TEMPERED FRACTIONAL CALCULUS

PubMed Central

MEERSCHAERT, MARK M.; SABZIKAR, FARZAD; CHEN, JINGHUA

2014-01-01

Fractional derivatives and integrals are convolutions with a power law. Multiplying by an exponential factor leads to tempered fractional derivatives and integrals. Tempered fractional diffusion equations, where the usual second derivative in space is replaced by a tempered fractional derivative, govern the limits of random walk models with an exponentially tempered power law jump distribution. The limiting tempered stable probability densities exhibit semi-heavy tails, which are commonly observed in finance. Tempered power law waiting times lead to tempered fractional time derivatives, which have proven useful in geophysics. The tempered fractional derivative or integral of a Brownian motion, called a tempered fractional Brownian motion, can exhibit semi-long range dependence. The increments of this process, called tempered fractional Gaussian noise, provide a useful new stochastic model for wind speed data. A tempered difference forms the basis for numerical methods to solve tempered fractional diffusion equations, and it also provides a useful new correlation model in time series. PMID:26085690

Tempered fractional calculus

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

Sabzikar, Farzad, E-mail: sabzika2@stt.msu.edu; Meerschaert, Mark M., E-mail: mcubed@stt.msu.edu; Chen, Jinghua, E-mail: cjhdzdz@163.com

2015-07-15

Fractional derivatives and integrals are convolutions with a power law. Multiplying by an exponential factor leads to tempered fractional derivatives and integrals. Tempered fractional diffusion equations, where the usual second derivative in space is replaced by a tempered fractional derivative, govern the limits of random walk models with an exponentially tempered power law jump distribution. The limiting tempered stable probability densities exhibit semi-heavy tails, which are commonly observed in finance. Tempered power law waiting times lead to tempered fractional time derivatives, which have proven useful in geophysics. The tempered fractional derivative or integral of a Brownian motion, called a temperedmore » fractional Brownian motion, can exhibit semi-long range dependence. The increments of this process, called tempered fractional Gaussian noise, provide a useful new stochastic model for wind speed data. A tempered fractional difference forms the basis for numerical methods to solve tempered fractional diffusion equations, and it also provides a useful new correlation model in time series.« less

Photocounting distributions for exponentially decaying sources.

PubMed

Teich, M C; Card, H C

1979-05-01

Exact photocounting distributions are obtained for a pulse of light whose intensity is exponentially decaying in time, when the underlying photon statistics are Poisson. It is assumed that the starting time for the sampling interval (which is of arbitrary duration) is uniformly distributed. The probability of registering n counts in the fixed time T is given in terms of the incomplete gamma function for n >/= 1 and in terms of the exponential integral for n = 0. Simple closed-form expressions are obtained for the count mean and variance. The results are expected to be of interest in certain studies involving spontaneous emission, radiation damage in solids, and nuclear counting. They will also be useful in neurobiology and psychophysics, since habituation and sensitization processes may sometimes be characterized by the same stochastic model.

Design of sliding-mode observer for a class of uncertain neutral stochastic systems

NASA Astrophysics Data System (ADS)

Liu, Zhen; Zhao, Lin; Zhu, Quanmin; Gao, Cunchen

2017-05-01

The problem of robust ? control for a class of uncertain neutral stochastic systems (NSS) is investigated by utilising the sliding-mode observer (SMO) technique. This paper presents a novel observer and integral-type sliding-surface design, based on which a new sufficient condition guaranteeing the resultant sliding-mode dynamics (SMDs) to be mean-square exponentially stable with a prescribed level of ? performance is derived. Then, an adaptive reaching motion controller is synthesised to lead the system to the predesigned sliding surface in finite-time almost surely. Finally, two illustrative examples are exhibited to verify the validity and superiority of the developed scheme.

New exponential stability criteria for stochastic BAM neural networks with impulses

NASA Astrophysics Data System (ADS)

Sakthivel, R.; Samidurai, R.; Anthoni, S. M.

2010-10-01

In this paper, we study the global exponential stability of time-delayed stochastic bidirectional associative memory neural networks with impulses and Markovian jumping parameters. A generalized activation function is considered, and traditional assumptions on the boundedness, monotony and differentiability of activation functions are removed. We obtain a new set of sufficient conditions in terms of linear matrix inequalities, which ensures the global exponential stability of the unique equilibrium point for stochastic BAM neural networks with impulses. The Lyapunov function method with the Itô differential rule is employed for achieving the required result. Moreover, a numerical example is provided to show that the proposed result improves the allowable upper bound of delays over some existing results in the literature.

Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations.

PubMed

Zhang, Ling

2017-01-01

The main purpose of this paper is to investigate the strong convergence and exponential stability in mean square of the exponential Euler method to semi-linear stochastic delay differential equations (SLSDDEs). It is proved that the exponential Euler approximation solution converges to the analytic solution with the strong order [Formula: see text] to SLSDDEs. On the one hand, the classical stability theorem to SLSDDEs is given by the Lyapunov functions. However, in this paper we study the exponential stability in mean square of the exact solution to SLSDDEs by using the definition of logarithmic norm. On the other hand, the implicit Euler scheme to SLSDDEs is known to be exponentially stable in mean square for any step size. However, in this article we propose an explicit method to show that the exponential Euler method to SLSDDEs is proved to share the same stability for any step size by the property of logarithmic norm.

Improved result on stability analysis of discrete stochastic neural networks with time delay

NASA Astrophysics Data System (ADS)

Wu, Zhengguang; Su, Hongye; Chu, Jian; Zhou, Wuneng

2009-04-01

This Letter investigates the problem of exponential stability for discrete stochastic time-delay neural networks. By defining a novel Lyapunov functional, an improved delay-dependent exponential stability criterion is established in terms of linear matrix inequality (LMI) approach. Meanwhile, the computational complexity of the newly established stability condition is reduced because less variables are involved. Numerical example is given to illustrate the effectiveness and the benefits of the proposed method.

Distributed Consensus of Stochastic Delayed Multi-agent Systems Under Asynchronous Switching.

PubMed

Wu, Xiaotai; Tang, Yang; Cao, Jinde; Zhang, Wenbing

2016-08-01

In this paper, the distributed exponential consensus of stochastic delayed multi-agent systems with nonlinear dynamics is investigated under asynchronous switching. The asynchronous switching considered here is to account for the time of identifying the active modes of multi-agent systems. After receipt of confirmation of mode's switching, the matched controller can be applied, which means that the switching time of the matched controller in each node usually lags behind that of system switching. In order to handle the coexistence of switched signals and stochastic disturbances, a comparison principle of stochastic switched delayed systems is first proved. By means of this extended comparison principle, several easy to verified conditions for the existence of an asynchronously switched distributed controller are derived such that stochastic delayed multi-agent systems with asynchronous switching and nonlinear dynamics can achieve global exponential consensus. Two examples are given to illustrate the effectiveness of the proposed method.

Concept for an off-line gain stabilisation method.

PubMed

Pommé, S; Sibbens, G

2004-01-01

Conceptual ideas are presented for an off-line gain stabilisation method for spectrometry, in particular for alpha-particle spectrometry at low count rate. The method involves list mode storage of individual energy and time stamp data pairs. The 'Stieltjes integral' of measured spectra with respect to a reference spectrum is proposed as an indicator for gain instability. 'Exponentially moving averages' of the latter show the gain shift as a function of time. With this information, the data are relocated stochastically on a point-by-point basis.

A stochastic evolutionary model generating a mixture of exponential distributions

NASA Astrophysics Data System (ADS)

Fenner, Trevor; Levene, Mark; Loizou, George

2016-02-01

Recent interest in human dynamics has stimulated the investigation of the stochastic processes that explain human behaviour in various contexts, such as mobile phone networks and social media. In this paper, we extend the stochastic urn-based model proposed in [T. Fenner, M. Levene, G. Loizou, J. Stat. Mech. 2015, P08015 (2015)] so that it can generate mixture models, in particular, a mixture of exponential distributions. The model is designed to capture the dynamics of survival analysis, traditionally employed in clinical trials, reliability analysis in engineering, and more recently in the analysis of large data sets recording human dynamics. The mixture modelling approach, which is relatively simple and well understood, is very effective in capturing heterogeneity in data. We provide empirical evidence for the validity of the model, using a data set of popular search engine queries collected over a period of 114 months. We show that the survival function of these queries is closely matched by the exponential mixture solution for our model.

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.

Double closed-loop control of integrated optical resonance gyroscope with mean-square exponential stability.

PubMed

Li, Hui; Liu, Liying; Lin, Zhili; Wang, Qiwei; Wang, Xiao; Feng, Lishuang

2018-01-22

A new double closed-loop control system with mean-square exponential stability is firstly proposed to optimize the detection accuracy and dynamic response characteristic of the integrated optical resonance gyroscope (IORG). The influence mechanism of optical nonlinear effects on system detection sensitivity is investigated to optimize the demodulation gain, the maximum sensitivity and the linear work region of a gyro system. Especially, we analyze the effect of optical parameter fluctuation on the parameter uncertainty of system, and investigate the influence principle of laser locking-frequency noise on the closed-loop detection accuracy of angular velocity. The stochastic disturbance model of double closed-loop IORG is established that takes the unfavorable factors such as optical effect nonlinearity, disturbed disturbance, optical parameter fluctuation and unavoidable system noise into consideration. A robust control algorithm is also designed to guarantee the mean-square exponential stability of system with a prescribed H ∞ performance in order to improve the detection accuracy and dynamic performance of IORG. The conducted experiment results demonstrate that the IORG has a dynamic response time less than 76us, a long-term bias stability 7.04°/h with an integration time of 10s over one-hour test, and the corresponding bias stability 1.841°/h based on Allan deviation, which validate the effectiveness and usefulness of the proposed detection scheme.

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

PubMed

Huang, Haiying; Du, Qiaosheng; Kang, Xibing

2013-11-01

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

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

PubMed

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

2012-06-01

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

Exponential synchronization of delayed neutral-type neural networks with Lévy noise under non-Lipschitz condition

NASA Astrophysics Data System (ADS)

Ma, Shuo; Kang, Yanmei

2018-04-01

In this paper, the exponential synchronization of stochastic neutral-type neural networks with time-varying delay and Lévy noise under non-Lipschitz condition is investigated for the first time. Using the general Itô's formula and the nonnegative semi-martingale convergence theorem, we derive general sufficient conditions of two kinds of exponential synchronization for the drive system and the response system with adaptive control. Numerical examples are presented to verify the effectiveness of the proposed criteria.

Stochastic dynamics and non-equilibrium thermodynamics of a bistable chemical system: the Schlögl model revisited.

PubMed

Vellela, Melissa; Qian, Hong

2009-10-06

Schlögl's model is the canonical example of a chemical reaction system that exhibits bistability. Because the biological examples of bistability and switching behaviour are increasingly numerous, this paper presents an integrated deterministic, stochastic and thermodynamic analysis of the model. After a brief review of the deterministic and stochastic modelling frameworks, the concepts of chemical and mathematical detailed balances are discussed and non-equilibrium conditions are shown to be necessary for bistability. Thermodynamic quantities such as the flux, chemical potential and entropy production rate are defined and compared across the two models. In the bistable region, the stochastic model exhibits an exchange of the global stability between the two stable states under changes in the pump parameters and volume size. The stochastic entropy production rate shows a sharp transition that mirrors this exchange. A new hybrid model that includes continuous diffusion and discrete jumps is suggested to deal with the multiscale dynamics of the bistable system. Accurate approximations of the exponentially small eigenvalue associated with the time scale of this switching and the full time-dependent solution are calculated using Matlab. A breakdown of previously known asymptotic approximations on small volume scales is observed through comparison with these and Monte Carlo results. Finally, in the appendix section is an illustration of how the diffusion approximation of the chemical master equation can fail to represent correctly the mesoscopically interesting steady-state behaviour of the system.

Stochastic resonance in micro/nano cantilever sensors

NASA Astrophysics Data System (ADS)

Singh, Priyanka; Yadava, R. D. S.

2018-05-01

In this paper we present a comparative study on the stochastic resonance in micro/nano cantilever resonators due to fluctuations in the fundamental frequency or the damping coefficient. Considering DC+AC electrostatic actuation in the presence of zero-mean Gaussian noise with exponential autocorrelation we analyze stochastic resonance behaviors for the frequency and the damping fluctuations separately, and compare the effects of stochastic resonance on Q-factor of the resonators for different levels of damping losses. It is found that even though the stochastic resonance occurs for both types of fluctuations, only the damping fluctuation produces right cooperative influence on the fundamental resonance that improves both the amplitude response and the quality factor of the resonator.

