Optimisation in radiotherapy. III: Stochastic optimisation algorithms and conclusions.

PubMed

Ebert, M

1997-12-01

This is the final article in a three part examination of optimisation in radiotherapy. Previous articles have established the bases and form of the radiotherapy optimisation problem, and examined certain types of optimisation algorithm, namely, those which perform some form of ordered search of the solution space (mathematical programming), and those which attempt to find the closest feasible solution to the inverse planning problem (deterministic inversion). The current paper examines algorithms which search the space of possible irradiation strategies by stochastic methods. The resulting iterative search methods move about the solution space by sampling random variates, which gradually become more constricted as the algorithm converges upon the optimal solution. This paper also discusses the implementation of optimisation in radiotherapy practice.

Parameter identification using a creeping-random-search algorithm

NASA Technical Reports Server (NTRS)

Parrish, R. V.

1971-01-01

A creeping-random-search algorithm is applied to different types of problems in the field of parameter identification. The studies are intended to demonstrate that a random-search algorithm can be applied successfully to these various problems, which often cannot be handled by conventional deterministic methods, and, also, to introduce methods that speed convergence to an extremal of the problem under investigation. Six two-parameter identification problems with analytic solutions are solved, and two application problems are discussed in some detail. Results of the study show that a modified version of the basic creeping-random-search algorithm chosen does speed convergence in comparison with the unmodified version. The results also show that the algorithm can successfully solve problems that contain limits on state or control variables, inequality constraints (both independent and dependent, and linear and nonlinear), or stochastic models.

Evolving cell models for systems and synthetic biology.

PubMed

Cao, Hongqing; Romero-Campero, Francisco J; Heeb, Stephan; Cámara, Miguel; Krasnogor, Natalio

2010-03-01

This paper proposes a new methodology for the automated design of cell models for systems and synthetic biology. Our modelling framework is based on P systems, a discrete, stochastic and modular formal modelling language. The automated design of biological models comprising the optimization of the model structure and its stochastic kinetic constants is performed using an evolutionary algorithm. The evolutionary algorithm evolves model structures by combining different modules taken from a predefined module library and then it fine-tunes the associated stochastic kinetic constants. We investigate four alternative objective functions for the fitness calculation within the evolutionary algorithm: (1) equally weighted sum method, (2) normalization method, (3) randomly weighted sum method, and (4) equally weighted product method. The effectiveness of the methodology is tested on four case studies of increasing complexity including negative and positive autoregulation as well as two gene networks implementing a pulse generator and a bandwidth detector. We provide a systematic analysis of the evolutionary algorithm's results as well as of the resulting evolved cell models.

Compressing random microstructures via stochastic Wang tilings.

PubMed

Novák, Jan; Kučerová, Anna; Zeman, Jan

2012-10-01

This Rapid Communication presents a stochastic Wang tiling-based technique to compress or reconstruct disordered microstructures on the basis of given spatial statistics. Unlike the existing approaches based on a single unit cell, it utilizes a finite set of tiles assembled by a stochastic tiling algorithm, thereby allowing to accurately reproduce long-range orientation orders in a computationally efficient manner. Although the basic features of the method are demonstrated for a two-dimensional particulate suspension, the present framework is fully extensible to generic multidimensional media.

Fock space, symbolic algebra, and analytical solutions for small stochastic systems.

PubMed

Santos, Fernando A N; Gadêlha, Hermes; Gaffney, Eamonn A

2015-12-01

Randomness is ubiquitous in nature. From single-molecule biochemical reactions to macroscale biological systems, stochasticity permeates individual interactions and often regulates emergent properties of the system. While such systems are regularly studied from a modeling viewpoint using stochastic simulation algorithms, numerous potential analytical tools can be inherited from statistical and quantum physics, replacing randomness due to quantum fluctuations with low-copy-number stochasticity. Nevertheless, classical studies remained limited to the abstract level, demonstrating a more general applicability and equivalence between systems in physics and biology rather than exploiting the physics tools to study biological systems. Here the Fock space representation, used in quantum mechanics, is combined with the symbolic algebra of creation and annihilation operators to consider explicit solutions for the chemical master equations describing small, well-mixed, biochemical, or biological systems. This is illustrated with an exact solution for a Michaelis-Menten single enzyme interacting with limited substrate, including a consideration of very short time scales, which emphasizes when stiffness is present even for small copy numbers. Furthermore, we present a general matrix representation for Michaelis-Menten kinetics with an arbitrary number of enzymes and substrates that, following diagonalization, leads to the solution of this ubiquitous, nonlinear enzyme kinetics problem. For this, a flexible symbolic maple code is provided, demonstrating the prospective advantages of this framework compared to stochastic simulation algorithms. This further highlights the possibilities for analytically based studies of stochastic systems in biology and chemistry using tools from theoretical quantum physics.

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…

Statistical Signal Models and Algorithms for Image Analysis

DTIC Science & Technology

1984-10-25

In this report, two-dimensional stochastic linear models are used in developing algorithms for image analysis such as classification, segmentation, and object detection in images characterized by textured backgrounds. These models generate two-dimensional random processes as outputs to which statistical inference procedures can naturally be applied. A common thread throughout our algorithms is the interpretation of the inference procedures in terms of linear prediction

Microgrid energy dispatching for industrial zones with renewable generations and electric vehicles via stochastic optimization and learning

NASA Astrophysics Data System (ADS)

Zhang, Kai; Li, Jingzhi; He, Zhubin; Yan, Wanfeng

2018-07-01

In this paper, a stochastic optimization framework is proposed to address the microgrid energy dispatching problem with random renewable generation and vehicle activity pattern, which is closer to the practical applications. The patterns of energy generation, consumption and storage availability are all random and unknown at the beginning, and the microgrid controller design (MCD) is formulated as a Markov decision process (MDP). Hence, an online learning-based control algorithm is proposed for the microgrid, which could adapt the control policy with increasing knowledge of the system dynamics and converges to the optimal algorithm. We adopt the linear approximation idea to decompose the original value functions as the summation of each per-battery value function. As a consequence, the computational complexity is significantly reduced from exponential growth to linear growth with respect to the size of battery states. Monte Carlo simulation of different scenarios demonstrates the effectiveness and efficiency of our algorithm.

A New Continuous Rotation IMU Alignment Algorithm Based on Stochastic Modeling for Cost Effective North-Finding Applications

PubMed Central

Li, Yun; Wu, Wenqi; Jiang, Qingan; Wang, Jinling

2016-01-01

Based on stochastic modeling of Coriolis vibration gyros by the Allan variance technique, this paper discusses Angle Random Walk (ARW), Rate Random Walk (RRW) and Markov process gyroscope noises which have significant impacts on the North-finding accuracy. A new continuous rotation alignment algorithm for a Coriolis vibration gyroscope Inertial Measurement Unit (IMU) is proposed in this paper, in which the extended observation equations are used for the Kalman filter to enhance the estimation of gyro drift errors, thus improving the north-finding accuracy. Theoretical and numerical comparisons between the proposed algorithm and the traditional ones are presented. The experimental results show that the new continuous rotation alignment algorithm using the extended observation equations in the Kalman filter is more efficient than the traditional two-position alignment method. Using Coriolis vibration gyros with bias instability of 0.1°/h, a north-finding accuracy of 0.1° (1σ) is achieved by the new continuous rotation alignment algorithm, compared with 0.6° (1σ) north-finding accuracy for the two-position alignment and 1° (1σ) for the fixed-position alignment. PMID:27983585

Analysis and Reduction of Complex Networks Under Uncertainty.

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

Ghanem, Roger G

2014-07-31

This effort was a collaboration with Youssef Marzouk of MIT, Omar Knio of Duke University (at the time at Johns Hopkins University) and Habib Najm of Sandia National Laboratories. The objective of this effort was to develop the mathematical and algorithmic capacity to analyze complex networks under uncertainty. Of interest were chemical reaction networks and smart grid networks. The statements of work for USC focused on the development of stochastic reduced models for uncertain networks. The USC team was led by Professor Roger Ghanem and consisted of one graduate student and a postdoc. The contributions completed by the USC teammore » consisted of 1) methodology and algorithms to address the eigenvalue problem, a problem of significance in the stability of networks under stochastic perturbations, 2) methodology and algorithms to characterize probability measures on graph structures with random flows. This is an important problem in characterizing random demand (encountered in smart grid) and random degradation (encountered in infrastructure systems), as well as modeling errors in Markov Chains (with ubiquitous relevance !). 3) methodology and algorithms for treating inequalities in uncertain systems. This is an important problem in the context of models for material failure and network flows under uncertainty where conditions of failure or flow are described in the form of inequalities between the state variables.« less

A high speed implementation of the random decrement algorithm

NASA Technical Reports Server (NTRS)

Kiraly, L. J.

1982-01-01

The algorithm is useful for measuring net system damping levels in stochastic processes and for the development of equivalent linearized system response models. The algorithm works by summing together all subrecords which occur after predefined threshold level is crossed. The random decrement signature is normally developed by scanning stored data and adding subrecords together. The high speed implementation of the random decrement algorithm exploits the digital character of sampled data and uses fixed record lengths of 2(n) samples to greatly speed up the process. The contributions to the random decrement signature of each data point was calculated only once and in the same sequence as the data were taken. A hardware implementation of the algorithm using random logic is diagrammed and the process is shown to be limited only by the record size and the threshold crossing frequency of the sampled data. With a hardware cycle time of 200 ns and 1024 point signature, a threshold crossing frequency of 5000 Hertz can be processed and a stably averaged signature presented in real time.

Fitting Nonlinear Ordinary Differential Equation Models with Random Effects and Unknown Initial Conditions Using the Stochastic Approximation Expectation-Maximization (SAEM) Algorithm.

PubMed

Chow, Sy-Miin; Lu, Zhaohua; Sherwood, Andrew; Zhu, Hongtu

2016-03-01

The past decade has evidenced the increased prevalence of irregularly spaced longitudinal data in social sciences. Clearly lacking, however, are modeling tools that allow researchers to fit dynamic models to irregularly spaced data, particularly data that show nonlinearity and heterogeneity in dynamical structures. We consider the issue of fitting multivariate nonlinear differential equation models with random effects and unknown initial conditions to irregularly spaced data. A stochastic approximation expectation-maximization algorithm is proposed and its performance is evaluated using a benchmark nonlinear dynamical systems model, namely, the Van der Pol oscillator equations. The empirical utility of the proposed technique is illustrated using a set of 24-h ambulatory cardiovascular data from 168 men and women. Pertinent methodological challenges and unresolved issues are discussed.

FITTING NONLINEAR ORDINARY DIFFERENTIAL EQUATION MODELS WITH RANDOM EFFECTS AND UNKNOWN INITIAL CONDITIONS USING THE STOCHASTIC APPROXIMATION EXPECTATION–MAXIMIZATION (SAEM) ALGORITHM

PubMed Central

Chow, Sy- Miin; Lu, Zhaohua; Zhu, Hongtu; Sherwood, Andrew

2014-01-01

The past decade has evidenced the increased prevalence of irregularly spaced longitudinal data in social sciences. Clearly lacking, however, are modeling tools that allow researchers to fit dynamic models to irregularly spaced data, particularly data that show nonlinearity and heterogeneity in dynamical structures. We consider the issue of fitting multivariate nonlinear differential equation models with random effects and unknown initial conditions to irregularly spaced data. A stochastic approximation expectation–maximization algorithm is proposed and its performance is evaluated using a benchmark nonlinear dynamical systems model, namely, the Van der Pol oscillator equations. The empirical utility of the proposed technique is illustrated using a set of 24-h ambulatory cardiovascular data from 168 men and women. Pertinent methodological challenges and unresolved issues are discussed. PMID:25416456

A parallel time integrator for noisy nonlinear oscillatory systems

NASA Astrophysics Data System (ADS)

Subber, Waad; Sarkar, Abhijit

2018-06-01

In this paper, we adapt a parallel time integration scheme to track the trajectories of noisy non-linear dynamical systems. Specifically, we formulate a parallel algorithm to generate the sample path of nonlinear oscillator defined by stochastic differential equations (SDEs) using the so-called parareal method for ordinary differential equations (ODEs). The presence of Wiener process in SDEs causes difficulties in the direct application of any numerical integration techniques of ODEs including the parareal algorithm. The parallel implementation of the algorithm involves two SDEs solvers, namely a fine-level scheme to integrate the system in parallel and a coarse-level scheme to generate and correct the required initial conditions to start the fine-level integrators. For the numerical illustration, a randomly excited Duffing oscillator is investigated in order to study the performance of the stochastic parallel algorithm with respect to a range of system parameters. The distributed implementation of the algorithm exploits Massage Passing Interface (MPI).

Analysis of convergence of an evolutionary algorithm with self-adaptation using a stochastic Lyapunov function.

PubMed

Semenov, Mikhail A; Terkel, Dmitri A

2003-01-01

This paper analyses the convergence of evolutionary algorithms using a technique which is based on a stochastic Lyapunov function and developed within the martingale theory. This technique is used to investigate the convergence of a simple evolutionary algorithm with self-adaptation, which contains two types of parameters: fitness parameters, belonging to the domain of the objective function; and control parameters, responsible for the variation of fitness parameters. Although both parameters mutate randomly and independently, they converge to the "optimum" due to the direct (for fitness parameters) and indirect (for control parameters) selection. We show that the convergence velocity of the evolutionary algorithm with self-adaptation is asymptotically exponential, similar to the velocity of the optimal deterministic algorithm on the class of unimodal functions. Although some martingale inequalities have not be proved analytically, they have been numerically validated with 0.999 confidence using Monte-Carlo simulations.

Global sensitivity analysis in stochastic simulators of uncertain reaction networks.

PubMed

Navarro Jimenez, M; Le Maître, O P; Knio, O M

2016-12-28

Stochastic models of chemical systems are often subjected to uncertainties in kinetic parameters in addition to the inherent random nature of their dynamics. Uncertainty quantification in such systems is generally achieved by means of sensitivity analyses in which one characterizes the variability with the uncertain kinetic parameters of the first statistical moments of model predictions. In this work, we propose an original global sensitivity analysis method where the parametric and inherent variability sources are both treated through Sobol's decomposition of the variance into contributions from arbitrary subset of uncertain parameters and stochastic reaction channels. The conceptual development only assumes that the inherent and parametric sources are independent, and considers the Poisson processes in the random-time-change representation of the state dynamics as the fundamental objects governing the inherent stochasticity. A sampling algorithm is proposed to perform the global sensitivity analysis, and to estimate the partial variances and sensitivity indices characterizing the importance of the various sources of variability and their interactions. The birth-death and Schlögl models are used to illustrate both the implementation of the algorithm and the richness of the proposed analysis method. The output of the proposed sensitivity analysis is also contrasted with a local derivative-based sensitivity analysis method classically used for this type of systems.

Global sensitivity analysis in stochastic simulators of uncertain reaction networks

DOE PAGES

Navarro Jimenez, M.; Le Maître, O. P.; Knio, O. M.

2016-12-23

Stochastic models of chemical systems are often subjected to uncertainties in kinetic parameters in addition to the inherent random nature of their dynamics. Uncertainty quantification in such systems is generally achieved by means of sensitivity analyses in which one characterizes the variability with the uncertain kinetic parameters of the first statistical moments of model predictions. In this work, we propose an original global sensitivity analysis method where the parametric and inherent variability sources are both treated through Sobol’s decomposition of the variance into contributions from arbitrary subset of uncertain parameters and stochastic reaction channels. The conceptual development only assumes thatmore » the inherent and parametric sources are independent, and considers the Poisson processes in the random-time-change representation of the state dynamics as the fundamental objects governing the inherent stochasticity. Here, a sampling algorithm is proposed to perform the global sensitivity analysis, and to estimate the partial variances and sensitivity indices characterizing the importance of the various sources of variability and their interactions. The birth-death and Schlögl models are used to illustrate both the implementation of the algorithm and the richness of the proposed analysis method. The output of the proposed sensitivity analysis is also contrasted with a local derivative-based sensitivity analysis method classically used for this type of systems.« less

Global sensitivity analysis in stochastic simulators of uncertain reaction networks

NASA Astrophysics Data System (ADS)

Navarro Jimenez, M.; Le Maître, O. P.; Knio, O. M.

2016-12-01

Stochastic models of chemical systems are often subjected to uncertainties in kinetic parameters in addition to the inherent random nature of their dynamics. Uncertainty quantification in such systems is generally achieved by means of sensitivity analyses in which one characterizes the variability with the uncertain kinetic parameters of the first statistical moments of model predictions. In this work, we propose an original global sensitivity analysis method where the parametric and inherent variability sources are both treated through Sobol's decomposition of the variance into contributions from arbitrary subset of uncertain parameters and stochastic reaction channels. The conceptual development only assumes that the inherent and parametric sources are independent, and considers the Poisson processes in the random-time-change representation of the state dynamics as the fundamental objects governing the inherent stochasticity. A sampling algorithm is proposed to perform the global sensitivity analysis, and to estimate the partial variances and sensitivity indices characterizing the importance of the various sources of variability and their interactions. The birth-death and Schlögl models are used to illustrate both the implementation of the algorithm and the richness of the proposed analysis method. The output of the proposed sensitivity analysis is also contrasted with a local derivative-based sensitivity analysis method classically used for this type of systems.

A stochastic multiple imputation algorithm for missing covariate data in tree-structured survival analysis.

PubMed

Wallace, Meredith L; Anderson, Stewart J; Mazumdar, Sati

2010-12-20

Missing covariate data present a challenge to tree-structured methodology due to the fact that a single tree model, as opposed to an estimated parameter value, may be desired for use in a clinical setting. To address this problem, we suggest a multiple imputation algorithm that adds draws of stochastic error to a tree-based single imputation method presented by Conversano and Siciliano (Technical Report, University of Naples, 2003). Unlike previously proposed techniques for accommodating missing covariate data in tree-structured analyses, our methodology allows the modeling of complex and nonlinear covariate structures while still resulting in a single tree model. We perform a simulation study to evaluate our stochastic multiple imputation algorithm when covariate data are missing at random and compare it to other currently used methods. Our algorithm is advantageous for identifying the true underlying covariate structure when complex data and larger percentages of missing covariate observations are present. It is competitive with other current methods with respect to prediction accuracy. To illustrate our algorithm, we create a tree-structured survival model for predicting time to treatment response in older, depressed adults. Copyright © 2010 John Wiley & Sons, Ltd.

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.

Efficient prediction designs for random fields.

PubMed

Müller, Werner G; Pronzato, Luc; Rendas, Joao; Waldl, Helmut

2015-03-01

For estimation and predictions of random fields, it is increasingly acknowledged that the kriging variance may be a poor representative of true uncertainty. Experimental designs based on more elaborate criteria that are appropriate for empirical kriging (EK) are then often non-space-filling and very costly to determine. In this paper, we investigate the possibility of using a compound criterion inspired by an equivalence theorem type relation to build designs quasi-optimal for the EK variance when space-filling designs become unsuitable. Two algorithms are proposed, one relying on stochastic optimization to explicitly identify the Pareto front, whereas the second uses the surrogate criteria as local heuristic to choose the points at which the (costly) true EK variance is effectively computed. We illustrate the performance of the algorithms presented on both a simple simulated example and a real oceanographic dataset. © 2014 The Authors. Applied Stochastic Models in Business and Industry published by John Wiley & Sons, Ltd.

Adaptive reference update (ARU) algorithm. A stochastic search algorithm for efficient optimization of multi-drug cocktails

PubMed Central

2012-01-01

Background Multi-target therapeutics has been shown to be effective for treating complex diseases, and currently, it is a common practice to combine multiple drugs to treat such diseases to optimize the therapeutic outcomes. However, considering the huge number of possible ways to mix multiple drugs at different concentrations, it is practically difficult to identify the optimal drug combination through exhaustive testing. Results In this paper, we propose a novel stochastic search algorithm, called the adaptive reference update (ARU) algorithm, that can provide an efficient and systematic way for optimizing multi-drug cocktails. The ARU algorithm iteratively updates the drug combination to improve its response, where the update is made by comparing the response of the current combination with that of a reference combination, based on which the beneficial update direction is predicted. The reference combination is continuously updated based on the drug response values observed in the past, thereby adapting to the underlying drug response function. To demonstrate the effectiveness of the proposed algorithm, we evaluated its performance based on various multi-dimensional drug functions and compared it with existing algorithms. Conclusions Simulation results show that the ARU algorithm significantly outperforms existing stochastic search algorithms, including the Gur Game algorithm. In fact, the ARU algorithm can more effectively identify potent drug combinations and it typically spends fewer iterations for finding effective combinations. Furthermore, the ARU algorithm is robust to random fluctuations and noise in the measured drug response, which makes the algorithm well-suited for practical drug optimization applications. PMID:23134742

A stochastic modeling of isotope exchange reactions in glutamine synthetase

NASA Astrophysics Data System (ADS)

Kazmiruk, N. V.; Boronovskiy, S. E.; Nartsissov, Ya R.

2017-11-01

The model presented in this work allows simulation of isotopic exchange reactions at chemical equilibrium catalyzed by a glutamine synthetase. To simulate the functioning of the enzyme the algorithm based on the stochastic approach was applied. The dependence of exchange rates for 14C and 32P on metabolite concentration was estimated. The simulation results confirmed the hypothesis of the ascertained validity for preferred order random binding mechanism. Corresponding values of K0.5 were also obtained.

Online learning in optical tomography: a stochastic approach

NASA Astrophysics Data System (ADS)

Chen, Ke; Li, Qin; Liu, Jian-Guo

2018-07-01

We study the inverse problem of radiative transfer equation (RTE) using stochastic gradient descent method (SGD) in this paper. Mathematically, optical tomography amounts to recovering the optical parameters in RTE using the incoming–outgoing pair of light intensity. We formulate it as a PDE-constraint optimization problem, where the mismatch of computed and measured outgoing data is minimized with same initial data and RTE constraint. The memory and computation cost it requires, however, is typically prohibitive, especially in high dimensional space. Smart iterative solvers that only use partial information in each step is called for thereafter. Stochastic gradient descent method is an online learning algorithm that randomly selects data for minimizing the mismatch. It requires minimum memory and computation, and advances fast, therefore perfectly serves the purpose. In this paper we formulate the problem, in both nonlinear and its linearized setting, apply SGD algorithm and analyze the convergence performance.

Limited variance control in statistical low thrust guidance analysis. [stochastic algorithm for SEP comet Encke flyby mission

NASA Technical Reports Server (NTRS)

Jacobson, R. A.

1975-01-01

Difficulties arise in guiding a solar electric propulsion spacecraft due to nongravitational accelerations caused by random fluctuations in the magnitude and direction of the thrust vector. These difficulties may be handled by using a low thrust guidance law based on the linear-quadratic-Gaussian problem of stochastic control theory with a minimum terminal miss performance criterion. Explicit constraints are imposed on the variances of the control parameters, and an algorithm based on the Hilbert space extension of a parameter optimization method is presented for calculation of gains in the guidance law. The terminal navigation of a 1980 flyby mission to the comet Encke is used as an example.

Efficient Constant-Time Complexity Algorithm for Stochastic Simulation of Large Reaction Networks.

PubMed

Thanh, Vo Hong; Zunino, Roberto; Priami, Corrado

2017-01-01

Exact stochastic simulation is an indispensable tool for a quantitative study of biochemical reaction networks. The simulation realizes the time evolution of the model by randomly choosing a reaction to fire and update the system state according to a probability that is proportional to the reaction propensity. Two computationally expensive tasks in simulating large biochemical networks are the selection of next reaction firings and the update of reaction propensities due to state changes. We present in this work a new exact algorithm to optimize both of these simulation bottlenecks. Our algorithm employs the composition-rejection on the propensity bounds of reactions to select the next reaction firing. The selection of next reaction firings is independent of the number reactions while the update of propensities is skipped and performed only when necessary. It therefore provides a favorable scaling for the computational complexity in simulating large reaction networks. We benchmark our new algorithm with the state of the art algorithms available in literature to demonstrate its applicability and efficiency.

Enhancements and Algorithms for Avionic Information Processing System Design Methodology.

DTIC Science & Technology

1982-06-16

programming algorithm is enhanced by incorporating task precedence constraints and hardware failures. Stochastic network methods are used to analyze...allocations in the presence of random fluctuations. Graph theoretic methods are used to analyze hardware designs, and new designs are constructed with...There, spatial dynamic programming (SDP) was used to solve a static, deterministic software allocation problem. Under the current contract the SDP

On efficient randomized algorithms for finding the PageRank vector

NASA Astrophysics Data System (ADS)

Gasnikov, A. V.; Dmitriev, D. Yu.

2015-03-01

Two randomized methods are considered for finding the PageRank vector; in other words, the solution of the system p T = p T P with a stochastic n × n matrix P, where n ˜ 107-109, is sought (in the class of probability distributions) with accuracy ɛ: ɛ ≫ n -1. Thus, the possibility of brute-force multiplication of P by the column is ruled out in the case of dense objects. The first method is based on the idea of Markov chain Monte Carlo algorithms. This approach is efficient when the iterative process p {/t+1 T} = p {/t T} P quickly reaches a steady state. Additionally, it takes into account another specific feature of P, namely, the nonzero off-diagonal elements of P are equal in rows (this property is used to organize a random walk over the graph with the matrix P). Based on modern concentration-of-measure inequalities, new bounds for the running time of this method are presented that take into account the specific features of P. In the second method, the search for a ranking vector is reduced to finding the equilibrium in the antagonistic matrix game where S n (1) is a unit simplex in ℝ n and I is the identity matrix. The arising problem is solved by applying a slightly modified Grigoriadis-Khachiyan algorithm (1995). This technique, like the Nazin-Polyak method (2009), is a randomized version of Nemirovski's mirror descent method. The difference is that randomization in the Grigoriadis-Khachiyan algorithm is used when the gradient is projected onto the simplex rather than when the stochastic gradient is computed. For sparse matrices P, the method proposed yields noticeably better results.

Neural Mechanism for Stochastic Behavior During a Competitive Game

PubMed Central

Soltani, Alireza; Lee, Daeyeol; Wang, Xiao-Jing

2006-01-01

Previous studies have shown that non-human primates can generate highly stochastic choice behavior, especially when this is required during a competitive interaction with another agent. To understand the neural mechanism of such dynamic choice behavior, we propose a biologically plausible model of decision making endowed with synaptic plasticity that follows a reward-dependent stochastic Hebbian learning rule. This model constitutes a biophysical implementation of reinforcement learning, and it reproduces salient features of behavioral data from an experiment with monkeys playing a matching pennies game. Due to interaction with an opponent and learning dynamics, the model generates quasi-random behavior robustly in spite of intrinsic biases. Furthermore, non-random choice behavior can also emerge when the model plays against a non-interactive opponent, as observed in the monkey experiment. Finally, when combined with a meta-learning algorithm, our model accounts for the slow drift in the animal’s strategy based on a process of reward maximization. PMID:17015181

Goal-oriented sensitivity analysis for lattice kinetic Monte Carlo simulations

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

Arampatzis, Georgios, E-mail: garab@math.uoc.gr; Department of Mathematics and Statistics, University of Massachusetts, Amherst, Massachusetts 01003; Katsoulakis, Markos A., E-mail: markos@math.umass.edu

2014-03-28

In this paper we propose a new class of coupling methods for the sensitivity analysis of high dimensional stochastic systems and in particular for lattice Kinetic Monte Carlo (KMC). Sensitivity analysis for stochastic systems is typically based on approximating continuous derivatives with respect to model parameters by the mean value of samples from a finite difference scheme. Instead of using independent samples the proposed algorithm reduces the variance of the estimator by developing a strongly correlated-“coupled”- stochastic process for both the perturbed and unperturbed stochastic processes, defined in a common state space. The novelty of our construction is that themore » new coupled process depends on the targeted observables, e.g., coverage, Hamiltonian, spatial correlations, surface roughness, etc., hence we refer to the proposed method as goal-oriented sensitivity analysis. In particular, the rates of the coupled Continuous Time Markov Chain are obtained as solutions to a goal-oriented optimization problem, depending on the observable of interest, by considering the minimization functional of the corresponding variance. We show that this functional can be used as a diagnostic tool for the design and evaluation of different classes of couplings. Furthermore, the resulting KMC sensitivity algorithm has an easy implementation that is based on the Bortz–Kalos–Lebowitz algorithm's philosophy, where events are divided in classes depending on level sets of the observable of interest. Finally, we demonstrate in several examples including adsorption, desorption, and diffusion Kinetic Monte Carlo that for the same confidence interval and observable, the proposed goal-oriented algorithm can be two orders of magnitude faster than existing coupling algorithms for spatial KMC such as the Common Random Number approach. We also provide a complete implementation of the proposed sensitivity analysis algorithms, including various spatial KMC examples, in a supplementary MATLAB source code.« less

Random search optimization based on genetic algorithm and discriminant function

NASA Technical Reports Server (NTRS)

Kiciman, M. O.; Akgul, M.; Erarslanoglu, G.

1990-01-01

The general problem of optimization with arbitrary merit and constraint functions, which could be convex, concave, monotonic, or non-monotonic, is treated using stochastic methods. To improve the efficiency of the random search methods, a genetic algorithm for the search phase and a discriminant function for the constraint-control phase were utilized. The validity of the technique is demonstrated by comparing the results to published test problem results. Numerical experimentation indicated that for cases where a quick near optimum solution is desired, a general, user-friendly optimization code can be developed without serious penalties in both total computer time and accuracy.

Modeling and Simulation of High Dimensional Stochastic Multiscale PDE Systems at the Exascale

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

Kevrekidis, Ioannis

2017-03-22

The thrust of the proposal was to exploit modern data-mining tools in a way that will create a systematic, computer-assisted approach to the representation of random media -- and also to the representation of the solutions of an array of important physicochemical processes that take place in/on such media. A parsimonious representation/parametrization of the random media links directly (via uncertainty quantification tools) to good sampling of the distribution of random media realizations. It also links directly to modern multiscale computational algorithms (like the equation-free approach that has been developed in our group) and plays a crucial role in accelerating themore » scientific computation of solutions of nonlinear PDE models (deterministic or stochastic) in such media – both solutions in particular realizations of the random media, and estimation of the statistics of the solutions over multiple realizations (e.g. expectations).« less

ecode - Electron Transport Algorithm Testing v. 1.0

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

Franke, Brian C.; Olson, Aaron J.; Bruss, Donald Eugene

2016-10-05

ecode is a Monte Carlo code used for testing algorithms related to electron transport. The code can read basic physics parameters, such as energy-dependent stopping powers and screening parameters. The code permits simple planar geometries of slabs or cubes. Parallelization consists of domain replication, with work distributed at the start of the calculation and statistical results gathered at the end of the calculation. Some basic routines (such as input parsing, random number generation, and statistics processing) are shared with the Integrated Tiger Series codes. A variety of algorithms for uncertainty propagation are incorporated based on the stochastic collocation and stochasticmore » Galerkin methods. These permit uncertainty only in the total and angular scattering cross sections. The code contains algorithms for simulating stochastic mixtures of two materials. The physics is approximate, ranging from mono-energetic and isotropic scattering to screened Rutherford angular scattering and Rutherford energy-loss scattering (simple electron transport models). No production of secondary particles is implemented, and no photon physics is implemented.« less

A new stochastic algorithm for inversion of dust aerosol size distribution

NASA Astrophysics Data System (ADS)

Wang, Li; Li, Feng; Yang, Ma-ying

2015-08-01

Dust aerosol size distribution is an important source of information about atmospheric aerosols, and it can be determined from multiwavelength extinction measurements. This paper describes a stochastic inverse technique based on artificial bee colony (ABC) algorithm to invert the dust aerosol size distribution by light extinction method. The direct problems for the size distribution of water drop and dust particle, which are the main elements of atmospheric aerosols, are solved by the Mie theory and the Lambert-Beer Law in multispectral region. And then, the parameters of three widely used functions, i.e. the log normal distribution (L-N), the Junge distribution (J-J), and the normal distribution (N-N), which can provide the most useful representation of aerosol size distributions, are inversed by the ABC algorithm in the dependent model. Numerical results show that the ABC algorithm can be successfully applied to recover the aerosol size distribution with high feasibility and reliability even in the presence of random noise.

Finding optimal vaccination strategies for pandemic influenza using genetic algorithms.

PubMed

Patel, Rajan; Longini, Ira M; Halloran, M Elizabeth

2005-05-21

In the event of pandemic influenza, only limited supplies of vaccine may be available. We use stochastic epidemic simulations, genetic algorithms (GA), and random mutation hill climbing (RMHC) to find optimal vaccine distributions to minimize the number of illnesses or deaths in the population, given limited quantities of vaccine. Due to the non-linearity, complexity and stochasticity of the epidemic process, it is not possible to solve for optimal vaccine distributions mathematically. However, we use GA and RMHC to find near optimal vaccine distributions. We model an influenza pandemic that has age-specific illness attack rates similar to the Asian pandemic in 1957-1958 caused by influenza A(H2N2), as well as a distribution similar to the Hong Kong pandemic in 1968-1969 caused by influenza A(H3N2). We find the optimal vaccine distributions given that the number of doses is limited over the range of 10-90% of the population. While GA and RMHC work well in finding optimal vaccine distributions, GA is significantly more efficient than RMHC. We show that the optimal vaccine distribution found by GA and RMHC is up to 84% more effective than random mass vaccination in the mid range of vaccine availability. GA is generalizable to the optimization of stochastic model parameters for other infectious diseases and population structures.

The influence of random element displacement on DOA estimates obtained with (Khatri-Rao-)root-MUSIC.

PubMed

Inghelbrecht, Veronique; Verhaevert, Jo; van Hecke, Tanja; Rogier, Hendrik

2014-11-11

Although a wide range of direction of arrival (DOA) estimation algorithms has been described for a diverse range of array configurations, no specific stochastic analysis framework has been established to assess the probability density function of the error on DOA estimates due to random errors in the array geometry. Therefore, we propose a stochastic collocation method that relies on a generalized polynomial chaos expansion to connect the statistical distribution of random position errors to the resulting distribution of the DOA estimates. We apply this technique to the conventional root-MUSIC and the Khatri-Rao-root-MUSIC methods. According to Monte-Carlo simulations, this novel approach yields a speedup by a factor of more than 100 in terms of CPU-time for a one-dimensional case and by a factor of 56 for a two-dimensional case.

A weighted ℓ{sub 1}-minimization approach for sparse polynomial chaos expansions

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

Peng, Ji; Hampton, Jerrad; Doostan, Alireza, E-mail: alireza.doostan@colorado.edu

2014-06-15

This work proposes a method for sparse polynomial chaos (PC) approximation of high-dimensional stochastic functions based on non-adapted random sampling. We modify the standard ℓ{sub 1}-minimization algorithm, originally proposed in the context of compressive sampling, using a priori information about the decay of the PC coefficients, when available, and refer to the resulting algorithm as weightedℓ{sub 1}-minimization. We provide conditions under which we may guarantee recovery using this weighted scheme. Numerical tests are used to compare the weighted and non-weighted methods for the recovery of solutions to two differential equations with high-dimensional random inputs: a boundary value problem with amore » random elliptic operator and a 2-D thermally driven cavity flow with random boundary condition.« less

Load Balancing in Stochastic Networks: Algorithms, Analysis, and Game Theory

DTIC Science & Technology

2014-04-16

SECURITY CLASSIFICATION OF: The classic randomized load balancing model is the so-called supermarket model, which describes a system in which...P.O. Box 12211 Research Triangle Park, NC 27709-2211 mean-field limits, supermarket model, thresholds, game, randomized load balancing REPORT...balancing model is the so-called supermarket model, which describes a system in which customers arrive to a service center with n parallel servers according

Optimizing event selection with the random grid search

NASA Astrophysics Data System (ADS)

Bhat, Pushpalatha C.; Prosper, Harrison B.; Sekmen, Sezen; Stewart, Chip

2018-07-01

The random grid search (RGS) is a simple, but efficient, stochastic algorithm to find optimal cuts that was developed in the context of the search for the top quark at Fermilab in the mid-1990s. The algorithm, and associated code, have been enhanced recently with the introduction of two new cut types, one of which has been successfully used in searches for supersymmetry at the Large Hadron Collider. The RGS optimization algorithm is described along with the recent developments, which are illustrated with two examples from particle physics. One explores the optimization of the selection of vector boson fusion events in the four-lepton decay mode of the Higgs boson and the other optimizes SUSY searches using boosted objects and the razor variables.

A non-stochastic iterative computational method to model light propagation in turbid media

NASA Astrophysics Data System (ADS)

McIntyre, Thomas J.; Zemp, Roger J.

2015-03-01

Monte Carlo models are widely used to model light transport in turbid media, however their results implicitly contain stochastic variations. These fluctuations are not ideal, especially for inverse problems where Jacobian matrix errors can lead to large uncertainties upon matrix inversion. Yet Monte Carlo approaches are more computationally favorable than solving the full Radiative Transport Equation. Here, a non-stochastic computational method of estimating fluence distributions in turbid media is proposed, which is called the Non-Stochastic Propagation by Iterative Radiance Evaluation method (NSPIRE). Rather than using stochastic means to determine a random walk for each photon packet, the propagation of light from any element to all other elements in a grid is modelled simultaneously. For locally homogeneous anisotropic turbid media, the matrices used to represent scattering and projection are shown to be block Toeplitz, which leads to computational simplifications via convolution operators. To evaluate the accuracy of the algorithm, 2D simulations were done and compared against Monte Carlo models for the cases of an isotropic point source and a pencil beam incident on a semi-infinite turbid medium. The model was shown to have a mean percent error less than 2%. The algorithm represents a new paradigm in radiative transport modelling and may offer a non-stochastic alternative to modeling light transport in anisotropic scattering media for applications where the diffusion approximation is insufficient.

Fast state estimation subject to random data loss in discrete-time nonlinear stochastic systems

NASA Astrophysics Data System (ADS)

Mahdi Alavi, S. M.; Saif, Mehrdad

2013-12-01

This paper focuses on the design of the standard observer in discrete-time nonlinear stochastic systems subject to random data loss. By the assumption that the system response is incrementally bounded, two sufficient conditions are subsequently derived that guarantee exponential mean-square stability and fast convergence of the estimation error for the problem at hand. An efficient algorithm is also presented to obtain the observer gain. Finally, the proposed methodology is employed for monitoring the Continuous Stirred Tank Reactor (CSTR) via a wireless communication network. The effectiveness of the designed observer is extensively assessed by using an experimental tested-bed that has been fabricated for performance evaluation of the over wireless-network estimation techniques under realistic radio channel conditions.

Biochemical Network Stochastic Simulator (BioNetS): software for stochastic modeling of biochemical networks.

PubMed

Adalsteinsson, David; McMillen, David; Elston, Timothy C

2004-03-08

Intrinsic fluctuations due to the stochastic nature of biochemical reactions can have large effects on the response of biochemical networks. This is particularly true for pathways that involve transcriptional regulation, where generally there are two copies of each gene and the number of messenger RNA (mRNA) molecules can be small. Therefore, there is a need for computational tools for developing and investigating stochastic models of biochemical networks. We have developed the software package Biochemical Network Stochastic Simulator (BioNetS) for efficiently and accurately simulating stochastic models of biochemical networks. BioNetS has a graphical user interface that allows models to be entered in a straightforward manner, and allows the user to specify the type of random variable (discrete or continuous) for each chemical species in the network. The discrete variables are simulated using an efficient implementation of the Gillespie algorithm. For the continuous random variables, BioNetS constructs and numerically solves the appropriate chemical Langevin equations. The software package has been developed to scale efficiently with network size, thereby allowing large systems to be studied. BioNetS runs as a BioSpice agent and can be downloaded from http://www.biospice.org. BioNetS also can be run as a stand alone package. All the required files are accessible from http://x.amath.unc.edu/BioNetS. We have developed BioNetS to be a reliable tool for studying the stochastic dynamics of large biochemical networks. Important features of BioNetS are its ability to handle hybrid models that consist of both continuous and discrete random variables and its ability to model cell growth and division. We have verified the accuracy and efficiency of the numerical methods by considering several test systems.

Stochastic effects in EUV lithography: random, local CD variability, and printing failures

NASA Astrophysics Data System (ADS)

De Bisschop, Peter

2017-10-01

Stochastic effects in lithography are usually quantified through local CD variability metrics, such as line-width roughness or local CD uniformity (LCDU), and these quantities have been measured and studied intensively, both in EUV and optical lithography. Next to the CD-variability, stochastic effects can also give rise to local, random printing failures, such as missing contacts or microbridges in spaces. When these occur, there often is no (reliable) CD to be measured locally, and then such failures cannot be quantified with the usual CD-measuring techniques. We have developed algorithms to detect such stochastic printing failures in regular line/space (L/S) or contact- or dot-arrays from SEM images, leading to a stochastic failure metric that we call NOK (not OK), which we consider a complementary metric to the CD-variability metrics. This paper will show how both types of metrics can be used to experimentally quantify dependencies of stochastic effects to, e.g., CD, pitch, resist, exposure dose, etc. As it is also important to be able to predict upfront (in the OPC verification stage of a production-mask tape-out) whether certain structures in the layout are likely to have a high sensitivity to stochastic effects, we look into the feasibility of constructing simple predictors, for both stochastic CD-variability and printing failure, that can be calibrated for the process and exposure conditions used and integrated into the standard OPC verification flow. Finally, we briefly discuss the options to reduce stochastic variability and failure, considering the entire patterning ecosystem.

An adaptive multi-level simulation algorithm for stochastic biological systems

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

Lester, C., E-mail: lesterc@maths.ox.ac.uk; Giles, M. B.; Baker, R. E.

2015-01-14

Discrete-state, continuous-time Markov models are widely used in the modeling of biochemical reaction networks. Their complexity often precludes analytic solution, and we rely on stochastic simulation algorithms (SSA) to estimate system statistics. The Gillespie algorithm is exact, but computationally costly as it simulates every single reaction. As such, approximate stochastic simulation algorithms such as the tau-leap algorithm are often used. Potentially computationally more efficient, the system statistics generated suffer from significant bias unless tau is relatively small, in which case the computational time can be comparable to that of the Gillespie algorithm. The multi-level method [Anderson and Higham, “Multi-level Montemore » Carlo for continuous time Markov chains, with applications in biochemical kinetics,” SIAM Multiscale Model. Simul. 10(1), 146–179 (2012)] tackles this problem. A base estimator is computed using many (cheap) sample paths at low accuracy. The bias inherent in this estimator is then reduced using a number of corrections. Each correction term is estimated using a collection of paired sample paths where one path of each pair is generated at a higher accuracy compared to the other (and so more expensive). By sharing random variables between these paired paths, the variance of each correction estimator can be reduced. This renders the multi-level method very efficient as only a relatively small number of paired paths are required to calculate each correction term. In the original multi-level method, each sample path is simulated using the tau-leap algorithm with a fixed value of τ. This approach can result in poor performance when the reaction activity of a system changes substantially over the timescale of interest. By introducing a novel adaptive time-stepping approach where τ is chosen according to the stochastic behaviour of each sample path, we extend the applicability of the multi-level method to such cases. We demonstrate the efficiency of our method using a number of examples.« less

Optimizing Constrained Single Period Problem under Random Fuzzy Demand

NASA Astrophysics Data System (ADS)

Taleizadeh, Ata Allah; Shavandi, Hassan; Riazi, Afshin

2008-09-01

In this paper, we consider the multi-product multi-constraint newsboy problem with random fuzzy demands and total discount. The demand of the products is often stochastic in the real word but the estimation of the parameters of distribution function may be done by fuzzy manner. So an appropriate option to modeling the demand of products is using the random fuzzy variable. The objective function of proposed model is to maximize the expected profit of newsboy. We consider the constraints such as warehouse space and restriction on quantity order for products, and restriction on budget. We also consider the batch size for products order. Finally we introduce a random fuzzy multi-product multi-constraint newsboy problem (RFM-PM-CNP) and it is changed to a multi-objective mixed integer nonlinear programming model. Furthermore, a hybrid intelligent algorithm based on genetic algorithm, Pareto and TOPSIS is presented for the developed model. Finally an illustrative example is presented to show the performance of the developed model and algorithm.

Optimizing event selection with the random grid search

DOE PAGES

Bhat, Pushpalatha C.; Prosper, Harrison B.; Sekmen, Sezen; ...

2018-02-27

In this paper, the random grid search (RGS) is a simple, but efficient, stochastic algorithm to find optimal cuts that was developed in the context of the search for the top quark at Fermilab in the mid-1990s. The algorithm, and associated code, have been enhanced recently with the introduction of two new cut types, one of which has been successfully used in searches for supersymmetry at the Large Hadron Collider. The RGS optimization algorithm is described along with the recent developments, which are illustrated with two examples from particle physics. One explores the optimization of the selection of vector bosonmore » fusion events in the four-lepton decay mode of the Higgs boson and the other optimizes SUSY searches using boosted objects and the razor variables.« less

Optimizing Event Selection with the Random Grid Search

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

Bhat, Pushpalatha C.; Prosper, Harrison B.; Sekmen, Sezen

2017-06-29

The random grid search (RGS) is a simple, but efficient, stochastic algorithm to find optimal cuts that was developed in the context of the search for the top quark at Fermilab in the mid-1990s. The algorithm, and associated code, have been enhanced recently with the introduction of two new cut types, one of which has been successfully used in searches for supersymmetry at the Large Hadron Collider. The RGS optimization algorithm is described along with the recent developments, which are illustrated with two examples from particle physics. One explores the optimization of the selection of vector boson fusion events inmore » the four-lepton decay mode of the Higgs boson and the other optimizes SUSY searches using boosted objects and the razor variables.« less

Optimizing event selection with the random grid search

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

Bhat, Pushpalatha C.; Prosper, Harrison B.; Sekmen, Sezen

In this paper, the random grid search (RGS) is a simple, but efficient, stochastic algorithm to find optimal cuts that was developed in the context of the search for the top quark at Fermilab in the mid-1990s. The algorithm, and associated code, have been enhanced recently with the introduction of two new cut types, one of which has been successfully used in searches for supersymmetry at the Large Hadron Collider. The RGS optimization algorithm is described along with the recent developments, which are illustrated with two examples from particle physics. One explores the optimization of the selection of vector bosonmore » fusion events in the four-lepton decay mode of the Higgs boson and the other optimizes SUSY searches using boosted objects and the razor variables.« less

Time-ordered product expansions for computational stochastic system biology.

PubMed

Mjolsness, Eric

2013-06-01

The time-ordered product framework of quantum field theory can also be used to understand salient phenomena in stochastic biochemical networks. It is used here to derive Gillespie's stochastic simulation algorithm (SSA) for chemical reaction networks; consequently, the SSA can be interpreted in terms of Feynman diagrams. It is also used here to derive other, more general simulation and parameter-learning algorithms including simulation algorithms for networks of stochastic reaction-like processes operating on parameterized objects, and also hybrid stochastic reaction/differential equation models in which systems of ordinary differential equations evolve the parameters of objects that can also undergo stochastic reactions. Thus, the time-ordered product expansion can be used systematically to derive simulation and parameter-fitting algorithms for stochastic systems.

Flow injection analysis simulations and diffusion coefficient determination by stochastic and deterministic optimization methods.

PubMed

Kucza, Witold

2013-07-25

Stochastic and deterministic simulations of dispersion in cylindrical channels on the Poiseuille flow have been presented. The random walk (stochastic) and the uniform dispersion (deterministic) models have been used for computations of flow injection analysis responses. These methods coupled with the genetic algorithm and the Levenberg-Marquardt optimization methods, respectively, have been applied for determination of diffusion coefficients. The diffusion coefficients of fluorescein sodium, potassium hexacyanoferrate and potassium dichromate have been determined by means of the presented methods and FIA responses that are available in literature. The best-fit results agree with each other and with experimental data thus validating both presented approaches. Copyright © 2013 The Author. Published by Elsevier B.V. All rights reserved.

Hybrid geometric-random template-placement algorithm for gravitational wave searches from compact binary coalescences

NASA Astrophysics Data System (ADS)

Roy, Soumen; Sengupta, Anand S.; Thakor, Nilay

2017-05-01

Astrophysical compact binary systems consisting of neutron stars and black holes are an important class of gravitational wave (GW) sources for advanced LIGO detectors. Accurate theoretical waveform models from the inspiral, merger, and ringdown phases of such systems are used to filter detector data under the template-based matched-filtering paradigm. An efficient grid over the parameter space at a fixed minimal match has a direct impact on the overall time taken by these searches. We present a new hybrid geometric-random template placement algorithm for signals described by parameters of two masses and one spin magnitude. Such template banks could potentially be used in GW searches from binary neutron stars and neutron star-black hole systems. The template placement is robust and is able to automatically accommodate curvature and boundary effects with no fine-tuning. We also compare these banks against vanilla stochastic template banks and show that while both are equally efficient in the fitting-factor sense, the bank sizes are ˜25 % larger in the stochastic method. Further, we show that the generation of the proposed hybrid banks can be sped up by nearly an order of magnitude over the stochastic bank. Generic issues related to optimal implementation are discussed in detail. These improvements are expected to directly reduce the computational cost of gravitational wave searches.

Inferring microbial interaction networks from metagenomic data using SgLV-EKF algorithm.

PubMed

Alshawaqfeh, Mustafa; Serpedin, Erchin; Younes, Ahmad Bani

2017-03-27

Inferring the microbial interaction networks (MINs) and modeling their dynamics are critical in understanding the mechanisms of the bacterial ecosystem and designing antibiotic and/or probiotic therapies. Recently, several approaches were proposed to infer MINs using the generalized Lotka-Volterra (gLV) model. Main drawbacks of these models include the fact that these models only consider the measurement noise without taking into consideration the uncertainties in the underlying dynamics. Furthermore, inferring the MIN is characterized by the limited number of observations and nonlinearity in the regulatory mechanisms. Therefore, novel estimation techniques are needed to address these challenges. This work proposes SgLV-EKF: a stochastic gLV model that adopts the extended Kalman filter (EKF) algorithm to model the MIN dynamics. In particular, SgLV-EKF employs a stochastic modeling of the MIN by adding a noise term to the dynamical model to compensate for modeling uncertainties. This stochastic modeling is more realistic than the conventional gLV model which assumes that the MIN dynamics are perfectly governed by the gLV equations. After specifying the stochastic model structure, we propose the EKF to estimate the MIN. SgLV-EKF was compared with two similarity-based algorithms, one algorithm from the integral-based family and two regression-based algorithms, in terms of the achieved performance on two synthetic data-sets and two real data-sets. The first data-set models the randomness in measurement data, whereas, the second data-set incorporates uncertainties in the underlying dynamics. The real data-sets are provided by a recent study pertaining to an antibiotic-mediated Clostridium difficile infection. The experimental results demonstrate that SgLV-EKF outperforms the alternative methods in terms of robustness to measurement noise, modeling errors, and tracking the dynamics of the MIN. Performance analysis demonstrates that the proposed SgLV-EKF algorithm represents a powerful and reliable tool to infer MINs and track their dynamics.

Robust Algorithms for Detecting a Change in a Stochastic Process with Infinite Memory

DTIC Science & Technology

1988-03-01

breakdown point and the additional assumption of 0-mixing on the nominal meas- influence function . The structure of the optimal algorithm ures. Then Huber’s...are i.i.d. sequences of Gaus- For the breakdown point and the influence function sian random variables, with identical variance o2 . Let we will use...algebraic sign for i=0,1. Here z will be chosen such = f nthat it leads to worst case or earliest breakdown. i (14) Next, the influence function measures

Faster PET reconstruction with a stochastic primal-dual hybrid gradient method

NASA Astrophysics Data System (ADS)

Ehrhardt, Matthias J.; Markiewicz, Pawel; Chambolle, Antonin; Richtárik, Peter; Schott, Jonathan; Schönlieb, Carola-Bibiane

2017-08-01

Image reconstruction in positron emission tomography (PET) is computationally challenging due to Poisson noise, constraints and potentially non-smooth priors-let alone the sheer size of the problem. An algorithm that can cope well with the first three of the aforementioned challenges is the primal-dual hybrid gradient algorithm (PDHG) studied by Chambolle and Pock in 2011. However, PDHG updates all variables in parallel and is therefore computationally demanding on the large problem sizes encountered with modern PET scanners where the number of dual variables easily exceeds 100 million. In this work, we numerically study the usage of SPDHG-a stochastic extension of PDHG-but is still guaranteed to converge to a solution of the deterministic optimization problem with similar rates as PDHG. Numerical results on a clinical data set show that by introducing randomization into PDHG, similar results as the deterministic algorithm can be achieved using only around 10 % of operator evaluations. Thus, making significant progress towards the feasibility of sophisticated mathematical models in a clinical setting.

Solving the problem of negative populations in approximate accelerated stochastic simulations using the representative reaction approach.

PubMed

Kadam, Shantanu; Vanka, Kumar

2013-02-15

Methods based on the stochastic formulation of chemical kinetics have the potential to accurately reproduce the dynamical behavior of various biochemical systems of interest. However, the computational expense makes them impractical for the study of real systems. Attempts to render these methods practical have led to the development of accelerated methods, where the reaction numbers are modeled by Poisson random numbers. However, for certain systems, such methods give rise to physically unrealistic negative numbers for species populations. The methods which make use of binomial variables, in place of Poisson random numbers, have since become popular, and have been partially successful in addressing this problem. In this manuscript, the development of two new computational methods, based on the representative reaction approach (RRA), has been discussed. The new methods endeavor to solve the problem of negative numbers, by making use of tools like the stochastic simulation algorithm and the binomial method, in conjunction with the RRA. It is found that these newly developed methods perform better than other binomial methods used for stochastic simulations, in resolving the problem of negative populations. Copyright © 2012 Wiley Periodicals, Inc.

A stochastic model for density-dependent microwave Snow- and Graupel scattering coefficients of the NOAA JCSDA community radiative transfer model

NASA Astrophysics Data System (ADS)

Stegmann, Patrick G.; Tang, Guanglin; Yang, Ping; Johnson, Benjamin T.

2018-05-01

A structural model is developed for the single-scattering properties of snow and graupel particles with a strongly heterogeneous morphology and an arbitrary variable mass density. This effort is aimed to provide a mechanism to consider particle mass density variation in the microwave scattering coefficients implemented in the Community Radiative Transfer Model (CRTM). The stochastic model applies a bicontinuous random medium algorithm to a simple base shape and uses the Finite-Difference-Time-Domain (FDTD) method to compute the single-scattering properties of the resulting complex morphology.

Hybrid stochastic and deterministic simulations of calcium blips.

PubMed

Rüdiger, S; Shuai, J W; Huisinga, W; Nagaiah, C; Warnecke, G; Parker, I; Falcke, M

2007-09-15

Intracellular calcium release is a prime example for the role of stochastic effects in cellular systems. Recent models consist of deterministic reaction-diffusion equations coupled to stochastic transitions of calcium channels. The resulting dynamics is of multiple time and spatial scales, which complicates far-reaching computer simulations. In this article, we introduce a novel hybrid scheme that is especially tailored to accurately trace events with essential stochastic variations, while deterministic concentration variables are efficiently and accurately traced at the same time. We use finite elements to efficiently resolve the extreme spatial gradients of concentration variables close to a channel. We describe the algorithmic approach and we demonstrate its efficiency compared to conventional methods. Our single-channel model matches experimental data and results in intriguing dynamics if calcium is used as charge carrier. Random openings of the channel accumulate in bursts of calcium blips that may be central for the understanding of cellular calcium dynamics.

