantifies the relative size of the correlation length B$ of the stochastic field, proton displacements s$ due to magnetic deflections and the image magnification . For stochastic magnetic fields, we establish the existence of four contrast regimes, under which proton-flux images relate to their parent fields in a qualitatively distinct manner. These are linear, nonlinear injective, caustic and diffusive. The diffusive regime is newly identified and characterised. The nonlinear injective regime is distinguished from the caustic regime in manifesting nonlinear behaviour, but as in the linear regime, the path-integrated magnetic field experienced by the beam can be extracted uniquely. Thus, in the linear and nonlinear injective regimes we show that the magnetic-energy spectrum can be obtained under a further statistical assumption of isotropy. This is not the case in the caustic or diffusive regimes. We discuss complications to the contrast-regime characterisation arising for inhomogeneous, multi-scale stochastic fields, which can encompass many contrast regimes, as well as limitations currently placed by experimental capabilities on one's ability to extract magnetic-field statistics. The results presented in this paper are of consequence in providing a comprehensive description of proton images of stochastic magnetic fields, with applications for improved analysis of proton-flux images.

A Two-Stage Algorithm for Origin-Destination Matrices Estimation Considering Dynamic Dispersion Parameter for Route Choice

PubMed Central

Wang, Yong; Ma, Xiaolei; Liu, Yong; Gong, Ke; Henricakson, Kristian C.; Xu, Maozeng; Wang, Yinhai

2016-01-01

This paper proposes a two-stage algorithm to simultaneously estimate origin-destination (OD) matrix, link choice proportion, and dispersion parameter using partial traffic counts in a congested network. A non-linear optimization model is developed which incorporates a dynamic dispersion parameter, followed by a two-stage algorithm in which Generalized Least Squares (GLS) estimation and a Stochastic User Equilibrium (SUE) assignment model are iteratively applied until the convergence is reached. To evaluate the performance of the algorithm, the proposed approach is implemented in a hypothetical network using input data with high error, and tested under a range of variation coefficients. The root mean squared error (RMSE) of the estimated OD demand and link flows are used to evaluate the model estimation results. The results indicate that the estimated dispersion parameter theta is insensitive to the choice of variation coefficients. The proposed approach is shown to outperform two established OD estimation methods and produce parameter estimates that are close to the ground truth. In addition, the proposed approach is applied to an empirical network in Seattle, WA to validate the robustness and practicality of this methodology. In summary, this study proposes and evaluates an innovative computational approach to accurately estimate OD matrices using link-level traffic flow data, and provides useful insight for optimal parameter selection in modeling travelers’ route choice behavior. PMID:26761209

QUADRO: A SUPERVISED DIMENSION REDUCTION METHOD VIA RAYLEIGH QUOTIENT OPTIMIZATION.

PubMed

Fan, Jianqing; Ke, Zheng Tracy; Liu, Han; Xia, Lucy

We propose a novel Rayleigh quotient based sparse quadratic dimension reduction method-named QUADRO (Quadratic Dimension Reduction via Rayleigh Optimization)-for analyzing high-dimensional data. Unlike in the linear setting where Rayleigh quotient optimization coincides with classification, these two problems are very different under nonlinear settings. In this paper, we clarify this difference and show that Rayleigh quotient optimization may be of independent scientific interests. One major challenge of Rayleigh quotient optimization is that the variance of quadratic statistics involves all fourth cross-moments of predictors, which are infeasible to compute for high-dimensional applications and may accumulate too many stochastic errors. This issue is resolved by considering a family of elliptical models. Moreover, for heavy-tail distributions, robust estimates of mean vectors and covariance matrices are employed to guarantee uniform convergence in estimating non-polynomially many parameters, even though only the fourth moments are assumed. Methodologically, QUADRO is based on elliptical models which allow us to formulate the Rayleigh quotient maximization as a convex optimization problem. Computationally, we propose an efficient linearized augmented Lagrangian method to solve the constrained optimization problem. Theoretically, we provide explicit rates of convergence in terms of Rayleigh quotient under both Gaussian and general elliptical models. Thorough numerical results on both synthetic and real datasets are also provided to back up our theoretical results.

Individualizing drug dosage with longitudinal data.

PubMed

Zhu, Xiaolu; Qu, Annie

2016-10-30

We propose a two-step procedure to personalize drug dosage over time under the framework of a log-linear mixed-effect model. We model patients' heterogeneity using subject-specific random effects, which are treated as the realizations of an unspecified stochastic process. We extend the conditional quadratic inference function to estimate both fixed-effect coefficients and individual random effects on a longitudinal training data sample in the first step and propose an adaptive procedure to estimate new patients' random effects and provide dosage recommendations for new patients in the second step. An advantage of our approach is that we do not impose any distribution assumption on estimating random effects. Moreover, the new approach can accommodate more general time-varying covariates corresponding to random effects. We show in theory and numerical studies that the proposed method is more efficient compared with existing approaches, especially when covariates are time varying. In addition, a real data example of a clozapine study confirms that our two-step procedure leads to more accurate drug dosage recommendations. Copyright © 2016 John Wiley & Sons, Ltd. Copyright © 2016 John Wiley & Sons, Ltd.

Two cloud-based cues for estimating scene structure and camera calibration.

PubMed

Jacobs, Nathan; Abrams, Austin; Pless, Robert

2013-10-01

We describe algorithms that use cloud shadows as a form of stochastically structured light to support 3D scene geometry estimation. Taking video captured from a static outdoor camera as input, we use the relationship of the time series of intensity values between pairs of pixels as the primary input to our algorithms. We describe two cues that relate the 3D distance between a pair of points to the pair of intensity time series. The first cue results from the fact that two pixels that are nearby in the world are more likely to be under a cloud at the same time than two distant points. We describe methods for using this cue to estimate focal length and scene structure. The second cue is based on the motion of cloud shadows across the scene; this cue results in a set of linear constraints on scene structure. These constraints have an inherent ambiguity, which we show how to overcome by combining the cloud motion cue with the spatial cue. We evaluate our method on several time lapses of real outdoor scenes.

An Error-Entropy Minimization Algorithm for Tracking Control of Nonlinear Stochastic Systems with Non-Gaussian Variables

DOE Office of Scientific and Technical Information (OSTI.GOV)

Liu, Yunlong; Wang, Aiping; Guo, Lei

This paper presents an error-entropy minimization tracking control algorithm for a class of dynamic stochastic system. The system is represented by a set of time-varying discrete nonlinear equations with non-Gaussian stochastic input, where the statistical properties of stochastic input are unknown. By using Parzen windowing with Gaussian kernel to estimate the probability densities of errors, recursive algorithms are then proposed to design the controller such that the tracking error can be minimized. The performance of the error-entropy minimization criterion is compared with the mean-square-error minimization in the simulation results.

Direct numerical simulation of stochastically forced laminar plane couette flow: peculiarities of hydrodynamic fluctuations.

PubMed

Khujadze, G; Oberlack, M; Chagelishvili, G

2006-07-21

The background of three-dimensional hydrodynamic (vortical) fluctuations in a stochastically forced, laminar, incompressible, plane Couette flow is simulated numerically. The fluctuating field is anisotropic and has well pronounced peculiarities: (i) the hydrodynamic fluctuations exhibit nonexponential, transient growth; (ii) fluctuations with the streamwise characteristic length scale about 2 times larger than the channel width are predominant in the fluctuating spectrum instead of streamwise constant ones; (iii) nonzero cross correlations of velocity (even streamwise-spanwise) components appear; (iv) stochastic forcing destroys the spanwise reflection symmetry (inherent to the linear and full Navier-Stokes equations in a case of the Couette flow) and causes an asymmetry of the dynamical processes.

Communication: Limitations of the stochastic quasi-steady-state approximation in open biochemical reaction networks

NASA Astrophysics Data System (ADS)

Thomas, Philipp; Straube, Arthur V.; Grima, Ramon

2011-11-01

It is commonly believed that, whenever timescale separation holds, the predictions of reduced chemical master equations obtained using the stochastic quasi-steady-state approximation are in very good agreement with the predictions of the full master equations. We use the linear noise approximation to obtain a simple formula for the relative error between the predictions of the two master equations for the Michaelis-Menten reaction with substrate input. The reduced approach is predicted to overestimate the variance of the substrate concentration fluctuations by as much as 30%. The theoretical results are validated by stochastic simulations using experimental parameter values for enzymes involved in proteolysis, gluconeogenesis, and fermentation.

The complexity of divisibility.

PubMed

Bausch, Johannes; Cubitt, Toby

2016-09-01

We address two sets of long-standing open questions in linear algebra and probability theory, from a computational complexity perspective: stochastic matrix divisibility, and divisibility and decomposability of probability distributions. We prove that finite divisibility of stochastic matrices is an NP-complete problem, and extend this result to nonnegative matrices, and completely-positive trace-preserving maps, i.e. the quantum analogue of stochastic matrices. We further prove a complexity hierarchy for the divisibility and decomposability of probability distributions, showing that finite distribution divisibility is in P, but decomposability is NP-hard. For the former, we give an explicit polynomial-time algorithm. All results on distributions extend to weak-membership formulations, proving that the complexity of these problems is robust to perturbations.

Electron heat transport measured in a stochastic magnetic field.

PubMed

Biewer, T M; Forest, C B; Anderson, J K; Fiksel, G; Hudson, B; Prager, S C; Sarff, J S; Wright, J C; Brower, D L; Ding, W X; Terry, S D

2003-07-25

New profile measurements have allowed the electron thermal diffusivity profile to be estimated from power balance in the Madison Symmetric Torus where magnetic islands overlap and field lines are stochastic. The measurements show that (1) the electron energy transport is conductive not convective, (2) the measured thermal diffusivities are in good agreement with numerical simulations of stochastic transport, and (3) transport is greatly reduced near the reversal surface where magnetic diffusion is small.

Three-stage stochastic pump: Another type of Onsager-Casimir symmetry and results far from equilibrium

NASA Astrophysics Data System (ADS)

Rosas, Alexandre; Van den Broeck, Christian; Lindenberg, Katja

2018-06-01

The stochastic thermodynamic analysis of a time-periodic single particle pump sequentially exposed to three thermochemical reservoirs is presented. The analysis provides explicit results for flux, thermodynamic force, entropy production, work, and heat. These results apply near equilibrium as well as far from equilibrium. In the linear response regime, a different type of Onsager-Casimir symmetry is uncovered. The Onsager matrix becomes symmetric in the limit of zero dissipation.

Linear System Control Using Stochastic Learning Automata

NASA Technical Reports Server (NTRS)

Ziyad, Nigel; Cox, E. Lucien; Chouikha, Mohamed F.