Stochastic functional evolution equations with monotone nonlinearity: Existence and stability of the mild solutions

NASA Astrophysics Data System (ADS)

Jahanipur, Ruhollah

In this paper, we study a class of semilinear functional evolution equations in which the nonlinearity is demicontinuous and satisfies a semimonotone condition. We prove the existence, uniqueness and exponentially asymptotic stability of the mild solutions. Our approach is to apply a convenient version of Burkholder inequality for convolution integrals and an iteration method based on the existence and measurability results for the functional integral equations in Hilbert spaces. An Itô-type inequality is the main tool to study the uniqueness, p-th moment and almost sure sample path asymptotic stability of the mild solutions. We also give some examples to illustrate the applications of the theorems and meanwhile we compare the results obtained in this paper with some others appeared in the literature.

Fixation, transient landscape, and diffusion dilemma in stochastic evolutionary game dynamics

NASA Astrophysics Data System (ADS)

Zhou, Da; Qian, Hong

2011-09-01

Agent-based stochastic models for finite populations have recently received much attention in the game theory of evolutionary dynamics. Both the ultimate fixation and the pre-fixation transient behavior are important to a full understanding of the dynamics. In this paper, we study the transient dynamics of the well-mixed Moran process through constructing a landscape function. It is shown that the landscape playing a central theoretical “device” that integrates several lines of inquiries: the stable behavior of the replicator dynamics, the long-time fixation, and continuous diffusion approximation associated with asymptotically large population. Several issues relating to the transient dynamics are discussed: (i) multiple time scales phenomenon associated with intra- and inter-attractoral dynamics; (ii) discontinuous transition in stochastically stationary process akin to Maxwell construction in equilibrium statistical physics; and (iii) the dilemma diffusion approximation facing as a continuous approximation of the discrete evolutionary dynamics. It is found that rare events with exponentially small probabilities, corresponding to the uphill movements and barrier crossing in the landscape with multiple wells that are made possible by strong nonlinear dynamics, plays an important role in understanding the origin of the complexity in evolutionary, nonlinear biological systems.

State-dependent anisotrophy: Comparison of quasi-analytical solutions with stochastic results for steady gravity drainage

USGS Publications Warehouse

Green, Timothy R.; Freyberg, David L.

1995-01-01

Anisotropy in large-scale unsaturated hydraulic conductivity of layered soils changes with the moisture state. Here, state-dependent anisotropy is computed under conditions of large-scale gravity drainage. Soils represented by Gardner's exponential function are perfectly stratified, periodic, and inclined. Analytical integration of Darcy’s law across each layer results in a system of nonlinear equations that is solved iteratively for capillary suction at layer interfaces and for the Darcy flux normal to layering. Computed fluxes and suction profiles are used to determine both upscaled hydraulic conductivity in the principal directions and the corresponding “state-dependent” anisotropy ratio as functions of the mean suction. Three groups of layered soils are analyzed and compared with independent predictions from the stochastic results of Yeh et al. (1985b). The small-perturbation approach predicts appropriate behaviors for anisotropy under nonarid conditions. However, the stochastic results are limited to moderate values of mean suction; this limitation is linked to a Taylor series approximation in terms of a group of statistical and geometric parameters. Two alternative forms of the Taylor series provide upper and lower bounds for the state-dependent anisotropy of relatively dry soils.

Convergence analysis of stochastic hybrid bidirectional associative memory neural networks with delays

NASA Astrophysics Data System (ADS)

Wan, Li; Zhou, Qinghua

2007-10-01

The stability property of stochastic hybrid bidirectional associate memory (BAM) neural networks with discrete delays is considered. Without assuming the symmetry of synaptic connection weights and the monotonicity and differentiability of activation functions, the delay-independent sufficient conditions to guarantee the exponential stability of the equilibrium solution for such networks are given by using the nonnegative semimartingale convergence theorem.

Kinetic and Stochastic Models of 1D yeast ``prions"

NASA Astrophysics Data System (ADS)

Kunes, Kay

2005-03-01

Mammalian prion proteins (PrP) are of public health interest because of mad cow and chronic wasting diseases. Yeasts have proteins, which can undergo similar reconformation and aggregation processes to PrP; yeast ``prions" are simpler to experimentally study and model. Recent in vitro studies of the SUP35 protein (1), showed long aggregates and pure exponential growth of the misfolded form. To explain this data, we have extended a previous model of aggregation kinetics along with our own stochastic approach (2). Both models assume reconformation only upon aggregation, and include aggregate fissioning and an initial nucleation barrier. We find for sufficiently small nucleation rates or seeding by small dimer concentrations that we can achieve the requisite exponential growth and long aggregates.

A large deviations principle for stochastic flows of viscous fluids

NASA Astrophysics Data System (ADS)

Cipriano, Fernanda; Costa, Tiago

2018-04-01

We study the well-posedness of a stochastic differential equation on the two dimensional torus T2, driven by an infinite dimensional Wiener process with drift in the Sobolev space L2 (0 , T ;H1 (T2)) . The solution corresponds to a stochastic Lagrangian flow in the sense of DiPerna Lions. By taking into account that the motion of a viscous incompressible fluid on the torus can be described through a suitable stochastic differential equation of the previous type, we study the inviscid limit. By establishing a large deviations principle, we show that, as the viscosity goes to zero, the Lagrangian stochastic Navier-Stokes flow approaches the Euler deterministic Lagrangian flow with an exponential rate function.

Investigation of advanced UQ for CRUD prediction with VIPRE.

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

Eldred, Michael Scott

2011-09-01

This document summarizes the results from a level 3 milestone study within the CASL VUQ effort. It demonstrates the application of 'advanced UQ,' in particular dimension-adaptive p-refinement for polynomial chaos and stochastic collocation. The study calculates statistics for several quantities of interest that are indicators for the formation of CRUD (Chalk River unidentified deposit), which can lead to CIPS (CRUD induced power shift). Stochastic expansion methods are attractive methods for uncertainty quantification due to their fast convergence properties. For smooth functions (i.e., analytic, infinitely-differentiable) in L{sup 2} (i.e., possessing finite variance), exponential convergence rates can be obtained under order refinementmore » for integrated statistical quantities of interest such as mean, variance, and probability. Two stochastic expansion methods are of interest: nonintrusive polynomial chaos expansion (PCE), which computes coefficients for a known basis of multivariate orthogonal polynomials, and stochastic collocation (SC), which forms multivariate interpolation polynomials for known coefficients. Within the DAKOTA project, recent research in stochastic expansion methods has focused on automated polynomial order refinement ('p-refinement') of expansions to support scalability to higher dimensional random input spaces [4, 3]. By preferentially refining only in the most important dimensions of the input space, the applicability of these methods can be extended from O(10{sup 0})-O(10{sup 1}) random variables to O(10{sup 2}) and beyond, depending on the degree of anisotropy (i.e., the extent to which randominput variables have differing degrees of influence on the statistical quantities of interest (QOIs)). Thus, the purpose of this study is to investigate the application of these adaptive stochastic expansion methods to the analysis of CRUD using the VIPRE simulation tools for two different plant models of differing random dimension, anisotropy, and smoothness.« less

Transient ensemble dynamics in time-independent galactic potentials

NASA Astrophysics Data System (ADS)

Mahon, M. Elaine; Abernathy, Robert A.; Bradley, Brendan O.; Kandrup, Henry E.

1995-07-01

This paper summarizes a numerical investigation of the short-time, possibly transient, behaviour of ensembles of stochastic orbits evolving in fixed non-integrable potentials, with the aim of deriving insights into the structure and evolution of galaxies. The simulations involved three different two-dimensional potentials, quite different in appearance. However, despite these differences, ensembles in all three potentials exhibit similar behaviour. This suggests that the conclusions inferred from the simulations are robust, relying only on basic topological properties, e.g., the existence of KAM tori and cantori. Generic ensembles of initial conditions, corresponding to stochastic orbits, exhibit a rapid coarse-grained approach towards a near-invariant distribution on a time-scale <>t_H, although various irregularities associated with external and/or internal irregularities can drastically accelerate this process. A principal tool in the analysis is the notion of a local Liapounov exponent, which provides a statistical characterization of the overall instability of stochastic orbits over finite time intervals. In particular, there is a precise sense in which confined stochastic orbits are less unstable, with smaller local Liapounov exponents, than are unconfined stochastic orbits.

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

PubMed

Sheng, Yin; Zeng, Zhigang

2018-07-01

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

Attitude/attitude-rate estimation from GPS differential phase measurements using integrated-rate parameters

NASA Technical Reports Server (NTRS)

Oshman, Yaakov; Markley, Landis

1998-01-01

A sequential filtering algorithm is presented for attitude and attitude-rate estimation from Global Positioning System (GPS) differential carrier phase measurements. A third-order, minimal-parameter method for solving the attitude matrix kinematic equation is used to parameterize the filter's state, which renders the resulting estimator computationally efficient. Borrowing from tracking theory concepts, the angular acceleration is modeled as an exponentially autocorrelated stochastic process, thus avoiding the use of the uncertain spacecraft dynamic model. The new formulation facilitates the use of aiding vector observations in a unified filtering algorithm, which can enhance the method's robustness and accuracy. Numerical examples are used to demonstrate the performance of the method.

Stochastic sampled-data control for synchronization of complex dynamical networks with control packet loss and additive time-varying delays.

PubMed

Rakkiyappan, R; Sakthivel, N; Cao, Jinde

2015-06-01

This study examines the exponential synchronization of complex dynamical networks with control packet loss and additive time-varying delays. Additionally, sampled-data controller with time-varying sampling period is considered and is assumed to switch between m different values in a random way with given probability. Then, a novel Lyapunov-Krasovskii functional (LKF) with triple integral terms is constructed and by using Jensen's inequality and reciprocally convex approach, sufficient conditions under which the dynamical network is exponentially mean-square stable are derived. When applying Jensen's inequality to partition double integral terms in the derivation of linear matrix inequality (LMI) conditions, a new kind of linear combination of positive functions weighted by the inverses of squared convex parameters appears. In order to handle such a combination, an effective method is introduced by extending the lower bound lemma. To design the sampled-data controller, the synchronization error system is represented as a switched system. Based on the derived LMI conditions and average dwell-time method, sufficient conditions for the synchronization of switched error system are derived in terms of LMIs. Finally, numerical example is employed to show the effectiveness of the proposed methods. Copyright © 2015 Elsevier Ltd. All rights reserved.

Stochastic scheduling on a repairable manufacturing system

NASA Astrophysics Data System (ADS)

Li, Wei; Cao, Jinhua

1995-08-01

In this paper, we consider some stochastic scheduling problems with a set of stochastic jobs on a manufacturing system with a single machine that is subject to multiple breakdowns and repairs. When the machine processing a job fails, the job processing must restart some time later when the machine is repaired. For this typical manufacturing system, we find the optimal policies that minimize the following objective functions: (1) the weighed sum of the completion times; (2) the weighed number of late jobs having constant due dates; (3) the weighted number of late jobs having random due dates exponentially distributed, which generalize some previous results.

Dynamical behavior of a stochastic SVIR epidemic model with vaccination

NASA Astrophysics Data System (ADS)

Zhang, Xinhong; Jiang, Daqing; Hayat, Tasawar; Ahmad, Bashir

2017-10-01

In this paper, we investigate the dynamical behavior of SVIR models in random environments. Firstly, we show that if R0s < 1, the disease of stochastic autonomous SVIR model will die out exponentially; if R˜0s > 1, the disease will be prevail. Moreover, this system admits a unique stationary distribution and it is ergodic when R˜0s > 1. Results show that environmental white noise is helpful for disease control. Secondly, we give sufficient conditions for the existence of nontrivial periodic solutions to stochastic SVIR model with periodic parameters. Finally, numerical simulations validate the analytical results.

Gradient-based stochastic estimation of the density matrix

NASA Astrophysics Data System (ADS)

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

2018-03-01

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

Statistical steady states in turbulent droplet condensation

NASA Astrophysics Data System (ADS)

Bec, Jeremie; Krstulovic, Giorgio; Siewert, Christoph

2017-11-01

We investigate the general problem of turbulent condensation. Using direct numerical simulations we show that the fluctuations of the supersaturation field offer different conditions for the growth of droplets which evolve in time due to turbulent transport and mixing. This leads to propose a Lagrangian stochastic model consisting of a set of integro-differential equations for the joint evolution of the squared radius and the supersaturation along droplet trajectories. The model has two parameters fixed by the total amount of water and the thermodynamic properties, as well as the Lagrangian integral timescale of the turbulent supersaturation. The model reproduces very well the droplet size distributions obtained from direct numerical simulations and their time evolution. A noticeable result is that, after a stage where the squared radius simply diffuses, the system converges exponentially fast to a statistical steady state independent of the initial conditions. The main mechanism involved in this convergence is a loss of memory induced by a significant number of droplets undergoing a complete evaporation before growing again. The statistical steady state is characterised by an exponential tail in the droplet mass distribution.