A novel global Harmony Search method based on Ant Colony Optimisation algorithm

NASA Astrophysics Data System (ADS)

Fouad, Allouani; Boukhetala, Djamel; Boudjema, Fares; Zenger, Kai; Gao, Xiao-Zhi

2016-03-01

The Global-best Harmony Search (GHS) is a stochastic optimisation algorithm recently developed, which hybridises the Harmony Search (HS) method with the concept of swarm intelligence in the particle swarm optimisation (PSO) to enhance its performance. In this article, a new optimisation algorithm called GHSACO is developed by incorporating the GHS with the Ant Colony Optimisation algorithm (ACO). Our method introduces a novel improvisation process, which is different from that of the GHS in the following aspects. (i) A modified harmony memory (HM) representation and conception. (ii) The use of a global random switching mechanism to monitor the choice between the ACO and GHS. (iii) An additional memory consideration selection rule using the ACO random proportional transition rule with a pheromone trail update mechanism. The proposed GHSACO algorithm has been applied to various benchmark functions and constrained optimisation problems. Simulation results demonstrate that it can find significantly better solutions when compared with the original HS and some of its variants.

Escalated convergent artificial bee colony

NASA Astrophysics Data System (ADS)

Jadon, Shimpi Singh; Bansal, Jagdish Chand; Tiwari, Ritu

2016-03-01

Artificial bee colony (ABC) optimisation algorithm is a recent, fast and easy-to-implement population-based meta heuristic for optimisation. ABC has been proved a rival algorithm with some popular swarm intelligence-based algorithms such as particle swarm optimisation, firefly algorithm and ant colony optimisation. The solution search equation of ABC is influenced by a random quantity which helps its search process in exploration at the cost of exploitation. In order to find a fast convergent behaviour of ABC while exploitation capability is maintained, in this paper basic ABC is modified in two ways. First, to improve exploitation capability, two local search strategies, namely classical unidimensional local search and levy flight random walk-based local search are incorporated with ABC. Furthermore, a new solution search strategy, namely stochastic diffusion scout search is proposed and incorporated into the scout bee phase to provide more chance to abandon solution to improve itself. Efficiency of the proposed algorithm is tested on 20 benchmark test functions of different complexities and characteristics. Results are very promising and they prove it to be a competitive algorithm in the field of swarm intelligence-based algorithms.

Exact event-driven implementation for recurrent networks of stochastic perfect integrate-and-fire neurons.

PubMed

Taillefumier, Thibaud; Touboul, Jonathan; Magnasco, Marcelo

2012-12-01

In vivo cortical recording reveals that indirectly driven neural assemblies can produce reliable and temporally precise spiking patterns in response to stereotyped stimulation. This suggests that despite being fundamentally noisy, the collective activity of neurons conveys information through temporal coding. Stochastic integrate-and-fire models delineate a natural theoretical framework to study the interplay of intrinsic neural noise and spike timing precision. However, there are inherent difficulties in simulating their networks' dynamics in silico with standard numerical discretization schemes. Indeed, the well-posedness of the evolution of such networks requires temporally ordering every neuronal interaction, whereas the order of interactions is highly sensitive to the random variability of spiking times. Here, we answer these issues for perfect stochastic integrate-and-fire neurons by designing an exact event-driven algorithm for the simulation of recurrent networks, with delayed Dirac-like interactions. In addition to being exact from the mathematical standpoint, our proposed method is highly efficient numerically. We envision that our algorithm is especially indicated for studying the emergence of polychronized motifs in networks evolving under spike-timing-dependent plasticity with intrinsic noise.

New “Tau-Leap” Strategy for Accelerated Stochastic Simulation

PubMed Central

2015-01-01

The “Tau-Leap” strategy for stochastic simulations of chemical reaction systems due to Gillespie and co-workers has had considerable impact on various applications. This strategy is reexamined with Chebyshev’s inequality for random variables as it provides a rigorous probabilistic basis for a measured τ-leap thus adding significantly to simulation efficiency. It is also shown that existing strategies for simulation times have no probabilistic assurance that they satisfy the τ-leap criterion while the use of Chebyshev’s inequality leads to a specified degree of certainty with which the τ-leap criterion is satisfied. This reduces the loss of sample paths which do not comply with the τ-leap criterion. The performance of the present algorithm is assessed, with respect to one discussed by Cao et al. (J. Chem. Phys.2006, 124, 044109), a second pertaining to binomial leap (Tian and Burrage J. Chem. Phys.2004, 121, 10356; Chatterjee et al. J. Chem. Phys.2005, 122, 024112; Peng et al. J. Chem. Phys.2007, 126, 224109), and a third regarding the midpoint Poisson leap (Peng et al., 2007; Gillespie J. Chem. Phys.2001, 115, 1716). The performance assessment is made by estimating the error in the histogram measured against that obtained with the so-called stochastic simulation algorithm. It is shown that the current algorithm displays notably less histogram error than its predecessor for a fixed computation time and, conversely, less computation time for a fixed accuracy. This computational advantage is an asset in repetitive calculations essential for modeling stochastic systems. The importance of stochastic simulations is derived from diverse areas of application in physical and biological sciences, process systems, and economics, etc. Computational improvements such as those reported herein are therefore of considerable significance. PMID:25620846

New "Tau-Leap" Strategy for Accelerated Stochastic Simulation.

PubMed

Ramkrishna, Doraiswami; Shu, Che-Chi; Tran, Vu

2014-12-10

The "Tau-Leap" strategy for stochastic simulations of chemical reaction systems due to Gillespie and co-workers has had considerable impact on various applications. This strategy is reexamined with Chebyshev's inequality for random variables as it provides a rigorous probabilistic basis for a measured τ-leap thus adding significantly to simulation efficiency. It is also shown that existing strategies for simulation times have no probabilistic assurance that they satisfy the τ-leap criterion while the use of Chebyshev's inequality leads to a specified degree of certainty with which the τ-leap criterion is satisfied. This reduces the loss of sample paths which do not comply with the τ-leap criterion. The performance of the present algorithm is assessed, with respect to one discussed by Cao et al. ( J. Chem. Phys. 2006 , 124 , 044109), a second pertaining to binomial leap (Tian and Burrage J. Chem. Phys. 2004 , 121 , 10356; Chatterjee et al. J. Chem. Phys. 2005 , 122 , 024112; Peng et al. J. Chem. Phys. 2007 , 126 , 224109), and a third regarding the midpoint Poisson leap (Peng et al., 2007; Gillespie J. Chem. Phys. 2001 , 115 , 1716). The performance assessment is made by estimating the error in the histogram measured against that obtained with the so-called stochastic simulation algorithm. It is shown that the current algorithm displays notably less histogram error than its predecessor for a fixed computation time and, conversely, less computation time for a fixed accuracy. This computational advantage is an asset in repetitive calculations essential for modeling stochastic systems. The importance of stochastic simulations is derived from diverse areas of application in physical and biological sciences, process systems, and economics, etc. Computational improvements such as those reported herein are therefore of considerable significance.

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.

A stochastic multi-scale method for turbulent premixed combustion

NASA Astrophysics Data System (ADS)

Cha, Chong M.

2002-11-01

The stochastic chemistry algorithm of Bunker et al. and Gillespie is used to perform the chemical reactions in a transported probability density function (PDF) modeling approach of turbulent combustion. Recently, Kraft & Wagner have demonstrated a 100-fold gain in computational speed (for a 100 species mechanism) using the stochastic approach over the conventional, direct integration method of solving for the chemistry. Here, the stochastic chemistry algorithm is applied to develop a new transported PDF model of turbulent premixed combustion. The methodology relies on representing the relevant spatially dependent physical processes as queuing events. The canonical problem of a one-dimensional premixed flame is used for validation. For the laminar case, molecular diffusion is described by a random walk. For the turbulent case, one of two different material transport submodels can provide the necessary closure: Taylor dispersion or Kerstein's one-dimensional turbulence approach. The former exploits ``eddy diffusivity'' and hence would be much more computationally tractable for practical applications. Various validation studies are performed. Results from the Monte Carlo simulations compare well to asymptotic solutions of laminar premixed flames, both with and without high activation temperatures. The correct scaling of the turbulent burning velocity is predicted in both Damköhler's small- and large-scale turbulence limits. The effect of applying the eddy diffusivity concept in the various regimes is discussed.

Computer simulation of the probability that endangered whales will interact with oil spills

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

Reed, M.; Jayko, K.; Bowles, A.

1987-03-01

A numerical model system was developed to assess quantitatively the probability that endangered bowhead and gray whales will encounter spilled oil in Alaskan waters. Bowhead and gray whale migration and diving-surfacing models, and an oil-spill trajectory model comprise the system. The migration models were developed from conceptual considerations, then calibrated with and tested against observations. The movement of a whale point is governed by a random walk algorithm which stochastically follows a migratory pathway. The oil-spill model, developed under a series of other contracts, accounts for transport and spreading behavior in open water and in the presence of sea ice.more » Historical wind records and heavy, normal, or light ice cover data sets are selected at random to provide stochastic oil-spill scenarios for whale-oil interaction simulations.« less

Stochastic characterization of phase detection algorithms in phase-shifting interferometry

DOE PAGES

Munteanu, Florin

2016-11-01

Phase-shifting interferometry (PSI) is the preferred non-contact method for profiling sub-nanometer surfaces. Based on monochromatic light interference, the method computes the surface profile from a set of interferograms collected at separate stepping positions. Errors in the estimated profile are introduced when these positions are not located correctly. In order to cope with this problem, various algorithms that minimize the effects of certain types of stepping errors (linear, sinusoidal, etc.) have been developed. Despite the relatively large number of algorithms suggested in the literature, there is no unified way of characterizing their performance when additional unaccounted random errors are present. Here,more » we suggest a procedure for quantifying the expected behavior of each algorithm in the presence of independent and identically distributed (i.i.d.) random stepping errors, which can occur in addition to the systematic errors for which the algorithm has been designed. As a result, the usefulness of this method derives from the fact that it can guide the selection of the best algorithm for specific measurement situations.« less

Accelerating Pseudo-Random Number Generator for MCNP on GPU

NASA Astrophysics Data System (ADS)

Gong, Chunye; Liu, Jie; Chi, Lihua; Hu, Qingfeng; Deng, Li; Gong, Zhenghu

2010-09-01

Pseudo-random number generators (PRNG) are intensively used in many stochastic algorithms in particle simulations, artificial neural networks and other scientific computation. The PRNG in Monte Carlo N-Particle Transport Code (MCNP) requires long period, high quality, flexible jump and fast enough. In this paper, we implement such a PRNG for MCNP on NVIDIA's GTX200 Graphics Processor Units (GPU) using CUDA programming model. Results shows that 3.80 to 8.10 times speedup are achieved compared with 4 to 6 cores CPUs and more than 679.18 million double precision random numbers can be generated per second on GPU.

Spiral bacterial foraging optimization method: Algorithm, evaluation and convergence analysis

NASA Astrophysics Data System (ADS)

Kasaiezadeh, Alireza; Khajepour, Amir; Waslander, Steven L.

2014-04-01

A biologically-inspired algorithm called Spiral Bacterial Foraging Optimization (SBFO) is investigated in this article. SBFO, previously proposed by the same authors, is a multi-agent, gradient-based algorithm that minimizes both the main objective function (local cost) and the distance between each agent and a temporary central point (global cost). A random jump is included normal to the connecting line of each agent to the central point, which produces a vortex around the temporary central point. This random jump is also suitable to cope with premature convergence, which is a feature of swarm-based optimization methods. The most important advantages of this algorithm are as follows: First, this algorithm involves a stochastic type of search with a deterministic convergence. Second, as gradient-based methods are employed, faster convergence is demonstrated over GA, DE, BFO, etc. Third, the algorithm can be implemented in a parallel fashion in order to decentralize large-scale computation. Fourth, the algorithm has a limited number of tunable parameters, and finally SBFO has a strong certainty of convergence which is rare in existing global optimization algorithms. A detailed convergence analysis of SBFO for continuously differentiable objective functions has also been investigated in this article.

Multiscale stochastic simulations of chemical reactions with regulated scale separation

NASA Astrophysics Data System (ADS)

Koumoutsakos, Petros; Feigelman, Justin

2013-07-01

We present a coupling of multiscale frameworks with accelerated stochastic simulation algorithms for systems of chemical reactions with disparate propensities. The algorithms regulate the propensities of the fast and slow reactions of the system, using alternating micro and macro sub-steps simulated with accelerated algorithms such as τ and R-leaping. The proposed algorithms are shown to provide significant speedups in simulations of stiff systems of chemical reactions with a trade-off in accuracy as controlled by a regulating parameter. More importantly, the error of the methods exhibits a cutoff phenomenon that allows for optimal parameter choices. Numerical experiments demonstrate that hybrid algorithms involving accelerated stochastic simulations can be, in certain cases, more accurate while faster, than their corresponding stochastic simulation algorithm counterparts.

A new approach for measuring power spectra and reconstructing time series in active galactic nuclei

NASA Astrophysics Data System (ADS)

Li, Yan-Rong; Wang, Jian-Min

2018-05-01

We provide a new approach to measure power spectra and reconstruct time series in active galactic nuclei (AGNs) based on the fact that the Fourier transform of AGN stochastic variations is a series of complex Gaussian random variables. The approach parametrizes a stochastic series in frequency domain and transforms it back to time domain to fit the observed data. The parameters and their uncertainties are derived in a Bayesian framework, which also allows us to compare the relative merits of different power spectral density models. The well-developed fast Fourier transform algorithm together with parallel computation enables an acceptable time complexity for the approach.

Genetic evolutionary taboo search for optimal marker placement in infrared patient setup

NASA Astrophysics Data System (ADS)

Riboldi, M.; Baroni, G.; Spadea, M. F.; Tagaste, B.; Garibaldi, C.; Cambria, R.; Orecchia, R.; Pedotti, A.

2007-09-01

In infrared patient setup adequate selection of the external fiducial configuration is required for compensating inner target displacements (target registration error, TRE). Genetic algorithms (GA) and taboo search (TS) were applied in a newly designed approach to optimal marker placement: the genetic evolutionary taboo search (GETS) algorithm. In the GETS paradigm, multiple solutions are simultaneously tested in a stochastic evolutionary scheme, where taboo-based decision making and adaptive memory guide the optimization process. The GETS algorithm was tested on a group of ten prostate patients, to be compared to standard optimization and to randomly selected configurations. The changes in the optimal marker configuration, when TRE is minimized for OARs, were specifically examined. Optimal GETS configurations ensured a 26.5% mean decrease in the TRE value, versus 19.4% for conventional quasi-Newton optimization. Common features in GETS marker configurations were highlighted in the dataset of ten patients, even when multiple runs of the stochastic algorithm were performed. Including OARs in TRE minimization did not considerably affect the spatial distribution of GETS marker configurations. In conclusion, the GETS algorithm proved to be highly effective in solving the optimal marker placement problem. Further work is needed to embed site-specific deformation models in the optimization process.

Efficient computation of parameter sensitivities of discrete stochastic chemical reaction networks.

PubMed

Rathinam, Muruhan; Sheppard, Patrick W; Khammash, Mustafa

2010-01-21

Parametric sensitivity of biochemical networks is an indispensable tool for studying system robustness properties, estimating network parameters, and identifying targets for drug therapy. For discrete stochastic representations of biochemical networks where Monte Carlo methods are commonly used, sensitivity analysis can be particularly challenging, as accurate finite difference computations of sensitivity require a large number of simulations for both nominal and perturbed values of the parameters. In this paper we introduce the common random number (CRN) method in conjunction with Gillespie's stochastic simulation algorithm, which exploits positive correlations obtained by using CRNs for nominal and perturbed parameters. We also propose a new method called the common reaction path (CRP) method, which uses CRNs together with the random time change representation of discrete state Markov processes due to Kurtz to estimate the sensitivity via a finite difference approximation applied to coupled reaction paths that emerge naturally in this representation. While both methods reduce the variance of the estimator significantly compared to independent random number finite difference implementations, numerical evidence suggests that the CRP method achieves a greater variance reduction. We also provide some theoretical basis for the superior performance of CRP. The improved accuracy of these methods allows for much more efficient sensitivity estimation. In two example systems reported in this work, speedup factors greater than 300 and 10,000 are demonstrated.

Fast stochastic algorithm for simulating evolutionary population dynamics

NASA Astrophysics Data System (ADS)

Tsimring, Lev; Hasty, Jeff; Mather, William

2012-02-01

Evolution and co-evolution of ecological communities are stochastic processes often characterized by vastly different rates of reproduction and mutation and a coexistence of very large and very small sub-populations of co-evolving species. This creates serious difficulties for accurate statistical modeling of evolutionary dynamics. In this talk, we introduce a new exact algorithm for fast fully stochastic simulations of birth/death/mutation processes. It produces a significant speedup compared to the direct stochastic simulation algorithm in a typical case when the total population size is large and the mutation rates are much smaller than birth/death rates. We illustrate the performance of the algorithm on several representative examples: evolution on a smooth fitness landscape, NK model, and stochastic predator-prey system.

A new hyperchaotic map and its application for image encryption

NASA Astrophysics Data System (ADS)

Natiq, Hayder; Al-Saidi, N. M. G.; Said, M. R. M.; Kilicman, Adem

2018-01-01

Based on the one-dimensional Sine map and the two-dimensional Hénon map, a new two-dimensional Sine-Hénon alteration model (2D-SHAM) is hereby proposed. Basic dynamic characteristics of 2D-SHAM are studied through the following aspects: equilibria, Jacobin eigenvalues, trajectory, bifurcation diagram, Lyapunov exponents and sensitivity dependence test. The complexity of 2D-SHAM is investigated using Sample Entropy algorithm. Simulation results show that 2D-SHAM is overall hyperchaotic with the high complexity, and high sensitivity to its initial values and control parameters. To investigate its performance in terms of security, a new 2D-SHAM-based image encryption algorithm (SHAM-IEA) is also proposed. In this algorithm, the essential requirements of confusion and diffusion are accomplished, and the stochastic 2D-SHAM is used to enhance the security of encrypted image. The stochastic 2D-SHAM generates random values, hence SHAM-IEA can produce different encrypted images even with the same secret key. Experimental results and security analysis show that SHAM-IEA has strong capability to withstand statistical analysis, differential attack, chosen-plaintext and chosen-ciphertext attacks.

'Extremotaxis': computing with a bacterial-inspired algorithm.

PubMed

Nicolau, Dan V; Burrage, Kevin; Nicolau, Dan V; Maini, Philip K

2008-01-01

We present a general-purpose optimization algorithm inspired by "run-and-tumble", the biased random walk chemotactic swimming strategy used by the bacterium Escherichia coli to locate regions of high nutrient concentration The method uses particles (corresponding to bacteria) that swim through the variable space (corresponding to the attractant concentration profile). By constantly performing temporal comparisons, the particles drift towards the minimum or maximum of the function of interest. We illustrate the use of our method with four examples. We also present a discrete version of the algorithm. The new algorithm is expected to be useful in combinatorial optimization problems involving many variables, where the functional landscape is apparently stochastic and has local minima, but preserves some derivative structure at intermediate scales.

Numerical methods for the stochastic Landau-Lifshitz Navier-Stokes equations.

PubMed

Bell, John B; Garcia, Alejandro L; Williams, Sarah A

2007-07-01

The Landau-Lifshitz Navier-Stokes (LLNS) equations incorporate thermal fluctuations into macroscopic hydrodynamics by using stochastic fluxes. This paper examines explicit Eulerian discretizations of the full LLNS equations. Several computational fluid dynamics approaches are considered (including MacCormack's two-step Lax-Wendroff scheme and the piecewise parabolic method) and are found to give good results for the variance of momentum fluctuations. However, neither of these schemes accurately reproduces the fluctuations in energy or density. We introduce a conservative centered scheme with a third-order Runge-Kutta temporal integrator that does accurately produce fluctuations in density, energy, and momentum. A variety of numerical tests, including the random walk of a standing shock wave, are considered and results from the stochastic LLNS solver are compared with theory, when available, and with molecular simulations using a direct simulation Monte Carlo algorithm.

Stochastic reaction-diffusion algorithms for macromolecular crowding

NASA Astrophysics Data System (ADS)

Sturrock, Marc

2016-06-01

Compartment-based (lattice-based) reaction-diffusion algorithms are often used for studying complex stochastic spatio-temporal processes inside cells. In this paper the influence of macromolecular crowding on stochastic reaction-diffusion simulations is investigated. Reaction-diffusion processes are considered on two different kinds of compartmental lattice, a cubic lattice and a hexagonal close packed lattice, and solved using two different algorithms, the stochastic simulation algorithm and the spatiocyte algorithm (Arjunan and Tomita 2010 Syst. Synth. Biol. 4, 35-53). Obstacles (modelling macromolecular crowding) are shown to have substantial effects on the mean squared displacement and average number of molecules in the domain but the nature of these effects is dependent on the choice of lattice, with the cubic lattice being more susceptible to the effects of the obstacles. Finally, improvements for both algorithms are presented.

Stochastic generation of complex crystal structures combining group and graph theory with application to carbon

NASA Astrophysics Data System (ADS)

Shi, Xizhi; He, Chaoyu; Pickard, Chris J.; Tang, Chao; Zhong, Jianxin

2018-01-01

A method is introduced to stochastically generate crystal structures with defined structural characteristics. Reasonable quotient graphs for symmetric crystals are constructed using a random strategy combined with space group and graph theory. Our algorithm enables the search for large-size and complex crystal structures with a specified connectivity, such as threefold sp2 carbons, fourfold sp3 carbons, as well as mixed sp2-sp3 carbons. To demonstrate the method, we randomly construct initial structures adhering to space groups from 75 to 230 and a range of lattice constants, and we identify 281 new sp3 carbon crystals. First-principles optimization of these structures show that most of them are dynamically and mechanically stable and are energetically comparable to those previously proposed. Some of the new structures can be considered as candidates to explain the experimental cold compression of graphite.

Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs

DOE PAGES

Gade, Dinakar; Hackebeil, Gabriel; Ryan, Sarah M.; ...

2016-04-02

We present a method for computing lower bounds in the progressive hedging algorithm (PHA) for two-stage and multi-stage stochastic mixed-integer programs. Computing lower bounds in the PHA allows one to assess the quality of the solutions generated by the algorithm contemporaneously. The lower bounds can be computed in any iteration of the algorithm by using dual prices that are calculated during execution of the standard PHA. In conclusion, we report computational results on stochastic unit commitment and stochastic server location problem instances, and explore the relationship between key PHA parameters and the quality of the resulting lower bounds.

Fast and Precise Emulation of Stochastic Biochemical Reaction Networks With Amplified Thermal Noise in Silicon Chips.

PubMed

Kim, Jaewook; Woo, Sung Sik; Sarpeshkar, Rahul

2018-04-01

The analysis and simulation of complex interacting biochemical reaction pathways in cells is important in all of systems biology and medicine. Yet, the dynamics of even a modest number of noisy or stochastic coupled biochemical reactions is extremely time consuming to simulate. In large part, this is because of the expensive cost of random number and Poisson process generation and the presence of stiff, coupled, nonlinear differential equations. Here, we demonstrate that we can amplify inherent thermal noise in chips to emulate randomness physically, thus alleviating these costs significantly. Concurrently, molecular flux in thermodynamic biochemical reactions maps to thermodynamic electronic current in a transistor such that stiff nonlinear biochemical differential equations are emulated exactly in compact, digitally programmable, highly parallel analog "cytomorphic" transistor circuits. For even small-scale systems involving just 80 stochastic reactions, our 0.35-μm BiCMOS chips yield a 311× speedup in the simulation time of Gillespie's stochastic algorithm over COPASI, a fast biochemical-reaction software simulator that is widely used in computational biology; they yield a 15 500× speedup over equivalent MATLAB stochastic simulations. The chip emulation results are consistent with these software simulations over a large range of signal-to-noise ratios. Most importantly, our physical emulation of Poisson chemical dynamics does not involve any inherently sequential processes and updates such that, unlike prior exact simulation approaches, they are parallelizable, asynchronous, and enable even more speedup for larger-size networks.

Moderate Deviations for Recursive Stochastic Algorithms

DTIC Science & Technology

2014-08-02

to (2.14) 1 n n1X i=0 E[R(ni k Xni )] KE a2(n)n : Because of this the (random) Radon -Nikodym derivatives fni (y) = dni d Xni (y) are well de...ned and can be selected in a measurable way. We will control the magnitude of the noise when the Radon -Nikodym derivative is large by bounding 1 n n

Optimal control of hydroelectric facilities

NASA Astrophysics Data System (ADS)

Zhao, Guangzhi

This thesis considers a simple yet realistic model of pump-assisted hydroelectric facilities operating in a market with time-varying but deterministic power prices. Both deterministic and stochastic water inflows are considered. The fluid mechanical and engineering details of the facility are described by a model containing several parameters. We present a dynamic programming algorithm for optimizing either the total energy produced or the total cash generated by these plants. The algorithm allows us to give the optimal control strategy as a function of time and to see how this strategy, and the associated plant value, varies with water inflow and electricity price. We investigate various cases. For a single pumped storage facility experiencing deterministic power prices and water inflows, we investigate the varying behaviour for an oversimplified constant turbine- and pump-efficiency model with simple reservoir geometries. We then generalize this simple model to include more realistic turbine efficiencies, situations with more complicated reservoir geometry, and the introduction of dissipative switching costs between various control states. We find many results which reinforce our physical intuition about this complicated system as well as results which initially challenge, though later deepen, this intuition. One major lesson of this work is that the optimal control strategy does not differ much between two differing objectives of maximizing energy production and maximizing its cash value. We then turn our attention to the case of stochastic water inflows. We present a stochastic dynamic programming algorithm which can find an on-average optimal control in the face of this randomness. As the operator of a facility must be more cautious when inflows are random, the randomness destroys facility value. Following this insight we quantify exactly how much a perfect hydrological inflow forecast would be worth to a dam operator. In our final chapter we discuss the challenging problem of optimizing a sequence of two hydro dams sharing the same river system. The complexity of this problem is magnified and we just scratch its surface here. The thesis concludes with suggestions for future work in this fertile area. Keywords: dynamic programming, hydroelectric facility, optimization, optimal control, switching cost, turbine efficiency.

Stochastic weighted particle methods for population balance equations with coagulation, fragmentation and spatial inhomogeneity

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

Lee, Kok Foong; Patterson, Robert I.A.; Wagner, Wolfgang

2015-12-15

Graphical abstract: -- Highlights: •Problems concerning multi-compartment population balance equations are studied. •A class of fragmentation weight transfer functions is presented. •Three stochastic weighted algorithms are compared against the direct simulation algorithm. •The numerical errors of the stochastic solutions are assessed as a function of fragmentation rate. •The algorithms are applied to a multi-dimensional granulation model. -- Abstract: This paper introduces stochastic weighted particle algorithms for the solution of multi-compartment population balance equations. In particular, it presents a class of fragmentation weight transfer functions which are constructed such that the number of computational particles stays constant during fragmentation events. Themore » weight transfer functions are constructed based on systems of weighted computational particles and each of it leads to a stochastic particle algorithm for the numerical treatment of population balance equations. Besides fragmentation, the algorithms also consider physical processes such as coagulation and the exchange of mass with the surroundings. The numerical properties of the algorithms are compared to the direct simulation algorithm and an existing method for the fragmentation of weighted particles. It is found that the new algorithms show better numerical performance over the two existing methods especially for systems with significant amount of large particles and high fragmentation rates.« less

HRSSA - Efficient hybrid stochastic simulation for spatially homogeneous biochemical reaction networks

NASA Astrophysics Data System (ADS)

Marchetti, Luca; Priami, Corrado; Thanh, Vo Hong

2016-07-01

This paper introduces HRSSA (Hybrid Rejection-based Stochastic Simulation Algorithm), a new efficient hybrid stochastic simulation algorithm for spatially homogeneous biochemical reaction networks. HRSSA is built on top of RSSA, an exact stochastic simulation algorithm which relies on propensity bounds to select next reaction firings and to reduce the average number of reaction propensity updates needed during the simulation. HRSSA exploits the computational advantage of propensity bounds to manage time-varying transition propensities and to apply dynamic partitioning of reactions, which constitute the two most significant bottlenecks of hybrid simulation. A comprehensive set of simulation benchmarks is provided for evaluating performance and accuracy of HRSSA against other state of the art algorithms.

Simulated Stochastic Approximation Annealing for Global Optimization with a Square-Root Cooling Schedule

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

Liang, Faming; Cheng, Yichen; Lin, Guang

2014-06-13

Simulated annealing has been widely used in the solution of optimization problems. As known by many researchers, the global optima cannot be guaranteed to be located by simulated annealing unless a logarithmic cooling schedule is used. However, the logarithmic cooling schedule is so slow that no one can afford to have such a long CPU time. This paper proposes a new stochastic optimization algorithm, the so-called simulated stochastic approximation annealing algorithm, which is a combination of simulated annealing and the stochastic approximation Monte Carlo algorithm. Under the framework of stochastic approximation Markov chain Monte Carlo, it is shown that themore » new algorithm can work with a cooling schedule in which the temperature can decrease much faster than in the logarithmic cooling schedule, e.g., a square-root cooling schedule, while guaranteeing the global optima to be reached when the temperature tends to zero. The new algorithm has been tested on a few benchmark optimization problems, including feed-forward neural network training and protein-folding. The numerical results indicate that the new algorithm can significantly outperform simulated annealing and other competitors.« less

Selected-node stochastic simulation algorithm

NASA Astrophysics Data System (ADS)

Duso, Lorenzo; Zechner, Christoph

2018-04-01

Stochastic simulations of biochemical networks are of vital importance for understanding complex dynamics in cells and tissues. However, existing methods to perform such simulations are associated with computational difficulties and addressing those remains a daunting challenge to the present. Here we introduce the selected-node stochastic simulation algorithm (snSSA), which allows us to exclusively simulate an arbitrary, selected subset of molecular species of a possibly large and complex reaction network. The algorithm is based on an analytical elimination of chemical species, thereby avoiding explicit simulation of the associated chemical events. These species are instead described continuously in terms of statistical moments derived from a stochastic filtering equation, resulting in a substantial speedup when compared to Gillespie's stochastic simulation algorithm (SSA). Moreover, we show that statistics obtained via snSSA profit from a variance reduction, which can significantly lower the number of Monte Carlo samples needed to achieve a certain performance. We demonstrate the algorithm using several biological case studies for which the simulation time could be reduced by orders of magnitude.

Isotropic stochastic rotation dynamics

NASA Astrophysics Data System (ADS)

Mühlbauer, Sebastian; Strobl, Severin; Pöschel, Thorsten

2017-12-01

Stochastic rotation dynamics (SRD) is a widely used method for the mesoscopic modeling of complex fluids, such as colloidal suspensions or multiphase flows. In this method, however, the underlying Cartesian grid defining the coarse-grained interaction volumes induces anisotropy. We propose an isotropic, lattice-free variant of stochastic rotation dynamics, termed iSRD. Instead of Cartesian grid cells, we employ randomly distributed spherical interaction volumes. This eliminates the requirement of a grid shift, which is essential in standard SRD to maintain Galilean invariance. We derive analytical expressions for the viscosity and the diffusion coefficient in relation to the model parameters, which show excellent agreement with the results obtained in iSRD simulations. The proposed algorithm is particularly suitable to model systems bound by walls of complex shape, where the domain cannot be meshed uniformly. The presented approach is not limited to SRD but is applicable to any other mesoscopic method, where particles interact within certain coarse-grained volumes.

A multiobjective hybrid genetic algorithm for the capacitated multipoint network design problem.

PubMed

Lo, C C; Chang, W H

2000-01-01

The capacitated multipoint network design problem (CMNDP) is NP-complete. In this paper, a hybrid genetic algorithm for CMNDP is proposed. The multiobjective hybrid genetic algorithm (MOHGA) differs from other genetic algorithms (GAs) mainly in its selection procedure. The concept of subpopulation is used in MOHGA. Four subpopulations are generated according to the elitism reservation strategy, the shifting Prufer vector, the stochastic universal sampling, and the complete random method, respectively. Mixing these four subpopulations produces the next generation population. The MOHGA can effectively search the feasible solution space due to population diversity. The MOHGA has been applied to CMNDP. By examining computational and analytical results, we notice that the MOHGA can find most nondominated solutions and is much more effective and efficient than other multiobjective GAs.

Random-order fractional bistable system and its stochastic resonance

NASA Astrophysics Data System (ADS)

Gao, Shilong; Zhang, Li; Liu, Hui; Kan, Bixia

2017-01-01

In this paper, the diffusion motion of Brownian particles in a viscous liquid suffering from stochastic fluctuations of the external environment is modeled as a random-order fractional bistable equation, and as a typical nonlinear dynamic behavior, the stochastic resonance phenomena in this system are investigated. At first, the derivation process of the random-order fractional bistable system is given. In particular, the random-power-law memory is deeply discussed to obtain the physical interpretation of the random-order fractional derivative. Secondly, the stochastic resonance evoked by random-order and external periodic force is mainly studied by numerical simulation. In particular, the frequency shifting phenomena of the periodical output are observed in SR induced by the excitation of the random order. Finally, the stochastic resonance of the system under the double stochastic excitations of the random order and the internal color noise is also investigated.

Compiling probabilistic, bio-inspired circuits on a field programmable analog array

PubMed Central

Marr, Bo; Hasler, Jennifer

2014-01-01

A field programmable analog array (FPAA) is presented as an energy and computational efficiency engine: a mixed mode processor for which functions can be compiled at significantly less energy costs using probabilistic computing circuits. More specifically, it will be shown that the core computation of any dynamical system can be computed on the FPAA at significantly less energy per operation than a digital implementation. A stochastic system that is dynamically controllable via voltage controlled amplifier and comparator thresholds is implemented, which computes Bernoulli random variables. From Bernoulli variables it is shown exponentially distributed random variables, and random variables of an arbitrary distribution can be computed. The Gillespie algorithm is simulated to show the utility of this system by calculating the trajectory of a biological system computed stochastically with this probabilistic hardware where over a 127X performance improvement over current software approaches is shown. The relevance of this approach is extended to any dynamical system. The initial circuits and ideas for this work were generated at the 2008 Telluride Neuromorphic Workshop. PMID:24847199

Calculation of a double reactive azeotrope using stochastic optimization approaches

NASA Astrophysics Data System (ADS)

Mendes Platt, Gustavo; Pinheiro Domingos, Roberto; Oliveira de Andrade, Matheus

2013-02-01

An homogeneous reactive azeotrope is a thermodynamic coexistence condition of two phases under chemical and phase equilibrium, where compositions of both phases (in the Ung-Doherty sense) are equal. This kind of nonlinear phenomenon arises from real world situations and has applications in chemical and petrochemical industries. The modeling of reactive azeotrope calculation is represented by a nonlinear algebraic system with phase equilibrium, chemical equilibrium and azeotropy equations. This nonlinear system can exhibit more than one solution, corresponding to a double reactive azeotrope. The robust calculation of reactive azeotropes can be conducted by several approaches, such as interval-Newton/generalized bisection algorithms and hybrid stochastic-deterministic frameworks. In this paper, we investigate the numerical aspects of the calculation of reactive azeotropes using two metaheuristics: the Luus-Jaakola adaptive random search and the Firefly algorithm. Moreover, we present results for a system (with industrial interest) with more than one azeotrope, the system isobutene/methanol/methyl-tert-butyl-ether (MTBE). We present convergence patterns for both algorithms, illustrating - in a bidimensional subdomain - the identification of reactive azeotropes. A strategy for calculation of multiple roots in nonlinear systems is also applied. The results indicate that both algorithms are suitable and robust when applied to reactive azeotrope calculations for this "challenging" nonlinear system.

Stochastic Control of Multi-Scale Networks: Modeling, Analysis and Algorithms

DTIC Science & Technology

2014-10-20

Theory, (02 2012): 0. doi: B. T. Swapna, Atilla Eryilmaz, Ness B. Shroff. Throughput-Delay Analysis of Random Linear Network Coding for Wireless ... Wireless Sensor Networks and Effects of Long-Range Dependent Data, Sequential Analysis , (10 2012): 0. doi: 10.1080/07474946.2012.719435 Stefano...Sequential Analysis , (10 2012): 0. doi: John S. Baras, Shanshan Zheng. Sequential Anomaly Detection in Wireless Sensor Networks andEffects of Long

Probabilistic inference using linear Gaussian importance sampling for hybrid Bayesian networks

NASA Astrophysics Data System (ADS)

Sun, Wei; Chang, K. C.

2005-05-01

Probabilistic inference for Bayesian networks is in general NP-hard using either exact algorithms or approximate methods. However, for very complex networks, only the approximate methods such as stochastic sampling could be used to provide a solution given any time constraint. There are several simulation methods currently available. They include logic sampling (the first proposed stochastic method for Bayesian networks, the likelihood weighting algorithm) the most commonly used simulation method because of its simplicity and efficiency, the Markov blanket scoring method, and the importance sampling algorithm. In this paper, we first briefly review and compare these available simulation methods, then we propose an improved importance sampling algorithm called linear Gaussian importance sampling algorithm for general hybrid model (LGIS). LGIS is aimed for hybrid Bayesian networks consisting of both discrete and continuous random variables with arbitrary distributions. It uses linear function and Gaussian additive noise to approximate the true conditional probability distribution for continuous variable given both its parents and evidence in a Bayesian network. One of the most important features of the newly developed method is that it can adaptively learn the optimal important function from the previous samples. We test the inference performance of LGIS using a 16-node linear Gaussian model and a 6-node general hybrid model. The performance comparison with other well-known methods such as Junction tree (JT) and likelihood weighting (LW) shows that LGIS-GHM is very promising.

DNA motif alignment by evolving a population of Markov chains.

PubMed

Bi, Chengpeng

2009-01-30

Deciphering cis-regulatory elements or de novo motif-finding in genomes still remains elusive although much algorithmic effort has been expended. The Markov chain Monte Carlo (MCMC) method such as Gibbs motif samplers has been widely employed to solve the de novo motif-finding problem through sequence local alignment. Nonetheless, the MCMC-based motif samplers still suffer from local maxima like EM. Therefore, as a prerequisite for finding good local alignments, these motif algorithms are often independently run a multitude of times, but without information exchange between different chains. Hence it would be worth a new algorithm design enabling such information exchange. This paper presents a novel motif-finding algorithm by evolving a population of Markov chains with information exchange (PMC), each of which is initialized as a random alignment and run by the Metropolis-Hastings sampler (MHS). It is progressively updated through a series of local alignments stochastically sampled. Explicitly, the PMC motif algorithm performs stochastic sampling as specified by a population-based proposal distribution rather than individual ones, and adaptively evolves the population as a whole towards a global maximum. The alignment information exchange is accomplished by taking advantage of the pooled motif site distributions. A distinct method for running multiple independent Markov chains (IMC) without information exchange, or dubbed as the IMC motif algorithm, is also devised to compare with its PMC counterpart. Experimental studies demonstrate that the performance could be improved if pooled information were used to run a population of motif samplers. The new PMC algorithm was able to improve the convergence and outperformed other popular algorithms tested using simulated and biological motif sequences.

Performance in population models for count data, part II: a new SAEM algorithm

PubMed Central

Savic, Radojka; Lavielle, Marc

2009-01-01

Analysis of count data from clinical trials using mixed effect analysis has recently become widely used. However, algorithms available for the parameter estimation, including LAPLACE and Gaussian quadrature (GQ), are associated with certain limitations, including bias in parameter estimates and the long analysis runtime. The stochastic approximation expectation maximization (SAEM) algorithm has proven to be a very efficient and powerful tool in the analysis of continuous data. The aim of this study was to implement and investigate the performance of a new SAEM algorithm for application to count data. A new SAEM algorithm was implemented in MATLAB for estimation of both, parameters and the Fisher information matrix. Stochastic Monte Carlo simulations followed by re-estimation were performed according to scenarios used in previous studies (part I) to investigate properties of alternative algorithms (1). A single scenario was used to explore six probability distribution models. For parameter estimation, the relative bias was less than 0.92% and 4.13 % for fixed and random effects, for all models studied including ones accounting for over- or under-dispersion. Empirical and estimated relative standard errors were similar, with distance between them being <1.7 % for all explored scenarios. The longest CPU time was 95s for parameter estimation and 56s for SE estimation. The SAEM algorithm was extended for analysis of count data. It provides accurate estimates of both, parameters and standard errors. The estimation is significantly faster compared to LAPLACE and GQ. The algorithm is implemented in Monolix 3.1, (beta-version available in July 2009). PMID:19680795

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.

An efficient hybrid method for stochastic reaction-diffusion biochemical systems with delay

NASA Astrophysics Data System (ADS)

Sayyidmousavi, Alireza; Ilie, Silvana

2017-12-01

Many chemical reactions, such as gene transcription and translation in living cells, need a certain time to finish once they are initiated. Simulating stochastic models of reaction-diffusion systems with delay can be computationally expensive. In the present paper, a novel hybrid algorithm is proposed to accelerate the stochastic simulation of delayed reaction-diffusion systems. The delayed reactions may be of consuming or non-consuming delay type. The algorithm is designed for moderately stiff systems in which the events can be partitioned into slow and fast subsets according to their propensities. The proposed algorithm is applied to three benchmark problems and the results are compared with those of the delayed Inhomogeneous Stochastic Simulation Algorithm. The numerical results show that the new hybrid algorithm achieves considerable speed-up in the run time and very good accuracy.

Scenario Decomposition for 0-1 Stochastic Programs: Improvements and Asynchronous Implementation

DOE PAGES

Ryan, Kevin; Rajan, Deepak; Ahmed, Shabbir

2016-05-01

We recently proposed scenario decomposition algorithm for stochastic 0-1 programs finds an optimal solution by evaluating and removing individual solutions that are discovered by solving scenario subproblems. In our work, we develop an asynchronous, distributed implementation of the algorithm which has computational advantages over existing synchronous implementations of the algorithm. Improvements to both the synchronous and asynchronous algorithm are proposed. We also test the results on well known stochastic 0-1 programs from the SIPLIB test library and is able to solve one previously unsolved instance from the test set.

HRSSA – Efficient hybrid stochastic simulation for spatially homogeneous biochemical reaction networks

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

Marchetti, Luca, E-mail: marchetti@cosbi.eu; Priami, Corrado, E-mail: priami@cosbi.eu; University of Trento, Department of Mathematics

This paper introduces HRSSA (Hybrid Rejection-based Stochastic Simulation Algorithm), a new efficient hybrid stochastic simulation algorithm for spatially homogeneous biochemical reaction networks. HRSSA is built on top of RSSA, an exact stochastic simulation algorithm which relies on propensity bounds to select next reaction firings and to reduce the average number of reaction propensity updates needed during the simulation. HRSSA exploits the computational advantage of propensity bounds to manage time-varying transition propensities and to apply dynamic partitioning of reactions, which constitute the two most significant bottlenecks of hybrid simulation. A comprehensive set of simulation benchmarks is provided for evaluating performance andmore » accuracy of HRSSA against other state of the art algorithms.« less

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.

Ensemble-type numerical uncertainty information from single model integrations

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

Rauser, Florian, E-mail: florian.rauser@mpimet.mpg.de; Marotzke, Jochem; Korn, Peter

2015-07-01

We suggest an algorithm that quantifies the discretization error of time-dependent physical quantities of interest (goals) for numerical models of geophysical fluid dynamics. The goal discretization error is estimated using a sum of weighted local discretization errors. The key feature of our algorithm is that these local discretization errors are interpreted as realizations of a random process. The random process is determined by the model and the flow state. From a class of local error random processes we select a suitable specific random process by integrating the model over a short time interval at different resolutions. The weights of themore » influences of the local discretization errors on the goal are modeled as goal sensitivities, which are calculated via automatic differentiation. The integration of the weighted realizations of local error random processes yields a posterior ensemble of goal approximations from a single run of the numerical model. From the posterior ensemble we derive the uncertainty information of the goal discretization error. This algorithm bypasses the requirement of detailed knowledge about the models discretization to generate numerical error estimates. The algorithm is evaluated for the spherical shallow-water equations. For two standard test cases we successfully estimate the error of regional potential energy, track its evolution, and compare it to standard ensemble techniques. The posterior ensemble shares linear-error-growth properties with ensembles of multiple model integrations when comparably perturbed. The posterior ensemble numerical error estimates are of comparable size as those of a stochastic physics ensemble.« less

Discrete stochastic simulation methods for chemically reacting systems.

PubMed

Cao, Yang; Samuels, David C

2009-01-01

Discrete stochastic chemical kinetics describe the time evolution of a chemically reacting system by taking into account the fact that, in reality, chemical species are present with integer populations and exhibit some degree of randomness in their dynamical behavior. In recent years, with the development of new techniques to study biochemistry dynamics in a single cell, there are increasing studies using this approach to chemical kinetics in cellular systems, where the small copy number of some reactant species in the cell may lead to deviations from the predictions of the deterministic differential equations of classical chemical kinetics. This chapter reviews the fundamental theory related to stochastic chemical kinetics and several simulation methods based on that theory. We focus on nonstiff biochemical systems and the two most important discrete stochastic simulation methods: Gillespie's stochastic simulation algorithm (SSA) and the tau-leaping method. Different implementation strategies of these two methods are discussed. Then we recommend a relatively simple and efficient strategy that combines the strengths of the two methods: the hybrid SSA/tau-leaping method. The implementation details of the hybrid strategy are given here and a related software package is introduced. Finally, the hybrid method is applied to simple biochemical systems as a demonstration of its application.

Brain tumor segmentation in 3D MRIs using an improved Markov random field model

NASA Astrophysics Data System (ADS)

Yousefi, Sahar; Azmi, Reza; Zahedi, Morteza

2011-10-01

Markov Random Field (MRF) models have been recently suggested for MRI brain segmentation by a large number of researchers. By employing Markovianity, which represents the local property, MRF models are able to solve a global optimization problem locally. But they still have a heavy computation burden, especially when they use stochastic relaxation schemes such as Simulated Annealing (SA). In this paper, a new 3D-MRF model is put forward to raise the speed of the convergence. Although, search procedure of SA is fairly localized and prevents from exploring the same diversity of solutions, it suffers from several limitations. In comparison, Genetic Algorithm (GA) has a good capability of global researching but it is weak in hill climbing. Our proposed algorithm combines SA and an improved GA (IGA) to optimize the solution which speeds up the computation time. What is more, this proposed algorithm outperforms the traditional 2D-MRF in quality of the solution.

Improved Results for Route Planning in Stochastic Transportation Networks

NASA Technical Reports Server (NTRS)

Boyan, Justin; Mitzenmacher, Michael

2000-01-01

In the bus network problem, the goal is to generate a plan for getting from point X to point Y within a city using buses in the smallest expected time. Because bus arrival times are not determined by a fixed schedule but instead may be random. the problem requires more than standard shortest path techniques. In recent work, Datar and Ranade provide algorithms in the case where bus arrivals are assumed to be independent and exponentially distributed. We offer solutions to two important generalizations of the problem, answering open questions posed by Datar and Ranade. First, we provide a polynomial time algorithm for a much wider class of arrival distributions, namely those with increasing failure rate. This class includes not only exponential distributions but also uniform, normal, and gamma distributions. Second, in the case where bus arrival times are independent and geometric discrete random variable,. we provide an algorithm for transportation networks of buses and trains, where trains run according to a fixed schedule.

A Comparison of Techniques for Scheduling Earth-Observing Satellites

NASA Technical Reports Server (NTRS)

Globus, Al; Crawford, James; Lohn, Jason; Pryor, Anna

2004-01-01

Scheduling observations by coordinated fleets of Earth Observing Satellites (EOS) involves large search spaces, complex constraints and poorly understood bottlenecks, conditions where evolutionary and related algorithms are often effective. However, there are many such algorithms and the best one to use is not clear. Here we compare multiple variants of the genetic algorithm: stochastic hill climbing, simulated annealing, squeaky wheel optimization and iterated sampling on ten realistically-sized EOS scheduling problems. Schedules are represented by a permutation (non-temperal ordering) of the observation requests. A simple deterministic scheduler assigns times and resources to each observation request in the order indicated by the permutation, discarding those that violate the constraints created by previously scheduled observations. Simulated annealing performs best. Random mutation outperform a more 'intelligent' mutator. Furthermore, the best mutator, by a small margin, was a novel approach we call temperature dependent random sampling that makes large changes in the early stages of evolution and smaller changes towards the end of search.

A Framework to Analyze the Performance of Load Balancing Schemes for Ensembles of Stochastic Simulations

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

Ahn, Tae-Hyuk; Sandu, Adrian; Watson, Layne T.

2015-08-01

Ensembles of simulations are employed to estimate the statistics of possible future states of a system, and are widely used in important applications such as climate change and biological modeling. Ensembles of runs can naturally be executed in parallel. However, when the CPU times of individual simulations vary considerably, a simple strategy of assigning an equal number of tasks per processor can lead to serious work imbalances and low parallel efficiency. This paper presents a new probabilistic framework to analyze the performance of dynamic load balancing algorithms for ensembles of simulations where many tasks are mapped onto each processor, andmore » where the individual compute times vary considerably among tasks. Four load balancing strategies are discussed: most-dividing, all-redistribution, random-polling, and neighbor-redistribution. Simulation results with a stochastic budding yeast cell cycle model are consistent with the theoretical analysis. It is especially significant that there is a provable global decrease in load imbalance for the local rebalancing algorithms due to scalability concerns for the global rebalancing algorithms. The overall simulation time is reduced by up to 25 %, and the total processor idle time by 85 %.« less

A stochastic thermostat algorithm for coarse-grained thermomechanical modeling of large-scale soft matters: Theory and application to microfilaments

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

Li, Tong; Gu, YuanTong, E-mail: yuantong.gu@qut.edu.au

As all-atom molecular dynamics method is limited by its enormous computational cost, various coarse-grained strategies have been developed to extend the length scale of soft matters in the modeling of mechanical behaviors. However, the classical thermostat algorithm in highly coarse-grained molecular dynamics method would underestimate the thermodynamic behaviors of soft matters (e.g. microfilaments in cells), which can weaken the ability of materials to overcome local energy traps in granular modeling. Based on all-atom molecular dynamics modeling of microfilament fragments (G-actin clusters), a new stochastic thermostat algorithm is developed to retain the representation of thermodynamic properties of microfilaments at extra coarse-grainedmore » level. The accuracy of this stochastic thermostat algorithm is validated by all-atom MD simulation. This new stochastic thermostat algorithm provides an efficient way to investigate the thermomechanical properties of large-scale soft matters.« less

RES: Regularized Stochastic BFGS Algorithm

NASA Astrophysics Data System (ADS)

Mokhtari, Aryan; Ribeiro, Alejandro

2014-12-01

RES, a regularized stochastic version of the Broyden-Fletcher-Goldfarb-Shanno (BFGS) quasi-Newton method is proposed to solve convex optimization problems with stochastic objectives. The use of stochastic gradient descent algorithms is widespread, but the number of iterations required to approximate optimal arguments can be prohibitive in high dimensional problems. Application of second order methods, on the other hand, is impracticable because computation of objective function Hessian inverses incurs excessive computational cost. BFGS modifies gradient descent by introducing a Hessian approximation matrix computed from finite gradient differences. RES utilizes stochastic gradients in lieu of deterministic gradients for both, the determination of descent directions and the approximation of the objective function's curvature. Since stochastic gradients can be computed at manageable computational cost RES is realizable and retains the convergence rate advantages of its deterministic counterparts. Convergence results show that lower and upper bounds on the Hessian egeinvalues of the sample functions are sufficient to guarantee convergence to optimal arguments. Numerical experiments showcase reductions in convergence time relative to stochastic gradient descent algorithms and non-regularized stochastic versions of BFGS. An application of RES to the implementation of support vector machines is developed.

Stochastic optimization algorithms for barrier dividend strategies

NASA Astrophysics Data System (ADS)

Yin, G.; Song, Q. S.; Yang, H.

2009-01-01

This work focuses on finding optimal barrier policy for an insurance risk model when the dividends are paid to the share holders according to a barrier strategy. A new approach based on stochastic optimization methods is developed. Compared with the existing results in the literature, more general surplus processes are considered. Precise models of the surplus need not be known; only noise-corrupted observations of the dividends are used. Using barrier-type strategies, a class of stochastic optimization algorithms are developed. Convergence of the algorithm is analyzed; rate of convergence is also provided. Numerical results are reported to demonstrate the performance of the algorithm.

Acting Irrationally to Improve Performance in Stochastic Worlds

NASA Astrophysics Data System (ADS)

Belavkin, Roman V.

Despite many theories and algorithms for decision-making, after estimating the utility function the choice is usually made by maximising its expected value (the max EU principle). This traditional and 'rational' conclusion of the decision-making process is compared in this paper with several 'irrational' techniques that make choice in Monte-Carlo fashion. The comparison is made by evaluating the performance of simple decision-theoretic agents in stochastic environments. It is shown that not only the random choice strategies can achieve performance comparable to the max EU method, but under certain conditions the Monte-Carlo choice methods perform almost two times better than the max EU. The paper concludes by quoting evidence from recent cognitive modelling works as well as the famous decision-making paradoxes.

Bioinspired Concepts: Unified Theory for Complex Biological and Engineering Systems

DTIC Science & Technology

2006-01-01

i.e., data flows of finite size arrive at the system randomly. For such a system , we propose a modified dual scheduling algorithm that stabilizes ...demon. We compute the efficiency of the controller over finite and infinite time intervals, and since the controller is optimal, this yields hard limits...and highly optimized tolerance. PNAS, 102, 2005. 51. G. N. Nair and R. J. Evans. Stabilizability of stochastic linear systems with finite feedback

Inversion of particle-size distribution from angular light-scattering data with genetic algorithms.

PubMed

Ye, M; Wang, S; Lu, Y; Hu, T; Zhu, Z; Xu, Y

1999-04-20

A stochastic inverse technique based on a genetic algorithm (GA) to invert particle-size distribution from angular light-scattering data is developed. This inverse technique is independent of any given a priori information of particle-size distribution. Numerical tests show that this technique can be successfully applied to inverse problems with high stability in the presence of random noise and low susceptibility to the shape of distributions. It has also been shown that the GA-based inverse technique is more efficient in use of computing time than the inverse Monte Carlo method recently developed by Ligon et al. [Appl. Opt. 35, 4297 (1996)].

influx_s: increasing numerical stability and precision for metabolic flux analysis in isotope labelling experiments.

PubMed

Sokol, Serguei; Millard, Pierre; Portais, Jean-Charles

2012-03-01

The problem of stationary metabolic flux analysis based on isotope labelling experiments first appeared in the early 1950s and was basically solved in early 2000s. Several algorithms and software packages are available for this problem. However, the generic stochastic algorithms (simulated annealing or evolution algorithms) currently used in these software require a lot of time to achieve acceptable precision. For deterministic algorithms, a common drawback is the lack of convergence stability for ill-conditioned systems or when started from a random point. In this article, we present a new deterministic algorithm with significantly increased numerical stability and accuracy of flux estimation compared with commonly used algorithms. It requires relatively short CPU time (from several seconds to several minutes with a standard PC architecture) to estimate fluxes in the central carbon metabolism network of Escherichia coli. The software package influx_s implementing this algorithm is distributed under an OpenSource licence at http://metasys.insa-toulouse.fr/software/influx/. Supplementary data are available at Bioinformatics online.