1998-01-01

This paper explains the use of a Stochastic Learning Automata (SLA) to control switching between three systems to produce the desired output response. The SLA learns the optimal choice of the damping ratio for each system to achieve a desired result. We show that the SLA can learn these states for the control of an unknown system with the proper choice of the error criteria. The results of using a single automaton are compared to using multiple automata.

Passivity-based sliding mode control for a polytopic stochastic differential inclusion system.

PubMed

Liu, Leipo; Fu, Zhumu; Song, Xiaona

2013-11-01

Passivity-based sliding mode control for a polytopic stochastic differential inclusion (PSDI) system is considered. A control law is designed such that the reachability of sliding motion is guaranteed. Moreover, sufficient conditions for mean square asymptotic stability and passivity of sliding mode dynamics are obtained by linear matrix inequalities (LMIs). Finally, two examples are given to illustrate the effectiveness of the proposed method. © 2013 ISA. Published by ISA. All rights reserved.

Stochastic Lanchester-type Combat Models I.

DTIC Science & Technology

1979-10-01

necessarily hold when the attrition rates become non- linear in b and/or r. 13 iL 4. OTHER COMBAT MODELS In this section we briefly describe how other...AD-A092 898 FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS F/6 12/2 STOCHASTIC LANCHESTER-TYPE COMBAT MODELS I.(U) OCT 79 L BILLARD N62271-79-M...COMBAT MODELS I by L. BILLARD October 1979 Approved for public release; distribution unlimited. Prepared for: Naval Postgraduate School Monterey, CA 93940

Charge and energy migration in molecular clusters: A stochastic Schrödinger equation approach.

PubMed

Plehn, Thomas; May, Volkhard

2017-01-21

The performance of stochastic Schrödinger equations for simulating dynamic phenomena in large scale open quantum systems is studied. Going beyond small system sizes, commonly used master equation approaches become inadequate. In this regime, wave function based methods profit from their inherent scaling benefit and present a promising tool to study, for example, exciton and charge carrier dynamics in huge and complex molecular structures. In the first part of this work, a strict analytic derivation is presented. It starts with the finite temperature reduced density operator expanded in coherent reservoir states and ends up with two linear stochastic Schrödinger equations. Both equations are valid in the weak and intermediate coupling limit and can be properly related to two existing approaches in literature. In the second part, we focus on the numerical solution of these equations. The main issue is the missing norm conservation of the wave function propagation which may lead to numerical discrepancies. To illustrate this, we simulate the exciton dynamics in the Fenna-Matthews-Olson complex in direct comparison with the data from literature. Subsequently a strategy for the proper computational handling of the linear stochastic Schrödinger equation is exposed particularly with regard to large systems. Here, we study charge carrier transfer kinetics in realistic hybrid organic/inorganic para-sexiphenyl/ZnO systems of different extension.

Charge and energy migration in molecular clusters: A stochastic Schrödinger equation approach

NASA Astrophysics Data System (ADS)

Plehn, Thomas; May, Volkhard

2017-01-01

The performance of stochastic Schrödinger equations for simulating dynamic phenomena in large scale open quantum systems is studied. Going beyond small system sizes, commonly used master equation approaches become inadequate. In this regime, wave function based methods profit from their inherent scaling benefit and present a promising tool to study, for example, exciton and charge carrier dynamics in huge and complex molecular structures. In the first part of this work, a strict analytic derivation is presented. It starts with the finite temperature reduced density operator expanded in coherent reservoir states and ends up with two linear stochastic Schrödinger equations. Both equations are valid in the weak and intermediate coupling limit and can be properly related to two existing approaches in literature. In the second part, we focus on the numerical solution of these equations. The main issue is the missing norm conservation of the wave function propagation which may lead to numerical discrepancies. To illustrate this, we simulate the exciton dynamics in the Fenna-Matthews-Olson complex in direct comparison with the data from literature. Subsequently a strategy for the proper computational handling of the linear stochastic Schrödinger equation is exposed particularly with regard to large systems. Here, we study charge carrier transfer kinetics in realistic hybrid organic/inorganic para-sexiphenyl/ZnO systems of different extension.

Bidirectional Classical Stochastic Processes with Measurements and Feedback

NASA Technical Reports Server (NTRS)

Hahne, G. E.

2005-01-01

A measurement on a quantum system is said to cause the "collapse" of the quantum state vector or density matrix. An analogous collapse occurs with measurements on a classical stochastic process. This paper addresses the question of describing the response of a classical stochastic process when there is feedback from the output of a measurement to the input, and is intended to give a model for quantum-mechanical processes that occur along a space-like reaction coordinate. The classical system can be thought of in physical terms as two counterflowing probability streams, which stochastically exchange probability currents in a way that the net probability current, and hence the overall probability, suitably interpreted, is conserved. The proposed formalism extends the . mathematics of those stochastic processes describable with linear, single-step, unidirectional transition probabilities, known as Markov chains and stochastic matrices. It is shown that a certain rearrangement and combination of the input and output of two stochastic matrices of the same order yields another matrix of the same type. Each measurement causes the partial collapse of the probability current distribution in the midst of such a process, giving rise to calculable, but non-Markov, values for the ensuing modification of the system's output probability distribution. The paper concludes with an analysis of a classical probabilistic version of the so-called grandfather paradox.

Stochastic noncooperative and cooperative evolutionary game strategies of a population of biological networks under natural selection.

PubMed

Chen, Bor-Sen; Yeh, Chin-Hsun

2017-12-01

We review current static and dynamic evolutionary game strategies of biological networks and discuss the lack of random genetic variations and stochastic environmental disturbances in these models. To include these factors, a population of evolving biological networks is modeled as a nonlinear stochastic biological system with Poisson-driven genetic variations and random environmental fluctuations (stimuli). To gain insight into the evolutionary game theory of stochastic biological networks under natural selection, the phenotypic robustness and network evolvability of noncooperative and cooperative evolutionary game strategies are discussed from a stochastic Nash game perspective. The noncooperative strategy can be transformed into an equivalent multi-objective optimization problem and is shown to display significantly improved network robustness to tolerate genetic variations and buffer environmental disturbances, maintaining phenotypic traits for longer than the cooperative strategy. However, the noncooperative case requires greater effort and more compromises between partly conflicting players. Global linearization is used to simplify the problem of solving nonlinear stochastic evolutionary games. Finally, a simple stochastic evolutionary model of a metabolic pathway is simulated to illustrate the procedure of solving for two evolutionary game strategies and to confirm and compare their respective characteristics in the evolutionary process. Copyright © 2017 Elsevier B.V. All rights reserved.

Low Variance Couplings for Stochastic Models of Intracellular Processes with Time-Dependent Rate Functions.

PubMed

Anderson, David F; Yuan, Chaojie

2018-04-18

A number of coupling strategies are presented for stochastically modeled biochemical processes with time-dependent parameters. In particular, the stacked coupling is introduced and is shown via a number of examples to provide an exceptionally low variance between the generated paths. This coupling will be useful in the numerical computation of parametric sensitivities and the fast estimation of expectations via multilevel Monte Carlo methods. We provide the requisite estimators in both cases.

Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

2014-03-01

The hybrid Monte Carlo algorithm (HMCA) is applied for Bayesian parameter estimation of the realized stochastic volatility (RSV) model. Using the 2nd order minimum norm integrator (2MNI) for the molecular dynamics (MD) simulation in the HMCA, we find that the 2MNI is more efficient than the conventional leapfrog integrator. We also find that the autocorrelation time of the volatility variables sampled by the HMCA is very short. Thus it is concluded that the HMCA with the 2MNI is an efficient algorithm for parameter estimations of the RSV model.

On the role of dimensionality and sample size for unstructured and structured covariance matrix estimation

NASA Technical Reports Server (NTRS)

Morgera, S. D.; Cooper, D. B.

1976-01-01

The experimental observation that a surprisingly small sample size vis-a-vis dimension is needed to achieve good signal-to-interference ratio (SIR) performance with an adaptive predetection filter is explained. The adaptive filter requires estimates as obtained by a recursive stochastic algorithm of the inverse of the filter input data covariance matrix. The SIR performance with sample size is compared for the situations where the covariance matrix estimates are of unstructured (generalized) form and of structured (finite Toeplitz) form; the latter case is consistent with weak stationarity of the input data stochastic process.

Optimality, stochasticity, and variability in motor behavior

PubMed Central

Guigon, Emmanuel; Baraduc, Pierre; Desmurget, Michel

2008-01-01

Recent theories of motor control have proposed that the nervous system acts as a stochastically optimal controller, i.e. it plans and executes motor behaviors taking into account the nature and statistics of noise. Detrimental effects of noise are converted into a principled way of controlling movements. Attractive aspects of such theories are their ability to explain not only characteristic features of single motor acts, but also statistical properties of repeated actions. Here, we present a critical analysis of stochastic optimality in motor control which reveals several difficulties with this hypothesis. We show that stochastic control may not be necessary to explain the stochastic nature of motor behavior, and we propose an alternative framework, based on the action of a deterministic controller coupled with an optimal state estimator, which relieves drawbacks of stochastic optimality and appropriately explains movement variability. PMID:18202922

Predicting Lg Coda Using Synthetic Seismograms and Media With Stochastic Heterogeneity

NASA Astrophysics Data System (ADS)

Tibuleac, I. M.; Stroujkova, A.; Bonner, J. L.; Mayeda, K.

2005-12-01

Recent examinations of the characteristics of coda-derived Sn and Lg spectra for yield estimation have shown that the spectral peak of Nevada Test Site (NTS) explosion spectra is depth-of-burial dependent, and that this peak is shifted to higher frequencies for Lop Nor explosions at the same depths. To confidently use coda-based yield formulas, we need to understand and predict coda spectral shape variations with depth, source media, velocity structure, topography, and geological heterogeneity. We present results of a coda modeling study to predict Lg coda. During the initial stages of this research, we have acquired and parameterized a deterministic 6 deg. x 6 deg. velocity and attenuation model centered on the Nevada Test Site. Near-source data are used to constrain density and attenuation profiles for the upper five km. The upper crust velocity profiles are quilted into a background velocity profile at depths greater than five km. The model is parameterized for use in a modified version of the Generalized Fourier Method in two dimensions (GFM2D). We modify this model to include stochastic heterogeneities of varying correlation lengths within the crust. Correlation length, Hurst number and fractional velocity perturbation of the heterogeneities are used to construct different realizations of the random media. We use nuclear explosion and earthquake cluster waveform analysis, as well as well log and geological information to constrain the stochastic parameters for a path between the NTS and the seismic stations near Mina, Nevada. Using multiple runs, we quantify the effects of variations in the stochastic parameters, of heterogeneity location in the crust and attenuation on coda amplitude and spectral characteristics. We calibrate these parameters by matching synthetic earthquake Lg coda envelopes to coda envelopes of local earthquakes with well-defined moments and mechanisms. We generate explosion synthetics for these calibrated deterministic and stochastic models. Secondary effects, including a compensated linear vector dipole source, are superposed on the synthetics in order to adequately characterize the Lg generation. We use this technique to characterize the effects of depth of burial on the coda spectral shapes.