Renormalizing a viscous fluid model for large scale structure formation

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

Führer, Florian; Rigopoulos, Gerasimos, E-mail: fuhrer@thphys.uni-heidelberg.de, E-mail: gerasimos.rigopoulos@ncl.ac.uk

2016-02-01

Using the Stochastic Adhesion Model (SAM) as a simple toy model for cosmic structure formation, we study renormalization and the removal of the cutoff dependence from loop integrals in perturbative calculations. SAM shares the same symmetry with the full system of continuity+Euler equations and includes a viscosity term and a stochastic noise term, similar to the effective theories recently put forward to model CDM clustering. We show in this context that if the viscosity and noise terms are treated as perturbative corrections to the standard eulerian perturbation theory, they are necessarily non-local in time. To ensure Galilean Invariance higher ordermore » vertices related to the viscosity and the noise must then be added and we explicitly show at one-loop that these terms act as counter terms for vertex diagrams. The Ward Identities ensure that the non-local-in-time theory can be renormalized consistently. Another possibility is to include the viscosity in the linear propagator, resulting in exponential damping at high wavenumber. The resulting local-in-time theory is then renormalizable to one loop, requiring less free parameters for its renormalization.« less

Large deviation probabilities for correlated Gaussian stochastic processes and daily temperature anomalies

NASA Astrophysics Data System (ADS)

Massah, Mozhdeh; Kantz, Holger

2016-04-01

As we have one and only one earth and no replicas, climate characteristics are usually computed as time averages from a single time series. For understanding climate variability, it is essential to understand how close a single time average will typically be to an ensemble average. To answer this question, we study large deviation probabilities (LDP) of stochastic processes and characterize them by their dependence on the time window. In contrast to iid variables for which there exists an analytical expression for the rate function, the correlated variables such as auto-regressive (short memory) and auto-regressive fractionally integrated moving average (long memory) processes, have not an analytical LDP. We study LDP for these processes, in order to see how correlation affects this probability in comparison to iid data. Although short range correlations lead to a simple correction of sample size, long range correlations lead to a sub-exponential decay of LDP and hence to a very slow convergence of time averages. This effect is demonstrated for a 120 year long time series of daily temperature anomalies measured in Potsdam (Germany).

The mechanism of double-exponential growth in hyper-inflation

NASA Astrophysics Data System (ADS)

Mizuno, T.; Takayasu, M.; Takayasu, H.

2002-05-01

Analyzing historical data of price indices, we find an extraordinary growth phenomenon in several examples of hyper-inflation in which, price changes are approximated nicely by double-exponential functions of time. In order to explain such behavior we introduce the general coarse-graining technique in physics, the Monte Carlo renormalization group method, to the price dynamics. Starting from a microscopic stochastic equation describing dealers’ actions in open markets, we obtain a macroscopic noiseless equation of price consistent with the observation. The effect of auto-catalytic shortening of characteristic time caused by mob psychology is shown to be responsible for the double-exponential behavior.

Explaining mortality rate plateaus

PubMed Central

Weitz, Joshua S.; Fraser, Hunter B.

2001-01-01

We propose a stochastic model of aging to explain deviations from exponential growth in mortality rates commonly observed in empirical studies. Mortality rate plateaus are explained as a generic consequence of considering death in terms of first passage times for processes undergoing a random walk with drift. Simulations of populations with age-dependent distributions of viabilities agree with a wide array of experimental results. The influence of cohort size is well accounted for by the stochastic nature of the model. PMID:11752476

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.

Stochastic processes in cosmology

NASA Astrophysics Data System (ADS)

Cáceres, Manuel O.; Diaz, Mario C.; Pullin, Jorge A.

1987-08-01

The behavior of a radiation filled de Sitter universe in which the equation of state is perturbed by a stochastic term is studied. The corresponding two-dimensional Fokker-Planck equation is solved. The finiteness of the cosmological constant appears to be a necessary condition for the stability of the model which undergoes an exponentially expanding state. Present address: Facultad de Matemática Astronomía y Física, Universidad Nacional de Córdoba, Laprida 854, 5000 Códoba, Argentina.

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.

Equilibration and non-equilibrium steady states in PT-symmetric Toda lattice

NASA Astrophysics Data System (ADS)

Harter, Andrew; Joglekar, Yogesh; Saxena, Avadh

The Toda lattice is a classical discrete integrable model, describing a chain of particles that interact through an exponentially decaying, pairwise potential. It also supports soliton solutions. We consider the fate of this lattice in the presence of localized, spatially separated, balanced drag (loss) and drive (gain). Such systems with balanced gain and loss undergo a transition, the so called parity-time (PT) symmetry breaking transition, from a quasi-equilibrium state to a state that is far removed from equilibrium. We determine the threshold for such a transition in the presence of stochastic and deterministic driving, and study the robustness of our results in the presence of different boundary conditions. This work is supported by DMR-1054020.

Single-molecule stochastic times in a reversible bimolecular reaction

NASA Astrophysics Data System (ADS)

Keller, Peter; Valleriani, Angelo

2012-08-01

In this work, we consider the reversible reaction between reactants of species A and B to form the product C. We consider this reaction as a prototype of many pseudobiomolecular reactions in biology, such as for instance molecular motors. We derive the exact probability density for the stochastic waiting time that a molecule of species A needs until the reaction with a molecule of species B takes place. We perform this computation taking fully into account the stochastic fluctuations in the number of molecules of species B. We show that at low numbers of participating molecules, the exact probability density differs from the exponential density derived by assuming the law of mass action. Finally, we discuss the condition of detailed balance in the exact stochastic and in the approximate treatment.

Exact solution for a non-Markovian dissipative quantum dynamics.

PubMed

Ferialdi, Luca; Bassi, Angelo

2012-04-27

We provide the exact analytic solution of the stochastic Schrödinger equation describing a harmonic oscillator interacting with a non-Markovian and dissipative environment. This result represents an arrival point in the study of non-Markovian dynamics via stochastic differential equations. It is also one of the few exactly solvable models for infinite-dimensional systems. We compute the Green's function; in the case of a free particle and with an exponentially correlated noise, we discuss the evolution of Gaussian wave functions.

Evolution and mass extinctions as lognormal stochastic processes

NASA Astrophysics Data System (ADS)

Maccone, Claudio

2014-10-01

In a series of recent papers and in a book, this author put forward a mathematical model capable of embracing the search for extra-terrestrial intelligence (SETI), Darwinian Evolution and Human History into a single, unified statistical picture, concisely called Evo-SETI. The relevant mathematical tools are: (1) Geometric Brownian motion (GBM), the stochastic process representing evolution as the stochastic increase of the number of species living on Earth over the last 3.5 billion years. This GBM is well known in the mathematics of finances (Black-Sholes models). Its main features are that its probability density function (pdf) is a lognormal pdf, and its mean value is either an increasing or, more rarely, decreasing exponential function of the time. (2) The probability distributions known as b-lognormals, i.e. lognormals starting at a certain positive instant b>0 rather than at the origin. These b-lognormals were then forced by us to have their peak value located on the exponential mean-value curve of the GBM (Peak-Locus theorem). In the framework of Darwinian Evolution, the resulting mathematical construction was shown to be what evolutionary biologists call Cladistics. (3) The (Shannon) entropy of such b-lognormals is then seen to represent the `degree of progress' reached by each living organism or by each big set of living organisms, like historic human civilizations. Having understood this fact, human history may then be cast into the language of b-lognormals that are more and more organized in time (i.e. having smaller and smaller entropy, or smaller and smaller `chaos'), and have their peaks on the increasing GBM exponential. This exponential is thus the `trend of progress' in human history. (4) All these results also match with SETI in that the statistical Drake equation (generalization of the ordinary Drake equation to encompass statistics) leads just to the lognormal distribution as the probability distribution for the number of extra-terrestrial civilizations existing in the Galaxy (as a consequence of the central limit theorem of statistics). (5) But the most striking new result is that the well-known `Molecular Clock of Evolution', namely the `constant rate of Evolution at the molecular level' as shown by Kimura's Neutral Theory of Molecular Evolution, identifies with growth rate of the entropy of our Evo-SETI model, because they both grew linearly in time since the origin of life. (6) Furthermore, we apply our Evo-SETI model to lognormal stochastic processes other than GBMs. For instance, we provide two models for the mass extinctions that occurred in the past: (a) one based on GBMs and (b) the other based on a parabolic mean value capable of covering both the extinction and the subsequent recovery of life forms. (7) Finally, we show that the Markov & Korotayev (2007, 2008) model for Darwinian Evolution identifies with an Evo-SETI model for which the mean value of the underlying lognormal stochastic process is a cubic function of the time. In conclusion: we have provided a new mathematical model capable of embracing molecular evolution, SETI and entropy into a simple set of statistical equations based upon b-lognormals and lognormal stochastic processes with arbitrary mean, of which the GBMs are the particular case of exponential growth.

Stochastic modelling suggests that an elevated superoxide anion - hydrogen peroxide ratio can drive extravascular phagocyte transmigration by lamellipodium formation.

PubMed

Kundu, Siddhartha

2016-10-21

Chemotaxis, integrates diverse intra- and inter-cellular molecular processes into a purposeful patho-physiological response; the operatic rules of which, remain speculative. Here, I surmise, that superoxide anion induced directional motility, in a responding cell, results from a quasi pathway between the stimulus, surrounding interstitium, and its biochemical repertoire. The epochal event in the mounting of an inflammatory response, is the extravascular transmigration of a phagocyte competent cell towards the site of injury, secondary to the development of a lamellipodium. This stochastic-to-markovian process conversion, is initiated by the cytosolic-ROS of the damaged cell, but is maintained by the inverse association of a de novo generated pool of self-sustaining superoxide anions and sub-critical hydrogen peroxide levels. Whilst, the exponential rise of O2(.-) is secondary to the focal accumulation of higher order lipid raft-Rac1/2-actin oligomers; O2(.-) mediated inactivation and redistribution of ECSOD, accounts for the minimal concentration of H2O2 that the phagocyte experiences. The net result of this reciprocal association between ROS/ RNS members, is the prolonged perturbation and remodeling of the cytoskeleton and plasma membrane, a prelude to chemotactic migration. The manuscript also describes the significance of stochastic modeling, in the testing of plausible molecular hypotheses of observable phenomena in complex biological systems. Copyright © 2016 Elsevier Ltd. All rights reserved.

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

PubMed

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

2014-12-01

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

A nanostructured surface increases friction exponentially at the solid-gas interface.

PubMed

Phani, Arindam; Putkaradze, Vakhtang; Hawk, John E; Prashanthi, Kovur; Thundat, Thomas

2016-09-06

According to Stokes' law, a moving solid surface experiences viscous drag that is linearly related to its velocity and the viscosity of the medium. The viscous interactions result in dissipation that is known to scale as the square root of the kinematic viscosity times the density of the gas. We observed that when an oscillating surface is modified with nanostructures, the experimentally measured dissipation shows an exponential dependence on kinematic viscosity. The surface nanostructures alter solid-gas interplay greatly, amplifying the dissipation response exponentially for even minute variations in viscosity. Nanostructured resonator thus allows discrimination of otherwise narrow range of gaseous viscosity making dissipation an ideal parameter for analysis of a gaseous media. We attribute the observed exponential enhancement to the stochastic nature of interactions of many coupled nanostructures with the gas media.

A nanostructured surface increases friction exponentially at the solid-gas interface

NASA Astrophysics Data System (ADS)

Phani, Arindam; Putkaradze, Vakhtang; Hawk, John E.; Prashanthi, Kovur; Thundat, Thomas

2016-09-01

According to Stokes’ law, a moving solid surface experiences viscous drag that is linearly related to its velocity and the viscosity of the medium. The viscous interactions result in dissipation that is known to scale as the square root of the kinematic viscosity times the density of the gas. We observed that when an oscillating surface is modified with nanostructures, the experimentally measured dissipation shows an exponential dependence on kinematic viscosity. The surface nanostructures alter solid-gas interplay greatly, amplifying the dissipation response exponentially for even minute variations in viscosity. Nanostructured resonator thus allows discrimination of otherwise narrow range of gaseous viscosity making dissipation an ideal parameter for analysis of a gaseous media. We attribute the observed exponential enhancement to the stochastic nature of interactions of many coupled nanostructures with the gas media.

Pore‐Scale Hydrodynamics in a Progressively Bioclogged Three‐Dimensional Porous Medium: 3‐D Particle Tracking Experiments and Stochastic Transport Modeling

PubMed Central

Carrel, M.; Dentz, M.; Derlon, N.; Morgenroth, E.