Simulation of quantum dynamics based on the quantum stochastic differential equation.

PubMed

Li, Ming

2013-01-01

The quantum stochastic differential equation derived from the Lindblad form quantum master equation is investigated. The general formulation in terms of environment operators representing the quantum state diffusion is given. The numerical simulation algorithm of stochastic process of direct photodetection of a driven two-level system for the predictions of the dynamical behavior is proposed. The effectiveness and superiority of the algorithm are verified by the performance analysis of the accuracy and the computational cost in comparison with the classical Runge-Kutta algorithm.

Coloring geographical threshold graphs

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

Bradonjic, Milan; Percus, Allon; Muller, Tobias

We propose a coloring algorithm for sparse random graphs generated by the geographical threshold graph (GTG) model, a generalization of random geometric graphs (RGG). In a GTG, nodes are distributed in a Euclidean space, and edges are assigned according to a threshold function involving the distance between nodes as well as randomly chosen node weights. The motivation for analyzing this model is that many real networks (e.g., wireless networks, the Internet, etc.) need to be studied by using a 'richer' stochastic model (which in this case includes both a distance between nodes and weights on the nodes). Here, we analyzemore » the GTG coloring algorithm together with the graph's clique number, showing formally that in spite of the differences in structure between GTG and RGG, the asymptotic behavior of the chromatic number is identical: {chi}1n 1n n / 1n n (1 + {omicron}(1)). Finally, we consider the leading corrections to this expression, again using the coloring algorithm and clique number to provide bounds on the chromatic number. We show that the gap between the lower and upper bound is within C 1n n / (1n 1n n){sup 2}, and specify the constant C.« less

A hybrid multiscale Monte Carlo algorithm (HyMSMC) to cope with disparity in time scales and species populations in intracellular networks.

PubMed

Samant, Asawari; Ogunnaike, Babatunde A; Vlachos, Dionisios G

2007-05-24

The fundamental role that intrinsic stochasticity plays in cellular functions has been shown via numerous computational and experimental studies. In the face of such evidence, it is important that intracellular networks are simulated with stochastic algorithms that can capture molecular fluctuations. However, separation of time scales and disparity in species population, two common features of intracellular networks, make stochastic simulation of such networks computationally prohibitive. While recent work has addressed each of these challenges separately, a generic algorithm that can simultaneously tackle disparity in time scales and population scales in stochastic systems is currently lacking. In this paper, we propose the hybrid, multiscale Monte Carlo (HyMSMC) method that fills in this void. The proposed HyMSMC method blends stochastic singular perturbation concepts, to deal with potential stiffness, with a hybrid of exact and coarse-grained stochastic algorithms, to cope with separation in population sizes. In addition, we introduce the computational singular perturbation (CSP) method as a means of systematically partitioning fast and slow networks and computing relaxation times for convergence. We also propose a new criteria of convergence of fast networks to stochastic low-dimensional manifolds, which further accelerates the algorithm. We use several prototype and biological examples, including a gene expression model displaying bistability, to demonstrate the efficiency, accuracy and applicability of the HyMSMC method. Bistable models serve as stringent tests for the success of multiscale MC methods and illustrate limitations of some literature methods.

SPIN or LURCH : a Comparative Assessment of Model Checking and Stochastic Search for Temporal Properties in Procedural Code

NASA Technical Reports Server (NTRS)

Powell, John D.; Owens, David; Menzies, Tim

2004-01-01

The difficulty of how to test large systems, such as the one on board a NASA robotic remote explorer (RRE) vehicle, is fundamentally a search issue: the global state space representing all possible has yet to be solved, even after many decades of work. Randomized algorithms have been known to outperform their deterministic counterparts for search problems representing a wide range of applications. In the case study presented here, the LURCH randomized algorithm proved to be adequate to the task of testing a NASA RRE vehicle. LURCH found all the errors found by an earlier analysis of a more complete method (SPIN). Our empirical results are that LURCH can scale to much larger models than standard model checkers like SMV and SPIN. Further, the LURCH analysis was simpler than the SPIN analysis. The simplicity and scalability of LURCH are two compelling reasons for experimenting further with this tool.

Distributed Economic Dispatch in Microgrids Based on Cooperative Reinforcement Learning.

PubMed

Liu, Weirong; Zhuang, Peng; Liang, Hao; Peng, Jun; Huang, Zhiwu; Weirong Liu; Peng Zhuang; Hao Liang; Jun Peng; Zhiwu Huang; Liu, Weirong; Liang, Hao; Peng, Jun; Zhuang, Peng; Huang, Zhiwu

2018-06-01

Microgrids incorporated with distributed generation (DG) units and energy storage (ES) devices are expected to play more and more important roles in the future power systems. Yet, achieving efficient distributed economic dispatch in microgrids is a challenging issue due to the randomness and nonlinear characteristics of DG units and loads. This paper proposes a cooperative reinforcement learning algorithm for distributed economic dispatch in microgrids. Utilizing the learning algorithm can avoid the difficulty of stochastic modeling and high computational complexity. In the cooperative reinforcement learning algorithm, the function approximation is leveraged to deal with the large and continuous state spaces. And a diffusion strategy is incorporated to coordinate the actions of DG units and ES devices. Based on the proposed algorithm, each node in microgrids only needs to communicate with its local neighbors, without relying on any centralized controllers. Algorithm convergence is analyzed, and simulations based on real-world meteorological and load data are conducted to validate the performance of the proposed algorithm.

Kernel-Based Approximate Dynamic Programming Using Bellman Residual Elimination

DTIC Science & Technology

2010-02-01

framework is the ability to utilize stochastic system models, thereby allowing the system to make sound decisions even if there is randomness in the system ...approximate policy when a system model is unavailable. We present theoretical analysis of all BRE algorithms proving convergence to the optimal policy in...policies based on MDPs is that there may be parameters of the system model that are poorly known and/or vary with time as the system operates. System

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.

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

Competitive Facility Location with Random Demands

NASA Astrophysics Data System (ADS)

Uno, Takeshi; Katagiri, Hideki; Kato, Kosuke

2009-10-01

This paper proposes a new location problem of competitive facilities, e.g. shops and stores, with uncertain demands in the plane. By representing the demands for facilities as random variables, the location problem is formulated to a stochastic programming problem, and for finding its solution, three deterministic programming problems: expectation maximizing problem, probability maximizing problem, and satisfying level maximizing problem are considered. After showing that one of their optimal solutions can be found by solving 0-1 programming problems, their solution method is proposed by improving the tabu search algorithm with strategic vibration. Efficiency of the solution method is shown by applying to numerical examples of the facility location problems.

A stochastic simulation method for the assessment of resistive random access memory retention reliability

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

Berco, Dan, E-mail: danny.barkan@gmail.com; Tseng, Tseung-Yuen, E-mail: tseng@cc.nctu.edu.tw

This study presents an evaluation method for resistive random access memory retention reliability based on the Metropolis Monte Carlo algorithm and Gibbs free energy. The method, which does not rely on a time evolution, provides an extremely efficient way to compare the relative retention properties of metal-insulator-metal structures. It requires a small number of iterations and may be used for statistical analysis. The presented approach is used to compare the relative robustness of a single layer ZrO{sub 2} device with a double layer ZnO/ZrO{sub 2} one, and obtain results which are in good agreement with experimental data.

Stochastic optimization model for order acceptance with multiple demand classes and uncertain demand/supply

NASA Astrophysics Data System (ADS)

Yang, Wen; Fung, Richard Y. K.

2014-06-01

This article considers an order acceptance problem in a make-to-stock manufacturing system with multiple demand classes in a finite time horizon. Demands in different periods are random variables and are independent of one another, and replenishments of inventory deviate from the scheduled quantities. The objective of this work is to maximize the expected net profit over the planning horizon by deciding the fraction of the demand that is going to be fulfilled. This article presents a stochastic order acceptance optimization model and analyses the existence of the optimal promising policies. An example of a discrete problem is used to illustrate the policies by applying the dynamic programming method. In order to solve the continuous problems, a heuristic algorithm based on stochastic approximation (HASA) is developed. Finally, the computational results of a case example illustrate the effectiveness and efficiency of the HASA approach, and make the application of the proposed model readily acceptable.

Evaluation of stochastic differential equation approximation of ion channel gating models.

PubMed

Bruce, Ian C

2009-04-01

Fox and Lu derived an algorithm based on stochastic differential equations for approximating the kinetics of ion channel gating that is simpler and faster than "exact" algorithms for simulating Markov process models of channel gating. However, the approximation may not be sufficiently accurate to predict statistics of action potential generation in some cases. The objective of this study was to develop a framework for analyzing the inaccuracies and determining their origin. Simulations of a patch of membrane with voltage-gated sodium and potassium channels were performed using an exact algorithm for the kinetics of channel gating and the approximate algorithm of Fox & Lu. The Fox & Lu algorithm assumes that channel gating particle dynamics have a stochastic term that is uncorrelated, zero-mean Gaussian noise, whereas the results of this study demonstrate that in many cases the stochastic term in the Fox & Lu algorithm should be correlated and non-Gaussian noise with a non-zero mean. The results indicate that: (i) the source of the inaccuracy is that the Fox & Lu algorithm does not adequately describe the combined behavior of the multiple activation particles in each sodium and potassium channel, and (ii) the accuracy does not improve with increasing numbers of channels.

Modelling uncertainty in incompressible flow simulation using Galerkin based generalized ANOVA

NASA Astrophysics Data System (ADS)

Chakraborty, Souvik; Chowdhury, Rajib

2016-11-01

This paper presents a new algorithm, referred to here as Galerkin based generalized analysis of variance decomposition (GG-ANOVA) for modelling input uncertainties and its propagation in incompressible fluid flow. The proposed approach utilizes ANOVA to represent the unknown stochastic response. Further, the unknown component functions of ANOVA are represented using the generalized polynomial chaos expansion (PCE). The resulting functional form obtained by coupling the ANOVA and PCE is substituted into the stochastic Navier-Stokes equation (NSE) and Galerkin projection is employed to decompose it into a set of coupled deterministic 'Navier-Stokes alike' equations. Temporal discretization of the set of coupled deterministic equations is performed by employing Adams-Bashforth scheme for convective term and Crank-Nicolson scheme for diffusion term. Spatial discretization is performed by employing finite difference scheme. Implementation of the proposed approach has been illustrated by two examples. In the first example, a stochastic ordinary differential equation has been considered. This example illustrates the performance of proposed approach with change in nature of random variable. Furthermore, convergence characteristics of GG-ANOVA has also been demonstrated. The second example investigates flow through a micro channel. Two case studies, namely the stochastic Kelvin-Helmholtz instability and stochastic vortex dipole, have been investigated. For all the problems results obtained using GG-ANOVA are in excellent agreement with benchmark solutions.

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.

Advanced Dynamically Adaptive Algorithms for Stochastic Simulations on Extreme Scales

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

Xiu, Dongbin

2017-03-03

The focus of the project is the development of mathematical methods and high-performance computational tools for stochastic simulations, with a particular emphasis on computations on extreme scales. The core of the project revolves around the design of highly efficient and scalable numerical algorithms that can adaptively and accurately, in high dimensional spaces, resolve stochastic problems with limited smoothness, even containing discontinuities.

A sonification algorithm for developing the off-roads models for driving simulators

NASA Astrophysics Data System (ADS)

Chiroiu, Veturia; Brişan, Cornel; Dumitriu, Dan; Munteanu, Ligia

2018-01-01

In this paper, a sonification algorithm for developing the off-road models for driving simulators, is proposed. The aim of this algorithm is to overcome difficulties of heuristics identification which are best suited to a particular off-road profile built by measurements. The sonification algorithm is based on the stochastic polynomial chaos analysis suitable in solving equations with random input data. The fluctuations are generated by incomplete measurements leading to inhomogeneities of the cross-sectional curves of off-roads before and after deformation, the unstable contact between the tire and the road and the unreal distribution of contact and friction forces in the unknown contact domains. The approach is exercised on two particular problems and results compare favorably to existing analytical and numerical solutions. The sonification technique represents a useful multiscale analysis able to build a low-cost virtual reality environment with increased degrees of realism for driving simulators and higher user flexibility.

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.

Stochastic damage evolution in textile laminates

NASA Technical Reports Server (NTRS)

Dzenis, Yuris A.; Bogdanovich, Alexander E.; Pastore, Christopher M.

1993-01-01

A probabilistic model utilizing random material characteristics to predict damage evolution in textile laminates is presented. Model is based on a division of each ply into two sublaminas consisting of cells. The probability of cell failure is calculated using stochastic function theory and maximal strain failure criterion. Three modes of failure, i.e. fiber breakage, matrix failure in transverse direction, as well as matrix or interface shear cracking, are taken into account. Computed failure probabilities are utilized in reducing cell stiffness based on the mesovolume concept. A numerical algorithm is developed predicting the damage evolution and deformation history of textile laminates. Effect of scatter of fiber orientation on cell properties is discussed. Weave influence on damage accumulation is illustrated with the help of an example of a Kevlar/epoxy laminate.

Random Walk Particle Tracking For Multiphase Heat Transfer

NASA Astrophysics Data System (ADS)

Lattanzi, Aaron; Yin, Xiaolong; Hrenya, Christine

2017-11-01

As computing capabilities have advanced, direct numerical simulation (DNS) has become a highly effective tool for quantitatively predicting the heat transfer within multiphase flows. Here we utilize a hybrid DNS framework that couples the lattice Boltzmann method (LBM) to the random walk particle tracking (RWPT) algorithm. The main challenge of such a hybrid is that discontinuous fields pose a significant challenge to the RWPT framework and special attention must be given to the handling of interfaces. We derive a method for addressing discontinuities in the diffusivity field, arising at the interface between two phases. Analytical means are utilized to develop an interfacial tracer balance and modify the RWPT algorithm. By expanding the modulus of the stochastic (diffusive) step and only allowing a subset of the tracers within the high diffusivity medium to undergo a diffusive step, the correct equilibrium state can be restored (globally homogeneous tracer distribution). The new RWPT algorithm is implemented within the SUSP3D code and verified against a variety of systems: effective diffusivity of a static gas-solids mixture, hot sphere in unbounded diffusion, cooling sphere in unbounded diffusion, and uniform flow past a hot sphere.

The diffusive finite state projection algorithm for efficient simulation of the stochastic reaction-diffusion master equation.

PubMed

Drawert, Brian; Lawson, Michael J; Petzold, Linda; Khammash, Mustafa

2010-02-21

We have developed a computational framework for accurate and efficient simulation of stochastic spatially inhomogeneous biochemical systems. The new computational method employs a fractional step hybrid strategy. A novel formulation of the finite state projection (FSP) method, called the diffusive FSP method, is introduced for the efficient and accurate simulation of diffusive transport. Reactions are handled by the stochastic simulation algorithm.

Competitive Facility Location with Fuzzy Random Demands

NASA Astrophysics Data System (ADS)

Uno, Takeshi; Katagiri, Hideki; Kato, Kosuke

2010-10-01

This paper proposes a new location problem of competitive facilities, e.g. shops, with uncertainty and vagueness including demands for the facilities in a plane. By representing the demands for facilities as fuzzy random variables, the location problem can be formulated as a fuzzy random programming problem. For solving the fuzzy random programming problem, first the α-level sets for fuzzy numbers are used for transforming it to a stochastic programming problem, and secondly, by using their expectations and variances, it can be reformulated to a deterministic programming problem. After showing that one of their optimal solutions can be found by solving 0-1 programming problems, their solution method is proposed by improving the tabu search algorithm with strategic oscillation. The efficiency of the proposed method is shown by applying it to numerical examples of the facility location problems.

3D Representative Volume Element Reconstruction of Fiber Composites via Orientation Tensor and Substructure Features

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

Li, Yi; Chen, Wei; Xu, Hongyi

To provide a seamless integration of manufacturing processing simulation and fiber microstructure modeling, two new stochastic 3D microstructure reconstruction methods are proposed for two types of random fiber composites: random short fiber composites, and Sheet Molding Compounds (SMC) chopped fiber composites. A Random Sequential Adsorption (RSA) algorithm is first developed to embed statistical orientation information into 3D RVE reconstruction of random short fiber composites. For the SMC composites, an optimized Voronoi diagram based approach is developed for capturing the substructure features of SMC chopped fiber composites. The proposed methods are distinguished from other reconstruction works by providing a way ofmore » integrating statistical information (fiber orientation tensor) obtained from material processing simulation, as well as capturing the multiscale substructures of the SMC composites.« less

Hybrid Solution of Stochastic Optimal Control Problems Using Gauss Pseudospectral Method and Generalized Polynomial Chaos Algorithms

DTIC Science & Technology

2012-03-01

0-486-41183-4. 15. Brown , Robert G. and Patrick Y. C. Hwang . Introduction to Random Signals and Applied Kalman Filtering. Wiley, New York, 1996. ISBN...stability and perfor- mance criteria. In the 1960’s, Kalman introduced the Linear Quadratic Regulator (LQR) method using an integral performance index...feedback of the state variables and was able to apply this method to time-varying and Multi-Input Multi-Output (MIMO) systems. Kalman further showed

Automated Flight Routing Using Stochastic Dynamic Programming

NASA Technical Reports Server (NTRS)

Ng, Hok K.; Morando, Alex; Grabbe, Shon

2010-01-01

Airspace capacity reduction due to convective weather impedes air traffic flows and causes traffic congestion. This study presents an algorithm that reroutes flights in the presence of winds, enroute convective weather, and congested airspace based on stochastic dynamic programming. A stochastic disturbance model incorporates into the reroute design process the capacity uncertainty. A trajectory-based airspace demand model is employed for calculating current and future airspace demand. The optimal routes minimize the total expected traveling time, weather incursion, and induced congestion costs. They are compared to weather-avoidance routes calculated using deterministic dynamic programming. The stochastic reroutes have smaller deviation probability than the deterministic counterpart when both reroutes have similar total flight distance. The stochastic rerouting algorithm takes into account all convective weather fields with all severity levels while the deterministic algorithm only accounts for convective weather systems exceeding a specified level of severity. When the stochastic reroutes are compared to the actual flight routes, they have similar total flight time, and both have about 1% of travel time crossing congested enroute sectors on average. The actual flight routes induce slightly less traffic congestion than the stochastic reroutes but intercept more severe convective weather.

An accelerated algorithm for discrete stochastic simulation of reaction-diffusion systems using gradient-based diffusion and tau-leaping.

PubMed

Koh, Wonryull; Blackwell, Kim T

2011-04-21

Stochastic simulation of reaction-diffusion systems enables the investigation of stochastic events arising from the small numbers and heterogeneous distribution of molecular species in biological cells. Stochastic variations in intracellular microdomains and in diffusional gradients play a significant part in the spatiotemporal activity and behavior of cells. Although an exact stochastic simulation that simulates every individual reaction and diffusion event gives a most accurate trajectory of the system's state over time, it can be too slow for many practical applications. We present an accelerated algorithm for discrete stochastic simulation of reaction-diffusion systems designed to improve the speed of simulation by reducing the number of time-steps required to complete a simulation run. This method is unique in that it employs two strategies that have not been incorporated in existing spatial stochastic simulation algorithms. First, diffusive transfers between neighboring subvolumes are based on concentration gradients. This treatment necessitates sampling of only the net or observed diffusion events from higher to lower concentration gradients rather than sampling all diffusion events regardless of local concentration gradients. Second, we extend the non-negative Poisson tau-leaping method that was originally developed for speeding up nonspatial or homogeneous stochastic simulation algorithms. This method calculates each leap time in a unified step for both reaction and diffusion processes while satisfying the leap condition that the propensities do not change appreciably during the leap and ensuring that leaping does not cause molecular populations to become negative. Numerical results are presented that illustrate the improvement in simulation speed achieved by incorporating these two new strategies.

Structural factoring approach for analyzing stochastic networks

NASA Technical Reports Server (NTRS)

Hayhurst, Kelly J.; Shier, Douglas R.

1991-01-01

The problem of finding the distribution of the shortest path length through a stochastic network is investigated. A general algorithm for determining the exact distribution of the shortest path length is developed based on the concept of conditional factoring, in which a directed, stochastic network is decomposed into an equivalent set of smaller, generally less complex subnetworks. Several network constructs are identified and exploited to reduce significantly the computational effort required to solve a network problem relative to complete enumeration. This algorithm can be applied to two important classes of stochastic path problems: determining the critical path distribution for acyclic networks and the exact two-terminal reliability for probabilistic networks. Computational experience with the algorithm was encouraging and allowed the exact solution of networks that have been previously analyzed only by approximation techniques.

Performance study of LMS based adaptive algorithms for unknown system identification

NASA Astrophysics Data System (ADS)

Javed, Shazia; Ahmad, Noor Atinah

2014-07-01

Adaptive filtering techniques have gained much popularity in the modeling of unknown system identification problem. These techniques can be classified as either iterative or direct. Iterative techniques include stochastic descent method and its improved versions in affine space. In this paper we present a comparative study of the least mean square (LMS) algorithm and some improved versions of LMS, more precisely the normalized LMS (NLMS), LMS-Newton, transform domain LMS (TDLMS) and affine projection algorithm (APA). The performance evaluation of these algorithms is carried out using adaptive system identification (ASI) model with random input signals, in which the unknown (measured) signal is assumed to be contaminated by output noise. Simulation results are recorded to compare the performance in terms of convergence speed, robustness, misalignment, and their sensitivity to the spectral properties of input signals. Main objective of this comparative study is to observe the effects of fast convergence rate of improved versions of LMS algorithms on their robustness and misalignment.

Performance study of LMS based adaptive algorithms for unknown system identification

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

Javed, Shazia; Ahmad, Noor Atinah

Adaptive filtering techniques have gained much popularity in the modeling of unknown system identification problem. These techniques can be classified as either iterative or direct. Iterative techniques include stochastic descent method and its improved versions in affine space. In this paper we present a comparative study of the least mean square (LMS) algorithm and some improved versions of LMS, more precisely the normalized LMS (NLMS), LMS-Newton, transform domain LMS (TDLMS) and affine projection algorithm (APA). The performance evaluation of these algorithms is carried out using adaptive system identification (ASI) model with random input signals, in which the unknown (measured) signalmore » is assumed to be contaminated by output noise. Simulation results are recorded to compare the performance in terms of convergence speed, robustness, misalignment, and their sensitivity to the spectral properties of input signals. Main objective of this comparative study is to observe the effects of fast convergence rate of improved versions of LMS algorithms on their robustness and misalignment.« less

GPU-powered Shotgun Stochastic Search for Dirichlet process mixtures of Gaussian Graphical Models

PubMed Central

Mukherjee, Chiranjit; Rodriguez, Abel

2016-01-01

Gaussian graphical models are popular for modeling high-dimensional multivariate data with sparse conditional dependencies. A mixture of Gaussian graphical models extends this model to the more realistic scenario where observations come from a heterogenous population composed of a small number of homogeneous sub-groups. In this paper we present a novel stochastic search algorithm for finding the posterior mode of high-dimensional Dirichlet process mixtures of decomposable Gaussian graphical models. Further, we investigate how to harness the massive thread-parallelization capabilities of graphical processing units to accelerate computation. The computational advantages of our algorithms are demonstrated with various simulated data examples in which we compare our stochastic search with a Markov chain Monte Carlo algorithm in moderate dimensional data examples. These experiments show that our stochastic search largely outperforms the Markov chain Monte Carlo algorithm in terms of computing-times and in terms of the quality of the posterior mode discovered. Finally, we analyze a gene expression dataset in which Markov chain Monte Carlo algorithms are too slow to be practically useful. PMID:28626348

GPU-powered Shotgun Stochastic Search for Dirichlet process mixtures of Gaussian Graphical Models.

PubMed

Mukherjee, Chiranjit; Rodriguez, Abel

2016-01-01

Gaussian graphical models are popular for modeling high-dimensional multivariate data with sparse conditional dependencies. A mixture of Gaussian graphical models extends this model to the more realistic scenario where observations come from a heterogenous population composed of a small number of homogeneous sub-groups. In this paper we present a novel stochastic search algorithm for finding the posterior mode of high-dimensional Dirichlet process mixtures of decomposable Gaussian graphical models. Further, we investigate how to harness the massive thread-parallelization capabilities of graphical processing units to accelerate computation. The computational advantages of our algorithms are demonstrated with various simulated data examples in which we compare our stochastic search with a Markov chain Monte Carlo algorithm in moderate dimensional data examples. These experiments show that our stochastic search largely outperforms the Markov chain Monte Carlo algorithm in terms of computing-times and in terms of the quality of the posterior mode discovered. Finally, we analyze a gene expression dataset in which Markov chain Monte Carlo algorithms are too slow to be practically useful.

Stochastic Evolutionary Algorithms for Planning Robot Paths

NASA Technical Reports Server (NTRS)

Fink, Wolfgang; Aghazarian, Hrand; Huntsberger, Terrance; Terrile, Richard

2006-01-01

A computer program implements stochastic evolutionary algorithms for planning and optimizing collision-free paths for robots and their jointed limbs. Stochastic evolutionary algorithms can be made to produce acceptably close approximations to exact, optimal solutions for path-planning problems while often demanding much less computation than do exhaustive-search and deterministic inverse-kinematics algorithms that have been used previously for this purpose. Hence, the present software is better suited for application aboard robots having limited computing capabilities (see figure). The stochastic aspect lies in the use of simulated annealing to (1) prevent trapping of an optimization algorithm in local minima of an energy-like error measure by which the fitness of a trial solution is evaluated while (2) ensuring that the entire multidimensional configuration and parameter space of the path-planning problem is sampled efficiently with respect to both robot joint angles and computation time. Simulated annealing is an established technique for avoiding local minima in multidimensional optimization problems, but has not, until now, been applied to planning collision-free robot paths by use of low-power computers.

Random element method for numerical modeling of diffusional processes

NASA Technical Reports Server (NTRS)

Ghoniem, A. F.; Oppenheim, A. K.

1982-01-01

The random element method is a generalization of the random vortex method that was developed for the numerical modeling of momentum transport processes as expressed in terms of the Navier-Stokes equations. The method is based on the concept that random walk, as exemplified by Brownian motion, is the stochastic manifestation of diffusional processes. The algorithm based on this method is grid-free and does not require the diffusion equation to be discritized over a mesh, it is thus devoid of numerical diffusion associated with finite difference methods. Moreover, the algorithm is self-adaptive in space and explicit in time, resulting in an improved numerical resolution of gradients as well as a simple and efficient computational procedure. The method is applied here to an assortment of problems of diffusion of momentum and energy in one-dimension as well as heat conduction in two-dimensions in order to assess its validity and accuracy. The numerical solutions obtained are found to be in good agreement with exact solution except for a statistical error introduced by using a finite number of elements, the error can be reduced by increasing the number of elements or by using ensemble averaging over a number of solutions.

Stochastic Formal Correctness of Numerical Algorithms

NASA Technical Reports Server (NTRS)

Daumas, Marc; Lester, David; Martin-Dorel, Erik; Truffert, Annick

2009-01-01

We provide a framework to bound the probability that accumulated errors were never above a given threshold on numerical algorithms. Such algorithms are used for example in aircraft and nuclear power plants. This report contains simple formulas based on Levy's and Markov's inequalities and it presents a formal theory of random variables with a special focus on producing concrete results. We selected four very common applications that fit in our framework and cover the common practices of systems that evolve for a long time. We compute the number of bits that remain continuously significant in the first two applications with a probability of failure around one out of a billion, where worst case analysis considers that no significant bit remains. We are using PVS as such formal tools force explicit statement of all hypotheses and prevent incorrect uses of theorems.

A hierarchical exact accelerated stochastic simulation algorithm

NASA Astrophysics Data System (ADS)

Orendorff, David; Mjolsness, Eric

2012-12-01

A new algorithm, "HiER-leap" (hierarchical exact reaction-leaping), is derived which improves on the computational properties of the ER-leap algorithm for exact accelerated simulation of stochastic chemical kinetics. Unlike ER-leap, HiER-leap utilizes a hierarchical or divide-and-conquer organization of reaction channels into tightly coupled "blocks" and is thereby able to speed up systems with many reaction channels. Like ER-leap, HiER-leap is based on the use of upper and lower bounds on the reaction propensities to define a rejection sampling algorithm with inexpensive early rejection and acceptance steps. But in HiER-leap, large portions of intra-block sampling may be done in parallel. An accept/reject step is used to synchronize across blocks. This method scales well when many reaction channels are present and has desirable asymptotic properties. The algorithm is exact, parallelizable and achieves a significant speedup over the stochastic simulation algorithm and ER-leap on certain problems. This algorithm offers a potentially important step towards efficient in silico modeling of entire organisms.

A Stochastic Polygons Model for Glandular Structures in Colon Histology Images.

PubMed

Sirinukunwattana, Korsuk; Snead, David R J; Rajpoot, Nasir M

2015-11-01

In this paper, we present a stochastic model for glandular structures in histology images of tissue slides stained with Hematoxylin and Eosin, choosing colon tissue as an example. The proposed Random Polygons Model (RPM) treats each glandular structure in an image as a polygon made of a random number of vertices, where the vertices represent approximate locations of epithelial nuclei. We formulate the RPM as a Bayesian inference problem by defining a prior for spatial connectivity and arrangement of neighboring epithelial nuclei and a likelihood for the presence of a glandular structure. The inference is made via a Reversible-Jump Markov chain Monte Carlo simulation. To the best of our knowledge, all existing published algorithms for gland segmentation are designed to mainly work on healthy samples, adenomas, and low grade adenocarcinomas. One of them has been demonstrated to work on intermediate grade adenocarcinomas at its best. Our experimental results show that the RPM yields favorable results, both quantitatively and qualitatively, for extraction of glandular structures in histology images of normal human colon tissues as well as benign and cancerous tissues, excluding undifferentiated carcinomas.

Stochastic analysis of uncertain thermal parameters for random thermal regime of frozen soil around a single freezing pipe

NASA Astrophysics Data System (ADS)

Wang, Tao; Zhou, Guoqing; Wang, Jianzhou; Zhou, Lei

2018-03-01

The artificial ground freezing method (AGF) is widely used in civil and mining engineering, and the thermal regime of frozen soil around the freezing pipe affects the safety of design and construction. The thermal parameters can be truly random due to heterogeneity of the soil properties, which lead to the randomness of thermal regime of frozen soil around the freezing pipe. The purpose of this paper is to study the one-dimensional (1D) random thermal regime problem on the basis of a stochastic analysis model and the Monte Carlo (MC) method. Considering the uncertain thermal parameters of frozen soil as random variables, stochastic processes and random fields, the corresponding stochastic thermal regime of frozen soil around a single freezing pipe are obtained and analyzed. Taking the variability of each stochastic parameter into account individually, the influences of each stochastic thermal parameter on stochastic thermal regime are investigated. The results show that the mean temperatures of frozen soil around the single freezing pipe with three analogy method are the same while the standard deviations are different. The distributions of standard deviation have a great difference at different radial coordinate location and the larger standard deviations are mainly at the phase change area. The computed data with random variable method and stochastic process method have a great difference from the measured data while the computed data with random field method well agree with the measured data. Each uncertain thermal parameter has a different effect on the standard deviation of frozen soil temperature around the single freezing pipe. These results can provide a theoretical basis for the design and construction of AGF.

A multi-sensor RSS spatial sensing-based robust stochastic optimization algorithm for enhanced wireless tethering.

PubMed

Parasuraman, Ramviyas; Fabry, Thomas; Molinari, Luca; Kershaw, Keith; Di Castro, Mario; Masi, Alessandro; Ferre, Manuel

2014-12-12

The reliability of wireless communication in a network of mobile wireless robot nodes depends on the received radio signal strength (RSS). When the robot nodes are deployed in hostile environments with ionizing radiations (such as in some scientific facilities), there is a possibility that some electronic components may fail randomly (due to radiation effects), which causes problems in wireless connectivity. The objective of this paper is to maximize robot mission capabilities by maximizing the wireless network capacity and to reduce the risk of communication failure. Thus, in this paper, we consider a multi-node wireless tethering structure called the "server-relay-client" framework that uses (multiple) relay nodes in between a server and a client node. We propose a robust stochastic optimization (RSO) algorithm using a multi-sensor-based RSS sampling method at the relay nodes to efficiently improve and balance the RSS between the source and client nodes to improve the network capacity and to provide redundant networking abilities. We use pre-processing techniques, such as exponential moving averaging and spatial averaging filters on the RSS data for smoothing. We apply a receiver spatial diversity concept and employ a position controller on the relay node using a stochastic gradient ascent method for self-positioning the relay node to achieve the RSS balancing task. The effectiveness of the proposed solution is validated by extensive simulations and field experiments in CERN facilities. For the field trials, we used a youBot mobile robot platform as the relay node, and two stand-alone Raspberry Pi computers as the client and server nodes. The algorithm has been proven to be robust to noise in the radio signals and to work effectively even under non-line-of-sight conditions.

A Multi-Sensor RSS Spatial Sensing-Based Robust Stochastic Optimization Algorithm for Enhanced Wireless Tethering

PubMed Central

Parasuraman, Ramviyas; Fabry, Thomas; Molinari, Luca; Kershaw, Keith; Di Castro, Mario; Masi, Alessandro; Ferre, Manuel

2014-01-01

The reliability of wireless communication in a network of mobile wireless robot nodes depends on the received radio signal strength (RSS). When the robot nodes are deployed in hostile environments with ionizing radiations (such as in some scientific facilities), there is a possibility that some electronic components may fail randomly (due to radiation effects), which causes problems in wireless connectivity. The objective of this paper is to maximize robot mission capabilities by maximizing the wireless network capacity and to reduce the risk of communication failure. Thus, in this paper, we consider a multi-node wireless tethering structure called the “server-relay-client” framework that uses (multiple) relay nodes in between a server and a client node. We propose a robust stochastic optimization (RSO) algorithm using a multi-sensor-based RSS sampling method at the relay nodes to efficiently improve and balance the RSS between the source and client nodes to improve the network capacity and to provide redundant networking abilities. We use pre-processing techniques, such as exponential moving averaging and spatial averaging filters on the RSS data for smoothing. We apply a receiver spatial diversity concept and employ a position controller on the relay node using a stochastic gradient ascent method for self-positioning the relay node to achieve the RSS balancing task. The effectiveness of the proposed solution is validated by extensive simulations and field experiments in CERN facilities. For the field trials, we used a youBot mobile robot platform as the relay node, and two stand-alone Raspberry Pi computers as the client and server nodes. The algorithm has been proven to be robust to noise in the radio signals and to work effectively even under non-line-of-sight conditions. PMID:25615734

A stochastic maximum principle for backward control systems with random default time

NASA Astrophysics Data System (ADS)

Shen, Yang; Kuen Siu, Tak

2013-05-01

This paper establishes a necessary and sufficient stochastic maximum principle for backward systems, where the state processes are governed by jump-diffusion backward stochastic differential equations with random default time. An application of the sufficient stochastic maximum principle to an optimal investment and capital injection problem in the presence of default risk is discussed.

Stochastic Models of Polymer Systems

DTIC Science & Technology

2016-01-01

SECURITY CLASSIFICATION OF: The stochastic gradient decent algorithm is the now the "algorithm of choice" for very large machine learning problems...information about the behavior of the algorithm. At the same time, we were also able to formulate various acceleration techniques in precise math terms... gradient decent, REPORT DOCUMENTATION PAGE 11. SPONSOR/MONITOR’S REPORT NUMBER(S) 10. SPONSOR/MONITOR’S ACRONYM(S) ARO 8. PERFORMING

A Comparison of Forecast Error Generators for Modeling Wind and Load Uncertainty

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

Lu, Ning; Diao, Ruisheng; Hafen, Ryan P.

2013-07-25

This paper presents four algorithms to generate random forecast error time series. The performance of four algorithms is compared. The error time series are used to create real-time (RT), hour-ahead (HA), and day-ahead (DA) wind and load forecast time series that statistically match historically observed forecasting data sets used in power grid operation to study the net load balancing need in variable generation integration studies. The four algorithms are truncated-normal distribution models, state-space based Markov models, seasonal autoregressive moving average (ARMA) models, and a stochastic-optimization based approach. The comparison is made using historical DA load forecast and actual load valuesmore » to generate new sets of DA forecasts with similar stoical forecast error characteristics (i.e., mean, standard deviation, autocorrelation, and cross-correlation). The results show that all methods generate satisfactory results. One method may preserve one or two required statistical characteristics better the other methods, but may not preserve other statistical characteristics as well compared with the other methods. Because the wind and load forecast error generators are used in wind integration studies to produce wind and load forecasts time series for stochastic planning processes, it is sometimes critical to use multiple methods to generate the error time series to obtain a statistically robust result. Therefore, this paper discusses and compares the capabilities of each algorithm to preserve the characteristics of the historical forecast data sets.« less

Performance of quantum annealing on random Ising problems implemented using the D-Wave Two

NASA Astrophysics Data System (ADS)

Wang, Zhihui; Job, Joshua; Rønnow, Troels F.; Troyer, Matthias; Lidar, Daniel A.; USC Collaboration; ETH Collaboration

2014-03-01

Detecting a possible speedup of quantum annealing compared to classical algorithms is a pressing task in experimental adiabatic quantum computing. In this talk, we discuss the performance of the D-Wave Two quantum annealing device on Ising spin glass problems. The expected time to solution for the device to solve random instances with up to 503 spins and with specified coupling ranges is evaluated while carefully addressing the issue of statistical errors. We perform a systematic comparison of the expected time to solution between the D-Wave Two and classical stochastic solvers, specifically simulated annealing, and simulated quantum annealing based on quantum Monte Carlo, and discuss the question of speedup.

Stochastic Analysis and Design of Heterogeneous Microstructural Materials System

NASA Astrophysics Data System (ADS)

Xu, Hongyi

Advanced materials system refers to new materials that are comprised of multiple traditional constituents but complex microstructure morphologies, which lead to superior properties over the conventional materials. To accelerate the development of new advanced materials system, the objective of this dissertation is to develop a computational design framework and the associated techniques for design automation of microstructure materials systems, with an emphasis on addressing the uncertainties associated with the heterogeneity of microstructural materials. Five key research tasks are identified: design representation, design evaluation, design synthesis, material informatics and uncertainty quantification. Design representation of microstructure includes statistical characterization and stochastic reconstruction. This dissertation develops a new descriptor-based methodology, which characterizes 2D microstructures using descriptors of composition, dispersion and geometry. Statistics of 3D descriptors are predicted based on 2D information to enable 2D-to-3D reconstruction. An efficient sequential reconstruction algorithm is developed to reconstruct statistically equivalent random 3D digital microstructures. In design evaluation, a stochastic decomposition and reassembly strategy is developed to deal with the high computational costs and uncertainties induced by material heterogeneity. The properties of Representative Volume Elements (RVE) are predicted by stochastically reassembling SVE elements with stochastic properties into a coarse representation of the RVE. In design synthesis, a new descriptor-based design framework is developed, which integrates computational methods of microstructure characterization and reconstruction, sensitivity analysis, Design of Experiments (DOE), metamodeling and optimization the enable parametric optimization of the microstructure for achieving the desired material properties. Material informatics is studied to efficiently reduce the dimension of microstructure design space. This dissertation develops a machine learning-based methodology to identify the key microstructure descriptors that highly impact properties of interest. In uncertainty quantification, a comparative study on data-driven random process models is conducted to provide guidance for choosing the most accurate model in statistical uncertainty quantification. Two new goodness-of-fit metrics are developed to provide quantitative measurements of random process models' accuracy. The benefits of the proposed methods are demonstrated by the example of designing the microstructure of polymer nanocomposites. This dissertation provides material-generic, intelligent modeling/design methodologies and techniques to accelerate the process of analyzing and designing new microstructural materials system.

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.

Development of a voltage-dependent current noise algorithm for conductance-based stochastic modelling of auditory nerve fibres.

PubMed

Badenhorst, Werner; Hanekom, Tania; Hanekom, Johan J

2016-12-01

This study presents the development of an alternative noise current term and novel voltage-dependent current noise algorithm for conductance-based stochastic auditory nerve fibre (ANF) models. ANFs are known to have significant variance in threshold stimulus which affects temporal characteristics such as latency. This variance is primarily caused by the stochastic behaviour or microscopic fluctuations of the node of Ranvier's voltage-dependent sodium channels of which the intensity is a function of membrane voltage. Though easy to implement and low in computational cost, existing current noise models have two deficiencies: it is independent of membrane voltage, and it is unable to inherently determine the noise intensity required to produce in vivo measured discharge probability functions. The proposed algorithm overcomes these deficiencies while maintaining its low computational cost and ease of implementation compared to other conductance and Markovian-based stochastic models. The algorithm is applied to a Hodgkin-Huxley-based compartmental cat ANF model and validated via comparison of the threshold probability and latency distributions to measured cat ANF data. Simulation results show the algorithm's adherence to in vivo stochastic fibre characteristics such as an exponential relationship between the membrane noise and transmembrane voltage, a negative linear relationship between the log of the relative spread of the discharge probability and the log of the fibre diameter and a decrease in latency with an increase in stimulus intensity.

Asynchronous Incremental Stochastic Dual Descent Algorithm for Network Resource Allocation

NASA Astrophysics Data System (ADS)

Bedi, Amrit Singh; Rajawat, Ketan

2018-05-01

Stochastic network optimization problems entail finding resource allocation policies that are optimum on an average but must be designed in an online fashion. Such problems are ubiquitous in communication networks, where resources such as energy and bandwidth are divided among nodes to satisfy certain long-term objectives. This paper proposes an asynchronous incremental dual decent resource allocation algorithm that utilizes delayed stochastic {gradients} for carrying out its updates. The proposed algorithm is well-suited to heterogeneous networks as it allows the computationally-challenged or energy-starved nodes to, at times, postpone the updates. The asymptotic analysis of the proposed algorithm is carried out, establishing dual convergence under both, constant and diminishing step sizes. It is also shown that with constant step size, the proposed resource allocation policy is asymptotically near-optimal. An application involving multi-cell coordinated beamforming is detailed, demonstrating the usefulness of the proposed algorithm.

An improved stochastic fractal search algorithm for 3D protein structure prediction.

PubMed

Zhou, Changjun; Sun, Chuan; Wang, Bin; Wang, Xiaojun

2018-05-03

Protein structure prediction (PSP) is a significant area for biological information research, disease treatment, and drug development and so on. In this paper, three-dimensional structures of proteins are predicted based on the known amino acid sequences, and the structure prediction problem is transformed into a typical NP problem by an AB off-lattice model. This work applies a novel improved Stochastic Fractal Search algorithm (ISFS) to solve the problem. The Stochastic Fractal Search algorithm (SFS) is an effective evolutionary algorithm that performs well in exploring the search space but falls into local minimums sometimes. In order to avoid the weakness, Lvy flight and internal feedback information are introduced in ISFS. In the experimental process, simulations are conducted by ISFS algorithm on Fibonacci sequences and real peptide sequences. Experimental results prove that the ISFS performs more efficiently and robust in terms of finding the global minimum and avoiding getting stuck in local minimums.

Connectivity ranking of heterogeneous random conductivity models

NASA Astrophysics Data System (ADS)

Rizzo, C. B.; de Barros, F.

2017-12-01

To overcome the challenges associated with hydrogeological data scarcity, the hydraulic conductivity (K) field is often represented by a spatial random process. The state-of-the-art provides several methods to generate 2D or 3D random K-fields, such as the classic multi-Gaussian fields or non-Gaussian fields, training image-based fields and object-based fields. We provide a systematic comparison of these models based on their connectivity. We use the minimum hydraulic resistance as a connectivity measure, which it has been found to be strictly correlated with early time arrival of dissolved contaminants. A computationally efficient graph-based algorithm is employed, allowing a stochastic treatment of the minimum hydraulic resistance through a Monte-Carlo approach and therefore enabling the computation of its uncertainty. The results show the impact of geostatistical parameters on the connectivity for each group of random fields, being able to rank the fields according to their minimum hydraulic resistance.

LASER APPLICATIONS AND OTHER TOPICS IN QUANTUM ELECTRONICS: Application of the stochastic parallel gradient descent algorithm for numerical simulation and analysis of the coherent summation of radiation from fibre amplifiers

NASA Astrophysics Data System (ADS)

Zhou, Pu; Wang, Xiaolin; Li, Xiao; Chen, Zilum; Xu, Xiaojun; Liu, Zejin

2009-10-01

Coherent summation of fibre laser beams, which can be scaled to a relatively large number of elements, is simulated by using the stochastic parallel gradient descent (SPGD) algorithm. The applicability of this algorithm for coherent summation is analysed and its optimisaton parameters and bandwidth limitations are studied.

Exact and approximate stochastic simulation of intracellular calcium dynamics.

PubMed

Wieder, Nicolas; Fink, Rainer H A; Wegner, Frederic von

2011-01-01

In simulations of chemical systems, the main task is to find an exact or approximate solution of the chemical master equation (CME) that satisfies certain constraints with respect to computation time and accuracy. While Brownian motion simulations of single molecules are often too time consuming to represent the mesoscopic level, the classical Gillespie algorithm is a stochastically exact algorithm that provides satisfying results in the representation of calcium microdomains. Gillespie's algorithm can be approximated via the tau-leap method and the chemical Langevin equation (CLE). Both methods lead to a substantial acceleration in computation time and a relatively small decrease in accuracy. Elimination of the noise terms leads to the classical, deterministic reaction rate equations (RRE). For complex multiscale systems, hybrid simulations are increasingly proposed to combine the advantages of stochastic and deterministic algorithms. An often used exemplary cell type in this context are striated muscle cells (e.g., cardiac and skeletal muscle cells). The properties of these cells are well described and they express many common calcium-dependent signaling pathways. The purpose of the present paper is to provide an overview of the aforementioned simulation approaches and their mutual relationships in the spectrum ranging from stochastic to deterministic algorithms.

Predictability of the Lagrangian Motion in the Upper Ocean

NASA Astrophysics Data System (ADS)

Piterbarg, L. I.; Griffa, A.; Griffa, A.; Mariano, A. J.; Ozgokmen, T. M.; Ryan, E. H.

2001-12-01

The complex non-linear dynamics of the upper ocean leads to chaotic behavior of drifter trajectories in the ocean. Our study is focused on estimating the predictability limit for the position of an individual Lagrangian particle or a particle cluster based on the knowledge of mean currents and observations of nearby particles (predictors). The Lagrangian prediction problem, besides being a fundamental scientific problem, is also of great importance for practical applications such as search and rescue operations and for modeling the spread of fish larvae. A stochastic multi-particle model for the Lagrangian motion has been rigorously formulated and is a generalization of the well known "random flight" model for a single particle. Our model is mathematically consistent and includes a few easily interpreted parameters, such as the Lagrangian velocity decorrelation time scale, the turbulent velocity variance, and the velocity decorrelation radius, that can be estimated from data. The top Lyapunov exponent for an isotropic version of the model is explicitly expressed as a function of these parameters enabling us to approximate the predictability limit to first order. Lagrangian prediction errors for two new prediction algorithms are evaluated against simple algorithms and each other and are used to test the predictability limits of the stochastic model for isotropic turbulence. The first algorithm is based on a Kalman filter and uses the developed stochastic model. Its implementation for drifter clusters in both the Tropical Pacific and Adriatic Sea, showed good prediction skill over a period of 1-2 weeks. The prediction error is primarily a function of the data density, defined as the number of predictors within a velocity decorrelation spatial scale from the particle to be predicted. The second algorithm is model independent and is based on spatial regression considerations. Preliminary results, based on simulated, as well as, real data, indicate that it performs better than the Kalman-based algorithm in strong shear flows. An important component of our research is the optimal predictor location problem; Where should floats be launched in order to minimize the Lagrangian prediction error? Preliminary Lagrangian sampling results for different flow scenarios will be presented.

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

Using Markov Models of Fault Growth Physics and Environmental Stresses to Optimize Control Actions

NASA Technical Reports Server (NTRS)

Bole, Brian; Goebel, Kai; Vachtsevanos, George

2012-01-01

A generalized Markov chain representation of fault dynamics is presented for the case that available modeling of fault growth physics and future environmental stresses can be represented by two independent stochastic process models. A contrived but representatively challenging example will be presented and analyzed, in which uncertainty in the modeling of fault growth physics is represented by a uniformly distributed dice throwing process, and a discrete random walk is used to represent uncertain modeling of future exogenous loading demands to be placed on the system. A finite horizon dynamic programming algorithm is used to solve for an optimal control policy over a finite time window for the case that stochastic models representing physics of failure and future environmental stresses are known, and the states of both stochastic processes are observable by implemented control routines. The fundamental limitations of optimization performed in the presence of uncertain modeling information are examined by comparing the outcomes obtained from simulations of an optimizing control policy with the outcomes that would be achievable if all modeling uncertainties were removed from the system.

Stochastic many-body perturbation theory for anharmonic molecular vibrations

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

Hermes, Matthew R.; Hirata, So, E-mail: sohirata@illinois.edu; CREST, Japan Science and Technology Agency, 4-1-8 Honcho, Kawaguchi, Saitama 332-0012

2014-08-28

A new quantum Monte Carlo (QMC) method for anharmonic vibrational zero-point energies and transition frequencies is developed, which combines the diagrammatic vibrational many-body perturbation theory based on the Dyson equation with Monte Carlo integration. The infinite sums of the diagrammatic and thus size-consistent first- and second-order anharmonic corrections to the energy and self-energy are expressed as sums of a few m- or 2m-dimensional integrals of wave functions and a potential energy surface (PES) (m is the vibrational degrees of freedom). Each of these integrals is computed as the integrand (including the value of the PES) divided by the value ofmore » a judiciously chosen weight function evaluated on demand at geometries distributed randomly but according to the weight function via the Metropolis algorithm. In this way, the method completely avoids cumbersome evaluation and storage of high-order force constants necessary in the original formulation of the vibrational perturbation theory; it furthermore allows even higher-order force constants essentially up to an infinite order to be taken into account in a scalable, memory-efficient algorithm. The diagrammatic contributions to the frequency-dependent self-energies that are stochastically evaluated at discrete frequencies can be reliably interpolated, allowing the self-consistent solutions to the Dyson equation to be obtained. This method, therefore, can compute directly and stochastically the transition frequencies of fundamentals and overtones as well as their relative intensities as pole strengths, without fixed-node errors that plague some QMC. It is shown that, for an identical PES, the new method reproduces the correct deterministic values of the energies and frequencies within a few cm{sup −1} and pole strengths within a few thousandths. With the values of a PES evaluated on the fly at random geometries, the new method captures a noticeably greater proportion of anharmonic effects.« less

On the predictivity of pore-scale simulations: Estimating uncertainties with multilevel Monte Carlo

NASA Astrophysics Data System (ADS)

Icardi, Matteo; Boccardo, Gianluca; Tempone, Raúl

2016-09-01

A fast method with tunable accuracy is proposed to estimate errors and uncertainties in pore-scale and Digital Rock Physics (DRP) problems. The overall predictivity of these studies can be, in fact, hindered by many factors including sample heterogeneity, computational and imaging limitations, model inadequacy and not perfectly known physical parameters. The typical objective of pore-scale studies is the estimation of macroscopic effective parameters such as permeability, effective diffusivity and hydrodynamic dispersion. However, these are often non-deterministic quantities (i.e., results obtained for specific pore-scale sample and setup are not totally reproducible by another ;equivalent; sample and setup). The stochastic nature can arise due to the multi-scale heterogeneity, the computational and experimental limitations in considering large samples, and the complexity of the physical models. These approximations, in fact, introduce an error that, being dependent on a large number of complex factors, can be modeled as random. We propose a general simulation tool, based on multilevel Monte Carlo, that can reduce drastically the computational cost needed for computing accurate statistics of effective parameters and other quantities of interest, under any of these random errors. This is, to our knowledge, the first attempt to include Uncertainty Quantification (UQ) in pore-scale physics and simulation. The method can also provide estimates of the discretization error and it is tested on three-dimensional transport problems in heterogeneous materials, where the sampling procedure is done by generation algorithms able to reproduce realistic consolidated and unconsolidated random sphere and ellipsoid packings and arrangements. A totally automatic workflow is developed in an open-source code [1], that include rigid body physics and random packing algorithms, unstructured mesh discretization, finite volume solvers, extrapolation and post-processing techniques. The proposed method can be efficiently used in many porous media applications for problems such as stochastic homogenization/upscaling, propagation of uncertainty from microscopic fluid and rock properties to macro-scale parameters, robust estimation of Representative Elementary Volume size for arbitrary physics.

Computational singular perturbation analysis of stochastic chemical systems with stiffness

NASA Astrophysics Data System (ADS)

Wang, Lijin; Han, Xiaoying; Cao, Yanzhao; Najm, Habib N.

2017-04-01

Computational singular perturbation (CSP) is a useful method for analysis, reduction, and time integration of stiff ordinary differential equation systems. It has found dominant utility, in particular, in chemical reaction systems with a large range of time scales at continuum and deterministic level. On the other hand, CSP is not directly applicable to chemical reaction systems at micro or meso-scale, where stochasticity plays an non-negligible role and thus has to be taken into account. In this work we develop a novel stochastic computational singular perturbation (SCSP) analysis and time integration framework, and associated algorithm, that can be used to not only construct accurately and efficiently the numerical solutions to stiff stochastic chemical reaction systems, but also analyze the dynamics of the reduced stochastic reaction systems. The algorithm is illustrated by an application to a benchmark stochastic differential equation model, and numerical experiments are carried out to demonstrate the effectiveness of the construction.

The Time Dependent Propensity Function for Acceleration of Spatial Stochastic Simulation of Reaction-Diffusion Systems

PubMed Central

Wu, Sheng; Li, Hong; Petzold, Linda R.

2015-01-01

The inhomogeneous stochastic simulation algorithm (ISSA) is a fundamental method for spatial stochastic simulation. However, when diffusion events occur more frequently than reaction events, simulating the diffusion events by ISSA is quite costly. To reduce this cost, we propose to use the time dependent propensity function in each step. In this way we can avoid simulating individual diffusion events, and use the time interval between two adjacent reaction events as the simulation stepsize. We demonstrate that the new algorithm can achieve orders of magnitude efficiency gains over widely-used exact algorithms, scales well with increasing grid resolution, and maintains a high level of accuracy. PMID:26609185

Decentralized system identification using stochastic subspace identification on wireless smart sensor networks

NASA Astrophysics Data System (ADS)

Sim, Sung-Han; Spencer, Billie F., Jr.; Park, Jongwoong; Jung, Hyungjo

2012-04-01

Wireless Smart Sensor Networks (WSSNs) facilitates a new paradigm to structural identification and monitoring for civil infrastructure. Conventional monitoring systems based on wired sensors and centralized data acquisition and processing have been considered to be challenging and costly due to cabling and expensive equipment and maintenance costs. WSSNs have emerged as a technology that can overcome such difficulties, making deployment of a dense array of sensors on large civil structures both feasible and economical. However, as opposed to wired sensor networks in which centralized data acquisition and processing is common practice, WSSNs require decentralized computing algorithms to reduce data transmission due to the limitation associated with wireless communication. Thus, several system identification methods have been implemented to process sensor data and extract essential information, including Natural Excitation Technique with Eigensystem Realization Algorithm, Frequency Domain Decomposition (FDD), and Random Decrement Technique (RDT); however, Stochastic Subspace Identification (SSI) has not been fully utilized in WSSNs, while SSI has the strong potential to enhance the system identification. This study presents a decentralized system identification using SSI in WSSNs. The approach is implemented on MEMSIC's Imote2 sensor platform and experimentally verified using a 5-story shear building model.