An investigation of adaptive controllers for helicopter vibration and the development of a new dual controller

NASA Technical Reports Server (NTRS)

Mookerjee, P.; Molusis, J. A.; Bar-Shalom, Y.

1985-01-01

An investigation of the properties important for the design of stochastic adaptive controllers for the higher harmonic control of helicopter vibration is presented. Three different model types are considered for the transfer relationship between the helicopter higher harmonic control input and the vibration output: (1) nonlinear; (2) linear with slow time varying coefficients; and (3) linear with constant coefficients. The stochastic controller formulations and solutions are presented for a dual, cautious, and deterministic controller for both linear and nonlinear transfer models. Extensive simulations are performed with the various models and controllers. It is shown that the cautious adaptive controller can sometimes result in unacceptable vibration control. A new second order dual controller is developed which is shown to modify the cautious adaptive controller by adding numerator and denominator correction terms to the cautious control algorithm. The new dual controller is simulated on a simple single-control vibration example and is found to achieve excellent vibration reduction and significantly improves upon the cautious controller.

A Second-Order Conditionally Linear Mixed Effects Model with Observed and Latent Variable Covariates

ERIC Educational Resources Information Center

Harring, Jeffrey R.; Kohli, Nidhi; Silverman, Rebecca D.; Speece, Deborah L.

2012-01-01

A conditionally linear mixed effects model is an appropriate framework for investigating nonlinear change in a continuous latent variable that is repeatedly measured over time. The efficacy of the model is that it allows parameters that enter the specified nonlinear time-response function to be stochastic, whereas those parameters that enter in a…

Factors Influencing M.S.W. Students' Interest in Clinical Practice

ERIC Educational Resources Information Center

Perry, Robin

2009-01-01

This study utilizes linear and log-linear stochastic models to examine the impact that a variety of variables (including graduate education) have on M.S.W. students' desires to work in clinical practice. Data was collected biannually (between 1992 and 1998) from a complete population sample of all students entering and exiting accredited graduate…

Discrete-time state estimation for stochastic polynomial systems over polynomial observations

NASA Astrophysics Data System (ADS)

Hernandez-Gonzalez, M.; Basin, M.; Stepanov, O.

2018-07-01

This paper presents a solution to the mean-square state estimation problem for stochastic nonlinear polynomial systems over polynomial observations confused with additive white Gaussian noises. The solution is given in two steps: (a) computing the time-update equations and (b) computing the measurement-update equations for the state estimate and error covariance matrix. A closed form of this filter is obtained by expressing conditional expectations of polynomial terms as functions of the state estimate and error covariance. As a particular case, the mean-square filtering equations are derived for a third-degree polynomial system with second-degree polynomial measurements. Numerical simulations show effectiveness of the proposed filter compared to the extended Kalman filter.

Kendall-Theil Robust Line (KTRLine--version 1.0)-A Visual Basic Program for Calculating and Graphing Robust Nonparametric Estimates of Linear-Regression Coefficients Between Two Continuous Variables

USGS Publications Warehouse

Granato, Gregory E.

2006-01-01

The Kendall-Theil Robust Line software (KTRLine-version 1.0) is a Visual Basic program that may be used with the Microsoft Windows operating system to calculate parameters for robust, nonparametric estimates of linear-regression coefficients between two continuous variables. The KTRLine software was developed by the U.S. Geological Survey, in cooperation with the Federal Highway Administration, for use in stochastic data modeling with local, regional, and national hydrologic data sets to develop planning-level estimates of potential effects of highway runoff on the quality of receiving waters. The Kendall-Theil robust line was selected because this robust nonparametric method is resistant to the effects of outliers and nonnormality in residuals that commonly characterize hydrologic data sets. The slope of the line is calculated as the median of all possible pairwise slopes between points. The intercept is calculated so that the line will run through the median of input data. A single-line model or a multisegment model may be specified. The program was developed to provide regression equations with an error component for stochastic data generation because nonparametric multisegment regression tools are not available with the software that is commonly used to develop regression models. The Kendall-Theil robust line is a median line and, therefore, may underestimate total mass, volume, or loads unless the error component or a bias correction factor is incorporated into the estimate. Regression statistics such as the median error, the median absolute deviation, the prediction error sum of squares, the root mean square error, the confidence interval for the slope, and the bias correction factor for median estimates are calculated by use of nonparametric methods. These statistics, however, may be used to formulate estimates of mass, volume, or total loads. The program is used to read a two- or three-column tab-delimited input file with variable names in the first row and data in subsequent rows. The user may choose the columns that contain the independent (X) and dependent (Y) variable. A third column, if present, may contain metadata such as the sample-collection location and date. The program screens the input files and plots the data. The KTRLine software is a graphical tool that facilitates development of regression models by use of graphs of the regression line with data, the regression residuals (with X or Y), and percentile plots of the cumulative frequency of the X variable, Y variable, and the regression residuals. The user may individually transform the independent and dependent variables to reduce heteroscedasticity and to linearize data. The program plots the data and the regression line. The program also prints model specifications and regression statistics to the screen. The user may save and print the regression results. The program can accept data sets that contain up to about 15,000 XY data points, but because the program must sort the array of all pairwise slopes, the program may be perceptibly slow with data sets that contain more than about 1,000 points.

A stochastic estimation procedure for intermittently-observed semi-Markov multistate models with back transitions.

PubMed

Aralis, Hilary; Brookmeyer, Ron

2017-01-01

Multistate models provide an important method for analyzing a wide range of life history processes including disease progression and patient recovery following medical intervention. Panel data consisting of the states occupied by an individual at a series of discrete time points are often used to estimate transition intensities of the underlying continuous-time process. When transition intensities depend on the time elapsed in the current state and back transitions between states are possible, this intermittent observation process presents difficulties in estimation due to intractability of the likelihood function. In this manuscript, we present an iterative stochastic expectation-maximization algorithm that relies on a simulation-based approximation to the likelihood function and implement this algorithm using rejection sampling. In a simulation study, we demonstrate the feasibility and performance of the proposed procedure. We then demonstrate application of the algorithm to a study of dementia, the Nun Study, consisting of intermittently-observed elderly subjects in one of four possible states corresponding to intact cognition, impaired cognition, dementia, and death. We show that the proposed stochastic expectation-maximization algorithm substantially reduces bias in model parameter estimates compared to an alternative approach used in the literature, minimal path estimation. We conclude that in estimating intermittently observed semi-Markov models, the proposed approach is a computationally feasible and accurate estimation procedure that leads to substantial improvements in back transition estimates.

Finite-time robust passive control for a class of switched reaction-diffusion stochastic complex dynamical networks with coupling delays and impulsive control

NASA Astrophysics Data System (ADS)

Syed Ali, M.; Yogambigai, J.; Kwon, O. M.

2018-03-01

Finite-time boundedness and finite-time passivity for a class of switched stochastic complex dynamical networks (CDNs) with coupling delays, parameter uncertainties, reaction-diffusion term and impulsive control are studied. Novel finite-time synchronisation criteria are derived based on passivity theory. This paper proposes a CDN consisting of N linearly and diffusively coupled identical reaction- diffusion neural networks. By constructing of a suitable Lyapunov-Krasovskii's functional and utilisation of Jensen's inequality and Wirtinger's inequality, new finite-time passivity criteria for the networks are established in terms of linear matrix inequalities (LMIs), which can be checked numerically using the effective LMI toolbox in MATLAB. Finally, two interesting numerical examples are given to show the effectiveness of the theoretical results.

Random mechanics: Nonlinear vibrations, turbulences, seisms, swells, fatigue

NASA Astrophysics Data System (ADS)

Kree, P.; Soize, C.

The random modeling of physical phenomena, together with probabilistic methods for the numerical calculation of random mechanical forces, are analytically explored. Attention is given to theoretical examinations such as probabilistic concepts, linear filtering techniques, and trajectory statistics. Applications of the methods to structures experiencing atmospheric turbulence, the quantification of turbulence, and the dynamic responses of the structures are considered. A probabilistic approach is taken to study the effects of earthquakes on structures and to the forces exerted by ocean waves on marine structures. Theoretical analyses by means of vector spaces and stochastic modeling are reviewed, as are Markovian formulations of Gaussian processes and the definition of stochastic differential equations. Finally, random vibrations with a variable number of links and linear oscillators undergoing the square of Gaussian processes are investigated.

Non-Markovian Quantum State Diffusion for temperature-dependent linear spectra of light harvesting aggregates

DOE Office of Scientific and Technical Information (OSTI.GOV)

Ritschel, Gerhard; Möbius, Sebastian; Eisfeld, Alexander, E-mail: eisfeld@mpipks-dresden.mpg.de

2015-01-21

Non-Markovian Quantum State Diffusion (NMQSD) has turned out to be an efficient method to calculate excitonic properties of aggregates composed of organic chromophores, taking into account the coupling of electronic transitions to vibrational modes of the chromophores. NMQSD is an open quantum system approach that incorporates environmental degrees of freedom (the vibrations in our case) in a stochastic way. We show in this paper that for linear optical spectra (absorption, circular dichroism), no stochastics is needed, even for finite temperatures. Thus, the spectra can be obtained by propagating a single trajectory. To this end, we map a finite temperature environmentmore » to the zero temperature case using the so-called thermofield method. The resulting equations can then be solved efficiently by standard integrators.« less

A theory of the helical ripple-induced stochastic behavior of fast toroidal bananas in torsatrons and heliotrons

NASA Astrophysics Data System (ADS)

Smirnova, M. S.

2001-05-01

A theory of the helical ripple-induced stochastic behavior of fast toroidal bananas in torsatrons and heliotrons [K. Uo, J. Phys. Soc. Jpn. 16, 1380 (1961)] is developed. It is supplemented by an analysis of the structure of the secondary magnetic wells along field lines. Conditions, under which these wells are suppressed in torsatrons-heliotrons by poloidally modulated helical field ripple, are found. It is shown that inside the secondary magnetic well-free region, favorable conditions exist for a transition of fast toroidal bananas to stochastic trajectories. The analytical estimation for the value of an additional radial jump of a banana particle near its turning point, induced by the helical field ripple effect, is derived. It is found to be similar to the corresponding banana radial jump in a tokamak with the toroidal field ripple. Critical values of the helical field ripple dangerous from the viewpoint of a banana transition to stochastic behavior are estimated.

Estimating the effects of 17α-ethinylestradiol on stochastic population growth rate of fathead minnows: a population synthesis of empirically derived vital rates

USGS Publications Warehouse

Schwindt, Adam R.; Winkelman, Dana L.