2018-01-01

Abstract Biofilms are ubiquitous bacterial communities that grow in various porous media including soils, trickling, and sand filters. In these environments, they play a central role in services ranging from degradation of pollutants to water purification. Biofilms dynamically change the pore structure of the medium through selective clogging of pores, a process known as bioclogging. This affects how solutes are transported and spread through the porous matrix, but the temporal changes to transport behavior during bioclogging are not well understood. To address this uncertainty, we experimentally study the hydrodynamic changes of a transparent 3‐D porous medium as it experiences progressive bioclogging. Statistical analyses of the system's hydrodynamics at four time points of bioclogging (0, 24, 36, and 48 h in the exponential growth phase) reveal exponential increases in both average and variance of the flow velocity, as well as its correlation length. Measurements for spreading, as mean‐squared displacements, are found to be non‐Fickian and more intensely superdiffusive with progressive bioclogging, indicating the formation of preferential flow pathways and stagnation zones. A gamma distribution describes well the Lagrangian velocity distributions and provides parameters that quantify changes to the flow, which evolves from a parallel pore arrangement under unclogged conditions, toward a more serial arrangement with increasing clogging. Exponentially evolving hydrodynamic metrics agree with an exponential bacterial growth phase and are used to parameterize a correlated continuous time random walk model with a stochastic velocity relaxation. The model accurately reproduces transport observations and can be used to resolve transport behavior at intermediate time points within the exponential growth phase considered. PMID:29780184

Pore-Scale Hydrodynamics in a Progressively Bioclogged Three-Dimensional Porous Medium: 3-D Particle Tracking Experiments and Stochastic Transport Modeling

NASA Astrophysics Data System (ADS)

Carrel, M.; Morales, V. L.; Dentz, M.; Derlon, N.; Morgenroth, E.; Holzner, M.

2018-03-01

Biofilms are ubiquitous bacterial communities that grow in various porous media including soils, trickling, and sand filters. In these environments, they play a central role in services ranging from degradation of pollutants to water purification. Biofilms dynamically change the pore structure of the medium through selective clogging of pores, a process known as bioclogging. This affects how solutes are transported and spread through the porous matrix, but the temporal changes to transport behavior during bioclogging are not well understood. To address this uncertainty, we experimentally study the hydrodynamic changes of a transparent 3-D porous medium as it experiences progressive bioclogging. Statistical analyses of the system's hydrodynamics at four time points of bioclogging (0, 24, 36, and 48 h in the exponential growth phase) reveal exponential increases in both average and variance of the flow velocity, as well as its correlation length. Measurements for spreading, as mean-squared displacements, are found to be non-Fickian and more intensely superdiffusive with progressive bioclogging, indicating the formation of preferential flow pathways and stagnation zones. A gamma distribution describes well the Lagrangian velocity distributions and provides parameters that quantify changes to the flow, which evolves from a parallel pore arrangement under unclogged conditions, toward a more serial arrangement with increasing clogging. Exponentially evolving hydrodynamic metrics agree with an exponential bacterial growth phase and are used to parameterize a correlated continuous time random walk model with a stochastic velocity relaxation. The model accurately reproduces transport observations and can be used to resolve transport behavior at intermediate time points within the exponential growth phase considered.

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.

H∞ state estimation for discrete-time memristive recurrent neural networks with stochastic time-delays

NASA Astrophysics Data System (ADS)

Liu, Hongjian; Wang, Zidong; Shen, Bo; Alsaadi, Fuad E.

2016-07-01

This paper deals with the robust H∞ state estimation problem for a class of memristive recurrent neural networks with stochastic time-delays. The stochastic time-delays under consideration are governed by a Bernoulli-distributed stochastic sequence. The purpose of the addressed problem is to design the robust state estimator such that the dynamics of the estimation error is exponentially stable in the mean square, and the prescribed ? performance constraint is met. By utilizing the difference inclusion theory and choosing a proper Lyapunov-Krasovskii functional, the existence condition of the desired estimator is derived. Based on it, the explicit expression of the estimator gain is given in terms of the solution to a linear matrix inequality. Finally, a numerical example is employed to demonstrate the effectiveness and applicability of the proposed estimation approach.

EpiModel: An R Package for Mathematical Modeling of Infectious Disease over Networks.

PubMed

Jenness, Samuel M; Goodreau, Steven M; Morris, Martina

2018-04-01

Package EpiModel provides tools for building, simulating, and analyzing mathematical models for the population dynamics of infectious disease transmission in R. Several classes of models are included, but the unique contribution of this software package is a general stochastic framework for modeling the spread of epidemics on networks. EpiModel integrates recent advances in statistical methods for network analysis (temporal exponential random graph models) that allow the epidemic modeling to be grounded in empirical data on contacts that can spread infection. This article provides an overview of both the modeling tools built into EpiModel , designed to facilitate learning for students new to modeling, and the application programming interface for extending package EpiModel , designed to facilitate the exploration of novel research questions for advanced modelers.

EpiModel: An R Package for Mathematical Modeling of Infectious Disease over Networks

PubMed Central

Jenness, Samuel M.; Goodreau, Steven M.; Morris, Martina

2018-01-01

Package EpiModel provides tools for building, simulating, and analyzing mathematical models for the population dynamics of infectious disease transmission in R. Several classes of models are included, but the unique contribution of this software package is a general stochastic framework for modeling the spread of epidemics on networks. EpiModel integrates recent advances in statistical methods for network analysis (temporal exponential random graph models) that allow the epidemic modeling to be grounded in empirical data on contacts that can spread infection. This article provides an overview of both the modeling tools built into EpiModel, designed to facilitate learning for students new to modeling, and the application programming interface for extending package EpiModel, designed to facilitate the exploration of novel research questions for advanced modelers. PMID:29731699

Intermittent fluctuations in the Alcator C-Mod scrape-off layer for ohmic and high confinement mode plasmas

NASA Astrophysics Data System (ADS)

Garcia, O. E.; Kube, R.; Theodorsen, A.; LaBombard, B.; Terry, J. L.

2018-05-01

Plasma fluctuations in the scrape-off layer of the Alcator C-Mod tokamak in ohmic and high confinement modes have been analyzed using gas puff imaging data. In all cases investigated, the time series of emission from a single spatially resolved view into the gas puff are dominated by large-amplitude bursts, attributed to blob-like filament structures moving radially outwards and poloidally. There is a remarkable similarity of the fluctuation statistics in ohmic plasmas and in edge localized mode-free and enhanced D-alpha high confinement mode plasmas. Conditionally averaged waveforms have a two-sided exponential shape with comparable temporal scales and asymmetry, while the burst amplitudes and the waiting times between them are exponentially distributed. The probability density functions and the frequency power spectral densities are similar for all these confinement modes. These results provide strong evidence in support of a stochastic model describing the plasma fluctuations in the scrape-off layer as a super-position of uncorrelated exponential pulses. Predictions of this model are in excellent agreement with experimental measurements in both ohmic and high confinement mode plasmas. The stochastic model thus provides a valuable tool for predicting fluctuation-induced plasma-wall interactions in magnetically confined fusion plasmas.

Accounting for inherent variability of growth in microbial risk assessment.

PubMed

Marks, H M; Coleman, M E

2005-04-15

Risk assessments of pathogens need to account for the growth of small number of cells under varying conditions. In order to determine the possible risks that occur when there are small numbers of cells, stochastic models of growth are needed that would capture the distribution of the number of cells over replicate trials of the same scenario or environmental conditions. This paper provides a simple stochastic growth model, accounting only for inherent cell-growth variability, assuming constant growth kinetic parameters, for an initial, small, numbers of cells assumed to be transforming from a stationary to an exponential phase. Two, basic, microbial sets of assumptions are considered: serial, where it is assume that cells transform through a lag phase before entering the exponential phase of growth; and parallel, where it is assumed that lag and exponential phases develop in parallel. The model is based on, first determining the distribution of the time when growth commences, and then modelling the conditional distribution of the number of cells. For the latter distribution, it is found that a Weibull distribution provides a simple approximation to the conditional distribution of the relative growth, so that the model developed in this paper can be easily implemented in risk assessments using commercial software packages.

Uncertainty Reduction for Stochastic Processes on Complex Networks

NASA Astrophysics Data System (ADS)

Radicchi, Filippo; Castellano, Claudio

2018-05-01

Many real-world systems are characterized by stochastic dynamical rules where a complex network of interactions among individual elements probabilistically determines their state. Even with full knowledge of the network structure and of the stochastic rules, the ability to predict system configurations is generally characterized by a large uncertainty. Selecting a fraction of the nodes and observing their state may help to reduce the uncertainty about the unobserved nodes. However, choosing these points of observation in an optimal way is a highly nontrivial task, depending on the nature of the stochastic process and on the structure of the underlying interaction pattern. In this paper, we introduce a computationally efficient algorithm to determine quasioptimal solutions to the problem. The method leverages network sparsity to reduce computational complexity from exponential to almost quadratic, thus allowing the straightforward application of the method to mid-to-large-size systems. Although the method is exact only for equilibrium stochastic processes defined on trees, it turns out to be effective also for out-of-equilibrium processes on sparse loopy networks.

Diffusive transport in the presence of stochastically gated absorption

NASA Astrophysics Data System (ADS)

Bressloff, Paul C.; Karamched, Bhargav R.; Lawley, Sean D.; Levien, Ethan

2017-08-01

We analyze a population of Brownian particles moving in a spatially uniform environment with stochastically gated absorption. The state of the environment at time t is represented by a discrete stochastic variable k (t )∈{0 ,1 } such that the rate of absorption is γ [1 -k (t )] , with γ a positive constant. The variable k (t ) evolves according to a two-state Markov chain. We focus on how stochastic gating affects the attenuation of particle absorption with distance from a localized source in a one-dimensional domain. In the static case (no gating), the steady-state attenuation is given by an exponential with length constant √{D /γ }, where D is the diffusivity. We show that gating leads to slower, nonexponential attenuation. We also explore statistical correlations between particles due to the fact that they all diffuse in the same switching environment. Such correlations can be determined in terms of moments of the solution to a corresponding stochastic Fokker-Planck equation.

Existence, uniqueness, and stability of stochastic neutral functional differential equations of Sobolev-type

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

Yang, Xuetao; Zhu, Quanxin, E-mail: zqx22@126.com

2015-12-15

In this paper, we are mainly concerned with a class of stochastic neutral functional differential equations of Sobolev-type with Poisson jumps. Under two different sets of conditions, we establish the existence of the mild solution by applying the Leray-Schauder alternative theory and the Sadakovskii’s fixed point theorem, respectively. Furthermore, we use the Bihari’s inequality to prove the Osgood type uniqueness. Also, the mean square exponential stability is investigated by applying the Gronwall inequality. Finally, two examples are given to illustrate the theory results.

Non-exponential kinetics of unfolding under a constant force.

PubMed

Bell, Samuel; Terentjev, Eugene M

2016-11-14

We examine the population dynamics of naturally folded globular polymers, with a super-hydrophobic "core" inserted at a prescribed point in the polymer chain, unfolding under an application of external force, as in AFM force-clamp spectroscopy. This acts as a crude model for a large class of folded biomolecules with hydrophobic or hydrogen-bonded cores. We find that the introduction of super-hydrophobic units leads to a stochastic variation in the unfolding rate, even when the positions of the added monomers are fixed. This leads to the average non-exponential population dynamics, which is consistent with a variety of experimental data and does not require any intrinsic quenched disorder that was traditionally thought to be at the origin of non-exponential relaxation laws.

Non-exponential kinetics of unfolding under a constant force

NASA Astrophysics Data System (ADS)

Bell, Samuel; Terentjev, Eugene M.

2016-11-01

We examine the population dynamics of naturally folded globular polymers, with a super-hydrophobic "core" inserted at a prescribed point in the polymer chain, unfolding under an application of external force, as in AFM force-clamp spectroscopy. This acts as a crude model for a large class of folded biomolecules with hydrophobic or hydrogen-bonded cores. We find that the introduction of super-hydrophobic units leads to a stochastic variation in the unfolding rate, even when the positions of the added monomers are fixed. This leads to the average non-exponential population dynamics, which is consistent with a variety of experimental data and does not require any intrinsic quenched disorder that was traditionally thought to be at the origin of non-exponential relaxation laws.

Mutant number distribution in an exponentially growing population

NASA Astrophysics Data System (ADS)

Keller, Peter; Antal, Tibor

2015-01-01

We present an explicit solution to a classic model of cell-population growth introduced by Luria and Delbrück (1943 Genetics 28 491-511) 70 years ago to study the emergence of mutations in bacterial populations. In this model a wild-type population is assumed to grow exponentially in a deterministic fashion. Proportional to the wild-type population size, mutants arrive randomly and initiate new sub-populations of mutants that grow stochastically according to a supercritical birth and death process. We give an exact expression for the generating function of the total number of mutants at a given wild-type population size. We present a simple expression for the probability of finding no mutants, and a recursion formula for the probability of finding a given number of mutants. In the ‘large population-small mutation’ limit we recover recent results of Kessler and Levine (2014 J. Stat. Phys. doi:10.1007/s10955-014-1143-3) for a fully stochastic version of the process.