Stochastic reduced order models for inverse problems under uncertainty

PubMed Central

Warner, James E.; Aquino, Wilkins; Grigoriu, Mircea D.

2014-01-01

This work presents a novel methodology for solving inverse problems under uncertainty using stochastic reduced order models (SROMs). Given statistical information about an observed state variable in a system, unknown parameters are estimated probabilistically through the solution of a model-constrained, stochastic optimization problem. The point of departure and crux of the proposed framework is the representation of a random quantity using a SROM - a low dimensional, discrete approximation to a continuous random element that permits e cient and non-intrusive stochastic computations. Characterizing the uncertainties with SROMs transforms the stochastic optimization problem into a deterministic one. The non-intrusive nature of SROMs facilitates e cient gradient computations for random vector unknowns and relies entirely on calls to existing deterministic solvers. Furthermore, the method is naturally extended to handle multiple sources of uncertainty in cases where state variable data, system parameters, and boundary conditions are all considered random. The new and widely-applicable SROM framework is formulated for a general stochastic optimization problem in terms of an abstract objective function and constraining model. For demonstration purposes, however, we study its performance in the specific case of inverse identification of random material parameters in elastodynamics. We demonstrate the ability to efficiently recover random shear moduli given material displacement statistics as input data. We also show that the approach remains effective for the case where the loading in the problem is random as well. PMID:25558115

Periodic modulation-based stochastic resonance algorithm applied to quantitative analysis for weak liquid chromatography-mass spectrometry signal of granisetron in plasma

NASA Astrophysics Data System (ADS)

Xiang, Suyun; Wang, Wei; Xiang, Bingren; Deng, Haishan; Xie, Shaofei

2007-05-01

The periodic modulation-based stochastic resonance algorithm (PSRA) was used to amplify and detect the weak liquid chromatography-mass spectrometry (LC-MS) signal of granisetron in plasma. In the algorithm, the stochastic resonance (SR) was achieved by introducing an external periodic force to the nonlinear system. The optimization of parameters was carried out in two steps to give attention to both the signal-to-noise ratio (S/N) and the peak shape of output signal. By applying PSRA with the optimized parameters, the signal-to-noise ratio of LC-MS peak was enhanced significantly and distorted peak shape that often appeared in the traditional stochastic resonance algorithm was corrected by the added periodic force. Using the signals enhanced by PSRA, this method extended the limit of detection (LOD) and limit of quantification (LOQ) of granisetron in plasma from 0.05 and 0.2 ng/mL, respectively, to 0.01 and 0.02 ng/mL, and exhibited good linearity, accuracy and precision, which ensure accurate determination of the target analyte.

Fast Physically Accurate Rendering of Multimodal Signatures of Distributed Fracture in Heterogeneous Materials.

PubMed

Visell, Yon

2015-04-01

This paper proposes a fast, physically accurate method for synthesizing multimodal, acoustic and haptic, signatures of distributed fracture in quasi-brittle heterogeneous materials, such as wood, granular media, or other fiber composites. Fracture processes in these materials are challenging to simulate with existing methods, due to the prevalence of large numbers of disordered, quasi-random spatial degrees of freedom, representing the complex physical state of a sample over the geometric volume of interest. Here, I develop an algorithm for simulating such processes, building on a class of statistical lattice models of fracture that have been widely investigated in the physics literature. This algorithm is enabled through a recently published mathematical construction based on the inverse transform method of random number sampling. It yields a purely time domain stochastic jump process representing stress fluctuations in the medium. The latter can be readily extended by a mean field approximation that captures the averaged constitutive (stress-strain) behavior of the material. Numerical simulations and interactive examples demonstrate the ability of these algorithms to generate physically plausible acoustic and haptic signatures of fracture in complex, natural materials interactively at audio sampling rates.

Exploring equivalence domain in nonlinear inverse problems using Covariance Matrix Adaption Evolution Strategy (CMAES) and random sampling

NASA Astrophysics Data System (ADS)

Grayver, Alexander V.; Kuvshinov, Alexey V.

2016-05-01

This paper presents a methodology to sample equivalence domain (ED) in nonlinear partial differential equation (PDE)-constrained inverse problems. For this purpose, we first applied state-of-the-art stochastic optimization algorithm called Covariance Matrix Adaptation Evolution Strategy (CMAES) to identify low-misfit regions of the model space. These regions were then randomly sampled to create an ensemble of equivalent models and quantify uncertainty. CMAES is aimed at exploring model space globally and is robust on very ill-conditioned problems. We show that the number of iterations required to converge grows at a moderate rate with respect to number of unknowns and the algorithm is embarrassingly parallel. We formulated the problem by using the generalized Gaussian distribution. This enabled us to seamlessly use arbitrary norms for residual and regularization terms. We show that various regularization norms facilitate studying different classes of equivalent solutions. We further show how performance of the standard Metropolis-Hastings Markov chain Monte Carlo algorithm can be substantially improved by using information CMAES provides. This methodology was tested by using individual and joint inversions of magneotelluric, controlled-source electromagnetic (EM) and global EM induction data.

Incorporating extrinsic noise into the stochastic simulation of biochemical reactions: A comparison of approaches

NASA Astrophysics Data System (ADS)

Thanh, Vo Hong; Marchetti, Luca; Reali, Federico; Priami, Corrado

2018-02-01

The stochastic simulation algorithm (SSA) has been widely used for simulating biochemical reaction networks. SSA is able to capture the inherently intrinsic noise of the biological system, which is due to the discreteness of species population and to the randomness of their reciprocal interactions. However, SSA does not consider other sources of heterogeneity in biochemical reaction systems, which are referred to as extrinsic noise. Here, we extend two simulation approaches, namely, the integration-based method and the rejection-based method, to take extrinsic noise into account by allowing the reaction propensities to vary in time and state dependent manner. For both methods, new efficient implementations are introduced and their efficiency and applicability to biological models are investigated. Our numerical results suggest that the rejection-based method performs better than the integration-based method when the extrinsic noise is considered.

Network-based stochastic semisupervised learning.

PubMed

Silva, Thiago Christiano; Zhao, Liang

2012-03-01

Semisupervised learning is a machine learning approach that is able to employ both labeled and unlabeled samples in the training process. In this paper, we propose a semisupervised data classification model based on a combined random-preferential walk of particles in a network (graph) constructed from the input dataset. The particles of the same class cooperate among themselves, while the particles of different classes compete with each other to propagate class labels to the whole network. A rigorous model definition is provided via a nonlinear stochastic dynamical system and a mathematical analysis of its behavior is carried out. A numerical validation presented in this paper confirms the theoretical predictions. An interesting feature brought by the competitive-cooperative mechanism is that the proposed model can achieve good classification rates while exhibiting low computational complexity order in comparison to other network-based semisupervised algorithms. Computer simulations conducted on synthetic and real-world datasets reveal the effectiveness of the model.

A posteriori noise estimation in variable data sets. With applications to spectra and light curves

NASA Astrophysics Data System (ADS)

Czesla, S.; Molle, T.; Schmitt, J. H. M. M.

2018-01-01

Most physical data sets contain a stochastic contribution produced by measurement noise or other random sources along with the signal. Usually, neither the signal nor the noise are accurately known prior to the measurement so that both have to be estimated a posteriori. We have studied a procedure to estimate the standard deviation of the stochastic contribution assuming normality and independence, requiring a sufficiently well-sampled data set to yield reliable results. This procedure is based on estimating the standard deviation in a sample of weighted sums of arbitrarily sampled data points and is identical to the so-called DER_SNR algorithm for specific parameter settings. To demonstrate the applicability of our procedure, we present applications to synthetic data, high-resolution spectra, and a large sample of space-based light curves and, finally, give guidelines to apply the procedure in situation not explicitly considered here to promote its adoption in data analysis.

Optimum Parameters of a Tuned Liquid Column Damper in a Wind Turbine Subject to Stochastic Load

NASA Astrophysics Data System (ADS)

Alkmim, M. H.; de Morais, M. V. G.; Fabro, A. T.

2017-12-01

Parameter optimization for tuned liquid column dampers (TLCD), a class of passive structural control, have been previously proposed in the literature for reducing vibration in wind turbines, and several other applications. However, most of the available work consider the wind excitation as either a deterministic harmonic load or random load with white noise spectra. In this paper, a global direct search optimization algorithm to reduce vibration of a tuned liquid column damper (TLCD), a class of passive structural control device, is presented. The objective is to find optimized parameters for the TLCD under stochastic load from different wind power spectral density. A verification is made considering the analytical solution of undamped primary system under white noise excitation by comparing with result from the literature. Finally, it is shown that different wind profiles can significantly affect the optimum TLCD parameters.

Neutron monitor generated data distributions in quantum variational Monte Carlo

NASA Astrophysics Data System (ADS)

Kussainov, A. S.; Pya, N.

2016-08-01

We have assessed the potential applications of the neutron monitor hardware as random number generator for normal and uniform distributions. The data tables from the acquisition channels with no extreme changes in the signal level were chosen as the retrospective model. The stochastic component was extracted by fitting the raw data with splines and then subtracting the fit. Scaling the extracted data to zero mean and variance of one is sufficient to obtain a stable standard normal random variate. Distributions under consideration pass all available normality tests. Inverse transform sampling is suggested to use as a source of the uniform random numbers. Variational Monte Carlo method for quantum harmonic oscillator was used to test the quality of our random numbers. If the data delivery rate is of importance and the conventional one minute resolution neutron count is insufficient, we could always settle for an efficient seed generator to feed into the faster algorithmic random number generator or create a buffer.

GillesPy: A Python Package for Stochastic Model Building and Simulation.

PubMed

Abel, John H; Drawert, Brian; Hellander, Andreas; Petzold, Linda R

2016-09-01

GillesPy is an open-source Python package for model construction and simulation of stochastic biochemical systems. GillesPy consists of a Python framework for model building and an interface to the StochKit2 suite of efficient simulation algorithms based on the Gillespie stochastic simulation algorithms (SSA). To enable intuitive model construction and seamless integration into the scientific Python stack, we present an easy to understand, action-oriented programming interface. Here, we describe the components of this package and provide a detailed example relevant to the computational biology community.

GillesPy: A Python Package for Stochastic Model Building and Simulation

PubMed Central

Abel, John H.; Drawert, Brian; Hellander, Andreas; Petzold, Linda R.

2017-01-01

GillesPy is an open-source Python package for model construction and simulation of stochastic biochemical systems. GillesPy consists of a Python framework for model building and an interface to the StochKit2 suite of efficient simulation algorithms based on the Gillespie stochastic simulation algorithms (SSA). To enable intuitive model construction and seamless integration into the scientific Python stack, we present an easy to understand, action-oriented programming interface. Here, we describe the components of this package and provide a detailed example relevant to the computational biology community. PMID:28630888

Nonholonomic relativistic diffusion and exact solutions for stochastic Einstein spaces

NASA Astrophysics Data System (ADS)

Vacaru, S. I.

2012-03-01

We develop an approach to the theory of nonholonomic relativistic stochastic processes in curved spaces. The Itô and Stratonovich calculus are formulated for spaces with conventional horizontal (holonomic) and vertical (nonholonomic) splitting defined by nonlinear connection structures. Geometric models of the relativistic diffusion theory are elaborated for nonholonomic (pseudo) Riemannian manifolds and phase velocity spaces. Applying the anholonomic deformation method, the field equations in Einstein's gravity and various modifications are formally integrated in general forms, with generic off-diagonal metrics depending on some classes of generating and integration functions. Choosing random generating functions we can construct various classes of stochastic Einstein manifolds. We show how stochastic gravitational interactions with mixed holonomic/nonholonomic and random variables can be modelled in explicit form and study their main geometric and stochastic properties. Finally, the conditions when non-random classical gravitational processes transform into stochastic ones and inversely are analyzed.

Stochastic approximation methods-Powerful tools for simulation and optimization: A survey of some recent work on multi-agent systems and cyber-physical systems

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

Yin, George; Wang, Le Yi; Zhang, Hongwei

2014-12-10

Stochastic approximation methods have found extensive and diversified applications. Recent emergence of networked systems and cyber-physical systems has generated renewed interest in advancing stochastic approximation into a general framework to support algorithm development for information processing and decisions in such systems. This paper presents a survey on some recent developments in stochastic approximation methods and their applications. Using connected vehicles in platoon formation and coordination as a platform, we highlight some traditional and new methodologies of stochastic approximation algorithms and explain how they can be used to capture essential features in networked systems. Distinct features of networked systems with randomlymore » switching topologies, dynamically evolving parameters, and unknown delays are presented, and control strategies are provided.« less

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

FERN - a Java framework for stochastic simulation and evaluation of reaction networks.

PubMed

Erhard, Florian; Friedel, Caroline C; Zimmer, Ralf

2008-08-29

Stochastic simulation can be used to illustrate the development of biological systems over time and the stochastic nature of these processes. Currently available programs for stochastic simulation, however, are limited in that they either a) do not provide the most efficient simulation algorithms and are difficult to extend, b) cannot be easily integrated into other applications or c) do not allow to monitor and intervene during the simulation process in an easy and intuitive way. Thus, in order to use stochastic simulation in innovative high-level modeling and analysis approaches more flexible tools are necessary. In this article, we present FERN (Framework for Evaluation of Reaction Networks), a Java framework for the efficient simulation of chemical reaction networks. FERN is subdivided into three layers for network representation, simulation and visualization of the simulation results each of which can be easily extended. It provides efficient and accurate state-of-the-art stochastic simulation algorithms for well-mixed chemical systems and a powerful observer system, which makes it possible to track and control the simulation progress on every level. To illustrate how FERN can be easily integrated into other systems biology applications, plugins to Cytoscape and CellDesigner are included. These plugins make it possible to run simulations and to observe the simulation progress in a reaction network in real-time from within the Cytoscape or CellDesigner environment. FERN addresses shortcomings of currently available stochastic simulation programs in several ways. First, it provides a broad range of efficient and accurate algorithms both for exact and approximate stochastic simulation and a simple interface for extending to new algorithms. FERN's implementations are considerably faster than the C implementations of gillespie2 or the Java implementations of ISBJava. Second, it can be used in a straightforward way both as a stand-alone program and within new systems biology applications. Finally, complex scenarios requiring intervention during the simulation progress can be modelled easily with FERN.

A Statistical Method to Distinguish Functional Brain Networks

PubMed Central

Fujita, André; Vidal, Maciel C.; Takahashi, Daniel Y.

2017-01-01

One major problem in neuroscience is the comparison of functional brain networks of different populations, e.g., distinguishing the networks of controls and patients. Traditional algorithms are based on search for isomorphism between networks, assuming that they are deterministic. However, biological networks present randomness that cannot be well modeled by those algorithms. For instance, functional brain networks of distinct subjects of the same population can be different due to individual characteristics. Moreover, networks of subjects from different populations can be generated through the same stochastic process. Thus, a better hypothesis is that networks are generated by random processes. In this case, subjects from the same group are samples from the same random process, whereas subjects from different groups are generated by distinct processes. Using this idea, we developed a statistical test called ANOGVA to test whether two or more populations of graphs are generated by the same random graph model. Our simulations' results demonstrate that we can precisely control the rate of false positives and that the test is powerful to discriminate random graphs generated by different models and parameters. The method also showed to be robust for unbalanced data. As an example, we applied ANOGVA to an fMRI dataset composed of controls and patients diagnosed with autism or Asperger. ANOGVA identified the cerebellar functional sub-network as statistically different between controls and autism (p < 0.001). PMID:28261045

A Statistical Method to Distinguish Functional Brain Networks.

PubMed

Fujita, André; Vidal, Maciel C; Takahashi, Daniel Y

2017-01-01

One major problem in neuroscience is the comparison of functional brain networks of different populations, e.g., distinguishing the networks of controls and patients. Traditional algorithms are based on search for isomorphism between networks, assuming that they are deterministic. However, biological networks present randomness that cannot be well modeled by those algorithms. For instance, functional brain networks of distinct subjects of the same population can be different due to individual characteristics. Moreover, networks of subjects from different populations can be generated through the same stochastic process. Thus, a better hypothesis is that networks are generated by random processes. In this case, subjects from the same group are samples from the same random process, whereas subjects from different groups are generated by distinct processes. Using this idea, we developed a statistical test called ANOGVA to test whether two or more populations of graphs are generated by the same random graph model. Our simulations' results demonstrate that we can precisely control the rate of false positives and that the test is powerful to discriminate random graphs generated by different models and parameters. The method also showed to be robust for unbalanced data. As an example, we applied ANOGVA to an fMRI dataset composed of controls and patients diagnosed with autism or Asperger. ANOGVA identified the cerebellar functional sub-network as statistically different between controls and autism ( p < 0.001).

A Comparison of Forecast Error Generators for Modeling Wind and Load Uncertainty

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

Lu, Ning; Diao, Ruisheng; Hafen, Ryan P.

2013-12-18

This paper presents four algorithms to generate random forecast error time series, including a truncated-normal distribution model, a state-space based Markov model, a seasonal autoregressive moving average (ARMA) model, and a stochastic-optimization based model. The error time series are used to create real-time (RT), hour-ahead (HA), and day-ahead (DA) wind and load forecast time series that statistically match historically observed forecasting data sets, used for variable generation integration studies. A comparison is made using historical DA load forecast and actual load values to generate new sets of DA forecasts with similar stoical forecast error characteristics. This paper discusses and comparesmore » the capabilities of each algorithm to preserve the characteristics of the historical forecast data sets.« less

Weighted SGD for ℓ p Regression with Randomized Preconditioning.

PubMed

Yang, Jiyan; Chow, Yin-Lam; Ré, Christopher; Mahoney, Michael W

2016-01-01

In recent years, stochastic gradient descent (SGD) methods and randomized linear algebra (RLA) algorithms have been applied to many large-scale problems in machine learning and data analysis. SGD methods are easy to implement and applicable to a wide range of convex optimization problems. In contrast, RLA algorithms provide much stronger performance guarantees but are applicable to a narrower class of problems. We aim to bridge the gap between these two methods in solving constrained overdetermined linear regression problems-e.g., ℓ 2 and ℓ 1 regression problems. We propose a hybrid algorithm named pwSGD that uses RLA techniques for preconditioning and constructing an importance sampling distribution, and then performs an SGD-like iterative process with weighted sampling on the preconditioned system.By rewriting a deterministic ℓ p regression problem as a stochastic optimization problem, we connect pwSGD to several existing ℓ p solvers including RLA methods with algorithmic leveraging (RLA for short).We prove that pwSGD inherits faster convergence rates that only depend on the lower dimension of the linear system, while maintaining low computation complexity. Such SGD convergence rates are superior to other related SGD algorithm such as the weighted randomized Kaczmarz algorithm.Particularly, when solving ℓ 1 regression with size n by d , pwSGD returns an approximate solution with ε relative error in the objective value in (log n ·nnz( A )+poly( d )/ ε 2 ) time. This complexity is uniformly better than that of RLA methods in terms of both ε and d when the problem is unconstrained. In the presence of constraints, pwSGD only has to solve a sequence of much simpler and smaller optimization problem over the same constraints. In general this is more efficient than solving the constrained subproblem required in RLA.For ℓ 2 regression, pwSGD returns an approximate solution with ε relative error in the objective value and the solution vector measured in prediction norm in (log n ·nnz( A )+poly( d ) log(1/ ε )/ ε ) time. We show that for unconstrained ℓ 2 regression, this complexity is comparable to that of RLA and is asymptotically better over several state-of-the-art solvers in the regime where the desired accuracy ε , high dimension n and low dimension d satisfy d ≥ 1/ ε and n ≥ d 2 / ε . We also provide lower bounds on the coreset complexity for more general regression problems, indicating that still new ideas will be needed to extend similar RLA preconditioning ideas to weighted SGD algorithms for more general regression problems. Finally, the effectiveness of such algorithms is illustrated numerically on both synthetic and real datasets, and the results are consistent with our theoretical findings and demonstrate that pwSGD converges to a medium-precision solution, e.g., ε = 10 -3 , more quickly.

Weighted SGD for ℓp Regression with Randomized Preconditioning*

PubMed Central

Yang, Jiyan; Chow, Yin-Lam; Ré, Christopher; Mahoney, Michael W.

2018-01-01

In recent years, stochastic gradient descent (SGD) methods and randomized linear algebra (RLA) algorithms have been applied to many large-scale problems in machine learning and data analysis. SGD methods are easy to implement and applicable to a wide range of convex optimization problems. In contrast, RLA algorithms provide much stronger performance guarantees but are applicable to a narrower class of problems. We aim to bridge the gap between these two methods in solving constrained overdetermined linear regression problems—e.g., ℓ2 and ℓ1 regression problems. We propose a hybrid algorithm named pwSGD that uses RLA techniques for preconditioning and constructing an importance sampling distribution, and then performs an SGD-like iterative process with weighted sampling on the preconditioned system.By rewriting a deterministic ℓp regression problem as a stochastic optimization problem, we connect pwSGD to several existing ℓp solvers including RLA methods with algorithmic leveraging (RLA for short).We prove that pwSGD inherits faster convergence rates that only depend on the lower dimension of the linear system, while maintaining low computation complexity. Such SGD convergence rates are superior to other related SGD algorithm such as the weighted randomized Kaczmarz algorithm.Particularly, when solving ℓ1 regression with size n by d, pwSGD returns an approximate solution with ε relative error in the objective value in 𝒪(log n·nnz(A)+poly(d)/ε2) time. This complexity is uniformly better than that of RLA methods in terms of both ε and d when the problem is unconstrained. In the presence of constraints, pwSGD only has to solve a sequence of much simpler and smaller optimization problem over the same constraints. In general this is more efficient than solving the constrained subproblem required in RLA.For ℓ2 regression, pwSGD returns an approximate solution with ε relative error in the objective value and the solution vector measured in prediction norm in 𝒪(log n·nnz(A)+poly(d) log(1/ε)/ε) time. We show that for unconstrained ℓ2 regression, this complexity is comparable to that of RLA and is asymptotically better over several state-of-the-art solvers in the regime where the desired accuracy ε, high dimension n and low dimension d satisfy d ≥ 1/ε and n ≥ d2/ε. We also provide lower bounds on the coreset complexity for more general regression problems, indicating that still new ideas will be needed to extend similar RLA preconditioning ideas to weighted SGD algorithms for more general regression problems. Finally, the effectiveness of such algorithms is illustrated numerically on both synthetic and real datasets, and the results are consistent with our theoretical findings and demonstrate that pwSGD converges to a medium-precision solution, e.g., ε = 10−3, more quickly. PMID:29782626

Inverse estimation of the spheroidal particle size distribution using Ant Colony Optimization algorithms in multispectral extinction technique

NASA Astrophysics Data System (ADS)

He, Zhenzong; Qi, Hong; Wang, Yuqing; Ruan, Liming

2014-10-01

Four improved Ant Colony Optimization (ACO) algorithms, i.e. the probability density function based ACO (PDF-ACO) algorithm, the Region ACO (RACO) algorithm, Stochastic ACO (SACO) algorithm and Homogeneous ACO (HACO) algorithm, are employed to estimate the particle size distribution (PSD) of the spheroidal particles. The direct problems are solved by the extended Anomalous Diffraction Approximation (ADA) and the Lambert-Beer law. Three commonly used monomodal distribution functions i.e. the Rosin-Rammer (R-R) distribution function, the normal (N-N) distribution function, and the logarithmic normal (L-N) distribution function are estimated under dependent model. The influence of random measurement errors on the inverse results is also investigated. All the results reveal that the PDF-ACO algorithm is more accurate than the other three ACO algorithms and can be used as an effective technique to investigate the PSD of the spheroidal particles. Furthermore, the Johnson's SB (J-SB) function and the modified beta (M-β) function are employed as the general distribution functions to retrieve the PSD of spheroidal particles using PDF-ACO algorithm. The investigation shows a reasonable agreement between the original distribution function and the general distribution function when only considering the variety of the length of the rotational semi-axis.

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

Inference from clustering with application to gene-expression microarrays.

PubMed

Dougherty, Edward R; Barrera, Junior; Brun, Marcel; Kim, Seungchan; Cesar, Roberto M; Chen, Yidong; Bittner, Michael; Trent, Jeffrey M

2002-01-01

There are many algorithms to cluster sample data points based on nearness or a similarity measure. Often the implication is that points in different clusters come from different underlying classes, whereas those in the same cluster come from the same class. Stochastically, the underlying classes represent different random processes. The inference is that clusters represent a partition of the sample points according to which process they belong. This paper discusses a model-based clustering toolbox that evaluates cluster accuracy. Each random process is modeled as its mean plus independent noise, sample points are generated, the points are clustered, and the clustering error is the number of points clustered incorrectly according to the generating random processes. Various clustering algorithms are evaluated based on process variance and the key issue of the rate at which algorithmic performance improves with increasing numbers of experimental replications. The model means can be selected by hand to test the separability of expected types of biological expression patterns. Alternatively, the model can be seeded by real data to test the expected precision of that output or the extent of improvement in precision that replication could provide. In the latter case, a clustering algorithm is used to form clusters, and the model is seeded with the means and variances of these clusters. Other algorithms are then tested relative to the seeding algorithm. Results are averaged over various seeds. Output includes error tables and graphs, confusion matrices, principal-component plots, and validation measures. Five algorithms are studied in detail: K-means, fuzzy C-means, self-organizing maps, hierarchical Euclidean-distance-based and correlation-based clustering. The toolbox is applied to gene-expression clustering based on cDNA microarrays using real data. Expression profile graphics are generated and error analysis is displayed within the context of these profile graphics. A large amount of generated output is available over the web.

A Stochastic Version of the Noether Theorem

NASA Astrophysics Data System (ADS)

González Lezcano, Alfredo; Cabo Montes de Oca, Alejandro

2018-06-01

A stochastic version of the Noether theorem is derived for systems under the action of external random forces. The concept of moment generating functional is employed to describe the symmetry of the stochastic forces. The theorem is applied to two kinds of random covariant forces. One of them generated in an electrodynamic way and the other is defined in the rest frame of the particle as a function of the proper time. For both of them, it is shown the conservation of the mean value of a random drift momentum. The validity of the theorem makes clear that random systems can produce causal stochastic correlations between two faraway separated systems, that had interacted in the past. In addition possible connections of the discussion with the Ives Couder's experimental results are remarked.

Computational singular perturbation analysis of stochastic chemical systems with stiffness

DOE PAGES

Wang, Lijin; Han, Xiaoying; Cao, Yanzhao; ...

2017-01-25

Computational singular perturbation (CSP) is a useful method for analysis, reduction, and time integration of stiff ordinary differential equation systems. It has found dominant utility, in particular, in chemical reaction systems with a large range of time scales at continuum and deterministic level. On the other hand, CSP is not directly applicable to chemical reaction systems at micro or meso-scale, where stochasticity plays an non-negligible role and thus has to be taken into account. In this work we develop a novel stochastic computational singular perturbation (SCSP) analysis and time integration framework, and associated algorithm, that can be used to notmore » only construct accurately and efficiently the numerical solutions to stiff stochastic chemical reaction systems, but also analyze the dynamics of the reduced stochastic reaction systems. Furthermore, the algorithm is illustrated by an application to a benchmark stochastic differential equation model, and numerical experiments are carried out to demonstrate the effectiveness of the construction.« less

Stochastic Spectral Descent for Discrete Graphical Models

DOE PAGES

Carlson, David; Hsieh, Ya-Ping; Collins, Edo; ...

2015-12-14

Interest in deep probabilistic graphical models has in-creased in recent years, due to their state-of-the-art performance on many machine learning applications. Such models are typically trained with the stochastic gradient method, which can take a significant number of iterations to converge. Since the computational cost of gradient estimation is prohibitive even for modestly sized models, training becomes slow and practically usable models are kept small. In this paper we propose a new, largely tuning-free algorithm to address this problem. Our approach derives novel majorization bounds based on the Schatten- norm. Intriguingly, the minimizers of these bounds can be interpreted asmore » gradient methods in a non-Euclidean space. We thus propose using a stochastic gradient method in non-Euclidean space. We both provide simple conditions under which our algorithm is guaranteed to converge, and demonstrate empirically that our algorithm leads to dramatically faster training and improved predictive ability compared to stochastic gradient descent for both directed and undirected graphical models.« less

Algorithms and analyses for stochastic optimization for turbofan noise reduction using parallel reduced-order modeling

NASA Astrophysics Data System (ADS)

Yang, Huanhuan; Gunzburger, Max

2017-06-01

Simulation-based optimization of acoustic liner design in a turbofan engine nacelle for noise reduction purposes can dramatically reduce the cost and time needed for experimental designs. Because uncertainties are inevitable in the design process, a stochastic optimization algorithm is posed based on the conditional value-at-risk measure so that an ideal acoustic liner impedance is determined that is robust in the presence of uncertainties. A parallel reduced-order modeling framework is developed that dramatically improves the computational efficiency of the stochastic optimization solver for a realistic nacelle geometry. The reduced stochastic optimization solver takes less than 500 seconds to execute. In addition, well-posedness and finite element error analyses of the state system and optimization problem are provided.

The Automation of Stochastization Algorithm with Use of SymPy Computer Algebra Library

NASA Astrophysics Data System (ADS)

Demidova, Anastasya; Gevorkyan, Migran; Kulyabov, Dmitry; Korolkova, Anna; Sevastianov, Leonid

2018-02-01

SymPy computer algebra library is used for automatic generation of ordinary and stochastic systems of differential equations from the schemes of kinetic interaction. Schemes of this type are used not only in chemical kinetics but also in biological, ecological and technical models. This paper describes the automatic generation algorithm with an emphasis on application details.

Application of the stochastic resonance algorithm to the simultaneous quantitative determination of multiple weak peaks of ultra-performance liquid chromatography coupled to time-of-flight mass spectrometry.

PubMed

Deng, Haishan; Shang, Erxin; Xiang, Bingren; Xie, Shaofei; Tang, Yuping; Duan, Jin-ao; Zhan, Ying; Chi, Yumei; Tan, Defei

2011-03-15

The stochastic resonance algorithm (SRA) has been developed as a potential tool for amplifying and determining weak chromatographic peaks in recent years. However, the conventional SRA cannot be applied directly to ultra-performance liquid chromatography/time-of-flight mass spectrometry (UPLC/TOFMS). The obstacle lies in the fact that the narrow peaks generated by UPLC contain high-frequency components which fall beyond the restrictions of the theory of stochastic resonance. Although there already exists an algorithm that allows a high-frequency weak signal to be detected, the sampling frequency of TOFMS is not fast enough to meet the requirement of the algorithm. Another problem is the depression of the weak peak of the compound with low concentration or weak detection response, which prevents the simultaneous determination of multi-component UPLC/TOFMS peaks. In order to lower the frequencies of the peaks, an interpolation and re-scaling frequency stochastic resonance (IRSR) is proposed, which re-scales the peak frequencies via linear interpolating sample points numerically. The re-scaled UPLC/TOFMS peaks could then be amplified significantly. By introducing an external energy field upon the UPLC/TOFMS signals, the method of energy gain was developed to simultaneously amplify and determine weak peaks from multi-components. Subsequently, a multi-component stochastic resonance algorithm was constructed for the simultaneous quantitative determination of multiple weak UPLC/TOFMS peaks based on the two methods. The optimization of parameters was discussed in detail with simulated data sets, and the applicability of the algorithm was evaluated by quantitative analysis of three alkaloids in human plasma using UPLC/TOFMS. The new algorithm behaved well in the improvement of signal-to-noise (S/N) compared to several normally used peak enhancement methods, including the Savitzky-Golay filter, Whittaker-Eilers smoother and matched filtration. Copyright © 2011 John Wiley & Sons, Ltd.

Note on coefficient matrices from stochastic Galerkin methods for random diffusion equations

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

Zhou Tao, E-mail: tzhou@lsec.cc.ac.c; Tang Tao, E-mail: ttang@hkbu.edu.h

2010-11-01

In a recent work by Xiu and Shen [D. Xiu, J. Shen, Efficient stochastic Galerkin methods for random diffusion equations, J. Comput. Phys. 228 (2009) 266-281], the Galerkin methods are used to solve stochastic diffusion equations in random media, where some properties for the coefficient matrix of the resulting system are provided. They also posed an open question on the properties of the coefficient matrix. In this work, we will provide some results related to the open question.

Synchronization of random bit generators based on coupled chaotic lasers and application to cryptography.

PubMed

Kanter, Ido; Butkovski, Maria; Peleg, Yitzhak; Zigzag, Meital; Aviad, Yaara; Reidler, Igor; Rosenbluh, Michael; Kinzel, Wolfgang

2010-08-16

Random bit generators (RBGs) constitute an important tool in cryptography, stochastic simulations and secure communications. The later in particular has some difficult requirements: high generation rate of unpredictable bit strings and secure key-exchange protocols over public channels. Deterministic algorithms generate pseudo-random number sequences at high rates, however, their unpredictability is limited by the very nature of their deterministic origin. Recently, physical RBGs based on chaotic semiconductor lasers were shown to exceed Gbit/s rates. Whether secure synchronization of two high rate physical RBGs is possible remains an open question. Here we propose a method, whereby two fast RBGs based on mutually coupled chaotic lasers, are synchronized. Using information theoretic analysis we demonstrate security against a powerful computational eavesdropper, capable of noiseless amplification, where all parameters are publicly known. The method is also extended to secure synchronization of a small network of three RBGs.

Deterministic multidimensional nonuniform gap sampling.

PubMed

Worley, Bradley; Powers, Robert

2015-12-01

Born from empirical observations in nonuniformly sampled multidimensional NMR data relating to gaps between sampled points, the Poisson-gap sampling method has enjoyed widespread use in biomolecular NMR. While the majority of nonuniform sampling schemes are fully randomly drawn from probability densities that vary over a Nyquist grid, the Poisson-gap scheme employs constrained random deviates to minimize the gaps between sampled grid points. We describe a deterministic gap sampling method, based on the average behavior of Poisson-gap sampling, which performs comparably to its random counterpart with the additional benefit of completely deterministic behavior. We also introduce a general algorithm for multidimensional nonuniform sampling based on a gap equation, and apply it to yield a deterministic sampling scheme that combines burst-mode sampling features with those of Poisson-gap schemes. Finally, we derive a relationship between stochastic gap equations and the expectation value of their sampling probability densities. Copyright © 2015 Elsevier Inc. All rights reserved.

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.

Stochastic modelling of microstructure formation in solidification processes

NASA Astrophysics Data System (ADS)

Nastac, Laurentiu; Stefanescu, Doru M.

1997-07-01

To relax many of the assumptions used in continuum approaches, a general stochastic model has been developed. The stochastic model can be used not only for an accurate description of the fraction of solid evolution, and therefore accurate cooling curves, but also for simulation of microstructure formation in castings. The advantage of using the stochastic approach is to give a time- and space-dependent description of solidification processes. Time- and space-dependent processes can also be described by partial differential equations. Unlike a differential formulation which, in most cases, has to be transformed into a difference equation and solved numerically, the stochastic approach is essentially a direct numerical algorithm. The stochastic model is comprehensive, since the competition between various phases is considered. Furthermore, grain impingement is directly included through the structure of the model. In the present research, all grain morphologies are simulated with this procedure. The relevance of the stochastic approach is that the simulated microstructures can be directly compared with microstructures obtained from experiments. The computer becomes a `dynamic metallographic microscope'. A comparison between deterministic and stochastic approaches has been performed. An important objective of this research was to answer the following general questions: (1) `Would fully deterministic approaches continue to be useful in solidification modelling?' and (2) `Would stochastic algorithms be capable of entirely replacing purely deterministic models?'

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.

A multi-scaled approach for simulating chemical reaction systems.

PubMed

Burrage, Kevin; Tian, Tianhai; Burrage, Pamela

2004-01-01

In this paper we give an overview of some very recent work, as well as presenting a new approach, on the stochastic simulation of multi-scaled systems involving chemical reactions. In many biological systems (such as genetic regulation and cellular dynamics) there is a mix between small numbers of key regulatory proteins, and medium and large numbers of molecules. In addition, it is important to be able to follow the trajectories of individual molecules by taking proper account of the randomness inherent in such a system. We describe different types of simulation techniques (including the stochastic simulation algorithm, Poisson Runge-Kutta methods and the balanced Euler method) for treating simulations in the three different reaction regimes: slow, medium and fast. We then review some recent techniques on the treatment of coupled slow and fast reactions for stochastic chemical kinetics and present a new approach which couples the three regimes mentioned above. We then apply this approach to a biologically inspired problem involving the expression and activity of LacZ and LacY proteins in E. coli, and conclude with a discussion on the significance of this work. Copyright 2004 Elsevier Ltd.

Binomial tau-leap spatial stochastic simulation algorithm for applications in chemical kinetics.

PubMed

Marquez-Lago, Tatiana T; Burrage, Kevin

2007-09-14

In cell biology, cell signaling pathway problems are often tackled with deterministic temporal models, well mixed stochastic simulators, and/or hybrid methods. But, in fact, three dimensional stochastic spatial modeling of reactions happening inside the cell is needed in order to fully understand these cell signaling pathways. This is because noise effects, low molecular concentrations, and spatial heterogeneity can all affect the cellular dynamics. However, there are ways in which important effects can be accounted without going to the extent of using highly resolved spatial simulators (such as single-particle software), hence reducing the overall computation time significantly. We present a new coarse grained modified version of the next subvolume method that allows the user to consider both diffusion and reaction events in relatively long simulation time spans as compared with the original method and other commonly used fully stochastic computational methods. Benchmarking of the simulation algorithm was performed through comparison with the next subvolume method and well mixed models (MATLAB), as well as stochastic particle reaction and transport simulations (CHEMCELL, Sandia National Laboratories). Additionally, we construct a model based on a set of chemical reactions in the epidermal growth factor receptor pathway. For this particular application and a bistable chemical system example, we analyze and outline the advantages of our presented binomial tau-leap spatial stochastic simulation algorithm, in terms of efficiency and accuracy, in scenarios of both molecular homogeneity and heterogeneity.

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.

Optimal Control of Hybrid Systems in Air Traffic Applications

NASA Astrophysics Data System (ADS)

Kamgarpour, Maryam

Growing concerns over the scalability of air traffic operations, air transportation fuel emissions and prices, as well as the advent of communication and sensing technologies motivate improvements to the air traffic management system. To address such improvements, in this thesis a hybrid dynamical model as an abstraction of the air traffic system is considered. Wind and hazardous weather impacts are included using a stochastic model. This thesis focuses on the design of algorithms for verification and control of hybrid and stochastic dynamical systems and the application of these algorithms to air traffic management problems. In the deterministic setting, a numerically efficient algorithm for optimal control of hybrid systems is proposed based on extensions of classical optimal control techniques. This algorithm is applied to optimize the trajectory of an Airbus 320 aircraft in the presence of wind and storms. In the stochastic setting, the verification problem of reaching a target set while avoiding obstacles (reach-avoid) is formulated as a two-player game to account for external agents' influence on system dynamics. The solution approach is applied to air traffic conflict prediction in the presence of stochastic wind. Due to the uncertainty in forecasts of the hazardous weather, and hence the unsafe regions of airspace for aircraft flight, the reach-avoid framework is extended to account for stochastic target and safe sets. This methodology is used to maximize the probability of the safety of aircraft paths through hazardous weather. Finally, the problem of modeling and optimization of arrival air traffic and runway configuration in dense airspace subject to stochastic weather data is addressed. This problem is formulated as a hybrid optimal control problem and is solved with a hierarchical approach that decouples safety and performance. As illustrated with this problem, the large scale of air traffic operations motivates future work on the efficient implementation of the proposed algorithms.

Designing management strategies for carbon dioxide storage and utilization under uncertainty using inexact modelling

NASA Astrophysics Data System (ADS)

Wang, Yu; Fan, Jie; Xu, Ye; Sun, Wei; Chen, Dong

2017-06-01

Effective application of carbon capture, utilization and storage (CCUS) systems could help to alleviate the influence of climate change by reducing carbon dioxide (CO2) emissions. The research objective of this study is to develop an equilibrium chance-constrained programming model with bi-random variables (ECCP model) for supporting the CCUS management system under random circumstances. The major advantage of the ECCP model is that it tackles random variables as bi-random variables with a normal distribution, where the mean values follow a normal distribution. This could avoid irrational assumptions and oversimplifications in the process of parameter design and enrich the theory of stochastic optimization. The ECCP model is solved by an equilibrium change-constrained programming algorithm, which provides convenience for decision makers to rank the solution set using the natural order of real numbers. The ECCP model is applied to a CCUS management problem, and the solutions could be useful in helping managers to design and generate rational CO2-allocation patterns under complexities and uncertainties.

Control Improvement for Jump-Diffusion Processes with Applications to Finance

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

Baeuerle, Nicole, E-mail: nicole.baeuerle@kit.edu; Rieder, Ulrich, E-mail: ulrich.rieder@uni-ulm.de

2012-02-15

We consider stochastic control problems with jump-diffusion processes and formulate an algorithm which produces, starting from a given admissible control {pi}, a new control with a better value. If no improvement is possible, then {pi} is optimal. Such an algorithm is well-known for discrete-time Markov Decision Problems under the name Howard's policy improvement algorithm. The idea can be traced back to Bellman. Here we show with the help of martingale techniques that such an algorithm can also be formulated for stochastic control problems with jump-diffusion processes. As an application we derive some interesting results in financial portfolio optimization.

Two new algorithms to combine kriging with stochastic modelling

NASA Astrophysics Data System (ADS)

Venema, Victor; Lindau, Ralf; Varnai, Tamas; Simmer, Clemens

2010-05-01

Two main groups of statistical methods used in the Earth sciences are geostatistics and stochastic modelling. Geostatistical methods, such as various kriging algorithms, aim at estimating the mean value for every point as well as possible. In case of sparse measurements, such fields have less variability at small scales and a narrower distribution as the true field. This can lead to biases if a nonlinear process is simulated driven by such a kriged field. Stochastic modelling aims at reproducing the statistical structure of the data in space and time. One of the stochastic modelling methods, the so-called surrogate data approach, replicates the value distribution and power spectrum of a certain data set. While stochastic methods reproduce the statistical properties of the data, the location of the measurement is not considered. This requires the use of so-called constrained stochastic models. Because radiative transfer through clouds is a highly nonlinear process, it is essential to model the distribution (e.g. of optical depth, extinction, liquid water content or liquid water path) accurately. In addition, the correlations within the cloud field are important, especially because of horizontal photon transport. This explains the success of surrogate cloud fields for use in 3D radiative transfer studies. Up to now, however, we could only achieve good results for the radiative properties averaged over the field, but not for a radiation measurement located at a certain position. Therefore we have developed a new algorithm that combines the accuracy of stochastic (surrogate) modelling with the positioning capabilities of kriging. In this way, we can automatically profit from the large geostatistical literature and software. This algorithm is similar to the standard iterative amplitude adjusted Fourier transform (IAAFT) algorithm, but has an additional iterative step in which the surrogate field is nudged towards the kriged field. The nudging strength is gradually reduced to zero during successive iterations. A second algorithm, which we call step-wise kriging, pursues the same aim. Each time the kriging algorithm estimates a value, noise is added to it, after which this new point is accounted for in the estimation of all the later points. In this way, the autocorrelation of the step-krigged field is close to that found in the pseudo measurements. The amount of noise is determined by the kriging uncertainty. The algorithms are tested on cloud fields from large eddy simulations (LES). On these clouds, a measurement is simulated. From these pseudo-measurements, we estimated the power spectrum for the surrogates, the semi-variogram for the (stepwise) kriging and the distribution. Furthermore, the pseudo-measurement is kriged. Because we work with LES clouds and the truth is known, we can validate the algorithm by performing 3D radiative transfer calculations on the original LES clouds and on the two new types of stochastic clouds. For comparison, also the radiative properties of the kriged fields and standard surrogate fields are computed. Preliminary results show that both algorithms reproduce the structure of the original clouds well, and the minima and maxima are located where the pseudo-measurements see them. The main problem for the quality of the structure and the root mean square error is the amount of data, which is especially very limited in case of just one zenith pointing measurement.

Simulation of anaerobic digestion processes using stochastic algorithm.

PubMed

Palanichamy, Jegathambal; Palani, Sundarambal

2014-01-01

The Anaerobic Digestion (AD) processes involve numerous complex biological and chemical reactions occurring simultaneously. Appropriate and efficient models are to be developed for simulation of anaerobic digestion systems. Although several models have been developed, mostly they suffer from lack of knowledge on constants, complexity and weak generalization. The basis of the deterministic approach for modelling the physico and bio-chemical reactions occurring in the AD system is the law of mass action, which gives the simple relationship between the reaction rates and the species concentrations. The assumptions made in the deterministic models are not hold true for the reactions involving chemical species of low concentration. The stochastic behaviour of the physicochemical processes can be modeled at mesoscopic level by application of the stochastic algorithms. In this paper a stochastic algorithm (Gillespie Tau Leap Method) developed in MATLAB was applied to predict the concentration of glucose, acids and methane formation at different time intervals. By this the performance of the digester system can be controlled. The processes given by ADM1 (Anaerobic Digestion Model 1) were taken for verification of the model. The proposed model was verified by comparing the results of Gillespie's algorithms with the deterministic solution for conversion of glucose into methane through degraders. At higher value of 'τ' (timestep), the computational time required for reaching the steady state is more since the number of chosen reactions is less. When the simulation time step is reduced, the results are similar to ODE solver. It was concluded that the stochastic algorithm is a suitable approach for the simulation of complex anaerobic digestion processes. The accuracy of the results depends on the optimum selection of tau value.

Markov stochasticity coordinates

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

Eliazar, Iddo, E-mail: iddo.eliazar@intel.com

Markov dynamics constitute one of the most fundamental models of random motion between the states of a system of interest. Markov dynamics have diverse applications in many fields of science and engineering, and are particularly applicable in the context of random motion in networks. In this paper we present a two-dimensional gauging method of the randomness of Markov dynamics. The method–termed Markov Stochasticity Coordinates–is established, discussed, and exemplified. Also, the method is tweaked to quantify the stochasticity of the first-passage-times of Markov dynamics, and the socioeconomic equality and mobility in human societies.

Evolution in fluctuating environments: decomposing selection into additive components of the Robertson-Price equation.

PubMed

Engen, Steinar; Saether, Bernt-Erik

2014-03-01

We analyze the stochastic components of the Robertson-Price equation for the evolution of quantitative characters that enables decomposition of the selection differential into components due to demographic and environmental stochasticity. We show how these two types of stochasticity affect the evolution of multivariate quantitative characters by defining demographic and environmental variances as components of individual fitness. The exact covariance formula for selection is decomposed into three components, the deterministic mean value, as well as stochastic demographic and environmental components. We show that demographic and environmental stochasticity generate random genetic drift and fluctuating selection, respectively. This provides a common theoretical framework for linking ecological and evolutionary processes. Demographic stochasticity can cause random variation in selection differentials independent of fluctuating selection caused by environmental variation. We use this model of selection to illustrate that the effect on the expected selection differential of random variation in individual fitness is dependent on population size, and that the strength of fluctuating selection is affected by how environmental variation affects the covariance in Malthusian fitness between individuals with different phenotypes. Thus, our approach enables us to partition out the effects of fluctuating selection from the effects of selection due to random variation in individual fitness caused by demographic stochasticity. © 2013 The Author(s). Evolution © 2013 The Society for the Study of Evolution.

Improved hybrid optimization algorithm for 3D protein structure prediction.

PubMed

Zhou, Changjun; Hou, Caixia; Wei, Xiaopeng; Zhang, Qiang

2014-07-01

A new improved hybrid optimization algorithm - PGATS algorithm, which is based on toy off-lattice model, is presented for dealing with three-dimensional protein structure prediction problems. The algorithm combines the particle swarm optimization (PSO), genetic algorithm (GA), and tabu search (TS) algorithms. Otherwise, we also take some different improved strategies. The factor of stochastic disturbance is joined in the particle swarm optimization to improve the search ability; the operations of crossover and mutation that are in the genetic algorithm are changed to a kind of random liner method; at last tabu search algorithm is improved by appending a mutation operator. Through the combination of a variety of strategies and algorithms, the protein structure prediction (PSP) in a 3D off-lattice model is achieved. The PSP problem is an NP-hard problem, but the problem can be attributed to a global optimization problem of multi-extremum and multi-parameters. This is the theoretical principle of the hybrid optimization algorithm that is proposed in this paper. The algorithm combines local search and global search, which overcomes the shortcoming of a single algorithm, giving full play to the advantage of each algorithm. In the current universal standard sequences, Fibonacci sequences and real protein sequences are certified. Experiments show that the proposed new method outperforms single algorithms on the accuracy of calculating the protein sequence energy value, which is proved to be an effective way to predict the structure of proteins.

Marcus canonical integral for non-Gaussian processes and its computation: pathwise simulation and tau-leaping algorithm.

PubMed

Li, Tiejun; Min, Bin; Wang, Zhiming

2013-03-14

The stochastic integral ensuring the Newton-Leibnitz chain rule is essential in stochastic energetics. Marcus canonical integral has this property and can be understood as the Wong-Zakai type smoothing limit when the driving process is non-Gaussian. However, this important concept seems not well-known for physicists. In this paper, we discuss Marcus integral for non-Gaussian processes and its computation in the context of stochastic energetics. We give a comprehensive introduction to Marcus integral and compare three equivalent definitions in the literature. We introduce the exact pathwise simulation algorithm and give the error analysis. We show how to compute the thermodynamic quantities based on the pathwise simulation algorithm. We highlight the information hidden in the Marcus mapping, which plays the key role in determining thermodynamic quantities. We further propose the tau-leaping algorithm, which advance the process with deterministic time steps when tau-leaping condition is satisfied. The numerical experiments and its efficiency analysis show that it is very promising.

Poisson-Box Sampling algorithms for three-dimensional Markov binary mixtures

NASA Astrophysics Data System (ADS)

Larmier, Coline; Zoia, Andrea; Malvagi, Fausto; Dumonteil, Eric; Mazzolo, Alain

2018-02-01

Particle transport in Markov mixtures can be addressed by the so-called Chord Length Sampling (CLS) methods, a family of Monte Carlo algorithms taking into account the effects of stochastic media on particle propagation by generating on-the-fly the material interfaces crossed by the random walkers during their trajectories. Such methods enable a significant reduction of computational resources as opposed to reference solutions obtained by solving the Boltzmann equation for a large number of realizations of random media. CLS solutions, which neglect correlations induced by the spatial disorder, are faster albeit approximate, and might thus show discrepancies with respect to reference solutions. In this work we propose a new family of algorithms (called 'Poisson Box Sampling', PBS) aimed at improving the accuracy of the CLS approach for transport in d-dimensional binary Markov mixtures. In order to probe the features of PBS methods, we will focus on three-dimensional Markov media and revisit the benchmark problem originally proposed by Adams, Larsen and Pomraning [1] and extended by Brantley [2]: for these configurations we will compare reference solutions, standard CLS solutions and the new PBS solutions for scalar particle flux, transmission and reflection coefficients. PBS will be shown to perform better than CLS at the expense of a reasonable increase in computational time.

Intra-and-Inter Species Biomass Prediction in a Plantation Forest: Testing the Utility of High Spatial Resolution Spaceborne Multispectral RapidEye Sensor and Advanced Machine Learning Algorithms

PubMed Central

Dube, Timothy; Mutanga, Onisimo; Adam, Elhadi; Ismail, Riyad

2014-01-01

The quantification of aboveground biomass using remote sensing is critical for better understanding the role of forests in carbon sequestration and for informed sustainable management. Although remote sensing techniques have been proven useful in assessing forest biomass in general, more is required to investigate their capabilities in predicting intra-and-inter species biomass which are mainly characterised by non-linear relationships. In this study, we tested two machine learning algorithms, Stochastic Gradient Boosting (SGB) and Random Forest (RF) regression trees to predict intra-and-inter species biomass using high resolution RapidEye reflectance bands as well as the derived vegetation indices in a commercial plantation. The results showed that the SGB algorithm yielded the best performance for intra-and-inter species biomass prediction; using all the predictor variables as well as based on the most important selected variables. For example using the most important variables the algorithm produced an R2 of 0.80 and RMSE of 16.93 t·ha−1 for E. grandis; R2 of 0.79, RMSE of 17.27 t·ha−1 for P. taeda and R2 of 0.61, RMSE of 43.39 t·ha−1 for the combined species data sets. Comparatively, RF yielded plausible results only for E. dunii (R2 of 0.79; RMSE of 7.18 t·ha−1). We demonstrated that although the two statistical methods were able to predict biomass accurately, RF produced weaker results as compared to SGB when applied to combined species dataset. The result underscores the relevance of stochastic models in predicting biomass drawn from different species and genera using the new generation high resolution RapidEye sensor with strategically positioned bands. PMID:25140631

Random attractor of non-autonomous stochastic Boussinesq lattice system

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

Zhao, Min, E-mail: zhaomin1223@126.com; Zhou, Shengfan, E-mail: zhoushengfan@yahoo.com

2015-09-15

In this paper, we first consider the existence of tempered random attractor for second-order non-autonomous stochastic lattice dynamical system of nonlinear Boussinesq equations effected by time-dependent coupled coefficients and deterministic forces and multiplicative white noise. Then, we establish the upper semicontinuity of random attractors as the intensity of noise approaches zero.

Markov Chain Monte Carlo Bayesian Learning for Neural Networks

NASA Technical Reports Server (NTRS)

Goodrich, Michael S.

2011-01-01

Conventional training methods for neural networks involve starting al a random location in the solution space of the network weights, navigating an error hyper surface to reach a minimum, and sometime stochastic based techniques (e.g., genetic algorithms) to avoid entrapment in a local minimum. It is further typically necessary to preprocess the data (e.g., normalization) to keep the training algorithm on course. Conversely, Bayesian based learning is an epistemological approach concerned with formally updating the plausibility of competing candidate hypotheses thereby obtaining a posterior distribution for the network weights conditioned on the available data and a prior distribution. In this paper, we developed a powerful methodology for estimating the full residual uncertainty in network weights and therefore network predictions by using a modified Jeffery's prior combined with a Metropolis Markov Chain Monte Carlo method.