2016-01-01

Urban freshwater streams in arid climates are wastewater effluent dominated ecosystems particularly impacted by bioactive chemicals including steroid estrogens that disrupt vertebrate reproduction. However, more understanding of the population and ecological consequences of exposure to wastewater effluent is needed. We used empirically derived vital rate estimates from a mesocosm study to develop a stochastic stage-structured population model and evaluated the effect of 17α-ethinylestradiol (EE2), the estrogen in human contraceptive pills, on fathead minnow Pimephales promelas stochastic population growth rate. Tested EE2 concentrations ranged from 3.2 to 10.9 ng L−1 and produced stochastic population growth rates (λ S ) below 1 at the lowest concentration, indicating potential for population decline. Declines in λ S compared to controls were evident in treatments that were lethal to adult males despite statistically insignificant effects on egg production and juvenile recruitment. In fact, results indicated that λ S was most sensitive to the survival of juveniles and female egg production. More broadly, our results document that population model results may differ even when empirically derived estimates of vital rates are similar among experimental treatments, and demonstrate how population models integrate and project the effects of stressors throughout the life cycle. Thus, stochastic population models can more effectively evaluate the ecological consequences of experimentally derived vital rates.

Impact of correlated magnetic noise on the detection of stochastic gravitational waves: Estimation based on a simple analytical model

NASA Astrophysics Data System (ADS)

Himemoto, Yoshiaki; Taruya, Atsushi

2017-07-01

After the first direct detection of gravitational waves (GW), detection of the stochastic background of GWs is an important next step, and the first GW event suggests that it is within the reach of the second-generation ground-based GW detectors. Such a GW signal is typically tiny and can be detected by cross-correlating the data from two spatially separated detectors if the detector noise is uncorrelated. It has been advocated, however, that the global magnetic fields in the Earth-ionosphere cavity produce the environmental disturbances at low-frequency bands, known as Schumann resonances, which potentially couple with GW detectors. In this paper, we present a simple analytical model to estimate its impact on the detection of stochastic GWs. The model crucially depends on the geometry of the detector pair through the directional coupling, and we investigate the basic properties of the correlated magnetic noise based on the analytic expressions. The model reproduces the major trend of the recently measured global correlation between the GW detectors via magnetometer. The estimated values of the impact of correlated noise also match those obtained from the measurement. Finally, we give an implication to the detection of stochastic GWs including upcoming detectors, KAGRA and LIGO India. The model suggests that LIGO Hanford-Virgo and Virgo-KAGRA pairs are possibly less sensitive to the correlated noise and can achieve a better sensitivity to the stochastic GW signal in the most pessimistic case.

Improved estimation of hydraulic conductivity by combining stochastically simulated hydrofacies with geophysical data

PubMed Central

Zhu, Lin; Gong, Huili; Chen, Yun; Li, Xiaojuan; Chang, Xiang; Cui, Yijiao

2016-01-01

Hydraulic conductivity is a major parameter affecting the output accuracy of groundwater flow and transport models. The most commonly used semi-empirical formula for estimating conductivity is Kozeny-Carman equation. However, this method alone does not work well with heterogeneous strata. Two important parameters, grain size and porosity, often show spatial variations at different scales. This study proposes a method for estimating conductivity distributions by combining a stochastic hydrofacies model with geophysical methods. The Markov chain model with transition probability matrix was adopted to re-construct structures of hydrofacies for deriving spatial deposit information. The geophysical and hydro-chemical data were used to estimate the porosity distribution through the Archie’s law. Results show that the stochastic simulated hydrofacies model reflects the sedimentary features with an average model accuracy of 78% in comparison with borehole log data in the Chaobai alluvial fan. The estimated conductivity is reasonable and of the same order of magnitude of the outcomes of the pumping tests. The conductivity distribution is consistent with the sedimentary distributions. This study provides more reliable spatial distributions of the hydraulic parameters for further numerical modeling. PMID:26927886

Stochastic modeling for time series InSAR: with emphasis on atmospheric effects

NASA Astrophysics Data System (ADS)

Cao, Yunmeng; Li, Zhiwei; Wei, Jianchao; Hu, Jun; Duan, Meng; Feng, Guangcai

2018-02-01

Despite the many applications of time series interferometric synthetic aperture radar (TS-InSAR) techniques in geophysical problems, error analysis and assessment have been largely overlooked. Tropospheric propagation error is still the dominant error source of InSAR observations. However, the spatiotemporal variation of atmospheric effects is seldom considered in the present standard TS-InSAR techniques, such as persistent scatterer interferometry and small baseline subset interferometry. The failure to consider the stochastic properties of atmospheric effects not only affects the accuracy of the estimators, but also makes it difficult to assess the uncertainty of the final geophysical results. To address this issue, this paper proposes a network-based variance-covariance estimation method to model the spatiotemporal variation of tropospheric signals, and to estimate the temporal variance-covariance matrix of TS-InSAR observations. The constructed stochastic model is then incorporated into the TS-InSAR estimators both for parameters (e.g., deformation velocity, topography residual) estimation and uncertainty assessment. It is an incremental and positive improvement to the traditional weighted least squares methods to solve the multitemporal InSAR time series. The performance of the proposed method is validated by using both simulated and real datasets.

Trend Estimation and Regression Analysis in Climatological Time Series: An Application of Structural Time Series Models and the Kalman Filter.

NASA Astrophysics Data System (ADS)

Visser, H.; Molenaar, J.

1995-05-01

The detection of trends in climatological data has become central to the discussion on climate change due to the enhanced greenhouse effect. To prove detection, a method is needed (i) to make inferences on significant rises or declines in trends, (ii) to take into account natural variability in climate series, and (iii) to compare output from GCMs with the trends in observed climate data. To meet these requirements, flexible mathematical tools are needed. A structural time series model is proposed with which a stochastic trend, a deterministic trend, and regression coefficients can be estimated simultaneously. The stochastic trend component is described using the class of ARIMA models. The regression component is assumed to be linear. However, the regression coefficients corresponding with the explanatory variables may be time dependent to validate this assumption. The mathematical technique used to estimate this trend-regression model is the Kaiman filter. The main features of the filter are discussed.Examples of trend estimation are given using annual mean temperatures at a single station in the Netherlands (1706-1990) and annual mean temperatures at Northern Hemisphere land stations (1851-1990). The inclusion of explanatory variables is shown by regressing the latter temperature series on four variables: Southern Oscillation index (SOI), volcanic dust index (VDI), sunspot numbers (SSN), and a simulated temperature signal, induced by increasing greenhouse gases (GHG). In all analyses, the influence of SSN on global temperatures is found to be negligible. The correlations between temperatures and SOI and VDI appear to be negative. For SOI, this correlation is significant, but for VDI it is not, probably because of a lack of volcanic eruptions during the sample period. The relation between temperatures and GHG is positive, which is in agreement with the hypothesis of a warming climate because of increasing levels of greenhouse gases. The prediction performance of the model is rather poor, and possible explanations are discussed.

Designing Feature and Data Parallel Stochastic Coordinate Descent Method forMatrix and Tensor Factorization

DTIC Science & Technology

2016-05-11

AFRL-AFOSR-JP-TR-2016-0046 Designing Feature and Data Parallel Stochastic Coordinate Descent Method for Matrix and Tensor Factorization U Kang Korea...maintaining the data needed, and completing and reviewing the collection of information. Send comments regarding this burden estimate or   any other aspect...Designing Feature and Data Parallel Stochastic Coordinate Descent Method for Matrix and Tensor Factorization 5a.  CONTRACT NUMBER 5b.  GRANT NUMBER FA2386

Contribution of tropical instability waves to ENSO irregularity

NASA Astrophysics Data System (ADS)

Holmes, Ryan M.; McGregor, Shayne; Santoso, Agus; England, Matthew H.

2018-05-01

Tropical instability waves (TIWs) are a major source of internally-generated oceanic variability in the equatorial Pacific Ocean. These non-linear phenomena play an important role in the sea surface temperature (SST) budget in a region critical for low-frequency modes of variability such as the El Niño-Southern Oscillation (ENSO). However, the direct contribution of TIW-driven stochastic variability to ENSO has received little attention. Here, we investigate the influence of TIWs on ENSO using a 1/4° ocean model coupled to a simple atmosphere. The use of a simple atmosphere removes complex intrinsic atmospheric variability while allowing the dominant mode of air-sea coupling to be represented as a statistical relationship between SST and wind stress anomalies. Using this hybrid coupled model, we perform a suite of coupled ensemble forecast experiments initiated with wind bursts in the western Pacific, where individual ensemble members differ only due to internal oceanic variability. We find that TIWs can induce a spread in the forecast amplitude of the Niño 3 SST anomaly 6-months after a given sequence of WWBs of approximately ± 45% the size of the ensemble mean anomaly. Further, when various estimates of stochastic atmospheric forcing are added, oceanic internal variability is found to contribute between about 20% and 70% of the ensemble forecast spread, with the remainder attributable to the atmospheric variability. While the oceanic contribution to ENSO stochastic forcing requires further quantification beyond the idealized approach used here, our results nevertheless suggest that TIWs may impact ENSO irregularity and predictability. This has implications for ENSO representation in low-resolution coupled models.

On the reach of perturbative methods for dark matter density fields

DOE Office of Scientific and Technical Information (OSTI.GOV)

Baldauf, Tobias; Zaldarriaga, Matias; Schaan, Emmanuel, E-mail: baldauf@ias.edu, E-mail: eschaan@astro.princeton.edu, E-mail: matiasz@ias.edu

We study the mapping from Lagrangian to Eulerian space in the context of the Effective Field Theory (EFT) of Large Scale Structure. We compute Lagrangian displacements with Lagrangian Perturbation Theory (LPT) and perform the full non-perturbative transformation from displacement to density. When expanded up to a given order, this transformation reproduces the standard Eulerian Perturbation Theory (SPT) at the same order. However, the full transformation from displacement to density also includes higher order terms. These terms explicitly resum long wavelength motions, thus making the resulting density field better correlated with the true non-linear density field. As a result, the regimemore » of validity of this approach is expected to extend that of the Eulerian EFT, and match that of the IR-resummed Eulerian EFT. This approach thus effectively enables a test of the IR-resummed EFT at the field level. We estimate the size of stochastic, non-perturbative contributions to the matter density power spectrum. We find that in our highest order calculation, at redshift z = 0 the power spectrum of the density field is reproduced with an accuracy of 1% (10%) up to k = 0.25 hMpc{sup −1} (k = 0.46 hMpc{sup −1}). We believe that the dominant source of the remaining error is the stochastic contribution. Unfortunately, on these scales the stochastic term does not yet scale as k{sup 4} as it does in the very low k regime. Thus, modeling this contribution might be challenging.« less

Cost efficiency of US hospitals: a stochastic frontier approach.