Stability analysis for discrete-time stochastic memristive neural networks with both leakage and probabilistic delays.

PubMed

Liu, Hongjian; Wang, Zidong; Shen, Bo; Huang, Tingwen; Alsaadi, Fuad E

2018-06-01

This paper is concerned with the globally exponential stability problem for a class of discrete-time stochastic memristive neural networks (DSMNNs) with both leakage delays as well as probabilistic time-varying delays. For the probabilistic delays, a sequence of Bernoulli distributed random variables is utilized to determine within which intervals the time-varying delays fall at certain time instant. The sector-bounded activation function is considered in the addressed DSMNN. By taking into account the state-dependent characteristics of the network parameters and choosing an appropriate Lyapunov-Krasovskii functional, some sufficient conditions are established under which the underlying DSMNN is globally exponentially stable in the mean square. The derived conditions are made dependent on both the leakage and the probabilistic delays, and are therefore less conservative than the traditional delay-independent criteria. A simulation example is given to show the effectiveness of the proposed stability criterion. Copyright © 2018 Elsevier Ltd. All rights reserved.

Level crossings and excess times due to a superposition of uncorrelated exponential pulses

NASA Astrophysics Data System (ADS)

Theodorsen, A.; Garcia, O. E.

2018-01-01

A well-known stochastic model for intermittent fluctuations in physical systems is investigated. The model is given by a superposition of uncorrelated exponential pulses, and the degree of pulse overlap is interpreted as an intermittency parameter. Expressions for excess time statistics, that is, the rate of level crossings above a given threshold and the average time spent above the threshold, are derived from the joint distribution of the process and its derivative. Limits of both high and low intermittency are investigated and compared to previously known results. In the case of a strongly intermittent process, the distribution of times spent above threshold is obtained analytically. This expression is verified numerically, and the distribution of times above threshold is explored for other intermittency regimes. The numerical simulations compare favorably to known results for the distribution of times above the mean threshold for an Ornstein-Uhlenbeck process. This contribution generalizes the excess time statistics for the stochastic model, which find applications in a wide diversity of natural and technological systems.

Memoized Online Variational Inference for Dirichlet Process Mixture Models

DTIC Science & Technology

2014-06-27

breaking process [7], which places artifically large mass on the final component. It is more efficient and broadly applicable than an alternative trunction...models. In Uncertainty in Artificial Intelligence , 2008. [13] N. Le Roux, M. Schmidt, and F. Bach. A stochastic gradient method with an exponential

Population density approach for discrete mRNA distributions in generalized switching models for stochastic gene expression.

PubMed

Stinchcombe, Adam R; Peskin, Charles S; Tranchina, Daniel

2012-06-01

We present a generalization of a population density approach for modeling and analysis of stochastic gene expression. In the model, the gene of interest fluctuates stochastically between an inactive state, in which transcription cannot occur, and an active state, in which discrete transcription events occur; and the individual mRNA molecules are degraded stochastically in an independent manner. This sort of model in simplest form with exponential dwell times has been used to explain experimental estimates of the discrete distribution of random mRNA copy number. In our generalization, the random dwell times in the inactive and active states, T_{0} and T_{1}, respectively, are independent random variables drawn from any specified distributions. Consequently, the probability per unit time of switching out of a state depends on the time since entering that state. Our method exploits a connection between the fully discrete random process and a related continuous process. We present numerical methods for computing steady-state mRNA distributions and an analytical derivation of the mRNA autocovariance function. We find that empirical estimates of the steady-state mRNA probability mass function from Monte Carlo simulations of laboratory data do not allow one to distinguish between underlying models with exponential and nonexponential dwell times in some relevant parameter regimes. However, in these parameter regimes and where the autocovariance function has negative lobes, the autocovariance function disambiguates the two types of models. Our results strongly suggest that temporal data beyond the autocovariance function is required in general to characterize gene switching.

The symmetric quartic map for trajectories of magnetic field lines in elongated divertor tokamak plasmas

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

Jones, Morgin; Wadi, Hasina; Ali, Halima

The coordinates of the area-preserving map equations for integration of magnetic field line trajectories in divertor tokamaks can be any coordinates for which a transformation to ({psi}{sub t},{theta},{phi}) coordinates exists [A. Punjabi, H. Ali, T. Evans, and A. Boozer, Phys. Lett. A 364, 140 (2007)]. {psi}{sub t} is toroidal magnetic flux, {theta} is poloidal angle, and {phi} is toroidal angle. This freedom is exploited to construct the symmetric quartic map such that the only parameter that determines magnetic geometry is the elongation of the separatrix surface. The poloidal flux inside the separatrix, the safety factor as a function of normalizedmore » minor radius, and the magnetic perturbation from the symplectic discretization are all held constant, and only the elongation is {kappa} varied. The width of stochastic layer, the area, and the fractal dimension of the magnetic footprint and the average radial diffusion coefficient of magnetic field lines from the stochastic layer; and how these quantities scale with {kappa} is calculated. The symmetric quartic map gives the correct scalings which are consistent with the scalings of coordinates with {kappa}. The effects of m=1, n={+-}1 internal perturbation with the amplitude that is expected to occur in tokamaks are calculated by adding a term [H. Ali, A. Punjabi, A. H. Boozer, and T. Evans, Phys. Plasmas 11, 1908 (2004)] to the symmetric quartic map. In this case, the width of stochastic layer scales as 0.35 power of {kappa}. The area of the footprint is roughly constant. The average radial diffusion coefficient of field lines near the X-point scales linearly with {kappa}. The low mn perturbation changes the quasisymmetric structure of the footprint, and reorganizes it into a single, large scale, asymmetric structure. The symmetric quartic map is combined with the dipole map [A. Punjabi, H. Ali, and A. H. Boozer, Phys. Plasmas 10, 3992 (2003)] to calculate the effects of magnetic perturbation from a current carrying coil. The coil position and coil current coil are constant. The dipole perturbation enhances the magnetic shear. The width of the stochastic layer scales exponentially with {kappa}. The area of the footprint decreases as the {kappa} increases. The radial diffusion coefficient of field lines scales exponentially with {kappa}. The dipole perturbation changes the topology of the footprint. It breaks up the toroidally spiraling footprint into a number of separate asymmetric toroidal strips. Practical applications of the symmetric quartic map to elongated divertor tokamak plasmas are suggested.« less

The symmetric quartic map for trajectories of magnetic field lines in elongated divertor tokamak plasmas

NASA Astrophysics Data System (ADS)

Jones, Morgin; Wadi, Hasina; Ali, Halima; Punjabi, Alkesh

2009-04-01

The coordinates of the area-preserving map equations for integration of magnetic field line trajectories in divertor tokamaks can be any coordinates for which a transformation to (ψt,θ,φ) coordinates exists [A. Punjabi, H. Ali, T. Evans, and A. Boozer, Phys. Lett. A 364, 140 (2007)]. ψt is toroidal magnetic flux, θ is poloidal angle, and φ is toroidal angle. This freedom is exploited to construct the symmetric quartic map such that the only parameter that determines magnetic geometry is the elongation of the separatrix surface. The poloidal flux inside the separatrix, the safety factor as a function of normalized minor radius, and the magnetic perturbation from the symplectic discretization are all held constant, and only the elongation is κ varied. The width of stochastic layer, the area, and the fractal dimension of the magnetic footprint and the average radial diffusion coefficient of magnetic field lines from the stochastic layer; and how these quantities scale with κ is calculated. The symmetric quartic map gives the correct scalings which are consistent with the scalings of coordinates with κ. The effects of m =1, n =±1 internal perturbation with the amplitude that is expected to occur in tokamaks are calculated by adding a term [H. Ali, A. Punjabi, A. H. Boozer, and T. Evans, Phys. Plasmas 11, 1908 (2004)] to the symmetric quartic map. In this case, the width of stochastic layer scales as 0.35 power of κ. The area of the footprint is roughly constant. The average radial diffusion coefficient of field lines near the X-point scales linearly with κ. The low mn perturbation changes the quasisymmetric structure of the footprint, and reorganizes it into a single, large scale, asymmetric structure. The symmetric quartic map is combined with the dipole map [A. Punjabi, H. Ali, and A. H. Boozer, Phys. Plasmas 10, 3992 (2003)] to calculate the effects of magnetic perturbation from a current carrying coil. The coil position and coil current coil are constant. The dipole perturbation enhances the magnetic shear. The width of the stochastic layer scales exponentially with κ. The area of the footprint decreases as the κ increases. The radial diffusion coefficient of field lines scales exponentially with κ. The dipole perturbation changes the topology of the footprint. It breaks up the toroidally spiraling footprint into a number of separate asymmetric toroidal strips. Practical applications of the symmetric quartic map to elongated divertor tokamak plasmas are suggested.

On the minimum of independent geometrically distributed random variables

NASA Technical Reports Server (NTRS)

Ciardo, Gianfranco; Leemis, Lawrence M.; Nicol, David

1994-01-01

The expectations E(X(sub 1)), E(Z(sub 1)), and E(Y(sub 1)) of the minimum of n independent geometric, modifies geometric, or exponential random variables with matching expectations differ. We show how this is accounted for by stochastic variability and how E(X(sub 1))/E(Y(sub 1)) equals the expected number of ties at the minimum for the geometric random variables. We then introduce the 'shifted geometric distribution' and show that there is a unique value of the shift for which the individual shifted geometric and exponential random variables match expectations both individually and in the minimums.

Adaptive optimal stochastic state feedback control of resistive wall modes in tokamaks

NASA Astrophysics Data System (ADS)

Sun, Z.; Sen, A. K.; Longman, R. W.

2006-01-01

An adaptive optimal stochastic state feedback control is developed to stabilize the resistive wall mode (RWM) instability in tokamaks. The extended least-square method with exponential forgetting factor and covariance resetting is used to identify (experimentally determine) the time-varying stochastic system model. A Kalman filter is used to estimate the system states. The estimated system states are passed on to an optimal state feedback controller to construct control inputs. The Kalman filter and the optimal state feedback controller are periodically redesigned online based on the identified system model. This adaptive controller can stabilize the time-dependent RWM in a slowly evolving tokamak discharge. This is accomplished within a time delay of roughly four times the inverse of the growth rate for the time-invariant model used.

Adaptive Optimal Stochastic State Feedback Control of Resistive Wall Modes in Tokamaks

NASA Astrophysics Data System (ADS)

Sun, Z.; Sen, A. K.; Longman, R. W.

2007-06-01

An adaptive optimal stochastic state feedback control is developed to stabilize the resistive wall mode (RWM) instability in tokamaks. The extended least square method with exponential forgetting factor and covariance resetting is used to identify the time-varying stochastic system model. A Kalman filter is used to estimate the system states. The estimated system states are passed on to an optimal state feedback controller to construct control inputs. The Kalman filter and the optimal state feedback controller are periodically redesigned online based on the identified system model. This adaptive controller can stabilize the time dependent RWM in a slowly evolving tokamak discharge. This is accomplished within a time delay of roughly four times the inverse of the growth rate for the time-invariant model used.

Synchronisation control for neutral-type multi-slave stochastic hybrid systems

NASA Astrophysics Data System (ADS)

Zhou, Jun; Pan, Feng; Cai, Tingting; Sun, Yuqing; Zhou, Wuneng; Liu, Huashan

2017-10-01

In this paper, an exponential synchronisation problem for neutral-type multi-slave hybrid systems with stochastic perturbation is discussed, where the adaptive synchronisation model involves a master system and multiple slave systems. By the use of generalised It?'s formula and M-matrix method, a sufficient condition is obtained to guarantee the stability of the error system, and the update law of the feedback controller is determined to deduce the synchronisation between the master system and the sum system of all slave systems. Finally, a numerical example is given to illustrate the effectiveness of the results obtained in this paper.

Strong Evidence for Stochastic Growth of Langmuir-Like Waves in Earth's Foreshock

NASA Technical Reports Server (NTRS)

Cairns, Iver H.; Robinson, P. A.

1999-01-01

Bursty Langmuir-like waves driven by electron beams in Earth's foreshock have properties which are inconsistent with the standard plasma physics paradigm of uniform exponential growth saturated by nonlinear processes. Here it is demonstrated for a specific period that stochastic growth theory (SGT) quantitatively describes these waves throughout a large fraction of the foreshock. The statistical wave properties are inconsistent with nonlinear processes or self-organized criticality being important. SGT's success in explaining the foreshock waves and type III solar bursts suggests that SGT is widely applicable to wave growth in space, astrophysical, and laboratory plasmas.