Hyperspectral Image Classification With Markov Random Fields and a Convolutional Neural Network

NASA Astrophysics Data System (ADS)

Cao, Xiangyong; Zhou, Feng; Xu, Lin; Meng, Deyu; Xu, Zongben; Paisley, John

2018-05-01

This paper presents a new supervised classification algorithm for remotely sensed hyperspectral image (HSI) which integrates spectral and spatial information in a unified Bayesian framework. First, we formulate the HSI classification problem from a Bayesian perspective. Then, we adopt a convolutional neural network (CNN) to learn the posterior class distributions using a patch-wise training strategy to better use the spatial information. Next, spatial information is further considered by placing a spatial smoothness prior on the labels. Finally, we iteratively update the CNN parameters using stochastic gradient decent (SGD) and update the class labels of all pixel vectors using an alpha-expansion min-cut-based algorithm. Compared with other state-of-the-art methods, the proposed classification method achieves better performance on one synthetic dataset and two benchmark HSI datasets in a number of experimental settings.

Algorithmic detectability threshold of the stochastic block model

NASA Astrophysics Data System (ADS)

Kawamoto, Tatsuro

2018-03-01

The assumption that the values of model parameters are known or correctly learned, i.e., the Nishimori condition, is one of the requirements for the detectability analysis of the stochastic block model in statistical inference. In practice, however, there is no example demonstrating that we can know the model parameters beforehand, and there is no guarantee that the model parameters can be learned accurately. In this study, we consider the expectation-maximization (EM) algorithm with belief propagation (BP) and derive its algorithmic detectability threshold. Our analysis is not restricted to the community structure but includes general modular structures. Because the algorithm cannot always learn the planted model parameters correctly, the algorithmic detectability threshold is qualitatively different from the one with the Nishimori condition.

Scalable detection of statistically significant communities and hierarchies, using message passing for modularity

PubMed Central

Zhang, Pan; Moore, Cristopher

2014-01-01

Modularity is a popular measure of community structure. However, maximizing the modularity can lead to many competing partitions, with almost the same modularity, that are poorly correlated with each other. It can also produce illusory ‘‘communities’’ in random graphs where none exist. We address this problem by using the modularity as a Hamiltonian at finite temperature and using an efficient belief propagation algorithm to obtain the consensus of many partitions with high modularity, rather than looking for a single partition that maximizes it. We show analytically and numerically that the proposed algorithm works all of the way down to the detectability transition in networks generated by the stochastic block model. It also performs well on real-world networks, revealing large communities in some networks where previous work has claimed no communities exist. Finally we show that by applying our algorithm recursively, subdividing communities until no statistically significant subcommunities can be found, we can detect hierarchical structure in real-world networks more efficiently than previous methods. PMID:25489096

Stochastic stability

NASA Technical Reports Server (NTRS)

Kushner, H. J.

1972-01-01

The field of stochastic stability is surveyed, with emphasis on the invariance theorems and their potential application to systems with randomly varying coefficients. Some of the basic ideas are reviewed, which underlie the stochastic Liapunov function approach to stochastic stability. The invariance theorems are discussed in detail.

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

Sparse Learning with Stochastic Composite Optimization.

PubMed

Zhang, Weizhong; Zhang, Lijun; Jin, Zhongming; Jin, Rong; Cai, Deng; Li, Xuelong; Liang, Ronghua; He, Xiaofei

2017-06-01

In this paper, we study Stochastic Composite Optimization (SCO) for sparse learning that aims to learn a sparse solution from a composite function. Most of the recent SCO algorithms have already reached the optimal expected convergence rate O(1/λT), but they often fail to deliver sparse solutions at the end either due to the limited sparsity regularization during stochastic optimization (SO) or due to the limitation in online-to-batch conversion. Even when the objective function is strongly convex, their high probability bounds can only attain O(√{log(1/δ)/T}) with δ is the failure probability, which is much worse than the expected convergence rate. To address these limitations, we propose a simple yet effective two-phase Stochastic Composite Optimization scheme by adding a novel powerful sparse online-to-batch conversion to the general Stochastic Optimization algorithms. We further develop three concrete algorithms, OptimalSL, LastSL and AverageSL, directly under our scheme to prove the effectiveness of the proposed scheme. Both the theoretical analysis and the experiment results show that our methods can really outperform the existing methods at the ability of sparse learning and at the meantime we can improve the high probability bound to approximately O(log(log(T)/δ)/λT).

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 Routing and Scheduling Policies for Energy Harvesting Communication Networks

NASA Astrophysics Data System (ADS)

Calvo-Fullana, Miguel; Anton-Haro, Carles; Matamoros, Javier; Ribeiro, Alejandro

2018-07-01

In this paper, we study the joint routing-scheduling problem in energy harvesting communication networks. Our policies, which are based on stochastic subgradient methods on the dual domain, act as an energy harvesting variant of the stochastic family of backpresure algorithms. Specifically, we propose two policies: (i) the Stochastic Backpressure with Energy Harvesting (SBP-EH), in which a node's routing-scheduling decisions are determined by the difference between the Lagrange multipliers associated to their queue stability constraints and their neighbors'; and (ii) the Stochastic Soft Backpressure with Energy Harvesting (SSBP-EH), an improved algorithm where the routing-scheduling decision is of a probabilistic nature. For both policies, we show that given sustainable data and energy arrival rates, the stability of the data queues over all network nodes is guaranteed. Numerical results corroborate the stability guarantees and illustrate the minimal gap in performance that our policies offer with respect to classical ones which work with an unlimited energy supply.

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

A Stochastic-Variational Model for Soft Mumford-Shah Segmentation

PubMed Central

2006-01-01

In contemporary image and vision analysis, stochastic approaches demonstrate great flexibility in representing and modeling complex phenomena, while variational-PDE methods gain enormous computational advantages over Monte Carlo or other stochastic algorithms. In combination, the two can lead to much more powerful novel models and efficient algorithms. In the current work, we propose a stochastic-variational model for soft (or fuzzy) Mumford-Shah segmentation of mixture image patterns. Unlike the classical hard Mumford-Shah segmentation, the new model allows each pixel to belong to each image pattern with some probability. Soft segmentation could lead to hard segmentation, and hence is more general. The modeling procedure, mathematical analysis on the existence of optimal solutions, and computational implementation of the new model are explored in detail, and numerical examples of both synthetic and natural images are presented. PMID:23165059

Bounded-Degree Approximations of Stochastic Networks

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

Quinn, Christopher J.; Pinar, Ali; Kiyavash, Negar

2017-06-01

We propose algorithms to approximate directed information graphs. Directed information graphs are probabilistic graphical models that depict causal dependencies between stochastic processes in a network. The proposed algorithms identify optimal and near-optimal approximations in terms of Kullback-Leibler divergence. The user-chosen sparsity trades off the quality of the approximation against visual conciseness and computational tractability. One class of approximations contains graphs with speci ed in-degrees. Another class additionally requires that the graph is connected. For both classes, we propose algorithms to identify the optimal approximations and also near-optimal approximations, using a novel relaxation of submodularity. We also propose algorithms to identifymore » the r-best approximations among these classes, enabling robust decision making.« less

Stochastic resonance algorithm applied to quantitative analysis for weak chromatographic signals of alkyl halides and alkyl benzenes in water samples.

PubMed

Xiang, Suyun; Wang, Wei; Xia, Jia; Xiang, Bingren; Ouyang, Pingkai

2009-09-01

The stochastic resonance algorithm is applied to the trace analysis of alkyl halides and alkyl benzenes in water samples. Compared to encountering a single signal when applying the algorithm, the optimization of system parameters for a multicomponent is more complex. In this article, the resolution of adjacent chromatographic peaks is first involved in the optimization of parameters. With the optimized parameters, the algorithm gave an ideal output with good resolution as well as enhanced signal-to-noise ratio. Applying the enhanced signals, the method extended the limit of detection and exhibited good linearity, which ensures accurate determination of the multicomponent.

Parallel, stochastic measurement of molecular surface area.

PubMed

Juba, Derek; Varshney, Amitabh

2008-08-01

Biochemists often wish to compute surface areas of proteins. A variety of algorithms have been developed for this task, but they are designed for traditional single-processor architectures. The current trend in computer hardware is towards increasingly parallel architectures for which these algorithms are not well suited. We describe a parallel, stochastic algorithm for molecular surface area computation that maps well to the emerging multi-core architectures. Our algorithm is also progressive, providing a rough estimate of surface area immediately and refining this estimate as time goes on. Furthermore, the algorithm generates points on the molecular surface which can be used for point-based rendering. We demonstrate a GPU implementation of our algorithm and show that it compares favorably with several existing molecular surface computation programs, giving fast estimates of the molecular surface area with good accuracy.

Random function representation of stationary stochastic vector processes for probability density evolution analysis of wind-induced structures

NASA Astrophysics Data System (ADS)

Liu, Zhangjun; Liu, Zenghui

2018-06-01

This paper develops a hybrid approach of spectral representation and random function for simulating stationary stochastic vector processes. In the proposed approach, the high-dimensional random variables, included in the original spectral representation (OSR) formula, could be effectively reduced to only two elementary random variables by introducing the random functions that serve as random constraints. Based on this, a satisfactory simulation accuracy can be guaranteed by selecting a small representative point set of the elementary random variables. The probability information of the stochastic excitations can be fully emerged through just several hundred of sample functions generated by the proposed approach. Therefore, combined with the probability density evolution method (PDEM), it could be able to implement dynamic response analysis and reliability assessment of engineering structures. For illustrative purposes, a stochastic turbulence wind velocity field acting on a frame-shear-wall structure is simulated by constructing three types of random functions to demonstrate the accuracy and efficiency of the proposed approach. Careful and in-depth studies concerning the probability density evolution analysis of the wind-induced structure have been conducted so as to better illustrate the application prospects of the proposed approach. Numerical examples also show that the proposed approach possesses a good robustness.

Regularity of beating of small clusters of embryonic chick ventricular heart-cells: experiment vs. stochastic single-channel population model

NASA Astrophysics Data System (ADS)

Krogh-Madsen, Trine; Kold Taylor, Louise; Skriver, Anne D.; Schaffer, Peter; Guevara, Michael R.

2017-09-01

The transmembrane potential is recorded from small isopotential clusters of 2-4 embryonic chick ventricular cells spontaneously generating action potentials. We analyze the cycle-to-cycle fluctuations in the time between successive action potentials (the interbeat interval or IBI). We also convert an existing model of electrical activity in the cluster, which is formulated as a Hodgkin-Huxley-like deterministic system of nonlinear ordinary differential equations describing five individual ionic currents, into a stochastic model consisting of a population of ˜20 000 independently and randomly gating ionic channels, with the randomness being set by a real physical stochastic process (radio static). This stochastic model, implemented using the Clay-DeFelice algorithm, reproduces the fluctuations seen experimentally: e.g., the coefficient of variation (standard deviation/mean) of IBI is 4.3% in the model vs. the 3.9% average value of the 17 clusters studied. The model also replicates all but one of several other quantitative measures of the experimental results, including the power spectrum and correlation integral of the voltage, as well as the histogram, Poincaré plot, serial correlation coefficients, power spectrum, detrended fluctuation analysis, approximate entropy, and sample entropy of IBI. The channel noise from one particular ionic current (IKs), which has channel kinetics that are relatively slow compared to that of the other currents, makes the major contribution to the fluctuations in IBI. Reproduction of the experimental coefficient of variation of IBI by adding a Gaussian white noise-current into the deterministic model necessitates using an unrealistically high noise-current amplitude. Indeed, a major implication of the modelling results is that, given the wide range of time-scales over which the various species of channels open and close, only a cell-specific stochastic model that is formulated taking into consideration the widely different ranges in the frequency content of the channel-noise produced by the opening and closing of several different types of channels will be able to reproduce precisely the various effects due to membrane noise seen in a particular electrophysiological preparation.

Stochastic description of geometric phase for polarized waves in random media

NASA Astrophysics Data System (ADS)

Boulanger, Jérémie; Le Bihan, Nicolas; Rossetto, Vincent

2013-01-01

We present a stochastic description of multiple scattering of polarized waves in the regime of forward scattering. In this regime, if the source is polarized, polarization survives along a few transport mean free paths, making it possible to measure an outgoing polarization distribution. We consider thin scattering media illuminated by a polarized source and compute the probability distribution function of the polarization on the exit surface. We solve the direct problem using compound Poisson processes on the rotation group SO(3) and non-commutative harmonic analysis. We obtain an exact expression for the polarization distribution which generalizes previous works and design an algorithm solving the inverse problem of estimating the scattering properties of the medium from the measured polarization distribution. This technique applies to thin disordered layers, spatially fluctuating media and multiple scattering systems and is based on the polarization but not on the signal amplitude. We suggest that it can be used as a non-invasive testing method.

Optimizing Multi-Product Multi-Constraint Inventory Control Systems with Stochastic Replenishments

NASA Astrophysics Data System (ADS)

Allah Taleizadeh, Ata; Aryanezhad, Mir-Bahador; Niaki, Seyed Taghi Akhavan

Multi-periodic inventory control problems are mainly studied employing two assumptions. The first is the continuous review, where depending on the inventory level orders can happen at any time and the other is the periodic review, where orders can only happen at the beginning of each period. In this study, we relax these assumptions and assume that the periodic replenishments are stochastic in nature. Furthermore, we assume that the periods between two replenishments are independent and identically random variables. For the problem at hand, the decision variables are of integer-type and there are two kinds of space and service level constraints for each product. We develop a model of the problem in which a combination of back-order and lost-sales are considered for the shortages. Then, we show that the model is of an integer-nonlinear-programming type and in order to solve it, a search algorithm can be utilized. We employ a simulated annealing approach and provide a numerical example to demonstrate the applicability of the proposed methodology.

Stochastic Local Search for Core Membership Checking in Hedonic Games

NASA Astrophysics Data System (ADS)

Keinänen, Helena

Hedonic games have emerged as an important tool in economics and show promise as a useful formalism to model multi-agent coalition formation in AI as well as group formation in social networks. We consider a coNP-complete problem of core membership checking in hedonic coalition formation games. No previous algorithms to tackle the problem have been presented. In this work, we overcome this by developing two stochastic local search algorithms for core membership checking in hedonic games. We demonstrate the usefulness of the algorithms by showing experimentally that they find solutions efficiently, particularly for large agent societies.

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.

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.

A Deep Stochastic Model for Detecting Community in Complex Networks

NASA Astrophysics Data System (ADS)

Fu, Jingcheng; Wu, Jianliang

2017-01-01

Discovering community structures is an important step to understanding the structure and dynamics of real-world networks in social science, biology and technology. In this paper, we develop a deep stochastic model based on non-negative matrix factorization to identify communities, in which there are two sets of parameters. One is the community membership matrix, of which the elements in a row correspond to the probabilities of the given node belongs to each of the given number of communities in our model, another is the community-community connection matrix, of which the element in the i-th row and j-th column represents the probability of there being an edge between a randomly chosen node from the i-th community and a randomly chosen node from the j-th community. The parameters can be evaluated by an efficient updating rule, and its convergence can be guaranteed. The community-community connection matrix in our model is more precise than the community-community connection matrix in traditional non-negative matrix factorization methods. Furthermore, the method called symmetric nonnegative matrix factorization, is a special case of our model. Finally, based on the experiments on both synthetic and real-world networks data, it can be demonstrated that our algorithm is highly effective in detecting communities.

Low Frequency Predictive Skill Despite Structural Instability and Model Error

DTIC Science & Technology

2014-09-30

Majda, based on earlier theoretical work. 1. Dynamic Stochastic Superresolution of sparseley observed turbulent systems M. Branicki (Post doc...of numerical models. Here, we introduce and study a suite of general Dynamic Stochastic Superresolution (DSS) algorithms and show that, by...resolving subgridscale turbulence through Dynamic Stochastic Superresolution utilizing aliased grids is a potential breakthrough for practical online

Empirical method to measure stochasticity and multifractality in nonlinear time series

NASA Astrophysics Data System (ADS)

Lin, Chih-Hao; Chang, Chia-Seng; Li, Sai-Ping

2013-12-01

An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the stochasticity of different time series can be compared. The local volatility of the time series under study can be constructed using this algorithm, and the multifractal structure of the time series can be analyzed by using this local volatility. As an example, we employ this method to analyze financial time series from different stock markets. The result shows that while developed markets evolve very much like an Ito process, the emergent markets are far from efficient. Differences about the multifractal structures and leverage effects between developed and emergent markets are discussed. The algorithm used here can be applied in a similar fashion to study time series of other complex systems.

Sampling-Based Stochastic Sensitivity Analysis Using Score Functions for RBDO Problems with Correlated Random Variables

DTIC Science & Technology

2010-08-01

a collection of information if it does not display a currently valid OMB control number. PLEASE DO NOT RETURN YOUR FORM TO THE ABOVE ADDRESS. a ...SECURITY CLASSIFICATION OF: This study presents a methodology for computing stochastic sensitivities with respect to the design variables, which are the...Random Variables Report Title ABSTRACT This study presents a methodology for computing stochastic sensitivities with respect to the design variables

Subspace algorithms for identifying separable-in-denominator 2D systems with deterministic-stochastic inputs

NASA Astrophysics Data System (ADS)

Ramos, José A.; Mercère, Guillaume

2016-12-01

In this paper, we present an algorithm for identifying two-dimensional (2D) causal, recursive and separable-in-denominator (CRSD) state-space models in the Roesser form with deterministic-stochastic inputs. The algorithm implements the N4SID, PO-MOESP and CCA methods, which are well known in the literature on 1D system identification, but here we do so for the 2D CRSD Roesser model. The algorithm solves the 2D system identification problem by maintaining the constraint structure imposed by the problem (i.e. Toeplitz and Hankel) and computes the horizontal and vertical system orders, system parameter matrices and covariance matrices of a 2D CRSD Roesser model. From a computational point of view, the algorithm has been presented in a unified framework, where the user can select which of the three methods to use. Furthermore, the identification task is divided into three main parts: (1) computing the deterministic horizontal model parameters, (2) computing the deterministic vertical model parameters and (3) computing the stochastic components. Specific attention has been paid to the computation of a stabilised Kalman gain matrix and a positive real solution when required. The efficiency and robustness of the unified algorithm have been demonstrated via a thorough simulation example.

Temporal Gillespie Algorithm: Fast Simulation of Contagion Processes on Time-Varying Networks

PubMed Central

Vestergaard, Christian L.; Génois, Mathieu

2015-01-01

Stochastic simulations are one of the cornerstones of the analysis of dynamical processes on complex networks, and are often the only accessible way to explore their behavior. The development of fast algorithms is paramount to allow large-scale simulations. The Gillespie algorithm can be used for fast simulation of stochastic processes, and variants of it have been applied to simulate dynamical processes on static networks. However, its adaptation to temporal networks remains non-trivial. We here present a temporal Gillespie algorithm that solves this problem. Our method is applicable to general Poisson (constant-rate) processes on temporal networks, stochastically exact, and up to multiple orders of magnitude faster than traditional simulation schemes based on rejection sampling. We also show how it can be extended to simulate non-Markovian processes. The algorithm is easily applicable in practice, and as an illustration we detail how to simulate both Poissonian and non-Markovian models of epidemic spreading. Namely, we provide pseudocode and its implementation in C++ for simulating the paradigmatic Susceptible-Infected-Susceptible and Susceptible-Infected-Recovered models and a Susceptible-Infected-Recovered model with non-constant recovery rates. For empirical networks, the temporal Gillespie algorithm is here typically from 10 to 100 times faster than rejection sampling. PMID:26517860

Temporal Gillespie Algorithm: Fast Simulation of Contagion Processes on Time-Varying Networks.

PubMed

Vestergaard, Christian L; Génois, Mathieu

2015-10-01

Stochastic simulations are one of the cornerstones of the analysis of dynamical processes on complex networks, and are often the only accessible way to explore their behavior. The development of fast algorithms is paramount to allow large-scale simulations. The Gillespie algorithm can be used for fast simulation of stochastic processes, and variants of it have been applied to simulate dynamical processes on static networks. However, its adaptation to temporal networks remains non-trivial. We here present a temporal Gillespie algorithm that solves this problem. Our method is applicable to general Poisson (constant-rate) processes on temporal networks, stochastically exact, and up to multiple orders of magnitude faster than traditional simulation schemes based on rejection sampling. We also show how it can be extended to simulate non-Markovian processes. The algorithm is easily applicable in practice, and as an illustration we detail how to simulate both Poissonian and non-Markovian models of epidemic spreading. Namely, we provide pseudocode and its implementation in C++ for simulating the paradigmatic Susceptible-Infected-Susceptible and Susceptible-Infected-Recovered models and a Susceptible-Infected-Recovered model with non-constant recovery rates. For empirical networks, the temporal Gillespie algorithm is here typically from 10 to 100 times faster than rejection sampling.

Stochastic Order Redshift Technique (SORT): a simple, efficient and robust method to improve cosmological redshift measurements

NASA Astrophysics Data System (ADS)

Tejos, Nicolas; Rodríguez-Puebla, Aldo; Primack, Joel R.

2018-01-01

We present a simple, efficient and robust approach to improve cosmological redshift measurements. The method is based on the presence of a reference sample for which a precise redshift number distribution (dN/dz) can be obtained for different pencil-beam-like sub-volumes within the original survey. For each sub-volume we then impose that: (i) the redshift number distribution of the uncertain redshift measurements matches the reference dN/dz corrected by their selection functions and (ii) the rank order in redshift of the original ensemble of uncertain measurements is preserved. The latter step is motivated by the fact that random variables drawn from Gaussian probability density functions (PDFs) of different means and arbitrarily large standard deviations satisfy stochastic ordering. We then repeat this simple algorithm for multiple arbitrary pencil-beam-like overlapping sub-volumes; in this manner, each uncertain measurement has multiple (non-independent) 'recovered' redshifts which can be used to estimate a new redshift PDF. We refer to this method as the Stochastic Order Redshift Technique (SORT). We have used a state-of-the-art N-body simulation to test the performance of SORT under simple assumptions and found that it can improve the quality of cosmological redshifts in a robust and efficient manner. Particularly, SORT redshifts (zsort) are able to recover the distinctive features of the so-called 'cosmic web' and can provide unbiased measurement of the two-point correlation function on scales ≳4 h-1Mpc. Given its simplicity, we envision that a method like SORT can be incorporated into more sophisticated algorithms aimed to exploit the full potential of large extragalactic photometric surveys.

Control of Finite-State, Finite Memory Stochastic Systems

NASA Technical Reports Server (NTRS)

Sandell, Nils R.

1974-01-01

A generalized problem of stochastic control is discussed in which multiple controllers with different data bases are present. The vehicle for the investigation is the finite state, finite memory (FSFM) stochastic control problem. Optimality conditions are obtained by deriving an equivalent deterministic optimal control problem. A FSFM minimum principle is obtained via the equivalent deterministic problem. The minimum principle suggests the development of a numerical optimization algorithm, the min-H algorithm. The relationship between the sufficiency of the minimum principle and the informational properties of the problem are investigated. A problem of hypothesis testing with 1-bit memory is investigated to illustrate the application of control theoretic techniques to information processing problems.

Hybrid stochastic simulation of reaction-diffusion systems with slow and fast dynamics.

PubMed

Strehl, Robert; Ilie, Silvana

2015-12-21

In this paper, we present a novel hybrid method to simulate discrete stochastic reaction-diffusion models arising in biochemical signaling pathways. We study moderately stiff systems, for which we can partition each reaction or diffusion channel into either a slow or fast subset, based on its propensity. Numerical approaches missing this distinction are often limited with respect to computational run time or approximation quality. We design an approximate scheme that remedies these pitfalls by using a new blending strategy of the well-established inhomogeneous stochastic simulation algorithm and the tau-leaping simulation method. The advantages of our hybrid simulation algorithm are demonstrated on three benchmarking systems, with special focus on approximation accuracy and efficiency.

Stochastic modelling of turbulent combustion for design optimization of gas turbine combustors

NASA Astrophysics Data System (ADS)

Mehanna Ismail, Mohammed Ali

The present work covers the development and the implementation of an efficient algorithm for the design optimization of gas turbine combustors. The purpose is to explore the possibilities and indicate constructive suggestions for optimization techniques as alternative methods for designing gas turbine combustors. The algorithm is general to the extent that no constraints are imposed on the combustion phenomena or on the combustor configuration. The optimization problem is broken down into two elementary problems: the first is the optimum search algorithm, and the second is the turbulent combustion model used to determine the combustor performance parameters. These performance parameters constitute the objective and physical constraints in the optimization problem formulation. The examination of both turbulent combustion phenomena and the gas turbine design process suggests that the turbulent combustion model represents a crucial part of the optimization algorithm. The basic requirements needed for a turbulent combustion model to be successfully used in a practical optimization algorithm are discussed. In principle, the combustion model should comply with the conflicting requirements of high fidelity, robustness and computational efficiency. To that end, the problem of turbulent combustion is discussed and the current state of the art of turbulent combustion modelling is reviewed. According to this review, turbulent combustion models based on the composition PDF transport equation are found to be good candidates for application in the present context. However, these models are computationally expensive. To overcome this difficulty, two different models based on the composition PDF transport equation were developed: an improved Lagrangian Monte Carlo composition PDF algorithm and the generalized stochastic reactor model. Improvements in the Lagrangian Monte Carlo composition PDF model performance and its computational efficiency were achieved through the implementation of time splitting, variable stochastic fluid particle mass control, and a second order time accurate (predictor-corrector) scheme used for solving the stochastic differential equations governing the particles evolution. The model compared well against experimental data found in the literature for two different configurations: bluff body and swirl stabilized combustors. The generalized stochastic reactor is a newly developed model. This model relies on the generalization of the concept of the classical stochastic reactor theory in the sense that it accounts for both finite micro- and macro-mixing processes. (Abstract shortened by UMI.)

Accurate hybrid stochastic simulation of a system of coupled chemical or biochemical reactions.

PubMed

Salis, Howard; Kaznessis, Yiannis

2005-02-01

The dynamical solution of a well-mixed, nonlinear stochastic chemical kinetic system, described by the Master equation, may be exactly computed using the stochastic simulation algorithm. However, because the computational cost scales with the number of reaction occurrences, systems with one or more "fast" reactions become costly to simulate. This paper describes a hybrid stochastic method that partitions the system into subsets of fast and slow reactions, approximates the fast reactions as a continuous Markov process, using a chemical Langevin equation, and accurately describes the slow dynamics using the integral form of the "Next Reaction" variant of the stochastic simulation algorithm. The key innovation of this method is its mechanism of efficiently monitoring the occurrences of slow, discrete events while simultaneously simulating the dynamics of a continuous, stochastic or deterministic process. In addition, by introducing an approximation in which multiple slow reactions may occur within a time step of the numerical integration of the chemical Langevin equation, the hybrid stochastic method performs much faster with only a marginal decrease in accuracy. Multiple examples, including a biological pulse generator and a large-scale system benchmark, are simulated using the exact and proposed hybrid methods as well as, for comparison, a previous hybrid stochastic method. Probability distributions of the solutions are compared and the weak errors of the first two moments are computed. In general, these hybrid methods may be applied to the simulation of the dynamics of a system described by stochastic differential, ordinary differential, and Master equations.

Incorporating uncertainty and motion in Intensity Modulated Radiation Therapy treatment planning

NASA Astrophysics Data System (ADS)

Martin, Benjamin Charles

In radiation therapy, one seeks to destroy a tumor while minimizing the damage to surrounding healthy tissue. Intensity Modulated Radiation Therapy (IMRT) uses overlapping beams of x-rays that add up to a high dose within the target and a lower dose in the surrounding healthy tissue. IMRT relies on optimization techniques to create high quality treatments. Unfortunately, the possible conformality is limited by the need to ensure coverage even if there is organ movement or deformation. Currently, margins are added around the tumor to ensure coverage based on an assumed motion range. This approach does not ensure high quality treatments. In the standard IMRT optimization problem, an objective function measures the deviation of the dose from the clinical goals. The optimization then finds the beamlet intensities that minimize the objective function. When modeling uncertainty, the dose delivered from a given set of beamlet intensities is a random variable. Thus the objective function is also a random variable. In our stochastic formulation we minimize the expected value of this objective function. We developed a problem formulation that is both flexible and fast enough for use on real clinical cases. While working on accelerating the stochastic optimization, we developed a technique of voxel sampling. Voxel sampling is a randomized algorithms approach to a steepest descent problem based on estimating the gradient by only calculating the dose to a fraction of the voxels within the patient. When combined with an automatic sampling rate adaptation technique, voxel sampling produced an order of magnitude speed up in IMRT optimization. We also develop extensions of our results to Intensity Modulated Proton Therapy (IMPT). Due to the physics of proton beams the stochastic formulation yields visibly different and better plans than normal optimization. The results of our research have been incorporated into a software package OPT4D, which is an IMRT and IMPT optimization tool that we developed.

Study on Nonlinear Vibration Analysis of Gear System with Random Parameters

NASA Astrophysics Data System (ADS)

Tong, Cao; Liu, Xiaoyuan; Fan, Li

2018-03-01

In order to study the dynamic characteristics of gear nonlinear vibration system and the influence of random parameters, firstly, a nonlinear stochastic vibration analysis model of gear 3-DOF is established based on Newton’s Law. And the random response of gear vibration is simulated by stepwise integration method. Secondly, the influence of stochastic parameters such as meshing damping, tooth side gap and excitation frequency on the dynamic response of gear nonlinear system is analyzed by using the stability analysis method such as bifurcation diagram and Lyapunov exponent method. The analysis shows that the stochastic process can not be neglected, which can cause the random bifurcation and chaos of the system response. This study will provide important reference value for vibration engineering designers.

Control of Complex Dynamic Systems by Neural Networks

NASA Technical Reports Server (NTRS)

Spall, James C.; Cristion, John A.

1993-01-01

This paper considers the use of neural networks (NN's) in controlling a nonlinear, stochastic system with unknown process equations. The NN is used to model the resulting unknown control law. The approach here is based on using the output error of the system to train the NN controller without the need to construct a separate model (NN or other type) for the unknown process dynamics. To implement such a direct adaptive control approach, it is required that connection weights in the NN be estimated while the system is being controlled. As a result of the feedback of the unknown process dynamics, however, it is not possible to determine the gradient of the loss function for use in standard (back-propagation-type) weight estimation algorithms. Therefore, this paper considers the use of a new stochastic approximation algorithm for this weight estimation, which is based on a 'simultaneous perturbation' gradient approximation that only requires the system output error. It is shown that this algorithm can greatly enhance the efficiency over more standard stochastic approximation algorithms based on finite-difference gradient approximations.

Computer simulation of the probability that endangered whales will interact with oil spills, Final report

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

Reed, M.; Jayko, K.; Bowles, A.

1986-10-01

A numerical model system was developed to assess quantitatively the probability that endangered bowhead and gray whales will encounter spilled oil in Alaskan waters. Bowhead and gray whale migration diving-surfacing models, and an oil-spill-trajectory model comprise the system. The migration models were developed from conceptual considerations, then calibrated with and tested against observations. The distribution of animals is represented in space and time by discrete points, each of which may represent one or more whales. The movement of a whale point is governed by a random-walk algorithm which stochastically follows a migratory pathway.

Stochastic model simulation using Kronecker product analysis and Zassenhaus formula approximation.

PubMed

Caglar, Mehmet Umut; Pal, Ranadip

2013-01-01

Probabilistic Models are regularly applied in Genetic Regulatory Network modeling to capture the stochastic behavior observed in the generation of biological entities such as mRNA or proteins. Several approaches including Stochastic Master Equations and Probabilistic Boolean Networks have been proposed to model the stochastic behavior in genetic regulatory networks. It is generally accepted that Stochastic Master Equation is a fundamental model that can describe the system being investigated in fine detail, but the application of this model is computationally enormously expensive. On the other hand, Probabilistic Boolean Network captures only the coarse-scale stochastic properties of the system without modeling the detailed interactions. We propose a new approximation of the stochastic master equation model that is able to capture the finer details of the modeled system including bistabilities and oscillatory behavior, and yet has a significantly lower computational complexity. In this new method, we represent the system using tensors and derive an identity to exploit the sparse connectivity of regulatory targets for complexity reduction. The algorithm involves an approximation based on Zassenhaus formula to represent the exponential of a sum of matrices as product of matrices. We derive upper bounds on the expected error of the proposed model distribution as compared to the stochastic master equation model distribution. Simulation results of the application of the model to four different biological benchmark systems illustrate performance comparable to detailed stochastic master equation models but with considerably lower computational complexity. The results also demonstrate the reduced complexity of the new approach as compared to commonly used Stochastic Simulation Algorithm for equivalent accuracy.

Structure and Randomness of Continuous-Time, Discrete-Event Processes

NASA Astrophysics Data System (ADS)

Marzen, Sarah E.; Crutchfield, James P.

2017-10-01

Loosely speaking, the Shannon entropy rate is used to gauge a stochastic process' intrinsic randomness; the statistical complexity gives the cost of predicting the process. We calculate, for the first time, the entropy rate and statistical complexity of stochastic processes generated by finite unifilar hidden semi-Markov models—memoryful, state-dependent versions of renewal processes. Calculating these quantities requires introducing novel mathematical objects (ɛ -machines of hidden semi-Markov processes) and new information-theoretic methods to stochastic processes.

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.

Stochastic search in structural optimization - Genetic algorithms and simulated annealing

NASA Technical Reports Server (NTRS)

Hajela, Prabhat

1993-01-01

An account is given of illustrative applications of genetic algorithms and simulated annealing methods in structural optimization. The advantages of such stochastic search methods over traditional mathematical programming strategies are emphasized; it is noted that these methods offer a significantly higher probability of locating the global optimum in a multimodal design space. Both genetic-search and simulated annealing can be effectively used in problems with a mix of continuous, discrete, and integer design variables.

Fuel management optimization using genetic algorithms and code independence

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

DeChaine, M.D.; Feltus, M.A.

1994-12-31

Fuel management optimization is a hard problem for traditional optimization techniques. Loading pattern optimization is a large combinatorial problem without analytical derivative information. Therefore, methods designed for continuous functions, such as linear programming, do not always work well. Genetic algorithms (GAs) address these problems and, therefore, appear ideal for fuel management optimization. They do not require derivative information and work well with combinatorial. functions. The GAs are a stochastic method based on concepts from biological genetics. They take a group of candidate solutions, called the population, and use selection, crossover, and mutation operators to create the next generation of bettermore » solutions. The selection operator is a {open_quotes}survival-of-the-fittest{close_quotes} operation and chooses the solutions for the next generation. The crossover operator is analogous to biological mating, where children inherit a mixture of traits from their parents, and the mutation operator makes small random changes to the solutions.« less

Analysis of Phase-Type Stochastic Petri Nets With Discrete and Continuous Timing

NASA Technical Reports Server (NTRS)

Jones, Robert L.; Goode, Plesent W. (Technical Monitor)

2000-01-01

The Petri net formalism is useful in studying many discrete-state, discrete-event systems exhibiting concurrency, synchronization, and other complex behavior. As a bipartite graph, the net can conveniently capture salient aspects of the system. As a mathematical tool, the net can specify an analyzable state space. Indeed, one can reason about certain qualitative properties (from state occupancies) and how they arise (the sequence of events leading there). By introducing deterministic or random delays, the model is forced to sojourn in states some amount of time, giving rise to an underlying stochastic process, one that can be specified in a compact way and capable of providing quantitative, probabilistic measures. We formalize a new non-Markovian extension to the Petri net that captures both discrete and continuous timing in the same model. The approach affords efficient, stationary analysis in most cases and efficient transient analysis under certain restrictions. Moreover, this new formalism has the added benefit in modeling fidelity stemming from the simultaneous capture of discrete- and continuous-time events (as opposed to capturing only one and approximating the other). We show how the underlying stochastic process, which is non-Markovian, can be resolved into simpler Markovian problems that enjoy efficient solutions. Solution algorithms are provided that can be easily programmed.

Environmental Noise Could Promote Stochastic Local Stability of Behavioral Diversity Evolution

NASA Astrophysics Data System (ADS)

Zheng, Xiu-Deng; Li, Cong; Lessard, Sabin; Tao, Yi

2018-05-01

In this Letter, we investigate stochastic stability in a two-phenotype evolutionary game model for an infinite, well-mixed population undergoing discrete, nonoverlapping generations. We assume that the fitness of a phenotype is an exponential function of its expected payoff following random pairwise interactions whose outcomes randomly fluctuate with time. We show that the stochastic local stability of a constant interior equilibrium can be promoted by the random environmental noise even if the system may display a complicated nonlinear dynamics. This result provides a new perspective for a better understanding of how environmental fluctuations may contribute to the evolution of behavioral diversity.

Stochastic goal-oriented error estimation with memory

NASA Astrophysics Data System (ADS)

Ackmann, Jan; Marotzke, Jochem; Korn, Peter

2017-11-01

We propose a stochastic dual-weighted error estimator for the viscous shallow-water equation with boundaries. For this purpose, previous work on memory-less stochastic dual-weighted error estimation is extended by incorporating memory effects. The memory is introduced by describing the local truncation error as a sum of time-correlated random variables. The random variables itself represent the temporal fluctuations in local truncation errors and are estimated from high-resolution information at near-initial times. The resulting error estimator is evaluated experimentally in two classical ocean-type experiments, the Munk gyre and the flow around an island. In these experiments, the stochastic process is adapted locally to the respective dynamical flow regime. Our stochastic dual-weighted error estimator is shown to provide meaningful error bounds for a range of physically relevant goals. We prove, as well as show numerically, that our approach can be interpreted as a linearized stochastic-physics ensemble.

Two approximations of the present value distribution of a disability annuity

NASA Astrophysics Data System (ADS)

Spreeuw, Jaap

2006-02-01

The distribution function of the present value of a cash flow can be approximated by means of a distribution function of a random variable, which is also the present value of a sequence of payments, but with a simpler structure. The corresponding random variable has the same expectation as the random variable corresponding to the original distribution function and is a stochastic upper bound of convex order. A sharper upper bound can be obtained if more information about the risk is available. In this paper, it will be shown that such an approach can be adopted for disability annuities (also known as income protection policies) in a three state model under Markov assumptions. Benefits are payable during any spell of disability whilst premiums are only due whenever the insured is healthy. The quality of the two approximations is investigated by comparing the distributions obtained with the one derived from the algorithm presented in the paper by Hesselager and Norberg [Insurance Math. Econom. 18 (1996) 35-42].

Phase-Space Transport of Stochastic Chaos in Population Dynamics of Virus Spread

NASA Astrophysics Data System (ADS)

Billings, Lora; Bollt, Erik M.; Schwartz, Ira B.

2002-06-01

A general way to classify stochastic chaos is presented and applied to population dynamics models. A stochastic dynamical theory is used to develop an algorithmic tool to measure the transport across basin boundaries and predict the most probable regions of transport created by noise. The results of this tool are illustrated on a model of virus spread in a large population, where transport regions reveal how noise completes the necessary manifold intersections for the creation of emerging stochastic chaos.

Efficient rejection-based simulation of biochemical reactions with stochastic noise and delays

NASA Astrophysics Data System (ADS)

Thanh, Vo Hong; Priami, Corrado; Zunino, Roberto

2014-10-01

We propose a new exact stochastic rejection-based simulation algorithm for biochemical reactions and extend it to systems with delays. Our algorithm accelerates the simulation by pre-computing reaction propensity bounds to select the next reaction to perform. Exploiting such bounds, we are able to avoid recomputing propensities every time a (delayed) reaction is initiated or finished, as is typically necessary in standard approaches. Propensity updates in our approach are still performed, but only infrequently and limited for a small number of reactions, saving computation time and without sacrificing exactness. We evaluate the performance improvement of our algorithm by experimenting with concrete biological models.

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

Simple, Fast and Accurate Implementation of the Diffusion Approximation Algorithm for Stochastic Ion Channels with Multiple States

PubMed Central

Orio, Patricio; Soudry, Daniel

2012-01-01

Background The phenomena that emerge from the interaction of the stochastic opening and closing of ion channels (channel noise) with the non-linear neural dynamics are essential to our understanding of the operation of the nervous system. The effects that channel noise can have on neural dynamics are generally studied using numerical simulations of stochastic models. Algorithms based on discrete Markov Chains (MC) seem to be the most reliable and trustworthy, but even optimized algorithms come with a non-negligible computational cost. Diffusion Approximation (DA) methods use Stochastic Differential Equations (SDE) to approximate the behavior of a number of MCs, considerably speeding up simulation times. However, model comparisons have suggested that DA methods did not lead to the same results as in MC modeling in terms of channel noise statistics and effects on excitability. Recently, it was shown that the difference arose because MCs were modeled with coupled gating particles, while the DA was modeled using uncoupled gating particles. Implementations of DA with coupled particles, in the context of a specific kinetic scheme, yielded similar results to MC. However, it remained unclear how to generalize these implementations to different kinetic schemes, or whether they were faster than MC algorithms. Additionally, a steady state approximation was used for the stochastic terms, which, as we show here, can introduce significant inaccuracies. Main Contributions We derived the SDE explicitly for any given ion channel kinetic scheme. The resulting generic equations were surprisingly simple and interpretable – allowing an easy, transparent and efficient DA implementation, avoiding unnecessary approximations. The algorithm was tested in a voltage clamp simulation and in two different current clamp simulations, yielding the same results as MC modeling. Also, the simulation efficiency of this DA method demonstrated considerable superiority over MC methods, except when short time steps or low channel numbers were used. PMID:22629320

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<

Chaotic behavior in the locomotion of Amoeba proteus.

PubMed

Miyoshi, H; Kagawa, Y; Tsuchiya, Y

2001-01-01

The locomotion of Amoeba proteus has been investigated by algorithms evaluating correlation dimension and Lyapunov spectrum developed in the field of nonlinear science. It is presumed by these parameters whether the random behavior of the system is stochastic or deterministic. For the analysis of the nonlinear parameters, n-dimensional time-delayed vectors have been reconstructed from a time series of periphery and area of A. proteus images captured with a charge-coupled-device camera, which characterize its random motion. The correlation dimension analyzed has shown the random motion of A. proteus is subjected only to 3-4 macrovariables, though the system is a complex system composed of many degrees of freedom. Furthermore, the analysis of the Lyapunov spectrum has shown its largest exponent takes positive values. These results indicate the random behavior of A. proteus is chaotic and deterministic motion on an attractor with low dimension. It may be important for the elucidation of the cell locomotion to take account of nonlinear interactions among a small number of dynamics such as the sol-gel transformation, the cytoplasmic streaming, and the relating chemical reaction occurring in the cell.

Hybrid stochastic simulations of intracellular reaction-diffusion systems.

PubMed

Kalantzis, Georgios

2009-06-01

With the observation that stochasticity is important in biological systems, chemical kinetics have begun to receive wider interest. While the use of Monte Carlo discrete event simulations most accurately capture the variability of molecular species, they become computationally costly for complex reaction-diffusion systems with large populations of molecules. On the other hand, continuous time models are computationally efficient but they fail to capture any variability in the molecular species. In this study a hybrid stochastic approach is introduced for simulating reaction-diffusion systems. We developed an adaptive partitioning strategy in which processes with high frequency are simulated with deterministic rate-based equations, and those with low frequency using the exact stochastic algorithm of Gillespie. Therefore the stochastic behavior of cellular pathways is preserved while being able to apply it to large populations of molecules. We describe our method and demonstrate its accuracy and efficiency compared with the Gillespie algorithm for two different systems. First, a model of intracellular viral kinetics with two steady states and second, a compartmental model of the postsynaptic spine head for studying the dynamics of Ca+2 and NMDA receptors.

Regional SAR Image Segmentation Based on Fuzzy Clustering with Gamma Mixture Model

NASA Astrophysics Data System (ADS)

Li, X. L.; Zhao, Q. H.; Li, Y.

2017-09-01

Most of stochastic based fuzzy clustering algorithms are pixel-based, which can not effectively overcome the inherent speckle noise in SAR images. In order to deal with the problem, a regional SAR image segmentation algorithm based on fuzzy clustering with Gamma mixture model is proposed in this paper. First, initialize some generating points randomly on the image, the image domain is divided into many sub-regions using Voronoi tessellation technique. Each sub-region is regarded as a homogeneous area in which the pixels share the same cluster label. Then, assume the probability of the pixel to be a Gamma mixture model with the parameters respecting to the cluster which the pixel belongs to. The negative logarithm of the probability represents the dissimilarity measure between the pixel and the cluster. The regional dissimilarity measure of one sub-region is defined as the sum of the measures of pixels in the region. Furthermore, the Markov Random Field (MRF) model is extended from pixels level to Voronoi sub-regions, and then the regional objective function is established under the framework of fuzzy clustering. The optimal segmentation results can be obtained by the solution of model parameters and generating points. Finally, the effectiveness of the proposed algorithm can be proved by the qualitative and quantitative analysis from the segmentation results of the simulated and real SAR images.

Multi-fidelity stochastic collocation method for computation of statistical moments

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

Zhu, Xueyu, E-mail: xueyu-zhu@uiowa.edu; Linebarger, Erin M., E-mail: aerinline@sci.utah.edu; Xiu, Dongbin, E-mail: xiu.16@osu.edu

We present an efficient numerical algorithm to approximate the statistical moments of stochastic problems, in the presence of models with different fidelities. The method extends the multi-fidelity approximation method developed in . By combining the efficiency of low-fidelity models and the accuracy of high-fidelity models, our method exhibits fast convergence with a limited number of high-fidelity simulations. We establish an error bound of the method and present several numerical examples to demonstrate the efficiency and applicability of the multi-fidelity algorithm.

Integration of progressive hedging and dual decomposition in stochastic integer programs

DOE PAGES

Watson, Jean -Paul; Guo, Ge; Hackebeil, Gabriel; ...

2015-04-07

We present a method for integrating the Progressive Hedging (PH) algorithm and the Dual Decomposition (DD) algorithm of Carøe and Schultz for stochastic mixed-integer programs. Based on the correspondence between lower bounds obtained with PH and DD, a method to transform weights from PH to Lagrange multipliers in DD is found. Fast progress in early iterations of PH speeds up convergence of DD to an exact solution. As a result, we report computational results on server location and unit commitment instances.

The Stochastic Evolution of a Protocell: The Gillespie Algorithm in a Dynamically Varying Volume

PubMed Central

Carletti, T.; Filisetti, A.

2012-01-01

We propose an improvement of the Gillespie algorithm allowing us to study the time evolution of an ensemble of chemical reactions occurring in a varying volume, whose growth is directly related to the amount of some specific molecules, belonging to the reactions set. This allows us to study the stochastic evolution of a protocell, whose volume increases because of the production of container molecules. Several protocell models are considered and compared with the deterministic models. PMID:22536297

Stochastic stability of parametrically excited random systems

NASA Astrophysics Data System (ADS)

Labou, M.

2004-01-01

Multidegree-of-freedom dynamic systems subjected to parametric excitation are analyzed for stochastic stability. The variation of excitation intensity with time is described by the sum of a harmonic function and a stationary random process. The stability boundaries are determined by the stochastic averaging method. The effect of random parametric excitation on the stability of trivial solutions of systems of differential equations for the moments of phase variables is studied. It is assumed that the frequency of harmonic component falls within the region of combination resonances. Stability conditions for the first and second moments are obtained. It turns out that additional parametric excitation may have a stabilizing or destabilizing effect, depending on the values of certain parameters of random excitation. As an example, the stability of a beam in plane bending is analyzed.

Stochastic Semidefinite Programming: Applications and Algorithms

DTIC Science & Technology

2012-03-03

doi: 2011/09/07 13:38:21 13 TOTAL: 1 Number of Papers published in non peer-reviewed journals: Baha M. Alzalg and K. A. Ariyawansa, Stochastic...symmetric programming over integers. International Conference on Scientific Computing, Las Vegas, Nevada, July 18--21, 2011. Baha M. Alzalg. On recent...Proceeding publications (other than abstracts): PaperReceived Baha M. Alzalg, K. A. Ariyawansa. Stochastic mixed integer second-order cone programming

Methods for High-Order Multi-Scale and Stochastic Problems Analysis, Algorithms, and Applications

DTIC Science & Technology

2016-10-17

finite volume schemes, discontinuous Galerkin finite element method, and related methods, for solving computational fluid dynamics (CFD) problems and...approximation for finite element methods. (3) The development of methods of simulation and analysis for the study of large scale stochastic systems of...laws, finite element method, Bernstein-Bezier finite elements , weakly interacting particle systems, accelerated Monte Carlo, stochastic networks 16

Evolution of the concentration PDF in random environments modeled by global random walk

NASA Astrophysics Data System (ADS)

Suciu, Nicolae; Vamos, Calin; Attinger, Sabine; Knabner, Peter

2013-04-01

The evolution of the probability density function (PDF) of concentrations of chemical species transported in random environments is often modeled by ensembles of notional particles. The particles move in physical space along stochastic-Lagrangian trajectories governed by Ito equations, with drift coefficients given by the local values of the resolved velocity field and diffusion coefficients obtained by stochastic or space-filtering upscaling procedures. A general model for the sub-grid mixing also can be formulated as a system of Ito equations solving for trajectories in the composition space. The PDF is finally estimated by the number of particles in space-concentration control volumes. In spite of their efficiency, Lagrangian approaches suffer from two severe limitations. Since the particle trajectories are constructed sequentially, the demanded computing resources increase linearly with the number of particles. Moreover, the need to gather particles at the center of computational cells to perform the mixing step and to estimate statistical parameters, as well as the interpolation of various terms to particle positions, inevitably produce numerical diffusion in either particle-mesh or grid-free particle methods. To overcome these limitations, we introduce a global random walk method to solve the system of Ito equations in physical and composition spaces, which models the evolution of the random concentration's PDF. The algorithm consists of a superposition on a regular lattice of many weak Euler schemes for the set of Ito equations. Since all particles starting from a site of the space-concentration lattice are spread in a single numerical procedure, one obtains PDF estimates at the lattice sites at computational costs comparable with those for solving the system of Ito equations associated to a single particle. The new method avoids the limitations concerning the number of particles in Lagrangian approaches, completely removes the numerical diffusion, and speeds up the computation by orders of magnitude. The approach is illustrated for the transport of passive scalars in heterogeneous aquifers, with hydraulic conductivity modeled as a random field.

Hybrid stochastic simulation of reaction-diffusion systems with slow and fast dynamics

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

Strehl, Robert; Ilie, Silvana, E-mail: silvana@ryerson.ca

2015-12-21

In this paper, we present a novel hybrid method to simulate discrete stochastic reaction-diffusion models arising in biochemical signaling pathways. We study moderately stiff systems, for which we can partition each reaction or diffusion channel into either a slow or fast subset, based on its propensity. Numerical approaches missing this distinction are often limited with respect to computational run time or approximation quality. We design an approximate scheme that remedies these pitfalls by using a new blending strategy of the well-established inhomogeneous stochastic simulation algorithm and the tau-leaping simulation method. The advantages of our hybrid simulation algorithm are demonstrated onmore » three benchmarking systems, with special focus on approximation accuracy and efficiency.« less

Parameter discovery in stochastic biological models using simulated annealing and statistical model checking.

PubMed

Hussain, Faraz; Jha, Sumit K; Jha, Susmit; Langmead, Christopher J

2014-01-01

Stochastic models are increasingly used to study the behaviour of biochemical systems. While the structure of such models is often readily available from first principles, unknown quantitative features of the model are incorporated into the model as parameters. Algorithmic discovery of parameter values from experimentally observed facts remains a challenge for the computational systems biology community. We present a new parameter discovery algorithm that uses simulated annealing, sequential hypothesis testing, and statistical model checking to learn the parameters in a stochastic model. We apply our technique to a model of glucose and insulin metabolism used for in-silico validation of artificial pancreata and demonstrate its effectiveness by developing parallel CUDA-based implementation for parameter synthesis in this model.

Algorithm for repairing the damaged images of grain structures obtained from the cellular automata and measurement of grain size

NASA Astrophysics Data System (ADS)

Ramírez-López, A.; Romero-Romo, M. A.; Muñoz-Negron, D.; López-Ramírez, S.; Escarela-Pérez, R.; Duran-Valencia, C.

2012-10-01

Computational models are developed to create grain structures using mathematical algorithms based on the chaos theory such as cellular automaton, geometrical models, fractals, and stochastic methods. Because of the chaotic nature of grain structures, some of the most popular routines are based on the Monte Carlo method, statistical distributions, and random walk methods, which can be easily programmed and included in nested loops. Nevertheless, grain structures are not well defined as the results of computational errors and numerical inconsistencies on mathematical methods. Due to the finite definition of numbers or the numerical restrictions during the simulation of solidification, damaged images appear on the screen. These images must be repaired to obtain a good measurement of grain geometrical properties. Some mathematical algorithms were developed to repair, measure, and characterize grain structures obtained from cellular automata in the present work. An appropriate measurement of grain size and the corrected identification of interfaces and length are very important topics in materials science because they are the representation and validation of mathematical models with real samples. As a result, the developed algorithms are tested and proved to be appropriate and efficient to eliminate the errors and characterize the grain structures.

The Separatrix Algorithm for Synthesis and Analysis of Stochastic Simulations with Applications in Disease Modeling

PubMed Central

Klein, Daniel J.; Baym, Michael; Eckhoff, Philip

2014-01-01

Decision makers in epidemiology and other disciplines are faced with the daunting challenge of designing interventions that will be successful with high probability and robust against a multitude of uncertainties. To facilitate the decision making process in the context of a goal-oriented objective (e.g., eradicate polio by ), stochastic models can be used to map the probability of achieving the goal as a function of parameters. Each run of a stochastic model can be viewed as a Bernoulli trial in which “success” is returned if and only if the goal is achieved in simulation. However, each run can take a significant amount of time to complete, and many replicates are required to characterize each point in parameter space, so specialized algorithms are required to locate desirable interventions. To address this need, we present the Separatrix Algorithm, which strategically locates parameter combinations that are expected to achieve the goal with a user-specified probability of success (e.g. 95%). Technically, the algorithm iteratively combines density-corrected binary kernel regression with a novel information-gathering experiment design to produce results that are asymptotically correct and work well in practice. The Separatrix Algorithm is demonstrated on several test problems, and on a detailed individual-based simulation of malaria. PMID:25078087

What Is Stochastic Resonance? Definitions, Misconceptions, Debates, and Its Relevance to Biology

PubMed Central

McDonnell, Mark D.; Abbott, Derek

2009-01-01

Stochastic resonance is said to be observed when increases in levels of unpredictable fluctuations—e.g., random noise—cause an increase in a metric of the quality of signal transmission or detection performance, rather than a decrease. This counterintuitive effect relies on system nonlinearities and on some parameter ranges being “suboptimal”. Stochastic resonance has been observed, quantified, and described in a plethora of physical and biological systems, including neurons. Being a topic of widespread multidisciplinary interest, the definition of stochastic resonance has evolved significantly over the last decade or so, leading to a number of debates, misunderstandings, and controversies. Perhaps the most important debate is whether the brain has evolved to utilize random noise in vivo, as part of the “neural code”. Surprisingly, this debate has been for the most part ignored by neuroscientists, despite much indirect evidence of a positive role for noise in the brain. We explore some of the reasons for this and argue why it would be more surprising if the brain did not exploit randomness provided by noise—via stochastic resonance or otherwise—than if it did. We also challenge neuroscientists and biologists, both computational and experimental, to embrace a very broad definition of stochastic resonance in terms of signal-processing “noise benefits”, and to devise experiments aimed at verifying that random variability can play a functional role in the brain, nervous system, or other areas of biology. PMID:19562010

A shifted hyperbolic augmented Lagrangian-based artificial fish two-swarm algorithm with guaranteed convergence for constrained global optimization

NASA Astrophysics Data System (ADS)

Rocha, Ana Maria A. C.; Costa, M. Fernanda P.; Fernandes, Edite M. G. P.