PubMed

Rosko, M D

2001-09-01

This study examined the impact of managed care and other environmental factors on hospital inefficiency in 1631 US hospitals during the period 1990-1996. A panel, stochastic frontier regression model was used to estimate inefficiency parameters and inefficiency scores. The results suggest that mean estimated inefficiency decreased by about 28% during the study period. Inefficiency was negatively associated with health maintenance organization (HMO) penetration and industry concentration. It was positively related with Medicare share and for-profit ownership status. Copyright 2001 John Wiley & Sons, Ltd.

Bootstrapping Least Squares Estimates in Biochemical Reaction Networks

PubMed Central

Linder, Daniel F.

2015-01-01

The paper proposes new computational methods of computing confidence bounds for the least squares estimates (LSEs) of rate constants in mass-action biochemical reaction network and stochastic epidemic models. Such LSEs are obtained by fitting the set of deterministic ordinary differential equations (ODEs), corresponding to the large volume limit of a reaction network, to network’s partially observed trajectory treated as a continuous-time, pure jump Markov process. In the large volume limit the LSEs are asymptotically Gaussian, but their limiting covariance structure is complicated since it is described by a set of nonlinear ODEs which are often ill-conditioned and numerically unstable. The current paper considers two bootstrap Monte-Carlo procedures, based on the diffusion and linear noise approximations for pure jump processes, which allow one to avoid solving the limiting covariance ODEs. The results are illustrated with both in-silico and real data examples from the LINE 1 gene retrotranscription model and compared with those obtained using other methods. PMID:25898769

Optimal linear reconstruction of dark matter from halo catalogues

DOE PAGES

Cai, Yan -Chuan; Bernstein, Gary; Sheth, Ravi K.

2011-04-01

The dark matter lumps (or "halos") that contain galaxies have locations in the Universe that are to some extent random with respect to the overall matter distributions. We investigate how best to estimate the total matter distribution from the locations of the halos. We derive the weight function w(M) to apply to dark-matter haloes that minimizes the stochasticity between the weighted halo distribution and its underlying mass density field. The optimal w(M) depends on the range of masses of halos being used. While the standard biased-Poisson model of the halo distribution predicts that bias weighting is optimal, the simple factmore » that the mass is comprised of haloes implies that the optimal w(M) will be a mixture of mass-weighting and bias-weighting. In N-body simulations, the Poisson estimator is up to 15× noisier than the optimal. Optimal weighting could make cosmological tests based on the matter power spectrum or cross-correlations much more powerful and/or cost effective.« less

Multidimensional stochastic approximation using locally contractive functions

NASA Technical Reports Server (NTRS)

Lawton, W. M.

1975-01-01

A Robbins-Monro type multidimensional stochastic approximation algorithm which converges in mean square and with probability one to the fixed point of a locally contractive regression function is developed. The algorithm is applied to obtain maximum likelihood estimates of the parameters for a mixture of multivariate normal distributions.

Comparison of VLBI TRF solutions based on Kalman filtering and recent ITRS realizations

NASA Astrophysics Data System (ADS)

Soja, Benedikt; Nilsson, Tobias; Glaser, Susanne; Balidakis, Kyriakos; Karbon, Maria; Heinkelmann, Robert; Gross, Richard; Schuh, Harald

2016-04-01

Compared to previous prominent global terrestrial reference frames (TRF) solutions, such as the ITRF2008 or DTRF2008, the current accuracy requirements demand among other things extended parameterization to account for various non-linear signals present in the time series of station coordinates. The next generation of TRFs, built upon geodetic data until the end of 2014, employs different approaches to tackle in particular seasonal variations and post-seismic deformations. The ITRF2014, developed at the International Earth Rotation and Reference Systems Service (IERS) Combination Center (CC) at Institut Géographique National, introduces harmonic, exponential and logarithmic functions to take into account aforementioned effects. In contrast, the ITRS realization of the IERS CC at Jet Propulsion Laboratory is based on Kalman filtering, which allows coordinate variations to be modeled in a stochastic sense besides the parameterized linear and seasonal signals. In our study, we compare these multi-technique TRFs with solutions solely based on VLBI data, including 104 radio telescopes and 4239 VLBI sessions, covering a time span of 34 years. We calculated a VLBI TRF based on the traditional least-squares adjustment of session-wise normal equations, and an ensemble of Kalman filter and smoother solutions with different parameterizations and stochastic models. In particular, we investigate the impact of different process noise levels for station coordinates, the choice of stochastic processes, e.g. random walks, and the application of time- and station-dependent noise models. For instance, we find that the estimation of seasonal signals, while important for predictions, does not affect the filtered coordinate time series when observational data is available. Furthermore, post-seismic deformations after major earthquakes require the process noise to be scaled accordingly. For instance, we detected coordinate differences of up to 5 cm immediately after the Chile 2010 earthquake when changing the process noise by a factor of 10. Finally, we investigated velocity differences and found the RMS of the differences between the VLBI solutions reaching 0.3 mm/yr for stations with good observational history.

On square-wave-driven stochastic resonance for energy harvesting in a bistable system

DOE Office of Scientific and Technical Information (OSTI.GOV)

Su, Dongxu, E-mail: sudx@iis.u-tokyo.ac.jp; Zheng, Rencheng; Nakano, Kimihiko

Stochastic resonance is a physical phenomenon through which the throughput of energy within an oscillator excited by a stochastic source can be boosted by adding a small modulating excitation. This study investigates the feasibility of implementing square-wave-driven stochastic resonance to enhance energy harvesting. The motivating hypothesis was that such stochastic resonance can be efficiently realized in a bistable mechanism. However, the condition for the occurrence of stochastic resonance is conventionally defined by the Kramers rate. This definition is inadequate because of the necessity and difficulty in estimating white noise density. A bistable mechanism has been designed using an explicit analyticalmore » model which implies a new approach for achieving stochastic resonance in the paper. Experimental tests confirm that the addition of a small-scale force to the bistable system excited by a random signal apparently leads to a corresponding amplification of the response that we now term square-wave-driven stochastic resonance. The study therefore indicates that this approach may be a promising way to improve the performance of an energy harvester under certain forms of random excitation.« less

A hierarchical stress release model for synthetic seismicity

NASA Astrophysics Data System (ADS)

Bebbington, Mark

1997-06-01

We construct a stochastic dynamic model for synthetic seismicity involving stochastic stress input, release, and transfer in an environment of heterogeneous strength and interacting segments. The model is not fault-specific, having a number of adjustable parameters with physical interpretation, namely, stress relaxation, stress transfer, stress dissipation, segment structure, strength, and strength heterogeneity, which affect the seismicity in various ways. Local parameters are chosen to be consistent with large historical events, other parameters to reproduce bulk seismicity statistics for the fault as a whole. The one-dimensional fault is divided into a number of segments, each comprising a varying number of nodes. Stress input occurs at each node in a simple random process, representing the slow buildup due to tectonic plate movements. Events are initiated, subject to a stochastic hazard function, when the stress on a node exceeds the local strength. An event begins with the transfer of excess stress to neighboring nodes, which may in turn transfer their excess stress to the next neighbor. If the event grows to include the entire segment, then most of the stress on the segment is transferred to neighboring segments (or dissipated) in a characteristic event. These large events may themselves spread to other segments. We use the Middle America Trench to demonstrate that this model, using simple stochastic stress input and triggering mechanisms, can produce behavior consistent with the historical record over five units of magnitude. We also investigate the effects of perturbing various parameters in order to show how the model might be tailored to a specific fault structure. The strength of the model lies in this ability to reproduce the behavior of a general linear fault system through the choice of a relatively small number of parameters. It remains to develop a procedure for estimating the internal state of the model from the historical observations in order to use the model for forward prediction.

Compressible cavitation with stochastic field method

NASA Astrophysics Data System (ADS)

Class, Andreas; Dumond, Julien

2012-11-01

Non-linear phenomena can often be well described using probability density functions (pdf) and pdf transport models. Traditionally the simulation of pdf transport requires Monte-Carlo codes based on Lagrange particles or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic field method solving pdf transport based on Euler fields has been proposed which eliminates the necessity to mix Euler and Lagrange techniques or prescribed pdf assumptions. In the present work, part of the PhD Design and analysis of a Passive Outflow Reducer relying on cavitation, a first application of the stochastic field method to multi-phase flow and in particular to cavitating flow is presented. The application considered is a nozzle subjected to high velocity flow so that sheet cavitation is observed near the nozzle surface in the divergent section. It is demonstrated that the stochastic field formulation captures the wide range of pdf shapes present at different locations. The method is compatible with finite-volume codes where all existing physical models available for Lagrange techniques, presumed pdf or binning methods can be easily extended to the stochastic field formulation.

A two-level stochastic collocation method for semilinear elliptic equations with random coefficients

DOE Office of Scientific and Technical Information (OSTI.GOV)

Chen, Luoping; Zheng, Bin; Lin, Guang

In this work, we propose a novel two-level discretization for solving semilinear elliptic equations with random coefficients. Motivated by the two-grid method for deterministic partial differential equations (PDEs) introduced by Xu, our two-level stochastic collocation method utilizes a two-grid finite element discretization in the physical space and a two-level collocation method in the random domain. In particular, we solve semilinear equations on a coarse meshmore » $$\\mathcal{T}_H$$ with a low level stochastic collocation (corresponding to the polynomial space $$\\mathcal{P}_{P}$$) and solve linearized equations on a fine mesh $$\\mathcal{T}_h$$ using high level stochastic collocation (corresponding to the polynomial space $$\\mathcal{P}_p$$). We prove that the approximated solution obtained from this method achieves the same order of accuracy as that from solving the original semilinear problem directly by stochastic collocation method with $$\\mathcal{T}_h$$ and $$\\mathcal{P}_p$$. The two-level method is computationally more efficient, especially for nonlinear problems with high random dimensions. Numerical experiments are also provided to verify the theoretical results.« less

Analysis of stochastic model for non-linear volcanic dynamics

NASA Astrophysics Data System (ADS)

Alexandrov, D.; Bashkirtseva, I.; Ryashko, L.

2014-12-01

Motivated by important geophysical applications we consider a dynamic model of the magma-plug system previously derived by Iverson et al. (2006) under the influence of stochastic forcing. Due to strong nonlinearity of the friction force for solid plug along its margins, the initial deterministic system exhibits impulsive oscillations. Two types of dynamic behavior of the system under the influence of the parametric stochastic forcing have been found: random trajectories are scattered on both sides of the deterministic cycle or grouped on its internal side only. It is shown that dispersions are highly inhomogeneous along cycles in the presence of noises. The effects of noise-induced shifts, pressure stabilization and localization of random trajectories have been revealed with increasing the noise intensity. The plug velocity, pressure and displacement are highly dependent of noise intensity as well. These new stochastic phenomena are related with the nonlinear peculiarities of the deterministic phase portrait. It is demonstrated that the repetitive stick-slip motions of the magma-plug system in the case of stochastic forcing can be connected with drumbeat earthquakes.