Probability distribution of financial returns in a model of multiplicative Brownian motion with stochastic diffusion coefficient

NASA Astrophysics Data System (ADS)

Silva, Antonio

2005-03-01

It is well-known that the mathematical theory of Brownian motion was first developed in the Ph. D. thesis of Louis Bachelier for the French stock market before Einstein [1]. In Ref. [2] we studied the so-called Heston model, where the stock-price dynamics is governed by multiplicative Brownian motion with stochastic diffusion coefficient. We solved the corresponding Fokker-Planck equation exactly and found an analytic formula for the time-dependent probability distribution of stock price changes (returns). The formula interpolates between the exponential (tent-shaped) distribution for short time lags and the Gaussian (parabolic) distribution for long time lags. The theoretical formula agrees very well with the actual stock-market data ranging from the Dow-Jones index [2] to individual companies [3], such as Microsoft, Intel, etc. [] [1] Louis Bachelier, ``Th'eorie de la sp'eculation,'' Annales Scientifiques de l''Ecole Normale Sup'erieure, III-17:21-86 (1900).[] [2] A. A. Dragulescu and V. M. Yakovenko, ``Probability distribution of returns in the Heston model with stochastic volatility,'' Quantitative Finance 2, 443--453 (2002); Erratum 3, C15 (2003). [cond-mat/0203046] [] [3] A. C. Silva, R. E. Prange, and V. M. Yakovenko, ``Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact,'' Physica A 344, 227--235 (2004). [cond-mat/0401225

Stochastical analysis of surfactant-enhanced remediation of denser-than-water nonaqueous phase liquid (DNAPL)-contaminated soils.

PubMed

Zhang, Renduo; Wood, A Lynn; Enfield, Carl G; Jeong, Seung-Woo

2003-01-01

Stochastical analysis was performed to assess the effect of soil spatial variability and heterogeneity on the recovery of denser-than-water nonaqueous phase liquids (DNAPL) during the process of surfactant-enhanced remediation. UTCHEM, a three-dimensional, multicomponent, multiphase, compositional model, was used to simulate water flow and chemical transport processes in heterogeneous soils. Soil spatial variability and heterogeneity were accounted for by considering the soil permeability as a spatial random variable and a geostatistical method was used to generate random distributions of the permeability. The randomly generated permeability fields were incorporated into UTCHEM to simulate DNAPL transport in heterogeneous media and stochastical analysis was conducted based on the simulated results. From the analysis, an exponential relationship between average DNAPL recovery and soil heterogeneity (defined as the standard deviation of log of permeability) was established with a coefficient of determination (r2) of 0.991, which indicated that DNAPL recovery decreased exponentially with increasing soil heterogeneity. Temporal and spatial distributions of relative saturations in the water phase, DNAPL, and microemulsion in heterogeneous soils were compared with those in homogeneous soils and related to soil heterogeneity. Cleanup time and uncertainty to determine DNAPL distributions in heterogeneous soils were also quantified. The study would provide useful information to design strategies for the characterization and remediation of nonaqueous phase liquid-contaminated soils with spatial variability and heterogeneity.

Turbulent particle transport in streams: can exponential settling be reconciled with fluid mechanics?

PubMed

McNair, James N; Newbold, J Denis

2012-05-07

Most ecological studies of particle transport in streams that focus on fine particulate organic matter or benthic invertebrates use the Exponential Settling Model (ESM) to characterize the longitudinal pattern of particle settling on the bed. The ESM predicts that if particles are released into a stream, the proportion that have not yet settled will decline exponentially with transport time or distance and will be independent of the release elevation above the bed. To date, no credible basis in fluid mechanics has been established for this model, nor has it been rigorously tested against more-mechanistic alternative models. One alternative is the Local Exchange Model (LEM), which is a stochastic advection-diffusion model that includes both longitudinal and vertical spatial dimensions and is based on classical fluid mechanics. The LEM predicts that particle settling will be non-exponential in the near field but will become exponential in the far field, providing a new theoretical justification for far-field exponential settling that is based on plausible fluid mechanics. We review properties of the ESM and LEM and compare these with available empirical evidence. Most evidence supports the prediction of both models that settling will be exponential in the far field but contradicts the ESM's prediction that a single exponential distribution will hold for all transport times and distances. Copyright © 2012 Elsevier Ltd. All rights reserved.

The scaling of population persistence with carrying capacity does not asymptote in populations of a fish experiencing extreme climate variability.

PubMed

White, Richard S A; Wintle, Brendan A; McHugh, Peter A; Booker, Douglas J; McIntosh, Angus R

2017-06-14

Despite growing concerns regarding increasing frequency of extreme climate events and declining population sizes, the influence of environmental stochasticity on the relationship between population carrying capacity and time-to-extinction has received little empirical attention. While time-to-extinction increases exponentially with carrying capacity in constant environments, theoretical models suggest increasing environmental stochasticity causes asymptotic scaling, thus making minimum viable carrying capacity vastly uncertain in variable environments. Using empirical estimates of environmental stochasticity in fish metapopulations, we showed that increasing environmental stochasticity resulting from extreme droughts was insufficient to create asymptotic scaling of time-to-extinction with carrying capacity in local populations as predicted by theory. Local time-to-extinction increased with carrying capacity due to declining sensitivity to demographic stochasticity, and the slope of this relationship declined significantly as environmental stochasticity increased. However, recent 1 in 25 yr extreme droughts were insufficient to extirpate populations with large carrying capacity. Consequently, large populations may be more resilient to environmental stochasticity than previously thought. The lack of carrying capacity-related asymptotes in persistence under extreme climate variability reveals how small populations affected by habitat loss or overharvesting, may be disproportionately threatened by increases in extreme climate events with global warming. © 2017 The Author(s).

Ion precipitation from the inner plasma sheet due to stochastic diffusion

NASA Technical Reports Server (NTRS)

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

1990-01-01

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

Exponential integrators in time-dependent density-functional calculations

NASA Astrophysics Data System (ADS)

Kidd, Daniel; Covington, Cody; Varga, Kálmán

2017-12-01

The integrating factor and exponential time differencing methods are implemented and tested for solving the time-dependent Kohn-Sham equations. Popular time propagation methods used in physics, as well as other robust numerical approaches, are compared to these exponential integrator methods in order to judge the relative merit of the computational schemes. We determine an improvement in accuracy of multiple orders of magnitude when describing dynamics driven primarily by a nonlinear potential. For cases of dynamics driven by a time-dependent external potential, the accuracy of the exponential integrator methods are less enhanced but still match or outperform the best of the conventional methods tested.

Stochastic modelling of intermittent fluctuations in the scrape-off layer: Correlations, distributions, level crossings, and moment estimation

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

Garcia, O. E., E-mail: odd.erik.garcia@uit.no; Kube, R.; Theodorsen, A.

A stochastic model is presented for intermittent fluctuations in the scrape-off layer of magnetically confined plasmas. The fluctuations in the plasma density are modeled by a super-position of uncorrelated pulses with fixed shape and duration, describing radial motion of blob-like structures. In the case of an exponential pulse shape and exponentially distributed pulse amplitudes, predictions are given for the lowest order moments, probability density function, auto-correlation function, level crossings, and average times for periods spent above and below a given threshold level. Also, the mean squared errors on estimators of sample mean and variance for realizations of the process bymore » finite time series are obtained. These results are discussed in the context of single-point measurements of fluctuations in the scrape-off layer, broad density profiles, and implications for plasma–wall interactions due to the transient transport events in fusion grade plasmas. The results may also have wide applications for modelling fluctuations in other magnetized plasmas such as basic laboratory experiments and ionospheric irregularities.« less

Colored noise and a stochastic fractional model for correlated inputs and adaptation in neuronal firing.

PubMed

Pirozzi, Enrica

2018-04-01

High variability in the neuronal response to stimulations and the adaptation phenomenon cannot be explained by the standard stochastic leaky integrate-and-fire model. The main reason is that the uncorrelated inputs involved in the model are not realistic. There exists some form of dependency between the inputs, and it can be interpreted as memory effects. In order to include these physiological features in the standard model, we reconsider it with time-dependent coefficients and correlated inputs. Due to its hard mathematical tractability, we perform simulations of it for a wide investigation of its output. A Gauss-Markov process is constructed for approximating its non-Markovian dynamics. The first passage time probability density of such a process can be numerically evaluated, and it can be used to fit the histograms of simulated firing times. Some estimates of the moments of firing times are also provided. The effect of the correlation time of the inputs on firing densities and on firing rates is shown. An exponential probability density of the first firing time is estimated for low values of input current and high values of correlation time. For comparison, a simulation-based investigation is also carried out for a fractional stochastic model that allows to preserve the memory of the time evolution of the neuronal membrane potential. In this case, the memory parameter that affects the firing activity is the fractional derivative order. In both models an adaptation level of spike frequency is attained, even if along different modalities. Comparisons and discussion of the obtained results are provided.

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.

Dependability and performability analysis

NASA Technical Reports Server (NTRS)

Trivedi, Kishor S.; Ciardo, Gianfranco; Malhotra, Manish; Sahner, Robin A.

1993-01-01

Several practical issues regarding specifications and solution of dependability and performability models are discussed. Model types with and without rewards are compared. Continuous-time Markov chains (CTMC's) are compared with (continuous-time) Markov reward models (MRM's) and generalized stochastic Petri nets (GSPN's) are compared with stochastic reward nets (SRN's). It is shown that reward-based models could lead to more concise model specifications and solution of a variety of new measures. With respect to the solution of dependability and performability models, three practical issues were identified: largeness, stiffness, and non-exponentiality, and a variety of approaches are discussed to deal with them, including some of the latest research efforts.

Identification of independent storm events: Seasonal and spatial variability of times between storms in Alpine area

NASA Astrophysics Data System (ADS)

Iadanzaa, Carla; Rianna, Maura; Orlando, Dario; Ubertini, Lucio; Napolitano, Francesco

2013-10-01

The aim of the paper is the identification of rain events that trigger landslides through the use of an exponential method to separate stochastic independent events. This activity is carried out within the definition of empirical rainfall thresholds for debris flows and shallow landslides. The study area is the Trento district, which is located in the northeast zone of an Alpine area. The work evaluates the factors that affect the variability in space and time of the critical duration of each rain gauge, defined as the minimum dry period duration that separates two rainy periods that are stochastically independent.

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.

Continuity properties of the semi-group and its integral kernel in non-relativistic QED

NASA Astrophysics Data System (ADS)

Matte, Oliver

2016-07-01

Employing recent results on stochastic differential equations associated with the standard model of non-relativistic quantum electrodynamics by B. Güneysu, J. S. Møller, and the present author, we study the continuity of the corresponding semi-group between weighted vector-valued Lp-spaces, continuity properties of elements in the range of the semi-group, and the pointwise continuity of an operator-valued semi-group kernel. We further discuss the continuous dependence of the semi-group and its integral kernel on model parameters. All these results are obtained for Kato decomposable electrostatic potentials and the actual assumptions on the model are general enough to cover the Nelson model as well. As a corollary, we obtain some new pointwise exponential decay and continuity results on elements of low-energetic spectral subspaces of atoms or molecules that also take spin into account. In a simpler situation where spin is neglected, we explain how to verify the joint continuity of positive ground state eigenvectors with respect to spatial coordinates and model parameters. There are no smallness assumptions imposed on any model parameter.

Exponential growth for self-reproduction in a catalytic reaction network: relevance of a minority molecular species and crowdedness

NASA Astrophysics Data System (ADS)

Kamimura, Atsushi; Kaneko, Kunihiko

2018-03-01

Explanation of exponential growth in self-reproduction is an important step toward elucidation of the origins of life because optimization of the growth potential across rounds of selection is necessary for Darwinian evolution. To produce another copy with approximately the same composition, the exponential growth rates for all components have to be equal. How such balanced growth is achieved, however, is not a trivial question, because this kind of growth requires orchestrated replication of the components in stochastic and nonlinear catalytic reactions. By considering a mutually catalyzing reaction in two- and three-dimensional lattices, as represented by a cellular automaton model, we show that self-reproduction with exponential growth is possible only when the replication and degradation of one molecular species is much slower than those of the others, i.e., when there is a minority molecule. Here, the synergetic effect of molecular discreteness and crowding is necessary to produce the exponential growth. Otherwise, the growth curves show superexponential growth because of nonlinearity of the catalytic reactions or subexponential growth due to replication inhibition by overcrowding of molecules. Our study emphasizes that the minority molecular species in a catalytic reaction network is necessary for exponential growth at the primitive stage of life.