2016-12-01

This article presents a shifted hyperbolic penalty function and proposes an augmented Lagrangian-based algorithm for non-convex constrained global optimization problems. Convergence to an ?-global minimizer is proved. At each iteration k, the algorithm requires the ?-global minimization of a bound constrained optimization subproblem, where ?. The subproblems are solved by a stochastic population-based metaheuristic that relies on the artificial fish swarm paradigm and a two-swarm strategy. To enhance the speed of convergence, the algorithm invokes the Nelder-Mead local search with a dynamically defined probability. Numerical experiments with benchmark functions and engineering design problems are presented. The results show that the proposed shifted hyperbolic augmented Lagrangian compares favorably with other deterministic and stochastic penalty-based methods.

GPU-Accelerated Hybrid Algorithm for 3D Localization of Fluorescent Emitters in Dense Clusters

NASA Astrophysics Data System (ADS)

Jung, Yoon; Barsic, Anthony; Piestun, Rafael; Fakhri, Nikta

In stochastic switching-based super-resolution imaging, a random subset of fluorescent emitters are imaged and localized for each frame to construct a single high resolution image. However, the condition of non-overlapping point spread functions (PSFs) imposes constraints on experimental parameters. Recent development in post processing methods such as dictionary-based sparse support recovery using compressive sensing has shown up to an order of magnitude higher recall rate than single emitter fitting methods. However, the computational complexity of this approach scales poorly with the grid size and requires long runtime. Here, we introduce a fast and accurate compressive sensing algorithm for localizing fluorescent emitters in high density in 3D, namely sparse support recovery using Orthogonal Matching Pursuit (OMP) and L1-Homotopy algorithm for reconstructing STORM images (SOLAR STORM). SOLAR STORM combines OMP with L1-Homotopy to reduce computational complexity, which is further accelerated by parallel implementation using GPUs. This method can be used in a variety of experimental conditions for both in vitro and live cell fluorescence imaging.

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

Tumuluru, Jaya Shankar; McCulloch, Richard Chet James

In this work a new hybrid genetic algorithm was developed which combines a rudimentary adaptive steepest ascent hill climbing algorithm with a sophisticated evolutionary algorithm in order to optimize complex multivariate design problems. By combining a highly stochastic algorithm (evolutionary) with a simple deterministic optimization algorithm (adaptive steepest ascent) computational resources are conserved and the solution converges rapidly when compared to either algorithm alone. In genetic algorithms natural selection is mimicked by random events such as breeding and mutation. In the adaptive steepest ascent algorithm each variable is perturbed by a small amount and the variable that caused the mostmore » improvement is incremented by a small step. If the direction of most benefit is exactly opposite of the previous direction with the most benefit then the step size is reduced by a factor of 2, thus the step size adapts to the terrain. A graphical user interface was created in MATLAB to provide an interface between the hybrid genetic algorithm and the user. Additional features such as bounding the solution space and weighting the objective functions individually are also built into the interface. The algorithm developed was tested to optimize the functions developed for a wood pelleting process. Using process variables (such as feedstock moisture content, die speed, and preheating temperature) pellet properties were appropriately optimized. Specifically, variables were found which maximized unit density, bulk density, tapped density, and durability while minimizing pellet moisture content and specific energy consumption. The time and computational resources required for the optimization were dramatically decreased using the hybrid genetic algorithm when compared to MATLAB's native evolutionary optimization tool.« less

Accelerated simulation of stochastic particle removal processes in particle-resolved aerosol models

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

Curtis, J.H.; Michelotti, M.D.; Riemer, N.

2016-10-01

Stochastic particle-resolved methods have proven useful for simulating multi-dimensional systems such as composition-resolved aerosol size distributions. While particle-resolved methods have substantial benefits for highly detailed simulations, these techniques suffer from high computational cost, motivating efforts to improve their algorithmic efficiency. Here we formulate an algorithm for accelerating particle removal processes by aggregating particles of similar size into bins. We present the Binned Algorithm for particle removal processes and analyze its performance with application to the atmospherically relevant process of aerosol dry deposition. We show that the Binned Algorithm can dramatically improve the efficiency of particle removals, particularly for low removalmore » rates, and that computational cost is reduced without introducing additional error. In simulations of aerosol particle removal by dry deposition in atmospherically relevant conditions, we demonstrate about 50-times increase in algorithm efficiency.« less

General stochastic variational formulation for the oligopolistic market equilibrium problem with excesses

NASA Astrophysics Data System (ADS)

Barbagallo, Annamaria; Di Meglio, Guglielmo; Mauro, Paolo

2017-07-01

The aim of the paper is to study, in a Hilbert space setting, a general random oligopolistic market equilibrium problem in presence of both production and demand excesses and to characterize the random Cournot-Nash equilibrium principle by means of a stochastic variational inequality. Some existence results are presented.

A stochastic algorithm for global optimization and for best populations: A test case of side chains in proteins

PubMed Central

Glick, Meir; Rayan, Anwar; Goldblum, Amiram

2002-01-01

The problem of global optimization is pivotal in a variety of scientific fields. Here, we present a robust stochastic search method that is able to find the global minimum for a given cost function, as well as, in most cases, any number of best solutions for very large combinatorial “explosive” systems. The algorithm iteratively eliminates variable values that contribute consistently to the highest end of a cost function's spectrum of values for the full system. Values that have not been eliminated are retained for a full, exhaustive search, allowing the creation of an ordered population of best solutions, which includes the global minimum. We demonstrate the ability of the algorithm to explore the conformational space of side chains in eight proteins, with 54 to 263 residues, to reproduce a population of their low energy conformations. The 1,000 lowest energy solutions are identical in the stochastic (with two different seed numbers) and full, exhaustive searches for six of eight proteins. The others retain the lowest 141 and 213 (of 1,000) conformations, depending on the seed number, and the maximal difference between stochastic and exhaustive is only about 0.15 Kcal/mol. The energy gap between the lowest and highest of the 1,000 low-energy conformers in eight proteins is between 0.55 and 3.64 Kcal/mol. This algorithm offers real opportunities for solving problems of high complexity in structural biology and in other fields of science and technology. PMID:11792838

A Hybrid of the Chemical Master Equation and the Gillespie Algorithm for Efficient Stochastic Simulations of Sub-Networks.

PubMed

Albert, Jaroslav

2016-01-01

Modeling stochastic behavior of chemical reaction networks is an important endeavor in many aspects of chemistry and systems biology. The chemical master equation (CME) and the Gillespie algorithm (GA) are the two most fundamental approaches to such modeling; however, each of them has its own limitations: the GA may require long computing times, while the CME may demand unrealistic memory storage capacity. We propose a method that combines the CME and the GA that allows one to simulate stochastically a part of a reaction network. First, a reaction network is divided into two parts. The first part is simulated via the GA, while the solution of the CME for the second part is fed into the GA in order to update its propensities. The advantage of this method is that it avoids the need to solve the CME or stochastically simulate the entire network, which makes it highly efficient. One of its drawbacks, however, is that most of the information about the second part of the network is lost in the process. Therefore, this method is most useful when only partial information about a reaction network is needed. We tested this method against the GA on two systems of interest in biology--the gene switch and the Griffith model of a genetic oscillator--and have shown it to be highly accurate. Comparing this method to four different stochastic algorithms revealed it to be at least an order of magnitude faster than the fastest among them.

Evaluation of hybrid inverse planning and optimization (HIPO) algorithm for optimization in real-time, high-dose-rate (HDR) brachytherapy for prostate.

PubMed

Pokharel, Shyam; Rana, Suresh; Blikenstaff, Joseph; Sadeghi, Amir; Prestidge, Bradley

2013-07-08

The purpose of this study is to investigate the effectiveness of the HIPO planning and optimization algorithm for real-time prostate HDR brachytherapy. This study consists of 20 patients who underwent ultrasound-based real-time HDR brachytherapy of the prostate using the treatment planning system called Oncentra Prostate (SWIFT version 3.0). The treatment plans for all patients were optimized using inverse dose-volume histogram-based optimization followed by graphical optimization (GRO) in real time. The GRO is manual manipulation of isodose lines slice by slice. The quality of the plan heavily depends on planner expertise and experience. The data for all patients were retrieved later, and treatment plans were created and optimized using HIPO algorithm with the same set of dose constraints, number of catheters, and set of contours as in the real-time optimization algorithm. The HIPO algorithm is a hybrid because it combines both stochastic and deterministic algorithms. The stochastic algorithm, called simulated annealing, searches the optimal catheter distributions for a given set of dose objectives. The deterministic algorithm, called dose-volume histogram-based optimization (DVHO), optimizes three-dimensional dose distribution quickly by moving straight downhill once it is in the advantageous region of the search space given by the stochastic algorithm. The PTV receiving 100% of the prescription dose (V100) was 97.56% and 95.38% with GRO and HIPO, respectively. The mean dose (D(mean)) and minimum dose to 10% volume (D10) for the urethra, rectum, and bladder were all statistically lower with HIPO compared to GRO using the student pair t-test at 5% significance level. HIPO can provide treatment plans with comparable target coverage to that of GRO with a reduction in dose to the critical structures.

Stochastic simulation and analysis of biomolecular reaction networks

PubMed Central

Frazier, John M; Chushak, Yaroslav; Foy, Brent

2009-01-01

Background In recent years, several stochastic simulation algorithms have been developed to generate Monte Carlo trajectories that describe the time evolution of the behavior of biomolecular reaction networks. However, the effects of various stochastic simulation and data analysis conditions on the observed dynamics of complex biomolecular reaction networks have not recieved much attention. In order to investigate these issues, we employed a a software package developed in out group, called Biomolecular Network Simulator (BNS), to simulate and analyze the behavior of such systems. The behavior of a hypothetical two gene in vitro transcription-translation reaction network is investigated using the Gillespie exact stochastic algorithm to illustrate some of the factors that influence the analysis and interpretation of these data. Results Specific issues affecting the analysis and interpretation of simulation data are investigated, including: (1) the effect of time interval on data presentation and time-weighted averaging of molecule numbers, (2) effect of time averaging interval on reaction rate analysis, (3) effect of number of simulations on precision of model predictions, and (4) implications of stochastic simulations on optimization procedures. Conclusion The two main factors affecting the analysis of stochastic simulations are: (1) the selection of time intervals to compute or average state variables and (2) the number of simulations generated to evaluate the system behavior. PMID:19534796

Accelerating the Gillespie Exact Stochastic Simulation Algorithm using hybrid parallel execution on graphics processing units.

PubMed

Komarov, Ivan; D'Souza, Roshan M

2012-01-01

The Gillespie Stochastic Simulation Algorithm (GSSA) and its variants are cornerstone techniques to simulate reaction kinetics in situations where the concentration of the reactant is too low to allow deterministic techniques such as differential equations. The inherent limitations of the GSSA include the time required for executing a single run and the need for multiple runs for parameter sweep exercises due to the stochastic nature of the simulation. Even very efficient variants of GSSA are prohibitively expensive to compute and perform parameter sweeps. Here we present a novel variant of the exact GSSA that is amenable to acceleration by using graphics processing units (GPUs). We parallelize the execution of a single realization across threads in a warp (fine-grained parallelism). A warp is a collection of threads that are executed synchronously on a single multi-processor. Warps executing in parallel on different multi-processors (coarse-grained parallelism) simultaneously generate multiple trajectories. Novel data-structures and algorithms reduce memory traffic, which is the bottleneck in computing the GSSA. Our benchmarks show an 8×-120× performance gain over various state-of-the-art serial algorithms when simulating different types of models.

Switching neuronal state: optimal stimuli revealed using a stochastically-seeded gradient algorithm.

PubMed

Chang, Joshua; Paydarfar, David

2014-12-01

Inducing a switch in neuronal state using energy optimal stimuli is relevant to a variety of problems in neuroscience. Analytical techniques from optimal control theory can identify such stimuli; however, solutions to the optimization problem using indirect variational approaches can be elusive in models that describe neuronal behavior. Here we develop and apply a direct gradient-based optimization algorithm to find stimulus waveforms that elicit a change in neuronal state while minimizing energy usage. We analyze standard models of neuronal behavior, the Hodgkin-Huxley and FitzHugh-Nagumo models, to show that the gradient-based algorithm: (1) enables automated exploration of a wide solution space, using stochastically generated initial waveforms that converge to multiple locally optimal solutions; and (2) finds optimal stimulus waveforms that achieve a physiological outcome condition, without a priori knowledge of the optimal terminal condition of all state variables. Analysis of biological systems using stochastically-seeded gradient methods can reveal salient dynamical mechanisms underlying the optimal control of system behavior. The gradient algorithm may also have practical applications in future work, for example, finding energy optimal waveforms for therapeutic neural stimulation that minimizes power usage and diminishes off-target effects and damage to neighboring tissue.

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

Genetic Algorithm and Tabu Search for Vehicle Routing Problems with Stochastic Demand

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

Ismail, Zuhaimy, E-mail: zuhaimyi@yahoo.com, E-mail: irhamahn@yahoo.com; Irhamah, E-mail: zuhaimyi@yahoo.com, E-mail: irhamahn@yahoo.com

2010-11-11

This paper presents a problem of designing solid waste collection routes, involving scheduling of vehicles where each vehicle begins at the depot, visits customers and ends at the depot. It is modeled as a Vehicle Routing Problem with Stochastic Demands (VRPSD). A data set from a real world problem (a case) is used in this research. We developed Genetic Algorithm (GA) and Tabu Search (TS) procedure and these has produced the best possible result. The problem data are inspired by real case of VRPSD in waste collection. Results from the experiment show the advantages of the proposed algorithm that aremore » its robustness and better solution qualities.« less

Efficient rejection-based simulation of biochemical reactions with stochastic noise and delays

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

Thanh, Vo Hong, E-mail: vo@cosbi.eu; Priami, Corrado, E-mail: priami@cosbi.eu; Department of Mathematics, University of Trento

2014-10-07

We propose a new exact stochastic rejection-based simulation algorithm for biochemical reactions and extend it to systems with delays. Our algorithm accelerates the simulation by pre-computing reaction propensity bounds to select the next reaction to perform. Exploiting such bounds, we are able to avoid recomputing propensities every time a (delayed) reaction is initiated or finished, as is typically necessary in standard approaches. Propensity updates in our approach are still performed, but only infrequently and limited for a small number of reactions, saving computation time and without sacrificing exactness. We evaluate the performance improvement of our algorithm by experimenting with concretemore » biological models.« less

MetaPIGA v2.0: maximum likelihood large phylogeny estimation using the metapopulation genetic algorithm and other stochastic heuristics.

PubMed

Helaers, Raphaël; Milinkovitch, Michel C

2010-07-15

The development, in the last decade, of stochastic heuristics implemented in robust application softwares has made large phylogeny inference a key step in most comparative studies involving molecular sequences. Still, the choice of a phylogeny inference software is often dictated by a combination of parameters not related to the raw performance of the implemented algorithm(s) but rather by practical issues such as ergonomics and/or the availability of specific functionalities. Here, we present MetaPIGA v2.0, a robust implementation of several stochastic heuristics for large phylogeny inference (under maximum likelihood), including a Simulated Annealing algorithm, a classical Genetic Algorithm, and the Metapopulation Genetic Algorithm (metaGA) together with complex substitution models, discrete Gamma rate heterogeneity, and the possibility to partition data. MetaPIGA v2.0 also implements the Likelihood Ratio Test, the Akaike Information Criterion, and the Bayesian Information Criterion for automated selection of substitution models that best fit the data. Heuristics and substitution models are highly customizable through manual batch files and command line processing. However, MetaPIGA v2.0 also offers an extensive graphical user interface for parameters setting, generating and running batch files, following run progress, and manipulating result trees. MetaPIGA v2.0 uses standard formats for data sets and trees, is platform independent, runs in 32 and 64-bits systems, and takes advantage of multiprocessor and multicore computers. The metaGA resolves the major problem inherent to classical Genetic Algorithms by maintaining high inter-population variation even under strong intra-population selection. Implementation of the metaGA together with additional stochastic heuristics into a single software will allow rigorous optimization of each heuristic as well as a meaningful comparison of performances among these algorithms. MetaPIGA v2.0 gives access both to high customization for the phylogeneticist, as well as to an ergonomic interface and functionalities assisting the non-specialist for sound inference of large phylogenetic trees using nucleotide sequences. MetaPIGA v2.0 and its extensive user-manual are freely available to academics at http://www.metapiga.org.

MetaPIGA v2.0: maximum likelihood large phylogeny estimation using the metapopulation genetic algorithm and other stochastic heuristics

PubMed Central

2010-01-01

Background The development, in the last decade, of stochastic heuristics implemented in robust application softwares has made large phylogeny inference a key step in most comparative studies involving molecular sequences. Still, the choice of a phylogeny inference software is often dictated by a combination of parameters not related to the raw performance of the implemented algorithm(s) but rather by practical issues such as ergonomics and/or the availability of specific functionalities. Results Here, we present MetaPIGA v2.0, a robust implementation of several stochastic heuristics for large phylogeny inference (under maximum likelihood), including a Simulated Annealing algorithm, a classical Genetic Algorithm, and the Metapopulation Genetic Algorithm (metaGA) together with complex substitution models, discrete Gamma rate heterogeneity, and the possibility to partition data. MetaPIGA v2.0 also implements the Likelihood Ratio Test, the Akaike Information Criterion, and the Bayesian Information Criterion for automated selection of substitution models that best fit the data. Heuristics and substitution models are highly customizable through manual batch files and command line processing. However, MetaPIGA v2.0 also offers an extensive graphical user interface for parameters setting, generating and running batch files, following run progress, and manipulating result trees. MetaPIGA v2.0 uses standard formats for data sets and trees, is platform independent, runs in 32 and 64-bits systems, and takes advantage of multiprocessor and multicore computers. Conclusions The metaGA resolves the major problem inherent to classical Genetic Algorithms by maintaining high inter-population variation even under strong intra-population selection. Implementation of the metaGA together with additional stochastic heuristics into a single software will allow rigorous optimization of each heuristic as well as a meaningful comparison of performances among these algorithms. MetaPIGA v2.0 gives access both to high customization for the phylogeneticist, as well as to an ergonomic interface and functionalities assisting the non-specialist for sound inference of large phylogenetic trees using nucleotide sequences. MetaPIGA v2.0 and its extensive user-manual are freely available to academics at http://www.metapiga.org. PMID:20633263

Itô and Stratonovich integrals on compound renewal processes: the normal/Poisson case

NASA Astrophysics Data System (ADS)

Germano, Guido; Politi, Mauro; Scalas, Enrico; Schilling, René L.

2010-06-01

Continuous-time random walks, or compound renewal processes, are pure-jump stochastic processes with several applications in insurance, finance, economics and physics. Based on heuristic considerations, a definition is given for stochastic integrals driven by continuous-time random walks, which includes the Itô and Stratonovich cases. It is then shown how the definition can be used to compute these two stochastic integrals by means of Monte Carlo simulations. Our example is based on the normal compound Poisson process, which in the diffusive limit converges to the Wiener process.

Quantitative analysis of random ameboid motion

NASA Astrophysics Data System (ADS)

Bödeker, H. U.; Beta, C.; Frank, T. D.; Bodenschatz, E.

2010-04-01

We quantify random migration of the social ameba Dictyostelium discoideum. We demonstrate that the statistics of cell motion can be described by an underlying Langevin-type stochastic differential equation. An analytic expression for the velocity distribution function is derived. The separation into deterministic and stochastic parts of the movement shows that the cells undergo a damped motion with multiplicative noise. Both contributions to the dynamics display a distinct response to external physiological stimuli. The deterministic component depends on the developmental state and ambient levels of signaling substances, while the stochastic part does not.

Thorough statistical comparison of machine learning regression models and their ensembles for sub-pixel imperviousness and imperviousness change mapping

NASA Astrophysics Data System (ADS)

Drzewiecki, Wojciech

2017-12-01

We evaluated the performance of nine machine learning regression algorithms and their ensembles for sub-pixel estimation of impervious areas coverages from Landsat imagery. The accuracy of imperviousness mapping in individual time points was assessed based on RMSE, MAE and R2. These measures were also used for the assessment of imperviousness change intensity estimations. The applicability for detection of relevant changes in impervious areas coverages at sub-pixel level was evaluated using overall accuracy, F-measure and ROC Area Under Curve. The results proved that Cubist algorithm may be advised for Landsat-based mapping of imperviousness for single dates. Stochastic gradient boosting of regression trees (GBM) may be also considered for this purpose. However, Random Forest algorithm is endorsed for both imperviousness change detection and mapping of its intensity. In all applications the heterogeneous model ensembles performed at least as well as the best individual models or better. They may be recommended for improving the quality of sub-pixel imperviousness and imperviousness change mapping. The study revealed also limitations of the investigated methodology for detection of subtle changes of imperviousness inside the pixel. None of the tested approaches was able to reliably classify changed and non-changed pixels if the relevant change threshold was set as one or three percent. Also for fi ve percent change threshold most of algorithms did not ensure that the accuracy of change map is higher than the accuracy of random classifi er. For the threshold of relevant change set as ten percent all approaches performed satisfactory.

Convergence Rates of Finite Difference Stochastic Approximation Algorithms

DTIC Science & Technology

2016-06-01

dfferences as gradient approximations. It is shown that the convergence of these algorithms can be accelerated by controlling the implementation of the...descent algorithm, under various updating schemes using finite dfferences as gradient approximations. It is shown that the convergence of these...the Kiefer-Wolfowitz algorithm and the mirror descent algorithm, under various updating schemes using finite differences as gradient approximations. It

A HIERARCHIAL STOCHASTIC MODEL OF LARGE SCALE ATMOSPHERIC CIRCULATION PATTERNS AND MULTIPLE STATION DAILY PRECIPITATION

EPA Science Inventory

A stochastic model of weather states and concurrent daily precipitation at multiple precipitation stations is described. our algorithms are invested for classification of daily weather states; k means, fuzzy clustering, principal components, and principal components coupled with ...

AESS: Accelerated Exact Stochastic Simulation

NASA Astrophysics Data System (ADS)

Jenkins, David D.; Peterson, Gregory D.

2011-12-01

The Stochastic Simulation Algorithm (SSA) developed by Gillespie provides a powerful mechanism for exploring the behavior of chemical systems with small species populations or with important noise contributions. Gene circuit simulations for systems biology commonly employ the SSA method, as do ecological applications. This algorithm tends to be computationally expensive, so researchers seek an efficient implementation of SSA. In this program package, the Accelerated Exact Stochastic Simulation Algorithm (AESS) contains optimized implementations of Gillespie's SSA that improve the performance of individual simulation runs or ensembles of simulations used for sweeping parameters or to provide statistically significant results. Program summaryProgram title: AESS Catalogue identifier: AEJW_v1_0 Program summary URL:http://cpc.cs.qub.ac.uk/summaries/AEJW_v1_0.html Program obtainable from: CPC Program Library, Queen's University, Belfast, N. Ireland Licensing provisions: University of Tennessee copyright agreement No. of lines in distributed program, including test data, etc.: 10 861 No. of bytes in distributed program, including test data, etc.: 394 631 Distribution format: tar.gz Programming language: C for processors, CUDA for NVIDIA GPUs Computer: Developed and tested on various x86 computers and NVIDIA C1060 Tesla and GTX 480 Fermi GPUs. The system targets x86 workstations, optionally with multicore processors or NVIDIA GPUs as accelerators. Operating system: Tested under Ubuntu Linux OS and CentOS 5.5 Linux OS Classification: 3, 16.12 Nature of problem: Simulation of chemical systems, particularly with low species populations, can be accurately performed using Gillespie's method of stochastic simulation. Numerous variations on the original stochastic simulation algorithm have been developed, including approaches that produce results with statistics that exactly match the chemical master equation (CME) as well as other approaches that approximate the CME. Solution method: The Accelerated Exact Stochastic Simulation (AESS) tool provides implementations of a wide variety of popular variations on the Gillespie method. Users can select the specific algorithm considered most appropriate. Comparisons between the methods and with other available implementations indicate that AESS provides the fastest known implementation of Gillespie's method for a variety of test models. Users may wish to execute ensembles of simulations to sweep parameters or to obtain better statistical results, so AESS supports acceleration of ensembles of simulation using parallel processing with MPI, SSE vector units on x86 processors, and/or using NVIDIA GPUs with CUDA.

A stochastic method for stand-alone photovoltaic system sizing

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

Cabral, Claudia Valeria Tavora; Filho, Delly Oliveira; Martins, Jose Helvecio

Photovoltaic systems utilize solar energy to generate electrical energy to meet load demands. Optimal sizing of these systems includes the characterization of solar radiation. Solar radiation at the Earth's surface has random characteristics and has been the focus of various academic studies. The objective of this study was to stochastically analyze parameters involved in the sizing of photovoltaic generators and develop a methodology for sizing of stand-alone photovoltaic systems. Energy storage for isolated systems and solar radiation were analyzed stochastically due to their random behavior. For the development of the methodology proposed stochastic analysis were studied including the Markov chainmore » and beta probability density function. The obtained results were compared with those for sizing of stand-alone using from the Sandia method (deterministic), in which the stochastic model presented more reliable values. Both models present advantages and disadvantages; however, the stochastic one is more complex and provides more reliable and realistic results. (author)« less

Deterministic and stochastic bifurcations in the Hindmarsh-Rose neuronal model

NASA Astrophysics Data System (ADS)

Dtchetgnia Djeundam, S. R.; Yamapi, R.; Kofane, T. C.; Aziz-Alaoui, M. A.

2013-09-01

We analyze the bifurcations occurring in the 3D Hindmarsh-Rose neuronal model with and without random signal. When under a sufficient stimulus, the neuron activity takes place; we observe various types of bifurcations that lead to chaotic transitions. Beside the equilibrium solutions and their stability, we also investigate the deterministic bifurcation. It appears that the neuronal activity consists of chaotic transitions between two periodic phases called bursting and spiking solutions. The stochastic bifurcation, defined as a sudden change in character of a stochastic attractor when the bifurcation parameter of the system passes through a critical value, or under certain condition as the collision of a stochastic attractor with a stochastic saddle, occurs when a random Gaussian signal is added. Our study reveals two kinds of stochastic bifurcation: the phenomenological bifurcation (P-bifurcations) and the dynamical bifurcation (D-bifurcations). The asymptotical method is used to analyze phenomenological bifurcation. We find that the neuronal activity of spiking and bursting chaos remains for finite values of the noise intensity.

A stochastic tabu search algorithm to align physician schedule with patient flow.

PubMed

Niroumandrad, Nazgol; Lahrichi, Nadia

2018-06-01

In this study, we consider the pretreatment phase for cancer patients. This is defined as the period between the referral to a cancer center and the confirmation of the treatment plan. Physicians have been identified as bottlenecks in this process, and the goal is to determine a weekly cyclic schedule that improves the patient flow and shortens the pretreatment duration. High uncertainty is associated with the arrival day, profile and type of cancer of each patient. We also include physician satisfaction in the objective function. We present a MIP model for the problem and develop a tabu search algorithm, considering both deterministic and stochastic cases. Experiments show that our method compares very well to CPLEX under deterministic conditions. We describe the stochastic approach in detail and present a real application.

Three-dimensional scene encryption and display based on computer-generated holograms.

PubMed

Kong, Dezhao; Cao, Liangcai; Jin, Guofan; Javidi, Bahram

2016-10-10

An optical encryption and display method for a three-dimensional (3D) scene is proposed based on computer-generated holograms (CGHs) using a single phase-only spatial light modulator. The 3D scene is encoded as one complex Fourier CGH. The Fourier CGH is then decomposed into two phase-only CGHs with random distributions by the vector stochastic decomposition algorithm. Two CGHs are interleaved as one final phase-only CGH for optical encryption and reconstruction. The proposed method can support high-level nonlinear optical 3D scene security and complex amplitude modulation of the optical field. The exclusive phase key offers strong resistances of decryption attacks. Experimental results demonstrate the validity of the novel method.

Combining a popularity-productivity stochastic block model with a discriminative-content model for general structure detection.

PubMed

Chai, Bian-fang; Yu, Jian; Jia, Cai-Yan; Yang, Tian-bao; Jiang, Ya-wen

2013-07-01

Latent community discovery that combines links and contents of a text-associated network has drawn more attention with the advance of social media. Most of the previous studies aim at detecting densely connected communities and are not able to identify general structures, e.g., bipartite structure. Several variants based on the stochastic block model are more flexible for exploring general structures by introducing link probabilities between communities. However, these variants cannot identify the degree distributions of real networks due to a lack of modeling of the differences among nodes, and they are not suitable for discovering communities in text-associated networks because they ignore the contents of nodes. In this paper, we propose a popularity-productivity stochastic block (PPSB) model by introducing two random variables, popularity and productivity, to model the differences among nodes in receiving links and producing links, respectively. This model has the flexibility of existing stochastic block models in discovering general community structures and inherits the richness of previous models that also exploit popularity and productivity in modeling the real scale-free networks with power law degree distributions. To incorporate the contents in text-associated networks, we propose a combined model which combines the PPSB model with a discriminative model that models the community memberships of nodes by their contents. We then develop expectation-maximization (EM) algorithms to infer the parameters in the two models. Experiments on synthetic and real networks have demonstrated that the proposed models can yield better performances than previous models, especially on networks with general structures.

Combining a popularity-productivity stochastic block model with a discriminative-content model for general structure detection

NASA Astrophysics Data System (ADS)

Chai, Bian-fang; Yu, Jian; Jia, Cai-yan; Yang, Tian-bao; Jiang, Ya-wen

2013-07-01

Latent community discovery that combines links and contents of a text-associated network has drawn more attention with the advance of social media. Most of the previous studies aim at detecting densely connected communities and are not able to identify general structures, e.g., bipartite structure. Several variants based on the stochastic block model are more flexible for exploring general structures by introducing link probabilities between communities. However, these variants cannot identify the degree distributions of real networks due to a lack of modeling of the differences among nodes, and they are not suitable for discovering communities in text-associated networks because they ignore the contents of nodes. In this paper, we propose a popularity-productivity stochastic block (PPSB) model by introducing two random variables, popularity and productivity, to model the differences among nodes in receiving links and producing links, respectively. This model has the flexibility of existing stochastic block models in discovering general community structures and inherits the richness of previous models that also exploit popularity and productivity in modeling the real scale-free networks with power law degree distributions. To incorporate the contents in text-associated networks, we propose a combined model which combines the PPSB model with a discriminative model that models the community memberships of nodes by their contents. We then develop expectation-maximization (EM) algorithms to infer the parameters in the two models. Experiments on synthetic and real networks have demonstrated that the proposed models can yield better performances than previous models, especially on networks with general structures.

Phase locking of a seven-channel continuous wave fibre laser system by a stochastic parallel gradient algorithm

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

Volkov, M V; Garanin, S G; Dolgopolov, Yu V

2014-11-30

A seven-channel fibre laser system operated by the master oscillator – multichannel power amplifier scheme is the phase locked using a stochastic parallel gradient algorithm. The phase modulators on lithium niobate crystals are controlled by a multichannel electronic unit with the microcontroller processing signals in real time. The dynamic phase locking of the laser system with the bandwidth of 14 kHz is demonstrated, the time of phasing is 3 – 4 ms. (fibre and integrated-optical structures)

Comment on "Comment on 'Constant temperature molecular dynamics simulations by means of a stochastic collision model. II. The harmonic oscillator' [J. Chem. Phys. 104, 3732 (1996)]" [J. Chem. Phys. 106, 1646 (1997)].

PubMed

Kast, Stefan M

2004-03-08

An argument brought forward by Sholl and Fichthorn against the stochastic collision-based constant temperature algorithm for molecular dynamics simulations developed by Kast et al. is refuted. It is demonstrated that the large temperature fluctuations noted by Sholl and Fichthorn are due to improperly chosen initial conditions within their formulation of the algorithm. With the original form or by suitable initialization of their variant no deficient behavior is observed.

Stochastic optimization of broadband reflecting photonic structures.

PubMed

Estrada-Wiese, D; Del Río-Chanona, E A; Del Río, J A

2018-01-19

Photonic crystals (PCs) are built to control the propagation of light within their structure. These can be used for an assortment of applications where custom designed devices are of interest. Among them, one-dimensional PCs can be produced to achieve the reflection of specific and broad wavelength ranges. However, their design and fabrication are challenging due to the diversity of periodic arrangement and layer configuration that each different PC needs. In this study, we present a framework to design high reflecting PCs for any desired wavelength range. Our method combines three stochastic optimization algorithms (Random Search, Particle Swarm Optimization and Simulated Annealing) along with a reduced space-search methodology to obtain a custom and optimized PC configuration. The optimization procedure is evaluated through theoretical reflectance spectra calculated by using the Equispaced Thickness Method, which improves the simulations due to the consideration of incoherent light transmission. We prove the viability of our procedure by fabricating different reflecting PCs made of porous silicon and obtain good agreement between experiment and theory using a merit function. With this methodology, diverse reflecting PCs can be designed for any applications and fabricated with different materials.

Waveform inversion with source encoding for breast sound speed reconstruction in ultrasound computed tomography.

PubMed

Wang, Kun; Matthews, Thomas; Anis, Fatima; Li, Cuiping; Duric, Neb; Anastasio, Mark A

2015-03-01

Ultrasound computed tomography (USCT) holds great promise for improving the detection and management of breast cancer. Because they are based on the acoustic wave equation, waveform inversion-based reconstruction methods can produce images that possess improved spatial resolution properties over those produced by ray-based methods. However, waveform inversion methods are computationally demanding and have not been applied widely in USCT breast imaging. In this work, source encoding concepts are employed to develop an accelerated USCT reconstruction method that circumvents the large computational burden of conventional waveform inversion methods. This method, referred to as the waveform inversion with source encoding (WISE) method, encodes the measurement data using a random encoding vector and determines an estimate of the sound speed distribution by solving a stochastic optimization problem by use of a stochastic gradient descent algorithm. Both computer simulation and experimental phantom studies are conducted to demonstrate the use of the WISE method. The results suggest that the WISE method maintains the high spatial resolution of waveform inversion methods while significantly reducing the computational burden.

Time Series Modeling of Nano-Gold Immunochromatographic Assay via Expectation Maximization Algorithm.

PubMed

Zeng, Nianyin; Wang, Zidong; Li, Yurong; Du, Min; Cao, Jie; Liu, Xiaohui

2013-12-01

In this paper, the expectation maximization (EM) algorithm is applied to the modeling of the nano-gold immunochromatographic assay (nano-GICA) via available time series of the measured signal intensities of the test and control lines. The model for the nano-GICA is developed as the stochastic dynamic model that consists of a first-order autoregressive stochastic dynamic process and a noisy measurement. By using the EM algorithm, the model parameters, the actual signal intensities of the test and control lines, as well as the noise intensity can be identified simultaneously. Three different time series data sets concerning the target concentrations are employed to demonstrate the effectiveness of the introduced algorithm. Several indices are also proposed to evaluate the inferred models. It is shown that the model fits the data very well.

A Numerical Method for the Simulation of Skew Brownian Motion and its Application to Diffusive Shock Acceleration of Charged Particles

NASA Astrophysics Data System (ADS)

McEvoy, Erica L.

Stochastic differential equations are becoming a popular tool for modeling the transport and acceleration of cosmic rays in the heliosphere. In diffusive shock acceleration, cosmic rays diffuse across a region of discontinuity where the up- stream diffusion coefficient abruptly changes to the downstream value. Because the method of stochastic integration has not yet been developed to handle these types of discontinuities, I utilize methods and ideas from probability theory to develop a conceptual framework for the treatment of such discontinuities. Using this framework, I then produce some simple numerical algorithms that allow one to incorporate and simulate a variety of discontinuities (or boundary conditions) using stochastic integration. These algorithms were then modified to create a new algorithm which incorporates the discontinuous change in diffusion coefficient found in shock acceleration (known as Skew Brownian Motion). The originality of this algorithm lies in the fact that it is the first of its kind to be statistically exact, so that one obtains accuracy without the use of approximations (other than the machine precision error). I then apply this algorithm to model the problem of diffusive shock acceleration, modifying it to incorporate the additional effect of the discontinuous flow speed profile found at the shock. A steady-state solution is obtained that accurately simulates this phenomenon. This result represents a significant improvement over previous approximation algorithms, and will be useful for the simulation of discontinuous diffusion processes in other fields, such as biology and finance.

Mean-Potential Law in Evolutionary Games

NASA Astrophysics Data System (ADS)

Nałecz-Jawecki, Paweł; Miekisz, Jacek

2018-01-01

The Letter presents a novel way to connect random walks, stochastic differential equations, and evolutionary game theory. We introduce a new concept of a potential function for discrete-space stochastic systems. It is based on a correspondence between one-dimensional stochastic differential equations and random walks, which may be exact not only in the continuous limit but also in finite-state spaces. Our method is useful for computation of fixation probabilities in discrete stochastic dynamical systems with two absorbing states. We apply it to evolutionary games, formulating two simple and intuitive criteria for evolutionary stability of pure Nash equilibria in finite populations. In particular, we show that the 1 /3 law of evolutionary games, introduced by Nowak et al. [Nature, 2004], follows from a more general mean-potential law.

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.

Evolutionary stability concepts in a stochastic environment

NASA Astrophysics Data System (ADS)

Zheng, Xiu-Deng; Li, Cong; Lessard, Sabin; Tao, Yi

2017-09-01

Over the past 30 years, evolutionary game theory and the concept of an evolutionarily stable strategy have been not only extensively developed and successfully applied to explain the evolution of animal behaviors, but also widely used in economics and social sciences. Nonetheless, the stochastic dynamical properties of evolutionary games in randomly fluctuating environments are still unclear. In this study, we investigate conditions for stochastic local stability of fixation states and constant interior equilibria in a two-phenotype model with random payoffs following pairwise interactions. Based on this model, we develop the concepts of stochastic evolutionary stability (SES) and stochastic convergence stability (SCS). We show that the condition for a pure strategy to be SES and SCS is more stringent than in a constant environment, while the condition for a constant mixed strategy to be SES is less stringent than the condition to be SCS, which is less stringent than the condition in a constant environment.

Stochastic Robust Mathematical Programming Model for Power System Optimization

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

Liu, Cong; Changhyeok, Lee; Haoyong, Chen

2016-01-01

This paper presents a stochastic robust framework for two-stage power system optimization problems with uncertainty. The model optimizes the probabilistic expectation of different worst-case scenarios with ifferent uncertainty sets. A case study of unit commitment shows the effectiveness of the proposed model and algorithms.

Online POMDP Algorithms for Very Large Observation Spaces

DTIC Science & Technology

2017-06-06

stochastic optimization: From sets to paths." In Advances in Neural Information Processing Systems, pp. 1585- 1593 . 2015. • Luo, Yuanfu, Haoyu Bai...and Wee Sun Lee. "Adaptive stochastic optimization: From sets to paths." In Advances in Neural Information Processing Systems, pp. 1585- 1593 . 2015

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

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

Simulation of multivariate stationary stochastic processes using dimension-reduction representation methods

NASA Astrophysics Data System (ADS)

Liu, Zhangjun; Liu, Zenghui; Peng, Yongbo

2018-03-01

In view of the Fourier-Stieltjes integral formula of multivariate stationary stochastic processes, a unified formulation accommodating spectral representation method (SRM) and proper orthogonal decomposition (POD) is deduced. By introducing random functions as constraints correlating the orthogonal random variables involved in the unified formulation, the dimension-reduction spectral representation method (DR-SRM) and the dimension-reduction proper orthogonal decomposition (DR-POD) are addressed. The proposed schemes are capable of representing the multivariate stationary stochastic process with a few elementary random variables, bypassing the challenges of high-dimensional random variables inherent in the conventional Monte Carlo methods. In order to accelerate the numerical simulation, the technique of Fast Fourier Transform (FFT) is integrated with the proposed schemes. For illustrative purposes, the simulation of horizontal wind velocity field along the deck of a large-span bridge is proceeded using the proposed methods containing 2 and 3 elementary random variables. Numerical simulation reveals the usefulness of the dimension-reduction representation methods.

An invariance property of generalized Pearson random walks in bounded geometries

NASA Astrophysics Data System (ADS)

Mazzolo, Alain

2009-03-01

Invariance properties of random walks in bounded domains are a topic of growing interest since they contribute to improving our understanding of diffusion in confined geometries. Recently, limited to Pearson random walks with exponentially distributed straight paths, it has been shown that under isotropic uniform incidence, the average length of the trajectories through the domain is independent of the random walk characteristic and depends only on the ratio of the volume's domain over its surface. In this paper, thanks to arguments of integral geometry, we generalize this property to any isotropic bounded stochastic process and we give the conditions of its validity for isotropic unbounded stochastic processes. The analytical form for the traveled distance from the boundary to the first scattering event that ensures the validity of the Cauchy formula is also derived. The generalization of the Cauchy formula is an analytical constraint that thus concerns a very wide range of stochastic processes, from the original Pearson random walk to a Rayleigh distribution of the displacements, covering many situations of physical importance.

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

Method of model reduction and multifidelity models for solute transport in random layered porous media

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

Xu, Zhijie; Tartakovsky, Alexandre M.

This work presents a hierarchical model for solute transport in bounded layered porous media with random permeability. The model generalizes the Taylor-Aris dispersion theory to stochastic transport in random layered porous media with a known velocity covariance function. In the hierarchical model, we represent (random) concentration in terms of its cross-sectional average and a variation function. We derive a one-dimensional stochastic advection-dispersion-type equation for the average concentration and a stochastic Poisson equation for the variation function, as well as expressions for the effective velocity and dispersion coefficient. We observe that velocity fluctuations enhance dispersion in a non-monotonic fashion: the dispersionmore » initially increases with correlation length λ, reaches a maximum, and decreases to zero at infinity. Maximum enhancement can be obtained at the correlation length about 0.25 the size of the porous media perpendicular to flow.« less

From Complex to Simple: Interdisciplinary Stochastic Models

ERIC Educational Resources Information Center

Mazilu, D. A.; Zamora, G.; Mazilu, I.

2012-01-01

We present two simple, one-dimensional, stochastic models that lead to a qualitative understanding of very complex systems from biology, nanoscience and social sciences. The first model explains the complicated dynamics of microtubules, stochastic cellular highways. Using the theory of random walks in one dimension, we find analytical expressions…

The development of the deterministic nonlinear PDEs in particle physics to stochastic case

NASA Astrophysics Data System (ADS)

Abdelrahman, Mahmoud A. E.; Sohaly, M. A.

2018-06-01

In the present work, accuracy method called, Riccati-Bernoulli Sub-ODE technique is used for solving the deterministic and stochastic case of the Phi-4 equation and the nonlinear Foam Drainage equation. Also, the control on the randomness input is studied for stability stochastic process solution.

A "Hands on" Strategy for Teaching Genetic Algorithms to Undergraduates

ERIC Educational Resources Information Center

Venables, Anne; Tan, Grace

2007-01-01

Genetic algorithms (GAs) are a problem solving strategy that uses stochastic search. Since their introduction (Holland, 1975), GAs have proven to be particularly useful for solving problems that are "intractable" using classical methods. The language of genetic algorithms (GAs) is heavily laced with biological metaphors from evolutionary…

A chance-constrained stochastic approach to intermodal container routing problems.

PubMed

Zhao, Yi; Liu, Ronghui; Zhang, Xi; Whiteing, Anthony

2018-01-01

We consider a container routing problem with stochastic time variables in a sea-rail intermodal transportation system. The problem is formulated as a binary integer chance-constrained programming model including stochastic travel times and stochastic transfer time, with the objective of minimising the expected total cost. Two chance constraints are proposed to ensure that the container service satisfies ship fulfilment and cargo on-time delivery with pre-specified probabilities. A hybrid heuristic algorithm is employed to solve the binary integer chance-constrained programming model. Two case studies are conducted to demonstrate the feasibility of the proposed model and to analyse the impact of stochastic variables and chance-constraints on the optimal solution and total cost.

A chance-constrained stochastic approach to intermodal container routing problems

PubMed Central

Zhao, Yi; Zhang, Xi; Whiteing, Anthony

2018-01-01

We consider a container routing problem with stochastic time variables in a sea-rail intermodal transportation system. The problem is formulated as a binary integer chance-constrained programming model including stochastic travel times and stochastic transfer time, with the objective of minimising the expected total cost. Two chance constraints are proposed to ensure that the container service satisfies ship fulfilment and cargo on-time delivery with pre-specified probabilities. A hybrid heuristic algorithm is employed to solve the binary integer chance-constrained programming model. Two case studies are conducted to demonstrate the feasibility of the proposed model and to analyse the impact of stochastic variables and chance-constraints on the optimal solution and total cost. PMID:29438389

Uncertainty Propagation for Turbulent, Compressible Flow in a Quasi-1D Nozzle Using Stochastic Methods

NASA Technical Reports Server (NTRS)

Zang, Thomas A.; Mathelin, Lionel; Hussaini, M. Yousuff; Bataille, Francoise

2003-01-01

This paper describes a fully spectral, Polynomial Chaos method for the propagation of uncertainty in numerical simulations of compressible, turbulent flow, as well as a novel stochastic collocation algorithm for the same application. The stochastic collocation method is key to the efficient use of stochastic methods on problems with complex nonlinearities, such as those associated with the turbulence model equations in compressible flow and for CFD schemes requiring solution of a Riemann problem. Both methods are applied to compressible flow in a quasi-one-dimensional nozzle. The stochastic collocation method is roughly an order of magnitude faster than the fully Galerkin Polynomial Chaos method on the inviscid problem.

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…

Development and Evaluation of a New Air Exchange Rate Algorithm for the Stochastic Human Exposure and Dose Simulation Model (ISES Presentation)

EPA Science Inventory

Previous exposure assessment panel studies have observed considerable seasonal, between-home and between-city variability in residential pollutant infiltration. This is likely a result of differences in home ventilation, or air exchange rates (AER). The Stochastic Human Exposure ...

GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

2015-01-01

The realized stochastic volatility (RSV) model that utilizes the realized volatility as additional information has been proposed to infer volatility of financial time series. We consider the Bayesian inference of the RSV model by the Hybrid Monte Carlo (HMC) algorithm. The HMC algorithm can be parallelized and thus performed on the GPU for speedup. The GPU code is developed with CUDA Fortran. We compare the computational time in performing the HMC algorithm on GPU (GTX 760) and CPU (Intel i7-4770 3.4GHz) and find that the GPU can be up to 17 times faster than the CPU. We also code the program with OpenACC and find that appropriate coding can achieve the similar speedup with CUDA Fortran.

A hybrid algorithm for coupling partial differential equation and compartment-based dynamics.

PubMed

Harrison, Jonathan U; Yates, Christian A

2016-09-01

Stochastic simulation methods can be applied successfully to model exact spatio-temporally resolved reaction-diffusion systems. However, in many cases, these methods can quickly become extremely computationally intensive with increasing particle numbers. An alternative description of many of these systems can be derived in the diffusive limit as a deterministic, continuum system of partial differential equations (PDEs). Although the numerical solution of such PDEs is, in general, much more efficient than the full stochastic simulation, the deterministic continuum description is generally not valid when copy numbers are low and stochastic effects dominate. Therefore, to take advantage of the benefits of both of these types of models, each of which may be appropriate in different parts of a spatial domain, we have developed an algorithm that can be used to couple these two types of model together. This hybrid coupling algorithm uses an overlap region between the two modelling regimes. By coupling fluxes at one end of the interface and using a concentration-matching condition at the other end, we ensure that mass is appropriately transferred between PDE- and compartment-based regimes. Our methodology gives notable reductions in simulation time in comparison with using a fully stochastic model, while maintaining the important stochastic features of the system and providing detail in appropriate areas of the domain. We test our hybrid methodology robustly by applying it to several biologically motivated problems including diffusion and morphogen gradient formation. Our analysis shows that the resulting error is small, unbiased and does not grow over time. © 2016 The Authors.

A hybrid algorithm for coupling partial differential equation and compartment-based dynamics

PubMed Central

Yates, Christian A.

2016-01-01

Stochastic simulation methods can be applied successfully to model exact spatio-temporally resolved reaction–diffusion systems. However, in many cases, these methods can quickly become extremely computationally intensive with increasing particle numbers. An alternative description of many of these systems can be derived in the diffusive limit as a deterministic, continuum system of partial differential equations (PDEs). Although the numerical solution of such PDEs is, in general, much more efficient than the full stochastic simulation, the deterministic continuum description is generally not valid when copy numbers are low and stochastic effects dominate. Therefore, to take advantage of the benefits of both of these types of models, each of which may be appropriate in different parts of a spatial domain, we have developed an algorithm that can be used to couple these two types of model together. This hybrid coupling algorithm uses an overlap region between the two modelling regimes. By coupling fluxes at one end of the interface and using a concentration-matching condition at the other end, we ensure that mass is appropriately transferred between PDE- and compartment-based regimes. Our methodology gives notable reductions in simulation time in comparison with using a fully stochastic model, while maintaining the important stochastic features of the system and providing detail in appropriate areas of the domain. We test our hybrid methodology robustly by applying it to several biologically motivated problems including diffusion and morphogen gradient formation. Our analysis shows that the resulting error is small, unbiased and does not grow over time. PMID:27628171

A Simplified Treatment of Brownian Motion and Stochastic Differential Equations Arising in Financial Mathematics

ERIC Educational Resources Information Center

Parlar, Mahmut

2004-01-01

Brownian motion is an important stochastic process used in modelling the random evolution of stock prices. In their 1973 seminal paper--which led to the awarding of the 1997 Nobel prize in Economic Sciences--Fischer Black and Myron Scholes assumed that the random stock price process is described (i.e., generated) by Brownian motion. Despite its…

Ignition probability of polymer-bonded explosives accounting for multiple sources of material stochasticity

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

Kim, S.; Barua, A.; Zhou, M., E-mail: min.zhou@me.gatech.edu

2014-05-07

Accounting for the combined effect of multiple sources of stochasticity in material attributes, we develop an approach that computationally predicts the probability of ignition of polymer-bonded explosives (PBXs) under impact loading. The probabilistic nature of the specific ignition processes is assumed to arise from two sources of stochasticity. The first source involves random variations in material microstructural morphology; the second source involves random fluctuations in grain-binder interfacial bonding strength. The effect of the first source of stochasticity is analyzed with multiple sets of statistically similar microstructures and constant interfacial bonding strength. Subsequently, each of the microstructures in the multiple setsmore » is assigned multiple instantiations of randomly varying grain-binder interfacial strengths to analyze the effect of the second source of stochasticity. Critical hotspot size-temperature states reaching the threshold for ignition are calculated through finite element simulations that explicitly account for microstructure and bulk and interfacial dissipation to quantify the time to criticality (t{sub c}) of individual samples, allowing the probability distribution of the time to criticality that results from each source of stochastic variation for a material to be analyzed. Two probability superposition models are considered to combine the effects of the multiple sources of stochasticity. The first is a parallel and series combination model, and the second is a nested probability function model. Results show that the nested Weibull distribution provides an accurate description of the combined ignition probability. The approach developed here represents a general framework for analyzing the stochasticity in the material behavior that arises out of multiple types of uncertainty associated with the structure, design, synthesis and processing of materials.« less

Spread of information and infection on finite random networks

NASA Astrophysics Data System (ADS)

Isham, Valerie; Kaczmarska, Joanna; Nekovee, Maziar

2011-04-01

The modeling of epidemic-like processes on random networks has received considerable attention in recent years. While these processes are inherently stochastic, most previous work has been focused on deterministic models that ignore important fluctuations that may persist even in the infinite network size limit. In a previous paper, for a class of epidemic and rumor processes, we derived approximate models for the full probability distribution of the final size of the epidemic, as opposed to only mean values. In this paper we examine via direct simulations the adequacy of the approximate model to describe stochastic epidemics and rumors on several random network topologies: homogeneous networks, Erdös-Rényi (ER) random graphs, Barabasi-Albert scale-free networks, and random geometric graphs. We find that the approximate model is reasonably accurate in predicting the probability of spread. However, the position of the threshold and the conditional mean of the final size for processes near the threshold are not well described by the approximate model even in the case of homogeneous networks. We attribute this failure to the presence of other structural properties beyond degree-degree correlations, and in particular clustering, which are present in any finite network but are not incorporated in the approximate model. In order to test this “hypothesis” we perform additional simulations on a set of ER random graphs where degree-degree correlations and clustering are separately and independently introduced using recently proposed algorithms from the literature. Our results show that even strong degree-degree correlations have only weak effects on the position of the threshold and the conditional mean of the final size. On the other hand, the introduction of clustering greatly affects both the position of the threshold and the conditional mean. Similar analysis for the Barabasi-Albert scale-free network confirms the significance of clustering on the dynamics of rumor spread. For this network, though, with its highly skewed degree distribution, the addition of positive correlation had a much stronger effect on the final size distribution than was found for the simple random graph.

Numerical Approach to Spatial Deterministic-Stochastic Models Arising in Cell Biology.

PubMed

Schaff, James C; Gao, Fei; Li, Ye; Novak, Igor L; Slepchenko, Boris M

2016-12-01

Hybrid deterministic-stochastic methods provide an efficient alternative to a fully stochastic treatment of models which include components with disparate levels of stochasticity. However, general-purpose hybrid solvers for spatially resolved simulations of reaction-diffusion systems are not widely available. Here we describe fundamentals of a general-purpose spatial hybrid method. The method generates realizations of a spatially inhomogeneous hybrid system by appropriately integrating capabilities of a deterministic partial differential equation solver with a popular particle-based stochastic simulator, Smoldyn. Rigorous validation of the algorithm is detailed, using a simple model of calcium 'sparks' as a testbed. The solver is then applied to a deterministic-stochastic model of spontaneous emergence of cell polarity. The approach is general enough to be implemented within biologist-friendly software frameworks such as Virtual Cell.

Noise-enhanced clustering and competitive learning algorithms.

PubMed

Osoba, Osonde; Kosko, Bart

2013-01-01

Noise can provably speed up convergence in many centroid-based clustering algorithms. This includes the popular k-means clustering algorithm. The clustering noise benefit follows from the general noise benefit for the expectation-maximization algorithm because many clustering algorithms are special cases of the expectation-maximization algorithm. Simulations show that noise also speeds up convergence in stochastic unsupervised competitive learning, supervised competitive learning, and differential competitive learning. Copyright © 2012 Elsevier Ltd. All rights reserved.

Oscillatory regulation of Hes1: Discrete stochastic delay modelling and simulation.

PubMed

Barrio, Manuel; Burrage, Kevin; Leier, André; Tian, Tianhai

2006-09-08

Discrete stochastic simulations are a powerful tool for understanding the dynamics of chemical kinetics when there are small-to-moderate numbers of certain molecular species. In this paper we introduce delays into the stochastic simulation algorithm, thus mimicking delays associated with transcription and translation. We then show that this process may well explain more faithfully than continuous deterministic models the observed sustained oscillations in expression levels of hes1 mRNA and Hes1 protein.