Adaptive optimal stochastic state feedback control of resistive wall modes in tokamaks

NASA Astrophysics Data System (ADS)

Sun, Z.; Sen, A. K.; Longman, R. W.

2006-01-01

An adaptive optimal stochastic state feedback control is developed to stabilize the resistive wall mode (RWM) instability in tokamaks. The extended least-square method with exponential forgetting factor and covariance resetting is used to identify (experimentally determine) the time-varying stochastic system model. A Kalman filter is used to estimate the system states. The estimated system states are passed on to an optimal state feedback controller to construct control inputs. The Kalman filter and the optimal state feedback controller are periodically redesigned online based on the identified system model. This adaptive controller can stabilize the time-dependent RWM in a slowly evolving tokamak discharge. This is accomplished within a time delay of roughly four times the inverse of the growth rate for the time-invariant model used.

Adaptive Optimal Stochastic State Feedback Control of Resistive Wall Modes in Tokamaks

NASA Astrophysics Data System (ADS)

Sun, Z.; Sen, A. K.; Longman, R. W.

2007-06-01

An adaptive optimal stochastic state feedback control is developed to stabilize the resistive wall mode (RWM) instability in tokamaks. The extended least square method with exponential forgetting factor and covariance resetting is used to identify the time-varying stochastic system model. A Kalman filter is used to estimate the system states. The estimated system states are passed on to an optimal state feedback controller to construct control inputs. The Kalman filter and the optimal state feedback controller are periodically redesigned online based on the identified system model. This adaptive controller can stabilize the time dependent RWM in a slowly evolving tokamak discharge. This is accomplished within a time delay of roughly four times the inverse of the growth rate for the time-invariant model used.

Dynamic Programming and Error Estimates for Stochastic Control Problems with Maximum Cost

DOE Office of Scientific and Technical Information (OSTI.GOV)

Bokanowski, Olivier, E-mail: boka@math.jussieu.fr; Picarelli, Athena, E-mail: athena.picarelli@inria.fr; Zidani, Hasnaa, E-mail: hasnaa.zidani@ensta.fr

2015-02-15

This work is concerned with stochastic optimal control for a running maximum cost. A direct approach based on dynamic programming techniques is studied leading to the characterization of the value function as the unique viscosity solution of a second order Hamilton–Jacobi–Bellman (HJB) equation with an oblique derivative boundary condition. A general numerical scheme is proposed and a convergence result is provided. Error estimates are obtained for the semi-Lagrangian scheme. These results can apply to the case of lookback options in finance. Moreover, optimal control problems with maximum cost arise in the characterization of the reachable sets for a system ofmore » controlled stochastic differential equations. Some numerical simulations on examples of reachable analysis are included to illustrate our approach.« less

Bayesian inference for dynamic transcriptional regulation; the Hes1 system as a case study.

PubMed

Heron, Elizabeth A; Finkenstädt, Bärbel; Rand, David A

2007-10-01

In this study, we address the problem of estimating the parameters of regulatory networks and provide the first application of Markov chain Monte Carlo (MCMC) methods to experimental data. As a case study, we consider a stochastic model of the Hes1 system expressed in terms of stochastic differential equations (SDEs) to which rigorous likelihood methods of inference can be applied. When fitting continuous-time stochastic models to discretely observed time series the lengths of the sampling intervals are important, and much of our study addresses the problem when the data are sparse. We estimate the parameters of an autoregulatory network providing results both for simulated and real experimental data from the Hes1 system. We develop an estimation algorithm using MCMC techniques which are flexible enough to allow for the imputation of latent data on a finer time scale and the presence of prior information about parameters which may be informed from other experiments as well as additional measurement error.

Inference for Stochastic Chemical Kinetics Using Moment Equations and System Size Expansion.

PubMed

Fröhlich, Fabian; Thomas, Philipp; Kazeroonian, Atefeh; Theis, Fabian J; Grima, Ramon; Hasenauer, Jan

2016-07-01

Quantitative mechanistic models are valuable tools for disentangling biochemical pathways and for achieving a comprehensive understanding of biological systems. However, to be quantitative the parameters of these models have to be estimated from experimental data. In the presence of significant stochastic fluctuations this is a challenging task as stochastic simulations are usually too time-consuming and a macroscopic description using reaction rate equations (RREs) is no longer accurate. In this manuscript, we therefore consider moment-closure approximation (MA) and the system size expansion (SSE), which approximate the statistical moments of stochastic processes and tend to be more precise than macroscopic descriptions. We introduce gradient-based parameter optimization methods and uncertainty analysis methods for MA and SSE. Efficiency and reliability of the methods are assessed using simulation examples as well as by an application to data for Epo-induced JAK/STAT signaling. The application revealed that even if merely population-average data are available, MA and SSE improve parameter identifiability in comparison to RRE. Furthermore, the simulation examples revealed that the resulting estimates are more reliable for an intermediate volume regime. In this regime the estimation error is reduced and we propose methods to determine the regime boundaries. These results illustrate that inference using MA and SSE is feasible and possesses a high sensitivity.

Inference for Stochastic Chemical Kinetics Using Moment Equations and System Size Expansion

PubMed Central

Thomas, Philipp; Kazeroonian, Atefeh; Theis, Fabian J.; Grima, Ramon; Hasenauer, Jan

2016-01-01

Quantitative mechanistic models are valuable tools for disentangling biochemical pathways and for achieving a comprehensive understanding of biological systems. However, to be quantitative the parameters of these models have to be estimated from experimental data. In the presence of significant stochastic fluctuations this is a challenging task as stochastic simulations are usually too time-consuming and a macroscopic description using reaction rate equations (RREs) is no longer accurate. In this manuscript, we therefore consider moment-closure approximation (MA) and the system size expansion (SSE), which approximate the statistical moments of stochastic processes and tend to be more precise than macroscopic descriptions. We introduce gradient-based parameter optimization methods and uncertainty analysis methods for MA and SSE. Efficiency and reliability of the methods are assessed using simulation examples as well as by an application to data for Epo-induced JAK/STAT signaling. The application revealed that even if merely population-average data are available, MA and SSE improve parameter identifiability in comparison to RRE. Furthermore, the simulation examples revealed that the resulting estimates are more reliable for an intermediate volume regime. In this regime the estimation error is reduced and we propose methods to determine the regime boundaries. These results illustrate that inference using MA and SSE is feasible and possesses a high sensitivity. PMID:27447730

New exponential stability criteria for stochastic BAM neural networks with impulses

NASA Astrophysics Data System (ADS)

Sakthivel, R.; Samidurai, R.; Anthoni, S. M.

2010-10-01

In this paper, we study the global exponential stability of time-delayed stochastic bidirectional associative memory neural networks with impulses and Markovian jumping parameters. A generalized activation function is considered, and traditional assumptions on the boundedness, monotony and differentiability of activation functions are removed. We obtain a new set of sufficient conditions in terms of linear matrix inequalities, which ensures the global exponential stability of the unique equilibrium point for stochastic BAM neural networks with impulses. The Lyapunov function method with the Itô differential rule is employed for achieving the required result. Moreover, a numerical example is provided to show that the proposed result improves the allowable upper bound of delays over some existing results in the literature.

Robust stability for stochastic bidirectional associative memory neural networks with time delays

NASA Astrophysics Data System (ADS)

Shu, H. S.; Lv, Z. W.; Wei, G. L.

2008-02-01

In this paper, the asymptotic stability is considered for a class of uncertain stochastic bidirectional associative memory neural networks with time delays and parameter uncertainties. The delays are time-invariant and the uncertainties are norm-bounded that enter into all network parameters. The aim of this paper is to establish easily verifiable conditions under which the delayed neural network is robustly asymptotically stable in the mean square for all admissible parameter uncertainties. By employing a Lyapunov-Krasovskii functional and conducting the stochastic analysis, a linear matrix inequality matrix inequality (LMI) approach is developed to derive the stability criteria. The proposed criteria can be easily checked by the Matlab LMI toolbox. A numerical example is given to demonstrate the usefulness of the proposed criteria.

Stochastic hybrid delay population dynamics: well-posed models and extinction.

PubMed

Yuan, Chenggui; Mao, Xuerong; Lygeros, John

2009-01-01

Nonlinear differential equations have been used for decades for studying fluctuations in the populations of species, interactions of species with the environment, and competition and symbiosis between species. Over the years, the original non-linear models have been embellished with delay terms, stochastic terms and more recently discrete dynamics. In this paper, we investigate stochastic hybrid delay population dynamics (SHDPD), a very general class of population dynamics that comprises all of these phenomena. For this class of systems, we provide sufficient conditions to ensure that SHDPD have global positive, ultimately bounded solutions, a minimum requirement for a realistic, well-posed model. We then study the question of extinction and establish conditions under which an ecosystem modelled by SHDPD is doomed.

Stochastic Approximation Methods for Latent Regression Item Response Models

ERIC Educational Resources Information Center

von Davier, Matthias; Sinharay, Sandip

2010-01-01

This article presents an application of a stochastic approximation expectation maximization (EM) algorithm using a Metropolis-Hastings (MH) sampler to estimate the parameters of an item response latent regression model. Latent regression item response models are extensions of item response theory (IRT) to a latent variable model with covariates…

A matrix-based approach to solving the inverse Frobenius-Perron problem using sequences of density functions of stochastically perturbed dynamical systems

NASA Astrophysics Data System (ADS)

Nie, Xiaokai; Coca, Daniel

2018-01-01

The paper introduces a matrix-based approach to estimate the unique one-dimensional discrete-time dynamical system that generated a given sequence of probability density functions whilst subjected to an additive stochastic perturbation with known density.

A matrix-based approach to solving the inverse Frobenius-Perron problem using sequences of density functions of stochastically perturbed dynamical systems.

PubMed

Nie, Xiaokai; Coca, Daniel

2018-01-01

The paper introduces a matrix-based approach to estimate the unique one-dimensional discrete-time dynamical system that generated a given sequence of probability density functions whilst subjected to an additive stochastic perturbation with known density.

Stochastic estimates of gradient from laser measurements for an autonomous Martian roving vehicle

NASA Technical Reports Server (NTRS)

Burger, P. A.

1973-01-01

The general problem of estimating the state vector x from the state equation h = Ax where h, A, and x are all stochastic, is presented. Specifically, the problem is for an autonomous Martian roving vehicle to utilize laser measurements in estimating the gradient of the terrain. Error exists due to two factors - surface roughness and instrumental measurements. The errors in slope depend on the standard deviations of these noise factors. Numerically, the error in gradient is expressed as a function of instrumental inaccuracies. Certain guidelines for the accuracy of permissable gradient must be set. It is found that present technology can meet these guidelines.