Theory of Stochastic Laplacian Growth

NASA Astrophysics Data System (ADS)

Alekseev, Oleg; Mineev-Weinstein, Mark

2017-07-01

We generalize the diffusion-limited aggregation by issuing many randomly-walking particles, which stick to a cluster at the discrete time unit providing its growth. Using simple combinatorial arguments we determine probabilities of different growth scenarios and prove that the most probable evolution is governed by the deterministic Laplacian growth equation. A potential-theoretical analysis of the growth probabilities reveals connections with the tau-function of the integrable dispersionless limit of the two-dimensional Toda hierarchy, normal matrix ensembles, and the two-dimensional Dyson gas confined in a non-uniform magnetic field. We introduce the time-dependent Hamiltonian, which generates transitions between different classes of equivalence of closed curves, and prove the Hamiltonian structure of the interface dynamics. Finally, we propose a relation between probabilities of growth scenarios and the semi-classical limit of certain correlation functions of "light" exponential operators in the Liouville conformal field theory on a pseudosphere.

The ISI distribution of the stochastic Hodgkin-Huxley neuron.

PubMed

Rowat, Peter F; Greenwood, Priscilla E

2014-01-01

The simulation of ion-channel noise has an important role in computational neuroscience. In recent years several approximate methods of carrying out this simulation have been published, based on stochastic differential equations, and all giving slightly different results. The obvious, and essential, question is: which method is the most accurate and which is most computationally efficient? Here we make a contribution to the answer. We compare interspike interval histograms from simulated data using four different approximate stochastic differential equation (SDE) models of the stochastic Hodgkin-Huxley neuron, as well as the exact Markov chain model simulated by the Gillespie algorithm. One of the recent SDE models is the same as the Kurtz approximation first published in 1978. All the models considered give similar ISI histograms over a wide range of deterministic and stochastic input. Three features of these histograms are an initial peak, followed by one or more bumps, and then an exponential tail. We explore how these features depend on deterministic input and on level of channel noise, and explain the results using the stochastic dynamics of the model. We conclude with a rough ranking of the four SDE models with respect to the similarity of their ISI histograms to the histogram of the exact Markov chain model.

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

NASA Astrophysics Data System (ADS)

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

2007-10-01

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

An efficient computational method for solving nonlinear stochastic Itô integral equations: Application for stochastic problems in physics

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

Heydari, M.H., E-mail: heydari@stu.yazd.ac.ir; The Laboratory of Quantum Information Processing, Yazd University, Yazd; Hooshmandasl, M.R., E-mail: hooshmandasl@yazd.ac.ir

Because of the nonlinearity, closed-form solutions of many important stochastic functional equations are virtually impossible to obtain. Thus, numerical solutions are a viable alternative. In this paper, a new computational method based on the generalized hat basis functions together with their stochastic operational matrix of Itô-integration is proposed for solving nonlinear stochastic Itô integral equations in large intervals. In the proposed method, a new technique for computing nonlinear terms in such problems is presented. The main advantage of the proposed method is that it transforms problems under consideration into nonlinear systems of algebraic equations which can be simply solved. Errormore » analysis of the proposed method is investigated and also the efficiency of this method is shown on some concrete examples. The obtained results reveal that the proposed method is very accurate and efficient. As two useful applications, the proposed method is applied to obtain approximate solutions of the stochastic population growth models and stochastic pendulum problem.« less

Approximation of state variables for discrete-time stochastic genetic regulatory networks with leakage, distributed, and probabilistic measurement delays: a robust stability problem.

PubMed

Pandiselvi, S; Raja, R; Cao, Jinde; Rajchakit, G; Ahmad, Bashir

2018-01-01

This work predominantly labels the problem of approximation of state variables for discrete-time stochastic genetic regulatory networks with leakage, distributed, and probabilistic measurement delays. Here we design a linear estimator in such a way that the absorption of mRNA and protein can be approximated via known measurement outputs. By utilizing a Lyapunov-Krasovskii functional and some stochastic analysis execution, we obtain the stability formula of the estimation error systems in the structure of linear matrix inequalities under which the estimation error dynamics is robustly exponentially stable. Further, the obtained conditions (in the form of LMIs) can be effortlessly solved by some available software packages. Moreover, the specific expression of the desired estimator is also shown in the main section. Finally, two mathematical illustrative examples are accorded to show the advantage of the proposed conceptual results.

Stochastic Model of Vesicular Sorting in Cellular Organelles

NASA Astrophysics Data System (ADS)

Vagne, Quentin; Sens, Pierre

2018-02-01

The proper sorting of membrane components by regulated exchange between cellular organelles is crucial to intracellular organization. This process relies on the budding and fusion of transport vesicles, and should be strongly influenced by stochastic fluctuations, considering the relatively small size of many organelles. We identify the perfect sorting of two membrane components initially mixed in a single compartment as a first passage process, and we show that the mean sorting time exhibits two distinct regimes as a function of the ratio of vesicle fusion to budding rates. Low ratio values lead to fast sorting but result in a broad size distribution of sorted compartments dominated by small entities. High ratio values result in two well-defined sorted compartments but sorting is exponentially slow. Our results suggest an optimal balance between vesicle budding and fusion for the rapid and efficient sorting of membrane components and highlight the importance of stochastic effects for the steady-state organization of intracellular compartments.

On convergence of the unscented Kalman-Bucy filter using contraction theory

NASA Astrophysics Data System (ADS)

Maree, J. P.; Imsland, L.; Jouffroy, J.

2016-06-01

Contraction theory entails a theoretical framework in which convergence of a nonlinear system can be analysed differentially in an appropriate contraction metric. This paper is concerned with utilising stochastic contraction theory to conclude on exponential convergence of the unscented Kalman-Bucy filter. The underlying process and measurement models of interest are Itô-type stochastic differential equations. In particular, statistical linearisation techniques are employed in a virtual-actual systems framework to establish deterministic contraction of the estimated expected mean of process values. Under mild conditions of bounded process noise, we extend the results on deterministic contraction to stochastic contraction of the estimated expected mean of the process state. It follows that for the regions of contraction, a result on convergence, and thereby incremental stability, is concluded for the unscented Kalman-Bucy filter. The theoretical concepts are illustrated in two case studies.

On the performance of exponential integrators for problems in magnetohydrodynamics

NASA Astrophysics Data System (ADS)

Einkemmer, Lukas; Tokman, Mayya; Loffeld, John

2017-02-01

Exponential integrators have been introduced as an efficient alternative to explicit and implicit methods for integrating large stiff systems of differential equations. Over the past decades these methods have been studied theoretically and their performance was evaluated using a range of test problems. While the results of these investigations showed that exponential integrators can provide significant computational savings, the research on validating this hypothesis for large scale systems and understanding what classes of problems can particularly benefit from the use of the new techniques is in its initial stages. Resistive magnetohydrodynamic (MHD) modeling is widely used in studying large scale behavior of laboratory and astrophysical plasmas. In many problems numerical solution of MHD equations is a challenging task due to the temporal stiffness of this system in the parameter regimes of interest. In this paper we evaluate the performance of exponential integrators on large MHD problems and compare them to a state-of-the-art implicit time integrator. Both the variable and constant time step exponential methods of EPIRK-type are used to simulate magnetic reconnection and the Kevin-Helmholtz instability in plasma. Performance of these methods, which are part of the EPIC software package, is compared to the variable time step variable order BDF scheme included in the CVODE (part of SUNDIALS) library. We study performance of the methods on parallel architectures and with respect to magnitudes of important parameters such as Reynolds, Lundquist, and Prandtl numbers. We find that the exponential integrators provide superior or equal performance in most circumstances and conclude that further development of exponential methods for MHD problems is warranted and can lead to significant computational advantages for large scale stiff systems of differential equations such as MHD.

Extended q -Gaussian and q -exponential distributions from gamma random variables

NASA Astrophysics Data System (ADS)

Budini, Adrián A.

2015-05-01

The family of q -Gaussian and q -exponential probability densities fit the statistical behavior of diverse complex self-similar nonequilibrium systems. These distributions, independently of the underlying dynamics, can rigorously be obtained by maximizing Tsallis "nonextensive" entropy under appropriate constraints, as well as from superstatistical models. In this paper we provide an alternative and complementary scheme for deriving these objects. We show that q -Gaussian and q -exponential random variables can always be expressed as a function of two statistically independent gamma random variables with the same scale parameter. Their shape index determines the complexity q parameter. This result also allows us to define an extended family of asymmetric q -Gaussian and modified q -exponential densities, which reduce to the standard ones when the shape parameters are the same. Furthermore, we demonstrate that a simple change of variables always allows relating any of these distributions with a beta stochastic variable. The extended distributions are applied in the statistical description of different complex dynamics such as log-return signals in financial markets and motion of point defects in a fluid flow.

Exponential-fitted methods for integrating stiff systems of ordinary differential equations: Applications to homogeneous gas-phase chemical kinetics

NASA Technical Reports Server (NTRS)

Pratt, D. T.

1984-01-01

Conventional algorithms for the numerical integration of ordinary differential equations (ODEs) are based on the use of polynomial functions as interpolants. However, the exact solutions of stiff ODEs behave like decaying exponential functions, which are poorly approximated by polynomials. An obvious choice of interpolant are the exponential functions themselves, or their low-order diagonal Pade (rational function) approximants. A number of explicit, A-stable, integration algorithms were derived from the use of a three-parameter exponential function as interpolant, and their relationship to low-order, polynomial-based and rational-function-based implicit and explicit methods were shown by examining their low-order diagonal Pade approximants. A robust implicit formula was derived by exponential fitting the trapezoidal rule. Application of these algorithms to integration of the ODEs governing homogenous, gas-phase chemical kinetics was demonstrated in a developmental code CREK1D, which compares favorably with the Gear-Hindmarsh code LSODE in spite of the use of a primitive stepsize control strategy.

Existence and uniqueness, attraction for stochastic age-structured population systems with diffusion and Poisson jump

NASA Astrophysics Data System (ADS)

Chen, Huabin

2013-08-01

In this paper, the problems about the existence and uniqueness, attraction for strong solution of stochastic age-structured population systems with diffusion and Poisson jump are considered. Under the non-Lipschitz condition with the Lipschitz condition being considered as a special case, the existence and uniqueness for such systems is firstly proved by using the Burkholder-Davis-Gundy inequality (B-D-G inequality) and Itô's formula. And then by using a novel inequality technique, some sufficient conditions ensuring the existence for the domain of attraction are established. As another by-product, the exponential stability in mean square moment of strong solution for such systems can be also discussed.

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

An accurate method for evaluating the kernel of the integral equation relating lift to downwash in unsteady potential flow

NASA Technical Reports Server (NTRS)

Desmarais, R. N.

1982-01-01

The method is capable of generating approximations of arbitrary accuracy. It is based on approximating the algebraic part of the nonelementary integrals in the kernel by exponential functions and then integrating termwise. The exponent spacing in the approximation is a geometric sequence. The coefficients and exponent multiplier of the exponential approximation are computed by least squares so the method is completely automated. Exponential approximates generated in this manner are two orders of magnitude more accurate than the exponential approximation that is currently most often used for this purpose. The method can be used to generate approximations to attain any desired trade-off between accuracy and computing cost.

Diffusion and Mixing in Globular Clusters

NASA Astrophysics Data System (ADS)

Meiron, Yohai; Kocsis, Bence

2018-03-01

Collisional relaxation describes the stochastic process with which a self-gravitating system near equilibrium evolves in phase-space due to the fluctuating gravitational field of the system. The characteristic timescale of this process is called the relaxation time. In this paper, we highlight the difference between two measures of the relaxation time in globular clusters: (1) the diffusion time with which the isolating integrals of motion (i.e., energy E and angular momentum magnitude L) of individual stars change stochastically and (2) the asymptotic timescale required for a family of orbits to mix in the cluster. More specifically, the former corresponds to the instantaneous rate of change of a star’s E or L, while the latter corresponds to the timescale for the stars to statistically forget their initial conditions. We show that the diffusion timescales of E and L vary systematically around the commonly used half-mass relaxation time in different regions of the cluster by a factor of ∼10 and ∼100, respectively, for more than 20% of the stars. We define the mixedness of an orbital family at any given time as the correlation coefficient between its E or L probability distribution functions and those of the whole cluster. Using Monte Carlo simulations, we find that mixedness converges asymptotically exponentially with a decay timescale that is ∼10 times the half-mass relaxation time.

Measuring gravel transport and dispersion in a mountain river using passive radio tracers

USGS Publications Warehouse

Bradley, D. N.; Tucker, G. E.

2012-01-01

Random walk models of fluvial sediment transport recognize that grains move intermittently, with short duration steps separated by rests that are comparatively long. These models are built upon the probability distributions of the step length and the resting time. Motivated by these models, tracer experiments have attempted to measure directly the steps and rests of sediment grains in natural streams. This paper describes results from a large tracer experiment designed to test stochastic transport models. We used passive integrated transponder (PIT) tags to label 893 coarse gravel clasts and placed them in Halfmoon Creek, a small alpine stream near Leadville, Colorado, USA. The PIT tags allow us to locate and identify tracers without picking them up or digging them out of the streambed. They also enable us to find a very high percentage of our rocks, 98% after three years and 96% after the fourth year. We use the annual tracer displacement to test two stochastic transport models, the Einstein–Hubbell–Sayre (EHS) model and the Yang–Sayre gamma-exponential model (GEM). We find that the GEM is a better fit to the observations, particularly for slower moving tracers and suggest that the strength of the GEM is that the gamma distribution of step lengths approximates a compound Poisson distribution. Published in 2012. This article is a US Government work and is in the public domain in the USA.