A multispin algorithm for the Kob-Andersen stochastic dynamics on regular lattices

NASA Astrophysics Data System (ADS)

Boccagna, Roberto

2017-07-01

The aim of the paper is to propose an algorithm based on the Multispin Coding technique for the Kob-Andersen glassy dynamics. We first give motivations to speed up the numerical simulation in the context of spin glass models [M. Mezard, G. Parisi, M. Virasoro, Spin Glass Theory and Beyond (World Scientific, Singapore, 1987)]; after defining the Markovian dynamics as in [W. Kob, H.C. Andersen, Phys. Rev. E 48, 4364 (1993)] as well as the related interesting observables, we extend it to the more general framework of random regular graphs, listing at the same time some known analytical results [C. Toninelli, G. Biroli, D.S. Fisher, J. Stat. Phys. 120, 167 (2005)]. The purpose of this work is a dual one; firstly, we describe how bitwise operators can be used to build up the algorithm by carefully exploiting the way data are stored on a computer. Since it was first introduced [M. Creutz, L. Jacobs, C. Rebbi, Phys. Rev. D 20, 1915 (1979); C. Rebbi, R.H. Swendsen, Phys. Rev. D 21, 4094 (1980)], this technique has been widely used to perform Monte Carlo simulations for Ising and Potts spin systems; however, it can be successfully adapted to more complex systems in which microscopic parameters may assume boolean values. Secondly, we introduce a random graph in which a characteristic parameter allows to tune the possible transition point. A consistent part is devoted to listing the numerical results obtained by running numerical simulations.

Building on crossvalidation for increasing the quality of geostatistical modeling

USGS Publications Warehouse

Olea, R.A.

2012-01-01

The random function is a mathematical model commonly used in the assessment of uncertainty associated with a spatially correlated attribute that has been partially sampled. There are multiple algorithms for modeling such random functions, all sharing the requirement of specifying various parameters that have critical influence on the results. The importance of finding ways to compare the methods and setting parameters to obtain results that better model uncertainty has increased as these algorithms have grown in number and complexity. Crossvalidation has been used in spatial statistics, mostly in kriging, for the analysis of mean square errors. An appeal of this approach is its ability to work with the same empirical sample available for running the algorithms. This paper goes beyond checking estimates by formulating a function sensitive to conditional bias. Under ideal conditions, such function turns into a straight line, which can be used as a reference for preparing measures of performance. Applied to kriging, deviations from the ideal line provide sensitivity to the semivariogram lacking in crossvalidation of kriging errors and are more sensitive to conditional bias than analyses of errors. In terms of stochastic simulation, in addition to finding better parameters, the deviations allow comparison of the realizations resulting from the applications of different methods. Examples show improvements of about 30% in the deviations and approximately 10% in the square root of mean square errors between reasonable starting modelling and the solutions according to the new criteria. ?? 2011 US Government.

A Rigorous Temperature-Dependent Stochastic Modelling and Testing for MEMS-Based Inertial Sensor Errors.

PubMed

El-Diasty, Mohammed; Pagiatakis, Spiros

2009-01-01

In this paper, we examine the effect of changing the temperature points on MEMS-based inertial sensor random error. We collect static data under different temperature points using a MEMS-based inertial sensor mounted inside a thermal chamber. Rigorous stochastic models, namely Autoregressive-based Gauss-Markov (AR-based GM) models are developed to describe the random error behaviour. The proposed AR-based GM model is initially applied to short stationary inertial data to develop the stochastic model parameters (correlation times). It is shown that the stochastic model parameters of a MEMS-based inertial unit, namely the ADIS16364, are temperature dependent. In addition, field kinematic test data collected at about 17 °C are used to test the performance of the stochastic models at different temperature points in the filtering stage using Unscented Kalman Filter (UKF). It is shown that the stochastic model developed at 20 °C provides a more accurate inertial navigation solution than the ones obtained from the stochastic models developed at -40 °C, -20 °C, 0 °C, +40 °C, and +60 °C. The temperature dependence of the stochastic model is significant and should be considered at all times to obtain optimal navigation solution for MEMS-based INS/GPS integration.

Stochastic Multi-Commodity Facility Location Based on a New Scenario Generation Technique

NASA Astrophysics Data System (ADS)

Mahootchi, M.; Fattahi, M.; Khakbazan, E.

2011-11-01

This paper extends two models for stochastic multi-commodity facility location problem. The problem is formulated as two-stage stochastic programming. As a main point of this study, a new algorithm is applied to efficiently generate scenarios for uncertain correlated customers' demands. This algorithm uses Latin Hypercube Sampling (LHS) and a scenario reduction approach. The relation between customer satisfaction level and cost are considered in model I. The risk measure using Conditional Value-at-Risk (CVaR) is embedded into the optimization model II. Here, the structure of the network contains three facility layers including plants, distribution centers, and retailers. The first stage decisions are the number, locations, and the capacity of distribution centers. In the second stage, the decisions are the amount of productions, the volume of transportation between plants and customers.

A game-theoretic method for cross-layer stochastic resilient control design in CPS

NASA Astrophysics Data System (ADS)

Shen, Jiajun; Feng, Dongqin

2018-03-01

In this paper, the cross-layer security problem of cyber-physical system (CPS) is investigated from the game-theoretic perspective. Physical dynamics of plant is captured by stochastic differential game with cyber-physical influence being considered. The sufficient and necessary condition for the existence of state-feedback equilibrium strategies is given. The attack-defence cyber interactions are formulated by a Stackelberg game intertwined with stochastic differential game in physical layer. The condition such that the Stackelberg equilibrium being unique and the corresponding analytical solutions are both provided. An algorithm is proposed for obtaining hierarchical security strategy by solving coupled games, which ensures the operational normalcy and cyber security of CPS subject to uncertain disturbance and unexpected cyberattacks. Simulation results are given to show the effectiveness and performance of the proposed algorithm.

SASS: A symmetry adapted stochastic search algorithm exploiting site symmetry

NASA Astrophysics Data System (ADS)

Wheeler, Steven E.; Schleyer, Paul v. R.; Schaefer, Henry F.

2007-03-01

A simple symmetry adapted search algorithm (SASS) exploiting point group symmetry increases the efficiency of systematic explorations of complex quantum mechanical potential energy surfaces. In contrast to previously described stochastic approaches, which do not employ symmetry, candidate structures are generated within simple point groups, such as C2, Cs, and C2v. This facilitates efficient sampling of the 3N-6 Pople's dimensional configuration space and increases the speed and effectiveness of quantum chemical geometry optimizations. Pople's concept of framework groups [J. Am. Chem. Soc. 102, 4615 (1980)] is used to partition the configuration space into structures spanning all possible distributions of sets of symmetry equivalent atoms. This provides an efficient means of computing all structures of a given symmetry with minimum redundancy. This approach also is advantageous for generating initial structures for global optimizations via genetic algorithm and other stochastic global search techniques. Application of the SASS method is illustrated by locating 14 low-lying stationary points on the cc-pwCVDZ ROCCSD(T) potential energy surface of Li5H2. The global minimum structure is identified, along with many unique, nonintuitive, energetically favorable isomers.

Stochastic differential equations

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

Sobczyk, K.

1990-01-01

This book provides a unified treatment of both regular (or random) and Ito stochastic differential equations. It focuses on solution methods, including some developed only recently. Applications are discussed, in particular an insight is given into both the mathematical structure, and the most efficient solution methods (analytical as well as numerical). Starting from basic notions and results of the theory of stochastic processes and stochastic calculus (including Ito's stochastic integral), many principal mathematical problems and results related to stochastic differential equations are expounded here for the first time. Applications treated include those relating to road vehicles, earthquake excitations and offshoremore » structures.« less

Stochastic resonance whole-body vibration improves postural control in health care professionals: a worksite randomized controlled trial.

PubMed

Elfering, Achim; Schade, Volker; Stoecklin, Lukas; Baur, Simone; Burger, Christian; Radlinger, Lorenz

2014-05-01

Slip, trip, and fall injuries are frequent among health care workers. Stochastic resonance whole-body vibration training was tested to improve postural control. Participants included 124 employees of a Swiss university hospital. The randomized controlled trial included an experimental group given 8 weeks of training and a control group with no intervention. In both groups, postural control was assessed as mediolateral sway on a force plate before and after the 8-week trial. Mediolateral sway was significantly decreased by stochastic resonance whole-body vibration training in the experimental group but not in the control group that received no training (p < .05). Stochastic resonance whole-body vibration training is an option in the primary prevention of balance-related injury at work. Copyright 2014, SLACK Incorporated.

Mean-Potential Law in Evolutionary Games.

PubMed

Nałęcz-Jawecki, Paweł; Miękisz, Jacek

2018-01-12

The Letter presents a novel way to connect random walks, stochastic differential equations, and evolutionary game theory. We introduce a new concept of a potential function for discrete-space stochastic systems. It is based on a correspondence between one-dimensional stochastic differential equations and random walks, which may be exact not only in the continuous limit but also in finite-state spaces. Our method is useful for computation of fixation probabilities in discrete stochastic dynamical systems with two absorbing states. We apply it to evolutionary games, formulating two simple and intuitive criteria for evolutionary stability of pure Nash equilibria in finite populations. In particular, we show that the 1/3 law of evolutionary games, introduced by Nowak et al. [Nature, 2004], follows from a more general mean-potential law.

PDC-SGB: Prediction of effective drug combinations using a stochastic gradient boosting algorithm.

PubMed

Xu, Qian; Xiong, Yi; Dai, Hao; Kumari, Kotni Meena; Xu, Qin; Ou, Hong-Yu; Wei, Dong-Qing

2017-03-21

Combinatorial therapy is a promising strategy for combating complex diseases by improving the efficacy and reducing the side effects. To facilitate the identification of drug combinations in pharmacology, we proposed a new computational model, termed PDC-SGB, to predict effective drug combinations by integrating biological, chemical and pharmacological information based on a stochastic gradient boosting algorithm. To begin with, a set of 352 golden positive samples were collected from the public drug combination database. Then, a set of 732 dimensional feature vector involving biological, chemical and pharmaceutical information was constructed for each drug combination to describe its properties. To avoid overfitting, the maximum relevance & minimum redundancy (mRMR) method was performed to extract useful ones by removing redundant subsets. Based on the selected features, the three different type of classification algorithms were employed to build the drug combination prediction models. Our results demonstrated that the model based on the stochastic gradient boosting algorithm yield out the best performance. Furthermore, it is indicated that the feature patterns of therapy had powerful ability to discriminate effective drug combinations from non-effective ones. By analyzing various features, it is shown that the enriched features occurred frequently in golden positive samples can help predict novel drug combinations. Copyright © 2017 Elsevier Ltd. All rights reserved.

Multi-Dimensional, Mesoscopic Monte Carlo Simulations of Inhomogeneous Reaction-Drift-Diffusion Systems on Graphics-Processing Units

PubMed Central

Vigelius, Matthias; Meyer, Bernd

2012-01-01

For many biological applications, a macroscopic (deterministic) treatment of reaction-drift-diffusion systems is insufficient. Instead, one has to properly handle the stochastic nature of the problem and generate true sample paths of the underlying probability distribution. Unfortunately, stochastic algorithms are computationally expensive and, in most cases, the large number of participating particles renders the relevant parameter regimes inaccessible. In an attempt to address this problem we present a genuine stochastic, multi-dimensional algorithm that solves the inhomogeneous, non-linear, drift-diffusion problem on a mesoscopic level. Our method improves on existing implementations in being multi-dimensional and handling inhomogeneous drift and diffusion. The algorithm is well suited for an implementation on data-parallel hardware architectures such as general-purpose graphics processing units (GPUs). We integrate the method into an operator-splitting approach that decouples chemical reactions from the spatial evolution. We demonstrate the validity and applicability of our algorithm with a comprehensive suite of standard test problems that also serve to quantify the numerical accuracy of the method. We provide a freely available, fully functional GPU implementation. Integration into Inchman, a user-friendly web service, that allows researchers to perform parallel simulations of reaction-drift-diffusion systems on GPU clusters is underway. PMID:22506001

Network reliability maximization for stochastic-flow network subject to correlated failures using genetic algorithm and tabu\\xA0search

NASA Astrophysics Data System (ADS)

Yeh, Cheng-Ta; Lin, Yi-Kuei; Yang, Jo-Yun

2018-07-01

Network reliability is an important performance index for many real-life systems, such as electric power systems, computer systems and transportation systems. These systems can be modelled as stochastic-flow networks (SFNs) composed of arcs and nodes. Most system supervisors respect the network reliability maximization by finding the optimal multi-state resource assignment, which is one resource to each arc. However, a disaster may cause correlated failures for the assigned resources, affecting the network reliability. This article focuses on determining the optimal resource assignment with maximal network reliability for SFNs. To solve the problem, this study proposes a hybrid algorithm integrating the genetic algorithm and tabu search to determine the optimal assignment, called the hybrid GA-TS algorithm (HGTA), and integrates minimal paths, recursive sum of disjoint products and the correlated binomial distribution to calculate network reliability. Several practical numerical experiments are adopted to demonstrate that HGTA has better computational quality than several popular soft computing algorithms.

Investigation and appreciation of optimal output feedback. Volume 1: A convergent algorithm for the stochastic infinite-time discrete optimal output feedback problem

NASA Technical Reports Server (NTRS)

Halyo, N.; Broussard, J. R.

1984-01-01

The stochastic, infinite time, discrete output feedback problem for time invariant linear systems is examined. Two sets of sufficient conditions for the existence of a stable, globally optimal solution are presented. An expression for the total change in the cost function due to a change in the feedback gain is obtained. This expression is used to show that a sequence of gains can be obtained by an algorithm, so that the corresponding cost sequence is monotonically decreasing and the corresponding sequence of the cost gradient converges to zero. The algorithm is guaranteed to obtain a critical point of the cost function. The computational steps necessary to implement the algorithm on a computer are presented. The results are applied to a digital outer loop flight control problem. The numerical results for this 13th order problem indicate a rate of convergence considerably faster than two other algorithms used for comparison.

Scaling Up Coordinate Descent Algorithms for Large ℓ1 Regularization Problems

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

Scherrer, Chad; Halappanavar, Mahantesh; Tewari, Ambuj

2012-07-03

We present a generic framework for parallel coordinate descent (CD) algorithms that has as special cases the original sequential algorithms of Cyclic CD and Stochastic CD, as well as the recent parallel Shotgun algorithm of Bradley et al. We introduce two novel parallel algorithms that are also special cases---Thread-Greedy CD and Coloring-Based CD---and give performance measurements for an OpenMP implementation of these.

Stochastic derivative-free optimization using a trust region framework

DOE PAGES

Larson, Jeffrey; Billups, Stephen C.

2016-02-17

This study presents a trust region algorithm to minimize a function f when one has access only to noise-corrupted function values f¯. The model-based algorithm dynamically adjusts its step length, taking larger steps when the model and function agree and smaller steps when the model is less accurate. The method does not require the user to specify a fixed pattern of points used to build local models and does not repeatedly sample points. If f is sufficiently smooth and the noise is independent and identically distributed with mean zero and finite variance, we prove that our algorithm produces iterates suchmore » that the corresponding function gradients converge in probability to zero. As a result, we present a prototype of our algorithm that, while simplistic in its management of previously evaluated points, solves benchmark problems in fewer function evaluations than do existing stochastic approximation methods.« less

Dynamic phasing of multichannel cw laser radiation by means of a stochastic gradient algorithm

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

Volkov, V A; Volkov, M V; Garanin, S G

2013-09-30

The phasing of a multichannel laser beam by means of an iterative stochastic parallel gradient (SPG) algorithm has been numerically and experimentally investigated. The operation of the SPG algorithm is simulated, the acceptable range of amplitudes of probe phase shifts is found, and the algorithm parameters at which the desired Strehl number can be obtained with a minimum number of iterations are determined. An experimental bench with phase modulators based on lithium niobate, which are controlled by a multichannel electronic unit with a real-time microcontroller, has been designed. Phasing of 16 cw laser beams at a system response bandwidth ofmore » 3.7 kHz and phase thermal distortions in a frequency band of about 10 Hz is experimentally demonstrated. The experimental data are in complete agreement with the calculation results. (control of laser radiation parameters)« less

Application of the region-time-length algorithm to study of earthquake precursors in the Thailand-Laos-Myanmar borders

NASA Astrophysics Data System (ADS)

Puangjaktha, P.; Pailoplee, S.

2018-04-01

In order to examine the precursory seismic quiescence of upcoming hazardous earthquakes, the seismicity data available in the vicinity of the Thailand-Laos-Myanmar borders was analyzed using the Region-Time-Length (RTL) algorithm based statistical technique. The utilized earthquake data were obtained from the International Seismological Centre. Thereafter, the homogeneity and completeness of the catalogue were improved. After performing iterative tests with different values of the r0 and t0 parameters, those of r0 = 120 km and t0 = 2 yr yielded reasonable estimates of the anomalous RTL scores, in both temporal variation and spatial distribution, of a few years prior to five out of eight strong-to-major recognized earthquakes. Statistical evaluation of both the correlation coefficient and stochastic process for the RTL were checked and revealed that the RTL score obtained here excluded artificial or random phenomena. Therefore, the prospective earthquake sources mentioned here should be recognized and effective mitigation plans should be provided.

Mutually beneficial relationship in optimization between search-space smoothing and stochastic search

NASA Astrophysics Data System (ADS)

Hasegawa, Manabu; Hiramatsu, Kotaro

2013-10-01

The effectiveness of the Metropolis algorithm (MA) (constant-temperature simulated annealing) in optimization by the method of search-space smoothing (SSS) (potential smoothing) is studied on two types of random traveling salesman problems. The optimization mechanism of this hybrid approach (MASSS) is investigated by analyzing the exploration dynamics observed in the rugged landscape of the cost function (energy surface). The results show that the MA can be successfully utilized as a local search algorithm in the SSS approach. It is also clarified that the optimization characteristics of these two constituent methods are improved in a mutually beneficial manner in the MASSS run. Specifically, the relaxation dynamics generated by employing the MA work effectively even in a smoothed landscape and more advantage is taken of the guiding function proposed in the idea of SSS; this mechanism operates in an adaptive manner in the de-smoothing process and therefore the MASSS method maintains its optimization function over a wider temperature range than the MA.

Intercellular Variability in Protein Levels from Stochastic Expression and Noisy Cell Cycle Processes

PubMed Central

Soltani, Mohammad; Vargas-Garcia, Cesar A.; Antunes, Duarte; Singh, Abhyudai

2016-01-01

Inside individual cells, expression of genes is inherently stochastic and manifests as cell-to-cell variability or noise in protein copy numbers. Since proteins half-lives can be comparable to the cell-cycle length, randomness in cell-division times generates additional intercellular variability in protein levels. Moreover, as many mRNA/protein species are expressed at low-copy numbers, errors incurred in partitioning of molecules between two daughter cells are significant. We derive analytical formulas for the total noise in protein levels when the cell-cycle duration follows a general class of probability distributions. Using a novel hybrid approach the total noise is decomposed into components arising from i) stochastic expression; ii) partitioning errors at the time of cell division and iii) random cell-division events. These formulas reveal that random cell-division times not only generate additional extrinsic noise, but also critically affect the mean protein copy numbers and intrinsic noise components. Counter intuitively, in some parameter regimes, noise in protein levels can decrease as cell-division times become more stochastic. Computations are extended to consider genome duplication, where transcription rate is increased at a random point in the cell cycle. We systematically investigate how the timing of genome duplication influences different protein noise components. Intriguingly, results show that noise contribution from stochastic expression is minimized at an optimal genome-duplication time. Our theoretical results motivate new experimental methods for decomposing protein noise levels from synchronized and asynchronized single-cell expression data. Characterizing the contributions of individual noise mechanisms will lead to precise estimates of gene expression parameters and techniques for altering stochasticity to change phenotype of individual cells. PMID:27536771

Stochastic chemical kinetics : A review of the modelling and simulation approaches.

PubMed

Lecca, Paola

2013-12-01

A review of the physical principles that are the ground of the stochastic formulation of chemical kinetics is presented along with a survey of the algorithms currently used to simulate it. This review covers the main literature of the last decade and focuses on the mathematical models describing the characteristics and the behavior of systems of chemical reactions at the nano- and micro-scale. Advantages and limitations of the models are also discussed in the light of the more and more frequent use of these models and algorithms in modeling and simulating biochemical and even biological processes.

Stochastic series expansion simulation of the t -V model

NASA Astrophysics Data System (ADS)

Wang, Lei; Liu, Ye-Hua; Troyer, Matthias

2016-04-01

We present an algorithm for the efficient simulation of the half-filled spinless t -V model on bipartite lattices, which combines the stochastic series expansion method with determinantal quantum Monte Carlo techniques widely used in fermionic simulations. The algorithm scales linearly in the inverse temperature, cubically with the system size, and is free from the time-discretization error. We use it to map out the finite-temperature phase diagram of the spinless t -V model on the honeycomb lattice and observe a suppression of the critical temperature of the charge-density-wave phase in the vicinity of a fermionic quantum critical point.

Adaptive infinite impulse response system identification using modified-interior search algorithm with Lèvy flight.

PubMed

Kumar, Manjeet; Rawat, Tarun Kumar; Aggarwal, Apoorva

2017-03-01

In this paper, a new meta-heuristic optimization technique, called interior search algorithm (ISA) with Lèvy flight is proposed and applied to determine the optimal parameters of an unknown infinite impulse response (IIR) system for the system identification problem. ISA is based on aesthetics, which is commonly used in interior design and decoration processes. In ISA, composition phase and mirror phase are applied for addressing the nonlinear and multimodal system identification problems. System identification using modified-ISA (M-ISA) based method involves faster convergence, single parameter tuning and does not require derivative information because it uses a stochastic random search using the concepts of Lèvy flight. A proper tuning of control parameter has been performed in order to achieve a balance between intensification and diversification phases. In order to evaluate the performance of the proposed method, mean square error (MSE), computation time and percentage improvement are considered as the performance measure. To validate the performance of M-ISA based method, simulations has been carried out for three benchmarked IIR systems using same order and reduced order system. Genetic algorithm (GA), particle swarm optimization (PSO), cat swarm optimization (CSO), cuckoo search algorithm (CSA), differential evolution using wavelet mutation (DEWM), firefly algorithm (FFA), craziness based particle swarm optimization (CRPSO), harmony search (HS) algorithm, opposition based harmony search (OHS) algorithm, hybrid particle swarm optimization-gravitational search algorithm (HPSO-GSA) and ISA are also used to model the same examples and simulation results are compared. Obtained results confirm the efficiency of the proposed method. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.

Random forests and stochastic gradient boosting for predicting tree canopy cover: Comparing tuning processes and model performance

Treesearch

E. Freeman; G. Moisen; J. Coulston; B. Wilson

2014-01-01

Random forests (RF) and stochastic gradient boosting (SGB), both involving an ensemble of classification and regression trees, are compared for modeling tree canopy cover for the 2011 National Land Cover Database (NLCD). The objectives of this study were twofold. First, sensitivity of RF and SGB to choices in tuning parameters was explored. Second, performance of the...

Random forests and stochastic gradient boosting for predicting tree canopy cover: Comparing tuning processes and model performance

Treesearch

Elizabeth A. Freeman; Gretchen G. Moisen; John W. Coulston; Barry T. (Ty) Wilson

2015-01-01

As part of the development of the 2011 National Land Cover Database (NLCD) tree canopy cover layer, a pilot project was launched to test the use of high-resolution photography coupled with extensive ancillary data to map the distribution of tree canopy cover over four study regions in the conterminous US. Two stochastic modeling techniques, random forests (RF...

Algebraic, geometric, and stochastic aspects of genetic operators

NASA Technical Reports Server (NTRS)

Foo, N. Y.; Bosworth, J. L.

1972-01-01

Genetic algorithms for function optimization employ genetic operators patterned after those observed in search strategies employed in natural adaptation. Two of these operators, crossover and inversion, are interpreted in terms of their algebraic and geometric properties. Stochastic models of the operators are developed which are employed in Monte Carlo simulations of their behavior.

Development and Evaluation of a New Air Exchange Rate Algorithm for the Stochastic Human Exposure and Dose Simulation Model

EPA Science Inventory

between-home and between-city variability in residential pollutant infiltration. This is likely a result of differences in home ventilation, or air exchange rates (AER). The Stochastic Human Exposure and Dose Simulation (SHEDS) model is a population exposure model that uses a pro...

Stochastic tools hidden behind the empirical dielectric relaxation laws

NASA Astrophysics Data System (ADS)

Stanislavsky, Aleksander; Weron, Karina

2017-03-01

The paper is devoted to recent advances in stochastic modeling of anomalous kinetic processes observed in dielectric materials which are prominent examples of disordered (complex) systems. Theoretical studies of dynamical properties of ‘structures with variations’ (Goldenfield and Kadanoff 1999 Science 284 87-9) require application of such mathematical tools—by means of which their random nature can be analyzed and, independently of the details distinguishing various systems (dipolar materials, glasses, semiconductors, liquid crystals, polymers, etc), the empirical universal kinetic patterns can be derived. We begin with a brief survey of the historical background of the dielectric relaxation study. After a short outline of the theoretical ideas providing the random tools applicable to modeling of relaxation phenomena, we present probabilistic implications for the study of the relaxation-rate distribution models. In the framework of the probability distribution of relaxation rates we consider description of complex systems, in which relaxing entities form random clusters interacting with each other and single entities. Then we focus on stochastic mechanisms of the relaxation phenomenon. We discuss the diffusion approach and its usefulness for understanding of anomalous dynamics of relaxing systems. We also discuss extensions of the diffusive approach to systems under tempered random processes. Useful relationships among different stochastic approaches to the anomalous dynamics of complex systems allow us to get a fresh look at this subject. The paper closes with a final discussion on achievements of stochastic tools describing the anomalous time evolution of complex systems.

Stochastic optimization for modeling physiological time series: application to the heart rate response to exercise

NASA Astrophysics Data System (ADS)

Zakynthinaki, M. S.; Stirling, J. R.

2007-01-01

Stochastic optimization is applied to the problem of optimizing the fit of a model to the time series of raw physiological (heart rate) data. The physiological response to exercise has been recently modeled as a dynamical system. Fitting the model to a set of raw physiological time series data is, however, not a trivial task. For this reason and in order to calculate the optimal values of the parameters of the model, the present study implements the powerful stochastic optimization method ALOPEX IV, an algorithm that has been proven to be fast, effective and easy to implement. The optimal parameters of the model, calculated by the optimization method for the particular athlete, are very important as they characterize the athlete's current condition. The present study applies the ALOPEX IV stochastic optimization to the modeling of a set of heart rate time series data corresponding to different exercises of constant intensity. An analysis of the optimization algorithm, together with an analytic proof of its convergence (in the absence of noise), is also presented.

Fault detection and diagnosis for non-Gaussian stochastic distribution systems with time delays via RBF neural networks.

PubMed

Yi, Qu; Zhan-ming, Li; Er-chao, Li

2012-11-01

A new fault detection and diagnosis (FDD) problem via the output probability density functions (PDFs) for non-gausian stochastic distribution systems (SDSs) is investigated. The PDFs can be approximated by radial basis functions (RBFs) neural networks. Different from conventional FDD problems, the measured information for FDD is the output stochastic distributions and the stochastic variables involved are not confined to Gaussian ones. A (RBFs) neural network technique is proposed so that the output PDFs can be formulated in terms of the dynamic weighings of the RBFs neural network. In this work, a nonlinear adaptive observer-based fault detection and diagnosis algorithm is presented by introducing the tuning parameter so that the residual is as sensitive as possible to the fault. Stability and Convergency analysis is performed in fault detection and fault diagnosis analysis for the error dynamic system. At last, an illustrated example is given to demonstrate the efficiency of the proposed algorithm, and satisfactory results have been obtained. Copyright © 2012 ISA. Published by Elsevier Ltd. All rights reserved.

Oscillatory Regulation of Hes1: Discrete Stochastic Delay Modelling and Simulation

PubMed Central

Barrio, Manuel; Burrage, Kevin; Leier, André; Tian, Tianhai

2006-01-01

Discrete stochastic simulations are a powerful tool for understanding the dynamics of chemical kinetics when there are small-to-moderate numbers of certain molecular species. In this paper we introduce delays into the stochastic simulation algorithm, thus mimicking delays associated with transcription and translation. We then show that this process may well explain more faithfully than continuous deterministic models the observed sustained oscillations in expression levels of hes1 mRNA and Hes1 protein. PMID:16965175

The effects of demand uncertainty on strategic gaming in the merit-order electricity pool market

NASA Astrophysics Data System (ADS)

Frem, Bassam

In a merit-order electricity pool market, generating companies (Gencos) game with their offered incremental cost to meet the electricity demand and earn bigger market shares and higher profits. However when the demand is treated as a random variable instead of as a known constant, these Genco gaming strategies become more complex. After a brief introduction of electricity markets and gaming, the effects of demand uncertainty on strategic gaming are studied in two parts: (1) Demand modelled as a discrete random variable (2) Demand modelled as a continuous random variable. In the first part, we proposed an algorithm, the discrete stochastic strategy (DSS) algorithm that generates a strategic set of offers from the perspective of the Gencos' profits. The DSS offers were tested and compared to the deterministic Nash equilibrium (NE) offers based on the predicted demand. This comparison, based on the expected Genco profits, showed the DSS to be a better strategy in a probabilistic sense than the deterministic NE. In the second part, we presented three gaming strategies: (1) Deterministic NE (2) No-Risk (3) Risk-Taking. The strategies were then tested and their profit performances were compared using two assessment tools: (a) Expected value and standard deviation (b) Inverse cumulative distribution. We concluded that despite yielding higher profit performance under the right conjectures, Risk-Taking strategies are very sensitive to incorrect conjectures on the competitors' gaming decisions. As such, despite its lower profit performance, the No-Risk strategy was deemed preferable.

Methodes de decomposition pour la planification a moyen terme de la production hydroelectrique sous incertitude

NASA Astrophysics Data System (ADS)

Carpentier, Pierre-Luc

In this thesis, we consider the midterm production planning problem (MTPP) of hydroelectricity generation under uncertainty. The aim of this problem is to manage a set of interconnected hydroelectric reservoirs over several months. We are particularly interested in high dimensional reservoir systems that are operated by large hydroelectricity producers such as Hydro-Quebec. The aim of this thesis is to develop and evaluate different decomposition methods for solving the MTPP under uncertainty. This thesis is divided in three articles. The first article demonstrates the applicability of the progressive hedging algorithm (PHA), a scenario decomposition method, for managing hydroelectric reservoirs with multiannual storage capacity under highly variable operating conditions in Canada. The PHA is a classical stochastic optimization method designed to solve general multistage stochastic programs defined on a scenario tree. This method works by applying an augmented Lagrangian relaxation on non-anticipativity constraints (NACs) of the stochastic program. At each iteration of the PHA, a sequence of subproblems must be solved. Each subproblem corresponds to a deterministic version of the original stochastic program for a particular scenario in the scenario tree. Linear and a quadratic terms must be included in subproblem's objective functions to penalize any violation of NACs. An important limitation of the PHA is due to the fact that the number of subproblems to be solved and the number of penalty terms increase exponentially with the branching level in the tree. This phenomenon can make the application of the PHA particularly difficult when the scenario tree covers several tens of time periods. Another important limitation of the PHA is caused by the fact that the difficulty level of NACs generally increases as the variability of scenarios increases. Consequently, applying the PHA becomes particularly challenging in hydroclimatic regions that are characterized by a high level of seasonal and interannual variability. These two types of limitations can slow down the algorithm's convergence rate and increase the running time per iteration. In this study, we apply the PHA on Hydro-Quebec's power system over a 92-week planning horizon. Hydrologic uncertainty is represented by a scenario tree containing 6 branching stages and 1,635 nodes. The PHA is especially well-suited for this particular application given that the company already possess a deterministic optimization model to solve the MTPP. The second article presents a new approach which enhances the performance of the PHA for solving general Mstochastic programs. The proposed method works by applying a multiscenario decomposition scheme on the stochastic program. Our heuristic method aims at constructing an optimal partition of the scenario set by minimizing the number of NACs on which an augmented Lagrangean relaxation must be applied. Each subproblem is a stochastic program defined on a group of scenarios. NACs linking scenarios sharing a common group are represented implicitly in subproblems by using a group-node system index instead of the traditional scenario-time index system. Only the NACs that link the different scenario groups are represented explicitly and relaxed. The proposed method is evaluated numerically on an hydroelectric reservoir management problem in Quebec. The results of this experiment show that our method has several advantages. Firstly, it allows to reduce the running time per iteration of the PHA by reducing the number of penalty terms that are included in the objective function and by reducing the amount of duplicated constraints and variables. In turn, this allows to reduce the running time per iteration of the algorithm. Secondly, it allows to increase the algorithm's convergence rate by reducing the variability of intermediary solutions at duplicated tree nodes. Thirdly, our approach reduces the amount of random-access memory (RAM) required for storing Lagrange multipliers associated with relaxed NACs. The third article presents an extension of the L-Shaped method designed specifically for managing hydroelectric reservoir systems with a high storage capacity. The method proposed in this paper enables to consider a higher branching level than conventional decomposition method enables. To achieve this, we assume that the stochastic process driving random parameters has a memory loss at time period t = tau. Because of this assumption, the scenario tree possess a special symmetrical structure at the second stage (t > tau). We exploit this feature using a two-stage Benders decomposition method. Each decomposition stage covers several consecutive time periods. The proposed method works by constructing a convex and piecewise linear recourse function that represents the expected cost at the second stage in the master problem. The subproblem and the master problem are stochastic program defined on scenario subtrees and can be solved using a conventional decomposition method or directly. We test the proposed method on an hydroelectric power system in Quebec over a 104-week planning horizon. (Abstract shortened by UMI.).

Stochastic Multi-Timescale Power System Operations With Variable Wind Generation

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

Wu, Hongyu; Krad, Ibrahim; Florita, Anthony

This paper describes a novel set of stochastic unit commitment and economic dispatch models that consider stochastic loads and variable generation at multiple operational timescales. The stochastic model includes four distinct stages: stochastic day-ahead security-constrained unit commitment (SCUC), stochastic real-time SCUC, stochastic real-time security-constrained economic dispatch (SCED), and deterministic automatic generation control (AGC). These sub-models are integrated together such that they are continually updated with decisions passed from one to another. The progressive hedging algorithm (PHA) is applied to solve the stochastic models to maintain the computational tractability of the proposed models. Comparative case studies with deterministic approaches are conductedmore » in low wind and high wind penetration scenarios to highlight the advantages of the proposed methodology, one with perfect forecasts and the other with current state-of-the-art but imperfect deterministic forecasts. The effectiveness of the proposed method is evaluated with sensitivity tests using both economic and reliability metrics to provide a broader view of its impact.« less

Numerical Approach to Spatial Deterministic-Stochastic Models Arising in Cell Biology

PubMed Central

Gao, Fei; Li, Ye; Novak, Igor L.; Slepchenko, Boris M.

2016-01-01

Hybrid deterministic-stochastic methods provide an efficient alternative to a fully stochastic treatment of models which include components with disparate levels of stochasticity. However, general-purpose hybrid solvers for spatially resolved simulations of reaction-diffusion systems are not widely available. Here we describe fundamentals of a general-purpose spatial hybrid method. The method generates realizations of a spatially inhomogeneous hybrid system by appropriately integrating capabilities of a deterministic partial differential equation solver with a popular particle-based stochastic simulator, Smoldyn. Rigorous validation of the algorithm is detailed, using a simple model of calcium ‘sparks’ as a testbed. The solver is then applied to a deterministic-stochastic model of spontaneous emergence of cell polarity. The approach is general enough to be implemented within biologist-friendly software frameworks such as Virtual Cell. PMID:27959915

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.

Weighted Flow Algorithms (WFA) for stochastic particle coagulation

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

DeVille, R.E.L., E-mail: rdeville@illinois.edu; Riemer, N., E-mail: nriemer@illinois.edu; West, M., E-mail: mwest@illinois.edu

2011-09-20

Stochastic particle-resolved methods are a useful way to compute the time evolution of the multi-dimensional size distribution of atmospheric aerosol particles. An effective approach to improve the efficiency of such models is the use of weighted computational particles. Here we introduce particle weighting functions that are power laws in particle size to the recently-developed particle-resolved model PartMC-MOSAIC and present the mathematical formalism of these Weighted Flow Algorithms (WFA) for particle coagulation and growth. We apply this to an urban plume scenario that simulates a particle population undergoing emission of different particle types, dilution, coagulation and aerosol chemistry along a Lagrangianmore » trajectory. We quantify the performance of the Weighted Flow Algorithm for number and mass-based quantities of relevance for atmospheric sciences applications.« less

Error analysis of stochastic gradient descent ranking.

PubMed

Chen, Hong; Tang, Yi; Li, Luoqing; Yuan, Yuan; Li, Xuelong; Tang, Yuanyan

2013-06-01

Ranking is always an important task in machine learning and information retrieval, e.g., collaborative filtering, recommender systems, drug discovery, etc. A kernel-based stochastic gradient descent algorithm with the least squares loss is proposed for ranking in this paper. The implementation of this algorithm is simple, and an expression of the solution is derived via a sampling operator and an integral operator. An explicit convergence rate for leaning a ranking function is given in terms of the suitable choices of the step size and the regularization parameter. The analysis technique used here is capacity independent and is novel in error analysis of ranking learning. Experimental results on real-world data have shown the effectiveness of the proposed algorithm in ranking tasks, which verifies the theoretical analysis in ranking error.

Weighted Flow Algorithms (WFA) for stochastic particle coagulation

NASA Astrophysics Data System (ADS)

DeVille, R. E. L.; Riemer, N.; West, M.

2011-09-01

Stochastic particle-resolved methods are a useful way to compute the time evolution of the multi-dimensional size distribution of atmospheric aerosol particles. An effective approach to improve the efficiency of such models is the use of weighted computational particles. Here we introduce particle weighting functions that are power laws in particle size to the recently-developed particle-resolved model PartMC-MOSAIC and present the mathematical formalism of these Weighted Flow Algorithms (WFA) for particle coagulation and growth. We apply this to an urban plume scenario that simulates a particle population undergoing emission of different particle types, dilution, coagulation and aerosol chemistry along a Lagrangian trajectory. We quantify the performance of the Weighted Flow Algorithm for number and mass-based quantities of relevance for atmospheric sciences applications.

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.

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.

Comparison of linear–stochastic and nonlinear–deterministic algorithms in the analysis of 15-minute clinical ECGs to predict risk of arrhythmic death

PubMed Central

Skinner, James E; Meyer, Michael; Nester, Brian A; Geary, Una; Taggart, Pamela; Mangione, Antoinette; Ramalanjaona, George; Terregino, Carol; Dalsey, William C

2009-01-01

Objective: Comparative algorithmic evaluation of heartbeat series in low-to-high risk cardiac patients for the prospective prediction of risk of arrhythmic death (AD). Background: Heartbeat variation reflects cardiac autonomic function and risk of AD. Indices based on linear stochastic models are independent risk factors for AD in post-myocardial infarction (post-MI) cohorts. Indices based on nonlinear deterministic models have superior predictability in retrospective data. Methods: Patients were enrolled (N = 397) in three emergency departments upon presenting with chest pain and were determined to be at low-to-high risk of acute MI (>7%). Brief ECGs were recorded (15 min) and R-R intervals assessed by three nonlinear algorithms (PD2i, DFA, and ApEn) and four conventional linear-stochastic measures (SDNN, MNN, 1/f-Slope, LF/HF). Out-of-hospital AD was determined by modified Hinkle–Thaler criteria. Results: All-cause mortality at one-year follow-up was 10.3%, with 7.7% adjudicated to be AD. The sensitivity and relative risk for predicting AD was highest at all time-points for the nonlinear PD2i algorithm (p ≤0.001). The sensitivity at 30 days was 100%, specificity 58%, and relative risk >100 (p ≤0.001); sensitivity at 360 days was 95%, specificity 58%, and relative risk >11.4 (p ≤0.001). Conclusions: Heartbeat analysis by the time-dependent nonlinear PD2i algorithm is comparatively the superior test. PMID:19707283

Stochastic Investigation of Natural Frequency for Functionally Graded Plates

NASA Astrophysics Data System (ADS)

Karsh, P. K.; Mukhopadhyay, T.; Dey, S.

2018-03-01

This paper presents the stochastic natural frequency analysis of functionally graded plates by applying artificial neural network (ANN) approach. Latin hypercube sampling is utilised to train the ANN model. The proposed algorithm for stochastic natural frequency analysis of FGM plates is validated and verified with original finite element method and Monte Carlo simulation (MCS). The combined stochastic variation of input parameters such as, elastic modulus, shear modulus, Poisson ratio, and mass density are considered. Power law is applied to distribute the material properties across the thickness. The present ANN model reduces the sample size and computationally found efficient as compared to conventional Monte Carlo simulation.

Extraction of process zones and low-dimensional attractive subspaces in stochastic fracture mechanics

PubMed Central

Kerfriden, P.; Schmidt, K.M.; Rabczuk, T.; Bordas, S.P.A.

2013-01-01

We propose to identify process zones in heterogeneous materials by tailored statistical tools. The process zone is redefined as the part of the structure where the random process cannot be correctly approximated in a low-dimensional deterministic space. Such a low-dimensional space is obtained by a spectral analysis performed on pre-computed solution samples. A greedy algorithm is proposed to identify both process zone and low-dimensional representative subspace for the solution in the complementary region. In addition to the novelty of the tools proposed in this paper for the analysis of localised phenomena, we show that the reduced space generated by the method is a valid basis for the construction of a reduced order model. PMID:27069423

Application of Ensemble Detection and Analysis to Modeling Uncertainty in Non Stationary Process

NASA Technical Reports Server (NTRS)

Racette, Paul

2010-01-01

Characterization of non stationary and nonlinear processes is a challenge in many engineering and scientific disciplines. Climate change modeling and projection, retrieving information from Doppler measurements of hydrometeors, and modeling calibration architectures and algorithms in microwave radiometers are example applications that can benefit from improvements in the modeling and analysis of non stationary processes. Analyses of measured signals have traditionally been limited to a single measurement series. Ensemble Detection is a technique whereby mixing calibrated noise produces an ensemble measurement set. The collection of ensemble data sets enables new methods for analyzing random signals and offers powerful new approaches to studying and analyzing non stationary processes. Derived information contained in the dynamic stochastic moments of a process will enable many novel applications.

A spatial stochastic programming model for timber and core area management under risk of fires

Treesearch

Yu Wei; Michael Bevers; Dung Nguyen; Erin Belval

2014-01-01

Previous stochastic models in harvest scheduling seldom address explicit spatial management concerns under the influence of natural disturbances. We employ multistage stochastic programming models to explore the challenges and advantages of building spatial optimization models that account for the influences of random stand-replacing fires. Our exploratory test models...

Radiation Transport in Random Media With Large Fluctuations

NASA Astrophysics Data System (ADS)

Olson, Aaron; Prinja, Anil; Franke, Brian

2017-09-01

Neutral particle transport in media exhibiting large and complex material property spatial variation is modeled by representing cross sections as lognormal random functions of space and generated through a nonlinear memory-less transformation of a Gaussian process with covariance uniquely determined by the covariance of the cross section. A Karhunen-Loève decomposition of the Gaussian process is implemented to effciently generate realizations of the random cross sections and Woodcock Monte Carlo used to transport particles on each realization and generate benchmark solutions for the mean and variance of the particle flux as well as probability densities of the particle reflectance and transmittance. A computationally effcient stochastic collocation method is implemented to directly compute the statistical moments such as the mean and variance, while a polynomial chaos expansion in conjunction with stochastic collocation provides a convenient surrogate model that also produces probability densities of output quantities of interest. Extensive numerical testing demonstrates that use of stochastic reduced-order modeling provides an accurate and cost-effective alternative to random sampling for particle transport in random media.

On the generation of log-Lévy distributions and extreme randomness

NASA Astrophysics Data System (ADS)

Eliazar, Iddo; Klafter, Joseph

2011-10-01

The log-normal distribution is prevalent across the sciences, as it emerges from the combination of multiplicative processes and the central limit theorem (CLT). The CLT, beyond yielding the normal distribution, also yields the class of Lévy distributions. The log-Lévy distributions are the Lévy counterparts of the log-normal distribution, they appear in the context of ultraslow diffusion processes, and they are categorized by Mandelbrot as belonging to the class of extreme randomness. In this paper, we present a natural stochastic growth model from which both the log-normal distribution and the log-Lévy distributions emerge universally—the former in the case of deterministic underlying setting, and the latter in the case of stochastic underlying setting. In particular, we establish a stochastic growth model which universally generates Mandelbrot’s extreme randomness.

ON NONSTATIONARY STOCHASTIC MODELS FOR EARTHQUAKES.

USGS Publications Warehouse

Safak, Erdal; Boore, David M.

1986-01-01

A seismological stochastic model for earthquake ground-motion description is presented. Seismological models are based on the physical properties of the source and the medium and have significant advantages over the widely used empirical models. The model discussed here provides a convenient form for estimating structural response by using random vibration theory. A commonly used random process for ground acceleration, filtered white-noise multiplied by an envelope function, introduces some errors in response calculations for structures whose periods are longer than the faulting duration. An alternate random process, filtered shot-noise process, eliminates these errors.

Bayesian Estimation and Inference Using Stochastic Electronics

PubMed Central

Thakur, Chetan Singh; Afshar, Saeed; Wang, Runchun M.; Hamilton, Tara J.; Tapson, Jonathan; van Schaik, André

2016-01-01

In this paper, we present the implementation of two types of Bayesian inference problems to demonstrate the potential of building probabilistic algorithms in hardware using single set of building blocks with the ability to perform these computations in real time. The first implementation, referred to as the BEAST (Bayesian Estimation and Stochastic Tracker), demonstrates a simple problem where an observer uses an underlying Hidden Markov Model (HMM) to track a target in one dimension. In this implementation, sensors make noisy observations of the target position at discrete time steps. The tracker learns the transition model for target movement, and the observation model for the noisy sensors, and uses these to estimate the target position by solving the Bayesian recursive equation online. We show the tracking performance of the system and demonstrate how it can learn the observation model, the transition model, and the external distractor (noise) probability interfering with the observations. In the second implementation, referred to as the Bayesian INference in DAG (BIND), we show how inference can be performed in a Directed Acyclic Graph (DAG) using stochastic circuits. We show how these building blocks can be easily implemented using simple digital logic gates. An advantage of the stochastic electronic implementation is that it is robust to certain types of noise, which may become an issue in integrated circuit (IC) technology with feature sizes in the order of tens of nanometers due to their low noise margin, the effect of high-energy cosmic rays and the low supply voltage. In our framework, the flipping of random individual bits would not affect the system performance because information is encoded in a bit stream. PMID:27047326

Bayesian Estimation and Inference Using Stochastic Electronics.

PubMed

Thakur, Chetan Singh; Afshar, Saeed; Wang, Runchun M; Hamilton, Tara J; Tapson, Jonathan; van Schaik, André

2016-01-01

In this paper, we present the implementation of two types of Bayesian inference problems to demonstrate the potential of building probabilistic algorithms in hardware using single set of building blocks with the ability to perform these computations in real time. The first implementation, referred to as the BEAST (Bayesian Estimation and Stochastic Tracker), demonstrates a simple problem where an observer uses an underlying Hidden Markov Model (HMM) to track a target in one dimension. In this implementation, sensors make noisy observations of the target position at discrete time steps. The tracker learns the transition model for target movement, and the observation model for the noisy sensors, and uses these to estimate the target position by solving the Bayesian recursive equation online. We show the tracking performance of the system and demonstrate how it can learn the observation model, the transition model, and the external distractor (noise) probability interfering with the observations. In the second implementation, referred to as the Bayesian INference in DAG (BIND), we show how inference can be performed in a Directed Acyclic Graph (DAG) using stochastic circuits. We show how these building blocks can be easily implemented using simple digital logic gates. An advantage of the stochastic electronic implementation is that it is robust to certain types of noise, which may become an issue in integrated circuit (IC) technology with feature sizes in the order of tens of nanometers due to their low noise margin, the effect of high-energy cosmic rays and the low supply voltage. In our framework, the flipping of random individual bits would not affect the system performance because information is encoded in a bit stream.

Generalization of one-dimensional solute transport: A stochastic-convective flow conceptualization

NASA Astrophysics Data System (ADS)

Simmons, C. S.

1986-04-01

A stochastic-convective representation of one-dimensional solute transport is derived. It is shown to conceptually encompass solutions of the conventional convection-dispersion equation. This stochastic approach, however, does not rely on the assumption that dispersive flux satisfies Fick's diffusion law. Observable values of solute concentration and flux, which together satisfy a conservation equation, are expressed as expectations over a flow velocity ensemble, representing the inherent random processess that govern dispersion. Solute concentration is determined by a Lagrangian pdf for random spatial displacements, while flux is determined by an equivalent Eulerian pdf for random travel times. A condition for such equivalence is derived for steady nonuniform flow, and it is proven that both Lagrangian and Eulerian pdfs are required to account for specified initial and boundary conditions on a global scale. Furthermore, simplified modeling of transport is justified by proving that an ensemble of effectively constant velocities always exists that constitutes an equivalent representation. An example of how a two-dimensional transport problem can be reduced to a single-dimensional stochastic viewpoint is also presented to further clarify concepts.

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

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.

Twin rotor damper for the damping of stochastically forced vibrations using a power-efficient control algorithm

NASA Astrophysics Data System (ADS)

Bäumer, Richard; Terrill, Richard; Wollnack, Simon; Werner, Herbert; Starossek, Uwe

2018-01-01

The twin rotor damper (TRD), an active mass damper, uses the centrifugal forces of two eccentrically rotating control masses. In the continuous rotation mode, the preferred mode of operation, the two eccentric control masses rotate with a constant angular velocity about two parallel axes, creating, under further operational constraints, a harmonic control force in a single direction. In previous theoretical work, it was shown that this mode of operation is effective for the damping of large, harmonic vibrations of a single degree of freedom (SDOF) oscillator. In this paper, the SDOF oscillator is assumed to be affected by a stochastic excitation force and consequently responds with several frequencies. Therefore, the TRD must deviate from the continuous rotation mode to ensure the anti-phasing between the harmonic control force of the TRD and the velocity of the SDOF oscillator. It is found that the required deviation from the continuous rotation mode increases with lower vibration amplitude. Therefore, an operation of the TRD in the continuous rotation mode is no longer efficient below a specific vibration-amplitude threshold. To additionally dampen vibrations below this threshold, the TRD can switch to another, more energy-consuming mode of operation, the swinging mode in which both control masses oscillate about certain angular positions. A power-efficient control algorithm is presented which uses the continuous rotation mode for large vibrations and the swinging mode for small vibrations. To validate the control algorithm, numerical and experimental investigations are performed for a single degree of freedom oscillator under stochastic excitation. Using both modes of operation, it is shown that the control algorithm is effective for the cases of free and stochastically forced vibrations of arbitrary amplitude.

A stochastic method for Brownian-like optical transport calculations in anisotropic biosuspensions and blood

NASA Astrophysics Data System (ADS)

Miller, Steven

1998-03-01

A generic stochastic method is presented that rapidly evaluates numerical bulk flux solutions to the one-dimensional integrodifferential radiative transport equation, for coherent irradiance of optically anisotropic suspensions of nonspheroidal bioparticles, such as blood. As Fermat rays or geodesics enter the suspension, they evolve into a bundle of random paths or trajectories due to scattering by the suspended bioparticles. Overall, this can be interpreted as a bundle of Markov trajectories traced out by a "gas" of Brownian-like point photons being scattered and absorbed by the homogeneous distribution of uncorrelated cells in suspension. By considering the cumulative vectorial intersections of a statistical bundle of random trajectories through sets of interior data planes in the space containing the medium, the effective equivalent information content and behavior of the (generally unknown) analytical flux solutions of the radiative transfer equation rapidly emerges. The fluxes match the analytical diffuse flux solutions in the diffusion limit, which verifies the accuracy of the algorithm. The method is not constrained by the diffusion limit and gives correct solutions for conditions where diffuse solutions are not viable. Unlike conventional Monte Carlo and numerical techniques adapted from neutron transport or nuclear reactor problems that compute scalar quantities, this vectorial technique is fast, easily implemented, adaptable, and viable for a wide class of biophotonic scenarios. By comparison, other analytical or numerical techniques generally become unwieldy, lack viability, or are more difficult to utilize and adapt. Illustrative calculations are presented for blood medias at monochromatic wavelengths in the visible spectrum.

Stochastic IMT (Insulator-Metal-Transition) Neurons: An Interplay of Thermal and Threshold Noise at Bifurcation

PubMed Central

Parihar, Abhinav; Jerry, Matthew; Datta, Suman; Raychowdhury, Arijit

2018-01-01

Artificial neural networks can harness stochasticity in multiple ways to enable a vast class of computationally powerful models. Boltzmann machines and other stochastic neural networks have been shown to outperform their deterministic counterparts by allowing dynamical systems to escape local energy minima. Electronic implementation of such stochastic networks is currently limited to addition of algorithmic noise to digital machines which is inherently inefficient; albeit recent efforts to harness physical noise in devices for stochasticity have shown promise. To succeed in fabricating electronic neuromorphic networks we need experimental evidence of devices with measurable and controllable stochasticity which is complemented with the development of reliable statistical models of such observed stochasticity. Current research literature has sparse evidence of the former and a complete lack of the latter. This motivates the current article where we demonstrate a stochastic neuron using an insulator-metal-transition (IMT) device, based on electrically induced phase-transition, in series with a tunable resistance. We show that an IMT neuron has dynamics similar to a piecewise linear FitzHugh-Nagumo (FHN) neuron and incorporates all characteristics of a spiking neuron in the device phenomena. We experimentally demonstrate spontaneous stochastic spiking along with electrically controllable firing probabilities using Vanadium Dioxide (VO2) based IMT neurons which show a sigmoid-like transfer function. The stochastic spiking is explained by two noise sources - thermal noise and threshold fluctuations, which act as precursors of bifurcation. As such, the IMT neuron is modeled as an Ornstein-Uhlenbeck (OU) process with a fluctuating boundary resulting in transfer curves that closely match experiments. The moments of interspike intervals are calculated analytically by extending the first-passage-time (FPT) models for Ornstein-Uhlenbeck (OU) process to include a fluctuating boundary. We find that the coefficient of variation of interspike intervals depend on the relative proportion of thermal and threshold noise, where threshold noise is the dominant source in the current experimental demonstrations. As one of the first comprehensive studies of a stochastic neuron hardware and its statistical properties, this article would enable efficient implementation of a large class of neuro-mimetic networks and algorithms. PMID:29670508

Stochastic IMT (Insulator-Metal-Transition) Neurons: An Interplay of Thermal and Threshold Noise at Bifurcation.