Estimation of an Optimal Stimulus Amplitude for Using Vestibular Stochastic Stimulation to Improve Balance Function

NASA Technical Reports Server (NTRS)

Goel, R.; Kofman, I.; DeDios, Y. E.; Jeevarajan, J.; Stepanyan, V.; Nair, M.; Congdon, S.; Fregia, M.; Peters, B.; Cohen, H.;

A Novel Weighted Kernel PCA-Based Method for Optimization and Uncertainty Quantification

NASA Astrophysics Data System (ADS)

Thimmisetty, C.; Talbot, C.; Chen, X.; Tong, C. H.

2016-12-01

It has been demonstrated that machine learning methods can be successfully applied to uncertainty quantification for geophysical systems through the use of the adjoint method coupled with kernel PCA-based optimization. In addition, it has been shown through weighted linear PCA how optimization with respect to both observation weights and feature space control variables can accelerate convergence of such methods. Linear machine learning methods, however, are inherently limited in their ability to represent features of non-Gaussian stochastic random fields, as they are based on only the first two statistical moments of the original data. Nonlinear spatial relationships and multipoint statistics leading to the tortuosity characteristic of channelized media, for example, are captured only to a limited extent by linear PCA. With the aim of coupling the kernel-based and weighted methods discussed, we present a novel mathematical formulation of kernel PCA, Weighted Kernel Principal Component Analysis (WKPCA), that both captures nonlinear relationships and incorporates the attribution of significance levels to different realizations of the stochastic random field of interest. We also demonstrate how new instantiations retaining defining characteristics of the random field can be generated using Bayesian methods. In particular, we present a novel WKPCA-based optimization method that minimizes a given objective function with respect to both feature space random variables and observation weights through which optimal snapshot significance levels and optimal features are learned. We showcase how WKPCA can be applied to nonlinear optimal control problems involving channelized media, and in particular demonstrate an application of the method to learning the spatial distribution of material parameter values in the context of linear elasticity, and discuss further extensions of the method to stochastic inversion.

Non-normal perturbation growth in idealised island and headland wakes

NASA Astrophysics Data System (ADS)

Aiken, C. M.; Moore, A. M.; Middleton, J. H.

2003-12-01

Generalised linear stability theory is used to calculate the linear perturbations that furnish most rapid growth in energy in a model of a steady recirculating island wake. This optimal peturbation is found to be antisymmetric and to evolve into a von Kármán vortex street. Eigenanalysis of the linearised system reveals that the eigenmodes corresponding to vortex sheet formation are damped, so the growth of the perturbation is understood through the non-normality of the linearised system. Qualitatively similar perturbation growth is shown to occur in a non-linear model of stochastically-forced subcritical flow, resulting in transition to an unsteady wake. Free-stream variability with amplitude 8% of the mean inflow speed sustains vortex street structures in the non-linear model with perturbation velocities the order of the inflow speed, suggesting that environmental stochastic forcing may similarly be capable of exciting growing disturbances in real island wakes. To support this, qualitatively similar perturbation growth is demonstrated in the straining wake of a realistic island obstacle. It is shown that for the case of an idealised headland, where the vortex street eigenmodes are lacking, vortex sheets are produced through a similar non-normal process.

Stochastic description of quantum Brownian dynamics

NASA Astrophysics Data System (ADS)

Yan, Yun-An; Shao, Jiushu

2016-08-01

Classical Brownian motion has well been investigated since the pioneering work of Einstein, which inspired mathematicians to lay the theoretical foundation of stochastic processes. A stochastic formulation for quantum dynamics of dissipative systems described by the system-plus-bath model has been developed and found many applications in chemical dynamics, spectroscopy, quantum transport, and other fields. This article provides a tutorial review of the stochastic formulation for quantum dissipative dynamics. The key idea is to decouple the interaction between the system and the bath by virtue of the Hubbard-Stratonovich transformation or Itô calculus so that the system and the bath are not directly entangled during evolution, rather they are correlated due to the complex white noises introduced. The influence of the bath on the system is thereby defined by an induced stochastic field, which leads to the stochastic Liouville equation for the system. The exact reduced density matrix can be calculated as the stochastic average in the presence of bath-induced fields. In general, the plain implementation of the stochastic formulation is only useful for short-time dynamics, but not efficient for long-time dynamics as the statistical errors go very fast. For linear and other specific systems, the stochastic Liouville equation is a good starting point to derive the master equation. For general systems with decomposable bath-induced processes, the hierarchical approach in the form of a set of deterministic equations of motion is derived based on the stochastic formulation and provides an effective means for simulating the dissipative dynamics. A combination of the stochastic simulation and the hierarchical approach is suggested to solve the zero-temperature dynamics of the spin-boson model. This scheme correctly describes the coherent-incoherent transition (Toulouse limit) at moderate dissipation and predicts a rate dynamics in the overdamped regime. Challenging problems such as the dynamical description of quantum phase transition (local- ization) and the numerical stability of the trace-conserving, nonlinear stochastic Liouville equation are outlined.

An offline approach for output-only Bayesian identification of stochastic nonlinear systems using unscented Kalman filtering

NASA Astrophysics Data System (ADS)

Erazo, Kalil; Nagarajaiah, Satish

2017-06-01

In this paper an offline approach for output-only Bayesian identification of stochastic nonlinear systems is presented. The approach is based on a re-parameterization of the joint posterior distribution of the parameters that define a postulated state-space stochastic model class. In the re-parameterization the state predictive distribution is included, marginalized, and estimated recursively in a state estimation step using an unscented Kalman filter, bypassing state augmentation as required by existing online methods. In applications expectations of functions of the parameters are of interest, which requires the evaluation of potentially high-dimensional integrals; Markov chain Monte Carlo is adopted to sample the posterior distribution and estimate the expectations. The proposed approach is suitable for nonlinear systems subjected to non-stationary inputs whose realization is unknown, and that are modeled as stochastic processes. Numerical verification and experimental validation examples illustrate the effectiveness and advantages of the approach, including: (i) an increased numerical stability with respect to augmented-state unscented Kalman filtering, avoiding divergence of the estimates when the forcing input is unmeasured; (ii) the ability to handle arbitrary prior and posterior distributions. The experimental validation of the approach is conducted using data from a large-scale structure tested on a shake table. It is shown that the approach is robust to inherent modeling errors in the description of the system and forcing input, providing accurate prediction of the dynamic response when the excitation history is unknown.

Estimating the epidemic threshold on networks by deterministic connections

DOE Office of Scientific and Technical Information (OSTI.GOV)

Li, Kezan, E-mail: lkzzr@sohu.com; Zhu, Guanghu; Fu, Xinchu

2014-12-15

For many epidemic networks some connections between nodes are treated as deterministic, while the remainder are random and have different connection probabilities. By applying spectral analysis to several constructed models, we find that one can estimate the epidemic thresholds of these networks by investigating information from only the deterministic connections. Nonetheless, in these models, generic nonuniform stochastic connections and heterogeneous community structure are also considered. The estimation of epidemic thresholds is achieved via inequalities with upper and lower bounds, which are found to be in very good agreement with numerical simulations. Since these deterministic connections are easier to detect thanmore » those stochastic connections, this work provides a feasible and effective method to estimate the epidemic thresholds in real epidemic networks.« less

Predator-prey model for the self-organization of stochastic oscillators in dual populations

NASA Astrophysics Data System (ADS)

Moradi, Sara; Anderson, Johan; Gürcan, Ozgur D.

A predator-prey model of dual populations with stochastic oscillators is presented. A linear cross-coupling between the two populations is introduced that follows the coupling between the motions of a Wilberforce pendulum in two dimensions: one in the longitudinal and the other in torsional plain. Within each population a Kuramoto type competition between the phases is assumed. Thus, the synchronization state of the whole system is controlled by these two types of competitions. The results of the numerical simulations show that by adding the linear cross-coupling interactions predator-prey oscillations between the two populations appear which results in self-regulation of the system by a transfer of synchrony between the two populations. The model represents several important features of the dynamical interplay between the drift wave and zonal flow turbulence in magnetically confined plasmas, and a novel interpretation of the coupled dynamics of drift wave-zonal flow turbulence using synchronization of stochastic oscillator is discussed. Sara Moradi has benefited from a mobility grant funded by the Belgian Federal Science Policy Office and the MSCA of the European Commission (FP7-PEOPLE-COFUND-2008 nº 246540).

Municipal solid waste management planning for Xiamen City, China: a stochastic fractional inventory-theory-based approach.

PubMed

Chen, Xiujuan; Huang, Guohe; Zhao, Shan; Cheng, Guanhui; Wu, Yinghui; Zhu, Hua

2017-11-01

In this study, a stochastic fractional inventory-theory-based waste management planning (SFIWP) model was developed and applied for supporting long-term planning of the municipal solid waste (MSW) management in Xiamen City, the special economic zone of Fujian Province, China. In the SFIWP model, the techniques of inventory model, stochastic linear fractional programming, and mixed-integer linear programming were integrated in a framework. Issues of waste inventory in MSW management system were solved, and the system efficiency was maximized through considering maximum net-diverted wastes under various constraint-violation risks. Decision alternatives for waste allocation and capacity expansion were also provided for MSW management planning in Xiamen. The obtained results showed that about 4.24 × 10 6  t of waste would be diverted from landfills when p i is 0.01, which accounted for 93% of waste in Xiamen City, and the waste diversion per unit of cost would be 26.327 × 10 3  t per $10 6 . The capacities of MSW management facilities including incinerators, composting facility, and landfills would be expanded due to increasing waste generation rate.

Motoneuron membrane potentials follow a time inhomogeneous jump diffusion process.

PubMed

Jahn, Patrick; Berg, Rune W; Hounsgaard, Jørn; Ditlevsen, Susanne

2011-11-01

Stochastic leaky integrate-and-fire models are popular due to their simplicity and statistical tractability. They have been widely applied to gain understanding of the underlying mechanisms for spike timing in neurons, and have served as building blocks for more elaborate models. Especially the Ornstein-Uhlenbeck process is popular to describe the stochastic fluctuations in the membrane potential of a neuron, but also other models like the square-root model or models with a non-linear drift are sometimes applied. Data that can be described by such models have to be stationary and thus, the simple models can only be applied over short time windows. However, experimental data show varying time constants, state dependent noise, a graded firing threshold and time-inhomogeneous input. In the present study we build a jump diffusion model that incorporates these features, and introduce a firing mechanism with a state dependent intensity. In addition, we suggest statistical methods to estimate all unknown quantities and apply these to analyze turtle motoneuron membrane potentials. Finally, simulated and real data are compared and discussed. We find that a square-root diffusion describes the data much better than an Ornstein-Uhlenbeck process with constant diffusion coefficient. Further, the membrane time constant decreases with increasing depolarization, as expected from the increase in synaptic conductance. The network activity, which the neuron is exposed to, can be reasonably estimated to be a threshold version of the nerve output from the network. Moreover, the spiking characteristics are well described by a Poisson spike train with an intensity depending exponentially on the membrane potential.

Scaling results for the magnetic field line trajectories in the stochastic layer near the separatrix in divertor tokamaks with high magnetic shear using the higher shear map

NASA Astrophysics Data System (ADS)

Punjabi, Alkesh; Ali, Halima; Farhat, Hamidullah

2009-07-01

Extra terms are added to the generating function of the simple map (Punjabi et al 1992 Phys. Rev. Lett. 69 3322) to adjust shear of magnetic field lines in divertor tokamaks. From this new generating function, a higher shear map is derived from a canonical transformation. A continuous analog of the higher shear map is also derived. The method of maps (Punjabi et al 1994 J. Plasma Phys. 52 91) is used to calculate the average shear, stochastic broadening of the ideal separatrix near the X-point in the principal plane of the tokamak, loss of poloidal magnetic flux from inside the ideal separatrix, magnetic footprint on the collector plate, and its area, and the radial diffusion coefficient of magnetic field lines near the X-point. It is found that the width of the stochastic layer near the X-point and the loss of poloidal flux from inside the ideal separatrix scale linearly with average shear. The area of magnetic footprints scales roughly linearly with average shear. Linear scaling of the area is quite good when the average shear is greater than or equal to 1.25. When the average shear is in the range 1.1-1.25, the area of the footprint fluctuates (as a function of average shear) and scales faster than linear scaling. Radial diffusion of field lines near the X-point increases very rapidly by about four orders of magnitude as average shear increases from about 1.15 to 1.5. For higher values of average shear, diffusion increases linearly, and comparatively very slowly. The very slow scaling of the radial diffusion of the field can flatten the plasma pressure gradient near the separatrix, and lead to the elimination of type-I edge localized modes.

Intrinsic noise analysis and stochastic simulation on transforming growth factor beta signal pathway

NASA Astrophysics Data System (ADS)

Wang, Lu; Ouyang, Qi

2010-10-01

A typical biological cell lives in a small volume at room temperature; the noise effect on the cell signal transduction pathway may play an important role in its dynamics. Here, using the transforming growth factor-β signal transduction pathway as an example, we report our stochastic simulations of the dynamics of the pathway and introduce a linear noise approximation method to calculate the transient intrinsic noise of pathway components. We compare the numerical solutions of the linear noise approximation with the statistic results of chemical Langevin equations, and find that they are quantitatively in agreement with the other. When transforming growth factor-β dose decreases to a low level, the time evolution of noise fluctuation of nuclear Smad2—Smad4 complex indicates the abnormal enhancement in the transient signal activation process.

Stochastic Gabor reflectivity and acoustic impedance inversion

NASA Astrophysics Data System (ADS)

Hariri Naghadeh, Diako; Morley, Christopher Keith; Ferguson, Angus John

2018-02-01

To delineate subsurface lithology to estimate petrophysical properties of a reservoir, it is possible to use acoustic impedance (AI) which is the result of seismic inversion. To change amplitude to AI, removal of wavelet effects from the seismic signal in order to get a reflection series, and subsequently transforming those reflections to AI, is vital. To carry out seismic inversion correctly it is important to not assume that the seismic signal is stationary. However, all stationary deconvolution methods are designed following that assumption. To increase temporal resolution and interpretation ability, amplitude compensation and phase correction are inevitable. Those are pitfalls of stationary reflectivity inversion. Although stationary reflectivity inversion methods are trying to estimate reflectivity series, because of incorrect assumptions their estimations will not be correct, but may be useful. Trying to convert those reflection series to AI, also merging with the low frequency initial model, can help us. The aim of this study was to apply non-stationary deconvolution to eliminate time variant wavelet effects from the signal and to convert the estimated reflection series to the absolute AI by getting bias from well logs. To carry out this aim, stochastic Gabor inversion in the time domain was used. The Gabor transform derived the signal’s time-frequency analysis and estimated wavelet properties from different windows. Dealing with different time windows gave an ability to create a time-variant kernel matrix, which was used to remove matrix effects from seismic data. The result was a reflection series that does not follow the stationary assumption. The subsequent step was to convert those reflections to AI using well information. Synthetic and real data sets were used to show the ability of the introduced method. The results highlight that the time cost to get seismic inversion is negligible related to general Gabor inversion in the frequency domain. Also, obtaining bias could help the method to estimate reliable AI. To justify the effect of random noise on deterministic and stochastic inversion results, a stationary noisy trace with signal-to-noise ratio equal to 2 was used. The results highlight the inability of deterministic inversion in dealing with a noisy data set even using a high number of regularization parameters. Also, despite the low level of signal, stochastic Gabor inversion not only can estimate correctly the wavelet’s properties but also, because of bias from well logs, the inversion result is very close to the real AI. Comparing deterministic and introduced inversion results on a real data set shows that low resolution results, especially in the deeper parts of seismic sections using deterministic inversion, creates significant reliability problems for seismic prospects, but this pitfall is solved completely using stochastic Gabor inversion. The estimated AI using Gabor inversion in the time domain is much better and faster than general Gabor inversion in the frequency domain. This is due to the extra number of windows required to analyze the time-frequency information and also the amount of temporal increment between windows. In contrast, stochastic Gabor inversion can estimate trustable physical properties close to the real characteristics. Applying to a real data set could give an ability to detect the direction of volcanic intrusion and the ability of lithology distribution delineation along the fan. Comparing the inversion results highlights the efficiency of stochastic Gabor inversion to delineate lateral lithology changes because of the improved frequency content and zero phasing of the final inversion volume.

Linearly Adjustable International Portfolios

NASA Astrophysics Data System (ADS)

Fonseca, R. J.; Kuhn, D.; Rustem, B.

2010-09-01

We present an approach to multi-stage international portfolio optimization based on the imposition of a linear structure on the recourse decisions. Multiperiod decision problems are traditionally formulated as stochastic programs. Scenario tree based solutions however can become intractable as the number of stages increases. By restricting the space of decision policies to linear rules, we obtain a conservative tractable approximation to the original problem. Local asset prices and foreign exchange rates are modelled separately, which allows for a direct measure of their impact on the final portfolio value.

Linear quadratic stochastic control of atomic hydrogen masers.

PubMed

Koppang, P; Leland, R

1999-01-01

Data are given showing the results of using the linear quadratic Gaussian (LQG) technique to steer remote hydrogen masers to Coordinated Universal Time (UTC) as given by the United States Naval Observatory (USNO) via two-way satellite time transfer and the Global Positioning System (GPS). Data also are shown from the results of steering a hydrogen maser to the real-time USNO mean. A general overview of the theory behind the LQG technique also is given. The LQG control is a technique that uses Kalman filtering to estimate time and frequency errors used as input into a control calculation. A discrete frequency steer is calculated by minimizing a quadratic cost function that is dependent on both the time and frequency errors and the control effort. Different penalties, chosen by the designer, are assessed by the controller as the time and frequency errors and control effort vary from zero. With this feature, controllers can be designed to force the time and frequency differences between two standards to zero, either more or less aggressively depending on the application.

Implementing a Bayes Filter in a Neural Circuit: The Case of Unknown Stimulus Dynamics.

PubMed

Sokoloski, Sacha

2017-09-01

In order to interact intelligently with objects in the world, animals must first transform neural population responses into estimates of the dynamic, unknown stimuli that caused them. The Bayesian solution to this problem is known as a Bayes filter, which applies Bayes' rule to combine population responses with the predictions of an internal model. The internal model of the Bayes filter is based on the true stimulus dynamics, and in this note, we present a method for training a theoretical neural circuit to approximately implement a Bayes filter when the stimulus dynamics are unknown. To do this we use the inferential properties of linear probabilistic population codes to compute Bayes' rule and train a neural network to compute approximate predictions by the method of maximum likelihood. In particular, we perform stochastic gradient descent on the negative log-likelihood of the neural network parameters with a novel approximation of the gradient. We demonstrate our methods on a finite-state, a linear, and a nonlinear filtering problem and show how the hidden layer of the neural network develops tuning curves consistent with findings in experimental neuroscience.

River water quality management considering agricultural return flows: application of a nonlinear two-stage stochastic fuzzy programming.

PubMed

Tavakoli, Ali; Nikoo, Mohammad Reza; Kerachian, Reza; Soltani, Maryam

2015-04-01

In this paper, a new fuzzy methodology is developed to optimize water and waste load allocation (WWLA) in rivers under uncertainty. An interactive two-stage stochastic fuzzy programming (ITSFP) method is utilized to handle parameter uncertainties, which are expressed as fuzzy boundary intervals. An iterative linear programming (ILP) is also used for solving the nonlinear optimization model. To accurately consider the impacts of the water and waste load allocation strategies on the river water quality, a calibrated QUAL2Kw model is linked with the WWLA optimization model. The soil, water, atmosphere, and plant (SWAP) simulation model is utilized to determine the quantity and quality of each agricultural return flow. To control pollution loads of agricultural networks, it is assumed that a part of each agricultural return flow can be diverted to an evaporation pond and also another part of it can be stored in a detention pond. In detention ponds, contaminated water is exposed to solar radiation for disinfecting pathogens. Results of applying the proposed methodology to the Dez River system in the southwestern region of Iran illustrate its effectiveness and applicability for water and waste load allocation in rivers. In the planning phase, this methodology can be used for estimating the capacities of return flow diversion system and evaporation and detention ponds.

Modeling Limited Foresight in Water Management Systems

NASA Astrophysics Data System (ADS)

Howitt, R.

2005-12-01

The inability to forecast future water supplies means that their management inevitably occurs under situations of limited foresight. Three modeling problems arise, first what type of objective function is a manager with limited foresight optimizing? Second how can we measure these objectives? Third can objective functions that incorporate uncertainty be integrated within the structure of optimizing water management models? The paper reviews the concepts of relative risk aversion and intertemporal substitution that underlie stochastic dynamic preference functions. Some initial results from the estimation of such functions for four different dam operations in northern California are presented and discussed. It appears that the path of previous water decisions and states influences the decision-makers willingness to trade off water supplies between periods. A compromise modeling approach that incorporates carry-over value functions under limited foresight within a broader net work optimal water management model is developed. The approach uses annual carry-over value functions derived from small dimension stochastic dynamic programs embedded within a larger dimension water allocation network. The disaggregation of the carry-over value functions to the broader network is extended using the space rule concept. Initial results suggest that the solution of such annual nonlinear network optimizations is comparable to, or faster than, the solution of linear network problems over long time series.