PubMed

Parihar, Abhinav; Jerry, Matthew; Datta, Suman; Raychowdhury, Arijit

2018-01-01

Artificial neural networks can harness stochasticity in multiple ways to enable a vast class of computationally powerful models. Boltzmann machines and other stochastic neural networks have been shown to outperform their deterministic counterparts by allowing dynamical systems to escape local energy minima. Electronic implementation of such stochastic networks is currently limited to addition of algorithmic noise to digital machines which is inherently inefficient; albeit recent efforts to harness physical noise in devices for stochasticity have shown promise. To succeed in fabricating electronic neuromorphic networks we need experimental evidence of devices with measurable and controllable stochasticity which is complemented with the development of reliable statistical models of such observed stochasticity. Current research literature has sparse evidence of the former and a complete lack of the latter. This motivates the current article where we demonstrate a stochastic neuron using an insulator-metal-transition (IMT) device, based on electrically induced phase-transition, in series with a tunable resistance. We show that an IMT neuron has dynamics similar to a piecewise linear FitzHugh-Nagumo (FHN) neuron and incorporates all characteristics of a spiking neuron in the device phenomena. We experimentally demonstrate spontaneous stochastic spiking along with electrically controllable firing probabilities using Vanadium Dioxide (VO 2 ) based IMT neurons which show a sigmoid-like transfer function. The stochastic spiking is explained by two noise sources - thermal noise and threshold fluctuations, which act as precursors of bifurcation. As such, the IMT neuron is modeled as an Ornstein-Uhlenbeck (OU) process with a fluctuating boundary resulting in transfer curves that closely match experiments. The moments of interspike intervals are calculated analytically by extending the first-passage-time (FPT) models for Ornstein-Uhlenbeck (OU) process to include a fluctuating boundary. We find that the coefficient of variation of interspike intervals depend on the relative proportion of thermal and threshold noise, where threshold noise is the dominant source in the current experimental demonstrations. As one of the first comprehensive studies of a stochastic neuron hardware and its statistical properties, this article would enable efficient implementation of a large class of neuro-mimetic networks and algorithms.

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.

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…

Stochastic Approximation Methods for Latent Regression Item Response Models. Research Report. ETS RR-09-09

ERIC Educational Resources Information Center

von Davier, Matthias; Sinharay, Sandip

2009-01-01

This paper presents an application of a stochastic approximation EM-algorithm using a Metropolis-Hastings sampler to estimate the parameters of an item response latent regression model. Latent regression models are extensions of item response theory (IRT) to a 2-level latent variable model in which covariates serve as predictors of the…

Implementation of Monte Carlo Tree Search (MCTS) Algorithm in COMBATXXI using JDAFS

DTIC Science & Technology

2014-07-31

ManyStochasticDuelModelforaMountainBattle.pdf. [10] M Kress and I Talmor. “A new look at the 3: 1 rule of combat through Markov stochastic Lanchester ...00000007/2600758. [11] FW Lanchester . Aircraft in warfare: The dawn of the fourth arm. London: Constable, 1916. url: http://books.google.com/books?hl=en\\&lr

Diabetic Erythrocytes Test by Correlation Coefficient

PubMed Central

Korol, A.M; Foresto, P; Darrigo, M; Rosso, O.A

2008-01-01

Even when a healthy individual is studied, his/her erythrocytes in capillaries continually change their shape in a synchronized erratic fashion. In this work, the problem of characterizing the cell behavior is studied from the perspective of bounded correlated random walk, based on the assumption that diffractometric data involves both deterministic and stochastic components. The photometric readings are obtained by ektacytometry over several millions of shear elongated cells, using a home-made device called Erythrodeformeter. We have only a scalar signal and no governing equations; therefore the complete behavior has to be reconstructed in an artificial phase space. To analyze dynamics we used the technique of time delay coordinates suggested by Takens, May algorithm, and Fourier transform. The results suggest that on random-walk approach the samples from healthy controls exhibit significant differences from those from diabetic patients and these could allow us to claim that we have linked mathematical nonlinear tools with clinical aspects of diabetic erythrocytes’ rheological properties. PMID:19415139

Stochastic arbitrage return and its implication for option pricing

NASA Astrophysics Data System (ADS)

Fedotov, Sergei; Panayides, Stephanos

2005-01-01

The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random processes. We restrict ourselves to finding pricing bands for options rather than exact prices. The resulting pricing bands are shown to be independent of the detailed statistical characteristics of the arbitrage return. We find that the volatility “smile” can also be explained in terms of random arbitrage opportunities.

Algorithms for output feedback, multiple-model, and decentralized control problems

NASA Technical Reports Server (NTRS)

Halyo, N.; Broussard, J. R.

1984-01-01

The optimal stochastic output feedback, multiple-model, and decentralized control problems with dynamic compensation are formulated and discussed. Algorithms for each problem are presented, and their relationship to a basic output feedback algorithm is discussed. An aircraft control design problem is posed as a combined decentralized, multiple-model, output feedback problem. A control design is obtained using the combined algorithm. An analysis of the design is presented.

Inverse Modeling Using Markov Chain Monte Carlo Aided by Adaptive Stochastic Collocation Method with Transformation

NASA Astrophysics Data System (ADS)

Zhang, D.; Liao, Q.

2016-12-01

The Bayesian inference provides a convenient framework to solve statistical inverse problems. In this method, the parameters to be identified are treated as random variables. The prior knowledge, the system nonlinearity, and the measurement errors can be directly incorporated in the posterior probability density function (PDF) of the parameters. The Markov chain Monte Carlo (MCMC) method is a powerful tool to generate samples from the posterior PDF. However, since the MCMC usually requires thousands or even millions of forward simulations, it can be a computationally intensive endeavor, particularly when faced with large-scale flow and transport models. To address this issue, we construct a surrogate system for the model responses in the form of polynomials by the stochastic collocation method. In addition, we employ interpolation based on the nested sparse grids and takes into account the different importance of the parameters, under the condition of high random dimensions in the stochastic space. Furthermore, in case of low regularity such as discontinuous or unsmooth relation between the input parameters and the output responses, we introduce an additional transform process to improve the accuracy of the surrogate model. Once we build the surrogate system, we may evaluate the likelihood with very little computational cost. We analyzed the convergence rate of the forward solution and the surrogate posterior by Kullback-Leibler divergence, which quantifies the difference between probability distributions. The fast convergence of the forward solution implies fast convergence of the surrogate posterior to the true posterior. We also tested the proposed algorithm on water-flooding two-phase flow reservoir examples. The posterior PDF calculated from a very long chain with direct forward simulation is assumed to be accurate. The posterior PDF calculated using the surrogate model is in reasonable agreement with the reference, revealing a great improvement in terms of computational efficiency.

Ensemble Bayesian forecasting system Part I: Theory and algorithms

NASA Astrophysics Data System (ADS)

Herr, Henry D.; Krzysztofowicz, Roman

2015-05-01

The ensemble Bayesian forecasting system (EBFS), whose theory was published in 2001, is developed for the purpose of quantifying the total uncertainty about a discrete-time, continuous-state, non-stationary stochastic process such as a time series of stages, discharges, or volumes at a river gauge. The EBFS is built of three components: an input ensemble forecaster (IEF), which simulates the uncertainty associated with random inputs; a deterministic hydrologic model (of any complexity), which simulates physical processes within a river basin; and a hydrologic uncertainty processor (HUP), which simulates the hydrologic uncertainty (an aggregate of all uncertainties except input). It works as a Monte Carlo simulator: an ensemble of time series of inputs (e.g., precipitation amounts) generated by the IEF is transformed deterministically through a hydrologic model into an ensemble of time series of outputs, which is next transformed stochastically by the HUP into an ensemble of time series of predictands (e.g., river stages). Previous research indicated that in order to attain an acceptable sampling error, the ensemble size must be on the order of hundreds (for probabilistic river stage forecasts and probabilistic flood forecasts) or even thousands (for probabilistic stage transition forecasts). The computing time needed to run the hydrologic model this many times renders the straightforward simulations operationally infeasible. This motivates the development of the ensemble Bayesian forecasting system with randomization (EBFSR), which takes full advantage of the analytic meta-Gaussian HUP and generates multiple ensemble members after each run of the hydrologic model; this auxiliary randomization reduces the required size of the meteorological input ensemble and makes it operationally feasible to generate a Bayesian ensemble forecast of large size. Such a forecast quantifies the total uncertainty, is well calibrated against the prior (climatic) distribution of predictand, possesses a Bayesian coherence property, constitutes a random sample of the predictand, and has an acceptable sampling error-which makes it suitable for rational decision making under uncertainty.

Multi-period project portfolio selection under risk considerations and stochastic income

NASA Astrophysics Data System (ADS)

Tofighian, Ali Asghar; Moezzi, Hamid; Khakzar Barfuei, Morteza; Shafiee, Mahmood

2018-02-01

This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than those reported in previous studies. A novel mathematical model is presented to solve the problem, considering risks, stochastic incomes, and possibility of investing extra budget in each time period. Due to the complexity of the problem, an effective meta-heuristic method hybridized with a local search procedure is presented to solve the problem. The algorithm is based on genetic algorithm (GA), which is a prominent method to solve this type of problems. The GA is enhanced by a new solution representation and well selected operators. It also is hybridized with a local search mechanism to gain better solution in shorter time. The performance of the proposed algorithm is then compared with well-known algorithms, like basic genetic algorithm (GA), particle swarm optimization (PSO), and electromagnetism-like algorithm (EM-like) by means of some prominent indicators. The computation results show the superiority of the proposed algorithm in terms of accuracy, robustness and computation time. At last, the proposed algorithm is wisely combined with PSO to improve the computing time considerably.

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

Variance decomposition in stochastic simulators.

PubMed

Le Maître, O P; Knio, O M; Moraes, A

2015-06-28

This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

Cox process representation and inference for stochastic reaction-diffusion processes

NASA Astrophysics Data System (ADS)

Schnoerr, David; Grima, Ramon; Sanguinetti, Guido

2016-05-01

Complex behaviour in many systems arises from the stochastic interactions of spatially distributed particles or agents. Stochastic reaction-diffusion processes are widely used to model such behaviour in disciplines ranging from biology to the social sciences, yet they are notoriously difficult to simulate and calibrate to observational data. Here we use ideas from statistical physics and machine learning to provide a solution to the inverse problem of learning a stochastic reaction-diffusion process from data. Our solution relies on a non-trivial connection between stochastic reaction-diffusion processes and spatio-temporal Cox processes, a well-studied class of models from computational statistics. This connection leads to an efficient and flexible algorithm for parameter inference and model selection. Our approach shows excellent accuracy on numeric and real data examples from systems biology and epidemiology. Our work provides both insights into spatio-temporal stochastic systems, and a practical solution to a long-standing problem in computational modelling.

Hybrid ODE/SSA methods and the cell cycle model

NASA Astrophysics Data System (ADS)

Wang, S.; Chen, M.; Cao, Y.

2017-07-01

Stochastic effect in cellular systems has been an important topic in systems biology. Stochastic modeling and simulation methods are important tools to study stochastic effect. Given the low efficiency of stochastic simulation algorithms, the hybrid method, which combines an ordinary differential equation (ODE) system with a stochastic chemically reacting system, shows its unique advantages in the modeling and simulation of biochemical systems. The efficiency of hybrid method is usually limited by reactions in the stochastic subsystem, which are modeled and simulated using Gillespie's framework and frequently interrupt the integration of the ODE subsystem. In this paper we develop an efficient implementation approach for the hybrid method coupled with traditional ODE solvers. We also compare the efficiency of hybrid methods with three widely used ODE solvers RADAU5, DASSL, and DLSODAR. Numerical experiments with three biochemical models are presented. A detailed discussion is presented for the performances of three ODE solvers.

Variance decomposition in stochastic simulators

NASA Astrophysics Data System (ADS)

Le Maître, O. P.; Knio, O. M.; Moraes, A.

2015-06-01

This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

Probability density function evolution of power systems subject to stochastic variation of renewable energy

NASA Astrophysics Data System (ADS)

Wei, J. Q.; Cong, Y. C.; Xiao, M. Q.

2018-05-01

As renewable energies are increasingly integrated into power systems, there is increasing interest in stochastic analysis of power systems.Better techniques should be developed to account for the uncertainty caused by penetration of renewables and consequently analyse its impacts on stochastic stability of power systems. In this paper, the Stochastic Differential Equations (SDEs) are used to represent the evolutionary behaviour of the power systems. The stationary Probability Density Function (PDF) solution to SDEs modelling power systems excited by Gaussian white noise is analysed. Subjected to such random excitation, the Joint Probability Density Function (JPDF) solution to the phase angle and angular velocity is governed by the generalized Fokker-Planck-Kolmogorov (FPK) equation. To solve this equation, the numerical method is adopted. Special measure is taken such that the generalized FPK equation is satisfied in the average sense of integration with the assumed PDF. Both weak and strong intensities of the stochastic excitations are considered in a single machine infinite bus power system. The numerical analysis has the same result as the one given by the Monte Carlo simulation. Potential studies on stochastic behaviour of multi-machine power systems with random excitations are discussed at the end.

Perspective: Stochastic magnetic devices for cognitive computing

NASA Astrophysics Data System (ADS)

Roy, Kaushik; Sengupta, Abhronil; Shim, Yong

2018-06-01

Stochastic switching of nanomagnets can potentially enable probabilistic cognitive hardware consisting of noisy neural and synaptic components. Furthermore, computational paradigms inspired from the Ising computing model require stochasticity for achieving near-optimality in solutions to various types of combinatorial optimization problems such as the Graph Coloring Problem or the Travelling Salesman Problem. Achieving optimal solutions in such problems are computationally exhaustive and requires natural annealing to arrive at the near-optimal solutions. Stochastic switching of devices also finds use in applications involving Deep Belief Networks and Bayesian Inference. In this article, we provide a multi-disciplinary perspective across the stack of devices, circuits, and algorithms to illustrate how the stochastic switching dynamics of spintronic devices in the presence of thermal noise can provide a direct mapping to the computational units of such probabilistic intelligent systems.

Biochemical simulations: stochastic, approximate stochastic and hybrid approaches.

PubMed

Pahle, Jürgen

2009-01-01

Computer simulations have become an invaluable tool to study the sometimes counterintuitive temporal dynamics of (bio-)chemical systems. In particular, stochastic simulation methods have attracted increasing interest recently. In contrast to the well-known deterministic approach based on ordinary differential equations, they can capture effects that occur due to the underlying discreteness of the systems and random fluctuations in molecular numbers. Numerous stochastic, approximate stochastic and hybrid simulation methods have been proposed in the literature. In this article, they are systematically reviewed in order to guide the researcher and help her find the appropriate method for a specific problem.

Biochemical simulations: stochastic, approximate stochastic and hybrid approaches

PubMed Central

2009-01-01

Computer simulations have become an invaluable tool to study the sometimes counterintuitive temporal dynamics of (bio-)chemical systems. In particular, stochastic simulation methods have attracted increasing interest recently. In contrast to the well-known deterministic approach based on ordinary differential equations, they can capture effects that occur due to the underlying discreteness of the systems and random fluctuations in molecular numbers. Numerous stochastic, approximate stochastic and hybrid simulation methods have been proposed in the literature. In this article, they are systematically reviewed in order to guide the researcher and help her find the appropriate method for a specific problem. PMID:19151097

SMD-based numerical stochastic perturbation theory

NASA Astrophysics Data System (ADS)

Dalla Brida, Mattia; Lüscher, Martin

2017-05-01

The viability of a variant of numerical stochastic perturbation theory, where the Langevin equation is replaced by the SMD algorithm, is examined. In particular, the convergence of the process to a unique stationary state is rigorously established and the use of higher-order symplectic integration schemes is shown to be highly profitable in this context. For illustration, the gradient-flow coupling in finite volume with Schrödinger functional boundary conditions is computed to two-loop (i.e. NNL) order in the SU(3) gauge theory. The scaling behaviour of the algorithm turns out to be rather favourable in this case, which allows the computations to be driven close to the continuum limit.

Stochastic HKMDHE: A multi-objective contrast enhancement algorithm

NASA Astrophysics Data System (ADS)

Pratiher, Sawon; Mukhopadhyay, Sabyasachi; Maity, Srideep; Pradhan, Asima; Ghosh, Nirmalya; Panigrahi, Prasanta K.

2018-02-01

This contribution proposes a novel extension of the existing `Hyper Kurtosis based Modified Duo-Histogram Equalization' (HKMDHE) algorithm, for multi-objective contrast enhancement of biomedical images. A novel modified objective function has been formulated by joint optimization of the individual histogram equalization objectives. The optimal adequacy of the proposed methodology with respect to image quality metrics such as brightness preserving abilities, peak signal-to-noise ratio (PSNR), Structural Similarity Index (SSIM) and universal image quality metric has been experimentally validated. The performance analysis of the proposed Stochastic HKMDHE with existing histogram equalization methodologies like Global Histogram Equalization (GHE) and Contrast Limited Adaptive Histogram Equalization (CLAHE) has been given for comparative evaluation.

A fixed-memory moving, expanding window for obtaining scatter corrections in X-ray CT and other stochastic averages

NASA Astrophysics Data System (ADS)

Levine, Zachary H.; Pintar, Adam L.

2015-11-01

A simple algorithm for averaging a stochastic sequence of 1D arrays in a moving, expanding window is provided. The samples are grouped in bins which increase exponentially in size so that a constant fraction of the samples is retained at any point in the sequence. The algorithm is shown to have particular relevance for a class of Monte Carlo sampling problems which includes one characteristic of iterative reconstruction in computed tomography. The code is available in the CPC program library in both Fortran 95 and C and is also available in R through CRAN.

Efficient physics-based tracking of heart surface motion for beating heart surgery robotic systems.

PubMed

Bogatyrenko, Evgeniya; Pompey, Pascal; Hanebeck, Uwe D

2011-05-01

Tracking of beating heart motion in a robotic surgery system is required for complex cardiovascular interventions. A heart surface motion tracking method is developed, including a stochastic physics-based heart surface model and an efficient reconstruction algorithm. The algorithm uses the constraints provided by the model that exploits the physical characteristics of the heart. The main advantage of the model is that it is more realistic than most standard heart models. Additionally, no explicit matching between the measurements and the model is required. The application of meshless methods significantly reduces the complexity of physics-based tracking. Based on the stochastic physical model of the heart surface, this approach considers the motion of the intervention area and is robust to occlusions and reflections. The tracking algorithm is evaluated in simulations and experiments on an artificial heart. Providing higher accuracy than the standard model-based methods, it successfully copes with occlusions and provides high performance even when all measurements are not available. Combining the physical and stochastic description of the heart surface motion ensures physically correct and accurate prediction. Automatic initialization of the physics-based cardiac motion tracking enables system evaluation in a clinical environment.

Application of stochastic weighted algorithms to a multidimensional silica particle model

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

Menz, William J.; Patterson, Robert I.A.; Wagner, Wolfgang

2013-09-01

Highlights: •Stochastic weighted algorithms (SWAs) are developed for a detailed silica model. •An implementation of SWAs with the transition kernel is presented. •The SWAs’ solutions converge to the direct simulation algorithm’s (DSA) solution. •The efficiency of SWAs is evaluated for this multidimensional particle model. •It is shown that SWAs can be used for coagulation problems in industrial systems. -- Abstract: This paper presents a detailed study of the numerical behaviour of stochastic weighted algorithms (SWAs) using the transition regime coagulation kernel and a multidimensional silica particle model. The implementation in the SWAs of the transition regime coagulation kernel and associatedmore » majorant rates is described. The silica particle model of Shekar et al. [S. Shekar, A.J. Smith, W.J. Menz, M. Sander, M. Kraft, A multidimensional population balance model to describe the aerosol synthesis of silica nanoparticles, Journal of Aerosol Science 44 (2012) 83–98] was used in conjunction with this coagulation kernel to study the convergence properties of SWAs with a multidimensional particle model. High precision solutions were calculated with two SWAs and also with the established direct simulation algorithm. These solutions, which were generated using large number of computational particles, showed close agreement. It was thus demonstrated that SWAs can be successfully used with complex coagulation kernels and high dimensional particle models to simulate real-world systems.« less

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.

Stochastic coalescence in finite systems: an algorithm for the numerical solution of the multivariate master equation.

NASA Astrophysics Data System (ADS)

Alfonso, Lester; Zamora, Jose; Cruz, Pedro

2015-04-01

The stochastic approach to coagulation considers the coalescence process going in a system of a finite number of particles enclosed in a finite volume. Within this approach, the full description of the system can be obtained from the solution of the multivariate master equation, which models the evolution of the probability distribution of the state vector for the number of particles of a given mass. Unfortunately, due to its complexity, only limited results were obtained for certain type of kernels and monodisperse initial conditions. In this work, a novel numerical algorithm for the solution of the multivariate master equation for stochastic coalescence that works for any type of kernels and initial conditions is introduced. The performance of the method was checked by comparing the numerically calculated particle mass spectrum with analytical solutions obtained for the constant and sum kernels, with an excellent correspondence between the analytical and numerical solutions. In order to increase the speedup of the algorithm, software parallelization techniques with OpenMP standard were used, along with an implementation in order to take advantage of new accelerator technologies. Simulations results show an important speedup of the parallelized algorithms. This study was funded by a grant from Consejo Nacional de Ciencia y Tecnologia de Mexico SEP-CONACYT CB-131879. The authors also thanks LUFAC® Computacion SA de CV for CPU time and all the support provided.

A hybrid meta-heuristic algorithm for the vehicle routing problem with stochastic travel times considering the driver's satisfaction

NASA Astrophysics Data System (ADS)

Tavakkoli-Moghaddam, Reza; Alinaghian, Mehdi; Salamat-Bakhsh, Alireza; Norouzi, Narges

2012-05-01

A vehicle routing problem is a significant problem that has attracted great attention from researchers in recent years. The main objectives of the vehicle routing problem are to minimize the traveled distance, total traveling time, number of vehicles and cost function of transportation. Reducing these variables leads to decreasing the total cost and increasing the driver's satisfaction level. On the other hand, this satisfaction, which will decrease by increasing the service time, is considered as an important logistic problem for a company. The stochastic time dominated by a probability variable leads to variation of the service time, while it is ignored in classical routing problems. This paper investigates the problem of the increasing service time by using the stochastic time for each tour such that the total traveling time of the vehicles is limited to a specific limit based on a defined probability. Since exact solutions of the vehicle routing problem that belong to the category of NP-hard problems are not practical in a large scale, a hybrid algorithm based on simulated annealing with genetic operators was proposed to obtain an efficient solution with reasonable computational cost and time. Finally, for some small cases, the related results of the proposed algorithm were compared with results obtained by the Lingo 8 software. The obtained results indicate the efficiency of the proposed hybrid simulated annealing algorithm.

Research on user behavior authentication model based on stochastic Petri nets

NASA Astrophysics Data System (ADS)

Zhang, Chengyuan; Xu, Haishui

2017-08-01

A behavioural authentication model based on stochastic Petri net is proposed to meet the randomness, uncertainty and concurrency characteristics of user behaviour. The use of random models in the location, changes, arc and logo to describe the characteristics of a variety of authentication and game relationships, so as to effectively implement the graphical user behaviour authentication model analysis method, according to the corresponding proof to verify the model is valuable.

Study on Stationarity of Random Load Spectrum Based on the Special Road

NASA Astrophysics Data System (ADS)

Yan, Huawen; Zhang, Weigong; Wang, Dong

2017-09-01

In the special road quality assessment method, there is a method using a wheel force sensor, the essence of this method is collecting the load spectrum of the car to reflect the quality of road. According to the definition of stochastic process, it is easy to find that the load spectrum is a stochastic process. However, the analysis method and application range of different random processes are very different, especially in engineering practice, which will directly affect the design and development of the experiment. Therefore, determining the type of a random process has important practical significance. Based on the analysis of the digital characteristics of road load spectrum, this paper determines that the road load spectrum in this experiment belongs to a stationary stochastic process, paving the way for the follow-up modeling and feature extraction of the special road.

Breast ultrasound computed tomography using waveform inversion with source encoding

NASA Astrophysics Data System (ADS)

Wang, Kun; Matthews, Thomas; Anis, Fatima; Li, Cuiping; Duric, Neb; Anastasio, Mark A.

2015-03-01

Ultrasound computed tomography (USCT) holds great promise for improving the detection and management of breast cancer. Because they are based on the acoustic wave equation, waveform inversion-based reconstruction methods can produce images that possess improved spatial resolution properties over those produced by ray-based methods. However, waveform inversion methods are computationally demanding and have not been applied widely in USCT breast imaging. In this work, source encoding concepts are employed to develop an accelerated USCT reconstruction method that circumvents the large computational burden of conventional waveform inversion methods. This method, referred to as the waveform inversion with source encoding (WISE) method, encodes the measurement data using a random encoding vector and determines an estimate of the speed-of-sound distribution by solving a stochastic optimization problem by use of a stochastic gradient descent algorithm. Computer-simulation studies are conducted to demonstrate the use of the WISE method. Using a single graphics processing unit card, each iteration can be completed within 25 seconds for a 128 × 128 mm2 reconstruction region. The results suggest that the WISE method maintains the high spatial resolution of waveform inversion methods while significantly reducing the computational burden.

A Monte Carlo method for the simulation of coagulation and nucleation based on weighted particles and the concepts of stochastic resolution and merging

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

Kotalczyk, G., E-mail: Gregor.Kotalczyk@uni-due.de; Kruis, F.E.

Monte Carlo simulations based on weighted simulation particles can solve a variety of population balance problems and allow thus to formulate a solution-framework for many chemical engineering processes. This study presents a novel concept for the calculation of coagulation rates of weighted Monte Carlo particles by introducing a family of transformations to non-weighted Monte Carlo particles. The tuning of the accuracy (named ‘stochastic resolution’ in this paper) of those transformations allows the construction of a constant-number coagulation scheme. Furthermore, a parallel algorithm for the inclusion of newly formed Monte Carlo particles due to nucleation is presented in the scope ofmore » a constant-number scheme: the low-weight merging. This technique is found to create significantly less statistical simulation noise than the conventional technique (named ‘random removal’ in this paper). Both concepts are combined into a single GPU-based simulation method which is validated by comparison with the discrete-sectional simulation technique. Two test models describing a constant-rate nucleation coupled to a simultaneous coagulation in 1) the free-molecular regime or 2) the continuum regime are simulated for this purpose.« less

A hybrid continuous-discrete method for stochastic reaction-diffusion processes.

PubMed

Lo, Wing-Cheong; Zheng, Likun; Nie, Qing

2016-09-01

Stochastic fluctuations in reaction-diffusion processes often have substantial effect on spatial and temporal dynamics of signal transductions in complex biological systems. One popular approach for simulating these processes is to divide the system into small spatial compartments assuming that molecules react only within the same compartment and jump between adjacent compartments driven by the diffusion. While the approach is convenient in terms of its implementation, its computational cost may become prohibitive when diffusive jumps occur significantly more frequently than reactions, as in the case of rapid diffusion. Here, we present a hybrid continuous-discrete method in which diffusion is simulated using continuous approximation while reactions are based on the Gillespie algorithm. Specifically, the diffusive jumps are approximated as continuous Gaussian random vectors with time-dependent means and covariances, allowing use of a large time step, even for rapid diffusion. By considering the correlation among diffusive jumps, the approximation is accurate for the second moment of the diffusion process. In addition, a criterion is obtained for identifying the region in which such diffusion approximation is required to enable adaptive calculations for better accuracy. Applications to a linear diffusion system and two nonlinear systems of morphogens demonstrate the effectiveness and benefits of the new hybrid method.

A Hybrid Monte Carlo importance sampling of rare events in Turbulence and in Turbulent Models

NASA Astrophysics Data System (ADS)

Margazoglou, Georgios; Biferale, Luca; Grauer, Rainer; Jansen, Karl; Mesterhazy, David; Rosenow, Tillmann; Tripiccione, Raffaele

2017-11-01

Extreme and rare events is a challenging topic in the field of turbulence. Trying to investigate those instances through the use of traditional numerical tools turns to be a notorious task, as they fail to systematically sample the fluctuations around them. On the other hand, we propose that an importance sampling Monte Carlo method can selectively highlight extreme events in remote areas of the phase space and induce their occurrence. We present a brand new computational approach, based on the path integral formulation of stochastic dynamics, and employ an accelerated Hybrid Monte Carlo (HMC) algorithm for this purpose. Through the paradigm of stochastic one-dimensional Burgers' equation, subjected to a random noise that is white-in-time and power-law correlated in Fourier space, we will prove our concept and benchmark our results with standard CFD methods. Furthermore, we will present our first results of constrained sampling around saddle-point instanton configurations (optimal fluctuations). The research leading to these results has received funding from the EU Horizon 2020 research and innovation programme under Grant Agreement No. 642069, and from the EU Seventh Framework Programme (FP7/2007-2013) under ERC Grant Agreement No. 339032.

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.

Kernel methods and flexible inference for complex stochastic dynamics

NASA Astrophysics Data System (ADS)

Capobianco, Enrico

2008-07-01

Approximation theory suggests that series expansions and projections represent standard tools for random process applications from both numerical and statistical standpoints. Such instruments emphasize the role of both sparsity and smoothness for compression purposes, the decorrelation power achieved in the expansion coefficients space compared to the signal space, and the reproducing kernel property when some special conditions are met. We consider these three aspects central to the discussion in this paper, and attempt to analyze the characteristics of some known approximation instruments employed in a complex application domain such as financial market time series. Volatility models are often built ad hoc, parametrically and through very sophisticated methodologies. But they can hardly deal with stochastic processes with regard to non-Gaussianity, covariance non-stationarity or complex dependence without paying a big price in terms of either model mis-specification or computational efficiency. It is thus a good idea to look at other more flexible inference tools; hence the strategy of combining greedy approximation and space dimensionality reduction techniques, which are less dependent on distributional assumptions and more targeted to achieve computationally efficient performances. Advantages and limitations of their use will be evaluated by looking at algorithmic and model building strategies, and by reporting statistical diagnostics.

Characterization of the probabilistic traveling salesman problem.

PubMed

Bowler, Neill E; Fink, Thomas M A; Ball, Robin C

2003-09-01

We show that stochastic annealing can be successfully applied to gain new results on the probabilistic traveling salesman problem. The probabilistic "traveling salesman" must decide on an a priori order in which to visit n cities (randomly distributed over a unit square) before learning that some cities can be omitted. We find the optimized average length of the pruned tour follows E(L(pruned))=sqrt[np](0.872-0.105p)f(np), where p is the probability of a city needing to be visited, and f(np)-->1 as np--> infinity. The average length of the a priori tour (before omitting any cities) is found to follow E(L(a priori))=sqrt[n/p]beta(p), where beta(p)=1/[1.25-0.82 ln(p)] is measured for 0.05< or =p< or =0.6. Scaling arguments and indirect measurements suggest that beta(p) tends towards a constant for p<0.03. Our stochastic annealing algorithm is based on limited sampling of the pruned tour lengths, exploiting the sampling error to provide the analog of thermal fluctuations in simulated (thermal) annealing. The method has general application to the optimization of functions whose cost to evaluate rises with the precision required.

Stationary responses of a Rayleigh viscoelastic system with zero barrier impacts under external random excitation.

PubMed

Wang, Deli; Xu, Wei; Zhao, Xiangrong

2016-03-01

This paper aims to deal with the stationary responses of a Rayleigh viscoelastic system with zero barrier impacts under external random excitation. First, the original stochastic viscoelastic system is converted to an equivalent stochastic system without viscoelastic terms by approximately adding the equivalent stiffness and damping. Relying on the means of non-smooth transformation of state variables, the above system is replaced by a new system without an impact term. Then, the stationary probability density functions of the system are observed analytically through stochastic averaging method. By considering the effects of the biquadratic nonlinear damping coefficient and the noise intensity on the system responses, the effectiveness of the theoretical method is tested by comparing the analytical results with those generated from Monte Carlo simulations. Additionally, it does deserve attention that some system parameters can induce the occurrence of stochastic P-bifurcation.

Stochastic Inversion of 2D Magnetotelluric Data

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

Chen, Jinsong

2010-07-01

The algorithm is developed to invert 2D magnetotelluric (MT) data based on sharp boundary parametrization using a Bayesian framework. Within the algorithm, we consider the locations and the resistivity of regions formed by the interfaces are as unknowns. We use a parallel, adaptive finite-element algorithm to forward simulate frequency-domain MT responses of 2D conductivity structure. Those unknown parameters are spatially correlated and are described by a geostatistical model. The joint posterior probability distribution function is explored by Markov Chain Monte Carlo (MCMC) sampling methods. The developed stochastic model is effective for estimating the interface locations and resistivity. Most importantly, itmore » provides details uncertainty information on each unknown parameter. Hardware requirements: PC, Supercomputer, Multi-platform, Workstation; Software requirements C and Fortan; Operation Systems/version is Linux/Unix or Windows« less

Stochastic analysis of a novel nonautonomous periodic SIRI epidemic system with random disturbances

NASA Astrophysics Data System (ADS)

Zhang, Weiwei; Meng, Xinzhu

2018-02-01

In this paper, a new stochastic nonautonomous SIRI epidemic model is formulated. Given that the incidence rates of diseases may change with the environment, we propose a novel type of transmission function. The main aim of this paper is to obtain the thresholds of the stochastic SIRI epidemic model. To this end, we investigate the dynamics of the stochastic system and establish the conditions for extinction and persistence in mean of the disease by constructing some suitable Lyapunov functions and using stochastic analysis technique. Furthermore, we show that the stochastic system has at least one nontrivial positive periodic solution. Finally, numerical simulations are introduced to illustrate our results.

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

State-space self-tuner for on-line adaptive control

NASA Technical Reports Server (NTRS)

Shieh, L. S.

1994-01-01

Dynamic systems, such as flight vehicles, satellites and space stations, operating in real environments, constantly face parameter and/or structural variations owing to nonlinear behavior of actuators, failure of sensors, changes in operating conditions, disturbances acting on the system, etc. In the past three decades, adaptive control has been shown to be effective in dealing with dynamic systems in the presence of parameter uncertainties, structural perturbations, random disturbances and environmental variations. Among the existing adaptive control methodologies, the state-space self-tuning control methods, initially proposed by us, are shown to be effective in designing advanced adaptive controllers for multivariable systems. In our approaches, we have embedded the standard Kalman state-estimation algorithm into an online parameter estimation algorithm. Thus, the advanced state-feedback controllers can be easily established for digital adaptive control of continuous-time stochastic multivariable systems. A state-space self-tuner for a general multivariable stochastic system has been developed and successfully applied to the space station for on-line adaptive control. Also, a technique for multistage design of an optimal momentum management controller for the space station has been developed and reported in. Moreover, we have successfully developed various digital redesign techniques which can convert a continuous-time controller to an equivalent digital controller. As a result, the expensive and unreliable continuous-time controller can be implemented using low-cost and high performance microprocessors. Recently, we have developed a new hybrid state-space self tuner using a new dual-rate sampling scheme for on-line adaptive control of continuous-time uncertain systems.

A multistage stochastic programming model for a multi-period strategic expansion of biofuel supply chain under evolving uncertainties

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

Xie, Fei; Huang, Yongxi

Here, we develop a multistage, stochastic mixed-integer model to support biofuel supply chain expansion under evolving uncertainties. By utilizing the block-separable recourse property, we reformulate the multistage program in an equivalent two-stage program and solve it using an enhanced nested decomposition method with maximal non-dominated cuts. We conduct extensive numerical experiments and demonstrate the application of the model and algorithm in a case study based on the South Carolina settings. The value of multistage stochastic programming method is also explored by comparing the model solution with the counterparts of an expected value based deterministic model and a two-stage stochastic model.

A multistage stochastic programming model for a multi-period strategic expansion of biofuel supply chain under evolving uncertainties

DOE PAGES

Xie, Fei; Huang, Yongxi

2018-02-04

Here, we develop a multistage, stochastic mixed-integer model to support biofuel supply chain expansion under evolving uncertainties. By utilizing the block-separable recourse property, we reformulate the multistage program in an equivalent two-stage program and solve it using an enhanced nested decomposition method with maximal non-dominated cuts. We conduct extensive numerical experiments and demonstrate the application of the model and algorithm in a case study based on the South Carolina settings. The value of multistage stochastic programming method is also explored by comparing the model solution with the counterparts of an expected value based deterministic model and a two-stage stochastic model.

Deterministic and stochastic algorithms for resolving the flow fields in ducts and networks using energy minimization

NASA Astrophysics Data System (ADS)

Sochi, Taha

2016-09-01

Several deterministic and stochastic multi-variable global optimization algorithms (Conjugate Gradient, Nelder-Mead, Quasi-Newton and global) are investigated in conjunction with energy minimization principle to resolve the pressure and volumetric flow rate fields in single ducts and networks of interconnected ducts. The algorithms are tested with seven types of fluid: Newtonian, power law, Bingham, Herschel-Bulkley, Ellis, Ree-Eyring and Casson. The results obtained from all those algorithms for all these types of fluid agree very well with the analytically derived solutions as obtained from the traditional methods which are based on the conservation principles and fluid constitutive relations. The results confirm and generalize the findings of our previous investigations that the energy minimization principle is at the heart of the flow dynamics systems. The investigation also enriches the methods of computational fluid dynamics for solving the flow fields in tubes and networks for various types of Newtonian and non-Newtonian fluids.

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.

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.

A fuzzy reinforcement learning approach to power control in wireless transmitters.

PubMed

Vengerov, David; Bambos, Nicholas; Berenji, Hamid R

2005-08-01

We address the issue of power-controlled shared channel access in wireless networks supporting packetized data traffic. We formulate this problem using the dynamic programming framework and present a new distributed fuzzy reinforcement learning algorithm (ACFRL-2) capable of adequately solving a class of problems to which the power control problem belongs. Our experimental results show that the algorithm converges almost deterministically to a neighborhood of optimal parameter values, as opposed to a very noisy stochastic convergence of earlier algorithms. The main tradeoff facing a transmitter is to balance its current power level with future backlog in the presence of stochastically changing interference. Simulation experiments demonstrate that the ACFRL-2 algorithm achieves significant performance gains over the standard power control approach used in CDMA2000. Such a large improvement is explained by the fact that ACFRL-2 allows transmitters to learn implicit coordination policies, which back off under stressful channel conditions as opposed to engaging in escalating "power wars."

Simulation of co-phase error correction of optical multi-aperture imaging system based on stochastic parallel gradient decent algorithm

NASA Astrophysics Data System (ADS)

He, Xiaojun; Ma, Haotong; Luo, Chuanxin

2016-10-01

The optical multi-aperture imaging system is an effective way to magnify the aperture and increase the resolution of telescope optical system, the difficulty of which lies in detecting and correcting of co-phase error. This paper presents a method based on stochastic parallel gradient decent algorithm (SPGD) to correct the co-phase error. Compared with the current method, SPGD method can avoid detecting the co-phase error. This paper analyzed the influence of piston error and tilt error on image quality based on double-aperture imaging system, introduced the basic principle of SPGD algorithm, and discuss the influence of SPGD algorithm's key parameters (the gain coefficient and the disturbance amplitude) on error control performance. The results show that SPGD can efficiently correct the co-phase error. The convergence speed of the SPGD algorithm is improved with the increase of gain coefficient and disturbance amplitude, but the stability of the algorithm reduced. The adaptive gain coefficient can solve this problem appropriately. This paper's results can provide the theoretical reference for the co-phase error correction of the multi-aperture imaging system.

Particle Swarm Optimization algorithms for geophysical inversion, practical hints

NASA Astrophysics Data System (ADS)

Garcia Gonzalo, E.; Fernandez Martinez, J.; Fernandez Alvarez, J.; Kuzma, H.; Menendez Perez, C.

2008-12-01

PSO is a stochastic optimization technique that has been successfully used in many different engineering fields. PSO algorithm can be physically interpreted as a stochastic damped mass-spring system (Fernandez Martinez and Garcia Gonzalo 2008). Based on this analogy we present a whole family of PSO algorithms and their respective first order and second order stability regions. Their performance is also checked using synthetic functions (Rosenbrock and Griewank) showing a degree of ill-posedness similar to that found in many geophysical inverse problems. Finally, we present the application of these algorithms to the analysis of a Vertical Electrical Sounding inverse problem associated to a seawater intrusion in a coastal aquifer in South Spain. We analyze the role of PSO parameters (inertia, local and global accelerations and discretization step), both in convergence curves and in the a posteriori sampling of the depth of an intrusion. Comparison is made with binary genetic algorithms and simulated annealing. As result of this analysis, practical hints are given to select the correct algorithm and to tune the corresponding PSO parameters. Fernandez Martinez, J.L., Garcia Gonzalo, E., 2008a. The generalized PSO: a new door to PSO evolution. Journal of Artificial Evolution and Applications. DOI:10.1155/2008/861275.

Mesoscopic description of random walks on combs

NASA Astrophysics Data System (ADS)

Méndez, Vicenç; Iomin, Alexander; Campos, Daniel; Horsthemke, Werner

2015-12-01

Combs are a simple caricature of various types of natural branched structures, which belong to the category of loopless graphs and consist of a backbone and branches. We study continuous time random walks on combs and present a generic method to obtain their transport properties. The random walk along the branches may be biased, and we account for the effect of the branches by renormalizing the waiting time probability distribution function for the motion along the backbone. We analyze the overall diffusion properties along the backbone and find normal diffusion, anomalous diffusion, and stochastic localization (diffusion failure), respectively, depending on the characteristics of the continuous time random walk along the branches, and compare our analytical results with stochastic simulations.

Stochastic nonlinear dynamics pattern formation and growth models

PubMed Central

Yaroslavsky, Leonid P

2007-01-01

Stochastic evolutionary growth and pattern formation models are treated in a unified way in terms of algorithmic models of nonlinear dynamic systems with feedback built of a standard set of signal processing units. A number of concrete models is described and illustrated by numerous examples of artificially generated patterns that closely imitate wide variety of patterns found in the nature. PMID:17908341

Portfolios of quantum algorithms.

PubMed

Maurer, S M; Hogg, T; Huberman, B A

2001-12-17

Quantum computation holds promise for the solution of many intractable problems. However, since many quantum algorithms are stochastic in nature they can find the solution of hard problems only probabilistically. Thus the efficiency of the algorithms has to be characterized by both the expected time to completion and the associated variance. In order to minimize both the running time and its uncertainty, we show that portfolios of quantum algorithms analogous to those of finance can outperform single algorithms when applied to the NP-complete problems such as 3-satisfiability.

Simulation-based planning for theater air warfare

NASA Astrophysics Data System (ADS)

Popken, Douglas A.; Cox, Louis A., Jr.

2004-08-01

Planning for Theatre Air Warfare can be represented as a hierarchy of decisions. At the top level, surviving airframes must be assigned to roles (e.g., Air Defense, Counter Air, Close Air Support, and AAF Suppression) in each time period in response to changing enemy air defense capabilities, remaining targets, and roles of opposing aircraft. At the middle level, aircraft are allocated to specific targets to support their assigned roles. At the lowest level, routing and engagement decisions are made for individual missions. The decisions at each level form a set of time-sequenced Courses of Action taken by opposing forces. This paper introduces a set of simulation-based optimization heuristics operating within this planning hierarchy to optimize allocations of aircraft. The algorithms estimate distributions for stochastic outcomes of the pairs of Red/Blue decisions. Rather than using traditional stochastic dynamic programming to determine optimal strategies, we use an innovative combination of heuristics, simulation-optimization, and mathematical programming. Blue decisions are guided by a stochastic hill-climbing search algorithm while Red decisions are found by optimizing over a continuous representation of the decision space. Stochastic outcomes are then provided by fast, Lanchester-type attrition simulations. This paper summarizes preliminary results from top and middle level models.

Computational path planner for product assembly in complex environments

NASA Astrophysics Data System (ADS)

Shang, Wei; Liu, Jianhua; Ning, Ruxin; Liu, Mi

2013-03-01

Assembly path planning is a crucial problem in assembly related design and manufacturing processes. Sampling based motion planning algorithms are used for computational assembly path planning. However, the performance of such algorithms may degrade much in environments with complex product structure, narrow passages or other challenging scenarios. A computational path planner for automatic assembly path planning in complex 3D environments is presented. The global planning process is divided into three phases based on the environment and specific algorithms are proposed and utilized in each phase to solve the challenging issues. A novel ray test based stochastic collision detection method is proposed to evaluate the intersection between two polyhedral objects. This method avoids fake collisions in conventional methods and degrades the geometric constraint when a part has to be removed with surface contact with other parts. A refined history based rapidly-exploring random tree (RRT) algorithm which bias the growth of the tree based on its planning history is proposed and employed in the planning phase where the path is simple but the space is highly constrained. A novel adaptive RRT algorithm is developed for the path planning problem with challenging scenarios and uncertain environment. With extending values assigned on each tree node and extending schemes applied, the tree can adapts its growth to explore complex environments more efficiently. Experiments on the key algorithms are carried out and comparisons are made between the conventional path planning algorithms and the presented ones. The comparing results show that based on the proposed algorithms, the path planner can compute assembly path in challenging complex environments more efficiently and with higher success. This research provides the references to the study of computational assembly path planning under complex environments.

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.

A Stochastic Simulation Framework for the Prediction of Strategic Noise Mapping and Occupational Noise Exposure Using the Random Walk Approach

PubMed Central

Haron, Zaiton; Bakar, Suhaimi Abu; Dimon, Mohamad Ngasri

2015-01-01

Strategic noise mapping provides important information for noise impact assessment and noise abatement. However, producing reliable strategic noise mapping in a dynamic, complex working environment is difficult. This study proposes the implementation of the random walk approach as a new stochastic technique to simulate noise mapping and to predict the noise exposure level in a workplace. A stochastic simulation framework and software, namely RW-eNMS, were developed to facilitate the random walk approach in noise mapping prediction. This framework considers the randomness and complexity of machinery operation and noise emission levels. Also, it assesses the impact of noise on the workers and the surrounding environment. For data validation, three case studies were conducted to check the accuracy of the prediction data and to determine the efficiency and effectiveness of this approach. The results showed high accuracy of prediction results together with a majority of absolute differences of less than 2 dBA; also, the predicted noise doses were mostly in the range of measurement. Therefore, the random walk approach was effective in dealing with environmental noises. It could predict strategic noise mapping to facilitate noise monitoring and noise control in the workplaces. PMID:25875019

Multi-Parent Clustering Algorithms from Stochastic Grammar Data Models

NASA Technical Reports Server (NTRS)

Mjoisness, Eric; Castano, Rebecca; Gray, Alexander

1999-01-01

We introduce a statistical data model and an associated optimization-based clustering algorithm which allows data vectors to belong to zero, one or several "parent" clusters. For each data vector the algorithm makes a discrete decision among these alternatives. Thus, a recursive version of this algorithm would place data clusters in a Directed Acyclic Graph rather than a tree. We test the algorithm with synthetic data generated according to the statistical data model. We also illustrate the algorithm using real data from large-scale gene expression assays.

On the statistical mechanics of the 2D stochastic Euler equation

NASA Astrophysics Data System (ADS)

Bouchet, Freddy; Laurie, Jason; Zaboronski, Oleg

2011-12-01

The dynamics of vortices and large scale structures is qualitatively very different in two dimensional flows compared to its three dimensional counterparts, due to the presence of multiple integrals of motion. These are believed to be responsible for a variety of phenomena observed in Euler flow such as the formation of large scale coherent structures, the existence of meta-stable states and random abrupt changes in the topology of the flow. In this paper we study stochastic dynamics of the finite dimensional approximation of the 2D Euler flow based on Lie algebra su(N) which preserves all integrals of motion. In particular, we exploit rich algebraic structure responsible for the existence of Euler's conservation laws to calculate the invariant measures and explore their properties and also study the approach to equilibrium. Unexpectedly, we find deep connections between equilibrium measures of finite dimensional su(N) truncations of the stochastic Euler equations and random matrix models. Our work can be regarded as a preparation for addressing the questions of large scale structures, meta-stability and the dynamics of random transitions between different flow topologies in stochastic 2D Euler flows.

Clinical Applications of Stochastic Dynamic Models of the Brain, Part I: A Primer.

PubMed

Roberts, James A; Friston, Karl J; Breakspear, Michael

2017-04-01

Biological phenomena arise through interactions between an organism's intrinsic dynamics and stochastic forces-random fluctuations due to external inputs, thermal energy, or other exogenous influences. Dynamic processes in the brain derive from neurophysiology and anatomical connectivity; stochastic effects arise through sensory fluctuations, brainstem discharges, and random microscopic states such as thermal noise. The dynamic evolution of systems composed of both dynamic and random effects can be studied with stochastic dynamic models (SDMs). This article, Part I of a two-part series, offers a primer of SDMs and their application to large-scale neural systems in health and disease. The companion article, Part II, reviews the application of SDMs to brain disorders. SDMs generate a distribution of dynamic states, which (we argue) represent ideal candidates for modeling how the brain represents states of the world. When augmented with variational methods for model inversion, SDMs represent a powerful means of inferring neuronal dynamics from functional neuroimaging data in health and disease. Together with deeper theoretical considerations, this work suggests that SDMs will play a unique and influential role in computational psychiatry, unifying empirical observations with models of perception and behavior. Copyright © 2017 Society of Biological Psychiatry. Published by Elsevier Inc. All rights reserved.

Random diffusivity from stochastic equations: comparison of two models for Brownian yet non-Gaussian diffusion

NASA Astrophysics Data System (ADS)

Sposini, Vittoria; Chechkin, Aleksei V.; Seno, Flavio; Pagnini, Gianni; Metzler, Ralf

2018-04-01

A considerable number of systems have recently been reported in which Brownian yet non-Gaussian dynamics was observed. These are processes characterised by a linear growth in time of the mean squared displacement, yet the probability density function of the particle displacement is distinctly non-Gaussian, and often of exponential (Laplace) shape. This apparently ubiquitous behaviour observed in very different physical systems has been interpreted as resulting from diffusion in inhomogeneous environments and mathematically represented through a variable, stochastic diffusion coefficient. Indeed different models describing a fluctuating diffusivity have been studied. Here we present a new view of the stochastic basis describing time-dependent random diffusivities within a broad spectrum of distributions. Concretely, our study is based on the very generic class of the generalised Gamma distribution. Two models for the particle spreading in such random diffusivity settings are studied. The first belongs to the class of generalised grey Brownian motion while the second follows from the idea of diffusing diffusivities. The two processes exhibit significant characteristics which reproduce experimental results from different biological and physical systems. We promote these two physical models for the description of stochastic particle motion in complex environments.

Rupture Propagation for Stochastic Fault Models

NASA Astrophysics Data System (ADS)

Favreau, P.; Lavallee, D.; Archuleta, R.

2003-12-01

The inversion of strong motion data of large earhquakes give the spatial distribution of pre-stress on the ruptured faults and it can be partially reproduced by stochastic models, but a fundamental question remains: how rupture propagates, constrained by the presence of spatial heterogeneity? For this purpose we investigate how the underlying random variables, that control the pre-stress spatial variability, condition the propagation of the rupture. Two stochastic models of prestress distributions are considered, respectively based on Cauchy and Gaussian random variables. The parameters of the two stochastic models have values corresponding to the slip distribution of the 1979 Imperial Valley earthquake. We use a finite difference code to simulate the spontaneous propagation of shear rupture on a flat fault in a 3D continuum elastic body. The friction law is the slip dependent friction law. The simulations show that the propagation of the rupture front is more complex, incoherent or snake-like for a prestress distribution based on Cauchy random variables. This may be related to the presence of a higher number of asperities in this case. These simulations suggest that directivity is stronger in the Cauchy scenario, compared to the smoother rupture of the Gauss scenario.

Le modèle stochastique SIS pour une épidémie dans un environnement aléatoire.

PubMed

Bacaër, Nicolas

2016-10-01

The stochastic SIS epidemic model in a random environment. In a random environment that is a two-state continuous-time Markov chain, the mean time to extinction of the stochastic SIS epidemic model grows in the supercritical case exponentially with respect to the population size if the two states are favorable, and like a power law if one state is favorable while the other is unfavorable.

Hail statistic in Western Europe based on a hyrid cell-tracking algorithm combining radar signals with hailstone observations

NASA Astrophysics Data System (ADS)

Fluck, Elody

2015-04-01

Hail statistic in Western Europe based on a hybrid cell-tracking algorithm combining radar signals with hailstone observations Elody Fluck¹, Michael Kunz¹ , Peter Geissbühler², Stefan P. Ritz² With hail damage estimated over Billions of Euros for a single event (e.g., hailstorm Andreas on 27/28 July 2013), hail constitute one of the major atmospheric risks in various parts of Europe. The project HAMLET (Hail Model for Europe) in cooperation with the insurance company Tokio Millennium Re aims at estimating hail probability, hail hazard and, combined with vulnerability, hail risk for several European countries (Germany, Switzerland, France, Netherlands, Austria, Belgium and Luxembourg). Hail signals are obtained from radar reflectivity since this proxy is available with a high temporal and spatial resolution using several hail proxies, especially radar data. The focus in the first step is on Germany and France for the periods 2005- 2013 and 1999 - 2013, respectively. In the next step, the methods will be transferred and extended to other regions. A cell-tracking algorithm TRACE2D was adjusted and applied to two dimensional radar reflectivity data from different radars operated by European weather services such as German weather service (DWD) and French weather service (Météo-France). Strong convective cells are detected by considering 3 connected pixels over 45 dBZ (Reflectivity Cores RCs) in a radar scan. Afterwards, the algorithm tries to find the same RCs in the next 5 minute radar scan and, thus, track the RCs centers over time and space. Additional information about hailstone diameters provided by ESWD (European Severe Weather Database) is used to determine hail intensity of the detected hail swaths. Maximum hailstone diameters are interpolated along and close to the individual hail tracks giving an estimation of mean diameters for the detected hail swaths. Furthermore, a stochastic event set is created by randomizing the parameters obtained from the tracking approach of the historical event catalogue (length, width, orientation, diameter). This stochastic event set will be used to quantify hail risk and to estimate probable maximum loss (e.g., PML200) for a given industry motor or property (building) portfolio.

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

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.

Free Vibration of Uncertain Unsymmetrically Laminated Beams

NASA Technical Reports Server (NTRS)

Kapania, Rakesh K.; Goyal, Vijay K.

2001-01-01

Monte Carlo Simulation and Stochastic FEA are used to predict randomness in the free vibration response of thin unsymmetrically laminated beams. For the present study, it is assumed that randomness in the response is only caused by uncertainties in the ply orientations. The ply orientations may become random or uncertain during the manufacturing process. A new 16-dof beam element, based on the first-order shear deformation beam theory, is used to study the stochastic nature of the natural frequencies. Using variational principles, the element stiffness matrix and mass matrix are obtained through analytical integration. Using a random sequence a large data set is generated, containing possible random ply-orientations. This data is assumed to be symmetric. The stochastic-based finite element model for free vibrations predicts the relation between the randomness in fundamental natural frequencies and the randomness in ply-orientation. The sensitivity derivatives are calculated numerically through an exact formulation. The squared fundamental natural frequencies are expressed in terms of deterministic and probabilistic quantities, allowing to determine how sensitive they are to variations in ply angles. The predicted mean-valued fundamental natural frequency squared and the variance of the present model are in good agreement with Monte Carlo Simulation. Results, also, show that variations between plus or minus 5 degrees in ply-angles can affect free vibration response of unsymmetrically and symmetrically laminated beams.

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.