A comparative study of mixed exponential and Weibull distributions in a stochastic model replicating a tropical rainfall process

NASA Astrophysics Data System (ADS)

Abas, Norzaida; Daud, Zalina M.; Yusof, Fadhilah

2014-11-01

A stochastic rainfall model is presented for the generation of hourly rainfall data in an urban area in Malaysia. In view of the high temporal and spatial variability of rainfall within the tropical rain belt, the Spatial-Temporal Neyman-Scott Rectangular Pulse model was used. The model, which is governed by the Neyman-Scott process, employs a reasonable number of parameters to represent the physical attributes of rainfall. A common approach is to attach each attribute to a mathematical distribution. With respect to rain cell intensity, this study proposes the use of a mixed exponential distribution. The performance of the proposed model was compared to a model that employs the Weibull distribution. Hourly and daily rainfall data from four stations in the Damansara River basin in Malaysia were used as input to the models, and simulations of hourly series were performed for an independent site within the basin. The performance of the models was assessed based on how closely the statistical characteristics of the simulated series resembled the statistics of the observed series. The findings obtained based on graphical representation revealed that the statistical characteristics of the simulated series for both models compared reasonably well with the observed series. However, a further assessment using the AIC, BIC and RMSE showed that the proposed model yields better results. The results of this study indicate that for tropical climates, the proposed model, using a mixed exponential distribution, is the best choice for generation of synthetic data for ungauged sites or for sites with insufficient data within the limit of the fitted region.

Dynamical insurance models with investment: Constrained singular problems for integrodifferential equations

NASA Astrophysics Data System (ADS)

Belkina, T. A.; Konyukhova, N. B.; Kurochkin, S. V.

2016-01-01

Previous and new results are used to compare two mathematical insurance models with identical insurance company strategies in a financial market, namely, when the entire current surplus or its constant fraction is invested in risky assets (stocks), while the rest of the surplus is invested in a risk-free asset (bank account). Model I is the classical Cramér-Lundberg risk model with an exponential claim size distribution. Model II is a modification of the classical risk model (risk process with stochastic premiums) with exponential distributions of claim and premium sizes. For the survival probability of an insurance company over infinite time (as a function of its initial surplus), there arise singular problems for second-order linear integrodifferential equations (IDEs) defined on a semiinfinite interval and having nonintegrable singularities at zero: model I leads to a singular constrained initial value problem for an IDE with a Volterra integral operator, while II model leads to a more complicated nonlocal constrained problem for an IDE with a non-Volterra integral operator. A brief overview of previous results for these two problems depending on several positive parameters is given, and new results are presented. Additional results are concerned with the formulation, analysis, and numerical study of "degenerate" problems for both models, i.e., problems in which some of the IDE parameters vanish; moreover, passages to the limit with respect to the parameters through which we proceed from the original problems to the degenerate ones are singular for small and/or large argument values. Such problems are of mathematical and practical interest in themselves. Along with insurance models without investment, they describe the case of surplus completely invested in risk-free assets, as well as some noninsurance models of surplus dynamics, for example, charity-type models.

Event-driven simulations of nonlinear integrate-and-fire neurons.

PubMed

Tonnelier, Arnaud; Belmabrouk, Hana; Martinez, Dominique

2007-12-01

Event-driven strategies have been used to simulate spiking neural networks exactly. Previous work is limited to linear integrate-and-fire neurons. In this note, we extend event-driven schemes to a class of nonlinear integrate-and-fire models. Results are presented for the quadratic integrate-and-fire model with instantaneous or exponential synaptic currents. Extensions to conductance-based currents and exponential integrate-and-fire neurons are discussed.

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.

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

NASA Technical Reports Server (NTRS)

Jack-Chingtse, C.

1973-01-01

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

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.

Universal patterns of inequality

NASA Astrophysics Data System (ADS)

Banerjee, Anand; Yakovenko, Victor M.

2010-07-01

Probability distributions of money, income and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the investigated variables. A non-equilibrium difference of money temperatures between different systems generates net fluxes of money and population. To describe income distribution, a stochastic process with additive and multiplicative components is introduced. The resultant distribution interpolates between exponential at the low end and power law at the high end, in agreement with the empirical data for the USA. We show that the increase in income inequality in the USA originates primarily from the increase in the income fraction going to the upper tail, which now exceeds 20% of the total income. Analyzing the data from the World Resources Institute, we find that the distribution of energy consumption per capita around the world can be approximately described by the exponential function. Comparing the data for 1990, 2000 and 2005, we discuss the effect of globalization on the inequality of energy consumption.

CONSISTENCY UNDER SAMPLING OF EXPONENTIAL RANDOM GRAPH MODELS.

PubMed

Shalizi, Cosma Rohilla; Rinaldo, Alessandro

2013-04-01

The growing availability of network data and of scientific interest in distributed systems has led to the rapid development of statistical models of network structure. Typically, however, these are models for the entire network, while the data consists only of a sampled sub-network. Parameters for the whole network, which is what is of interest, are estimated by applying the model to the sub-network. This assumes that the model is consistent under sampling , or, in terms of the theory of stochastic processes, that it defines a projective family. Focusing on the popular class of exponential random graph models (ERGMs), we show that this apparently trivial condition is in fact violated by many popular and scientifically appealing models, and that satisfying it drastically limits ERGM's expressive power. These results are actually special cases of more general results about exponential families of dependent random variables, which we also prove. Using such results, we offer easily checked conditions for the consistency of maximum likelihood estimation in ERGMs, and discuss some possible constructive responses.

Study on probability distributions for evolution in modified extremal optimization

NASA Astrophysics Data System (ADS)

Zeng, Guo-Qiang; Lu, Yong-Zai; Mao, Wei-Jie; Chu, Jian

2010-05-01

It is widely believed that the power-law is a proper probability distribution being effectively applied for evolution in τ-EO (extremal optimization), a general-purpose stochastic local-search approach inspired by self-organized criticality, and its applications in some NP-hard problems, e.g., graph partitioning, graph coloring, spin glass, etc. In this study, we discover that the exponential distributions or hybrid ones (e.g., power-laws with exponential cutoff) being popularly used in the research of network sciences may replace the original power-laws in a modified τ-EO method called self-organized algorithm (SOA), and provide better performances than other statistical physics oriented methods, such as simulated annealing, τ-EO and SOA etc., from the experimental results on random Euclidean traveling salesman problems (TSP) and non-uniform instances. From the perspective of optimization, our results appear to demonstrate that the power-law is not the only proper probability distribution for evolution in EO-similar methods at least for TSP, the exponential and hybrid distributions may be other choices.

CONSISTENCY UNDER SAMPLING OF EXPONENTIAL RANDOM GRAPH MODELS

PubMed Central

Shalizi, Cosma Rohilla; Rinaldo, Alessandro

2015-01-01

The growing availability of network data and of scientific interest in distributed systems has led to the rapid development of statistical models of network structure. Typically, however, these are models for the entire network, while the data consists only of a sampled sub-network. Parameters for the whole network, which is what is of interest, are estimated by applying the model to the sub-network. This assumes that the model is consistent under sampling, or, in terms of the theory of stochastic processes, that it defines a projective family. Focusing on the popular class of exponential random graph models (ERGMs), we show that this apparently trivial condition is in fact violated by many popular and scientifically appealing models, and that satisfying it drastically limits ERGM’s expressive power. These results are actually special cases of more general results about exponential families of dependent random variables, which we also prove. Using such results, we offer easily checked conditions for the consistency of maximum likelihood estimation in ERGMs, and discuss some possible constructive responses. PMID:26166910

Statistical modeling of storm-level Kp occurrences

USGS Publications Warehouse

Remick, K.J.; Love, J.J.

2006-01-01

We consider the statistical modeling of the occurrence in time of large Kp magnetic storms as a Poisson process, testing whether or not relatively rare, large Kp events can be considered to arise from a stochastic, sequential, and memoryless process. For a Poisson process, the wait times between successive events occur statistically with an exponential density function. Fitting an exponential function to the durations between successive large Kp events forms the basis of our analysis. Defining these wait times by calculating the differences between times when Kp exceeds a certain value, such as Kp ??? 5, we find the wait-time distribution is not exponential. Because large storms often have several periods with large Kp values, their occurrence in time is not memoryless; short duration wait times are not independent of each other and are often clumped together in time. If we remove same-storm large Kp occurrences, the resulting wait times are very nearly exponentially distributed and the storm arrival process can be characterized as Poisson. Fittings are performed on wait time data for Kp ??? 5, 6, 7, and 8. The mean wait times between storms exceeding such Kp thresholds are 7.12, 16.55, 42.22, and 121.40 days respectively.

Asymptotic Equivalence of Probability Measures and Stochastic Processes

NASA Astrophysics Data System (ADS)

Touchette, Hugo

2018-03-01

Let P_n and Q_n be two probability measures representing two different probabilistic models of some system (e.g., an n-particle equilibrium system, a set of random graphs with n vertices, or a stochastic process evolving over a time n) and let M_n be a random variable representing a "macrostate" or "global observable" of that system. We provide sufficient conditions, based on the Radon-Nikodym derivative of P_n and Q_n, for the set of typical values of M_n obtained relative to P_n to be the same as the set of typical values obtained relative to Q_n in the limit n→ ∞. This extends to general probability measures and stochastic processes the well-known thermodynamic-limit equivalence of the microcanonical and canonical ensembles, related mathematically to the asymptotic equivalence of conditional and exponentially-tilted measures. In this more general sense, two probability measures that are asymptotically equivalent predict the same typical or macroscopic properties of the system they are meant to model.

Superstatistical generalised Langevin equation: non-Gaussian viscoelastic anomalous diffusion

NASA Astrophysics Data System (ADS)

Ślęzak, Jakub; Metzler, Ralf; Magdziarz, Marcin

2018-02-01

Recent advances in single particle tracking and supercomputing techniques demonstrate the emergence of normal or anomalous, viscoelastic diffusion in conjunction with non-Gaussian distributions in soft, biological, and active matter systems. We here formulate a stochastic model based on a generalised Langevin equation in which non-Gaussian shapes of the probability density function and normal or anomalous diffusion have a common origin, namely a random parametrisation of the stochastic force. We perform a detailed analysis demonstrating how various types of parameter distributions for the memory kernel result in exponential, power law, or power-log law tails of the memory functions. The studied system is also shown to exhibit a further unusual property: the velocity has a Gaussian one point probability density but non-Gaussian joint distributions. This behaviour is reflected in the relaxation from a Gaussian to a non-Gaussian distribution observed for the position variable. We show that our theoretical results are in excellent agreement with stochastic simulations.

Path integrals and large deviations in stochastic hybrid systems.

PubMed

Bressloff, Paul C; Newby, Jay M

2014-04-01

We construct a path-integral representation of solutions to a stochastic hybrid system, consisting of one or more continuous variables evolving according to a piecewise-deterministic dynamics. The differential equations for the continuous variables are coupled to a set of discrete variables that satisfy a continuous-time Markov process, which means that the differential equations are only valid between jumps in the discrete variables. Examples of stochastic hybrid systems arise in biophysical models of stochastic ion channels, motor-driven intracellular transport, gene networks, and stochastic neural networks. We use the path-integral representation to derive a large deviation action principle for a stochastic hybrid system. Minimizing the associated action functional with respect to the set of all trajectories emanating from a metastable state (assuming that such a minimization scheme exists) then determines the most probable paths of escape. Moreover, evaluating the action functional along a most probable path generates the so-called quasipotential used in the calculation of mean first passage times. We illustrate the theory by considering the optimal paths of escape from a metastable state in a bistable neural network.

Option pricing, stochastic volatility, singular dynamics and constrained path integrals

NASA Astrophysics Data System (ADS)

Contreras, Mauricio; Hojman, Sergio A.

2014-01-01

Stochastic volatility models have been widely studied and used in the financial world. The Heston model (Heston, 1993) [7] is one of the best known models to deal with this issue. These stochastic volatility models are characterized by the fact that they explicitly depend on a correlation parameter ρ which relates the two Brownian motions that drive the stochastic dynamics associated to the volatility and the underlying asset. Solutions to the Heston model in the context of option pricing, using a path integral approach, are found in Lemmens et al. (2008) [21] while in Baaquie (2007,1997) [12,13] propagators for different stochastic volatility models are constructed. In all previous cases, the propagator is not defined for extreme cases ρ=±1. It is therefore necessary to obtain a solution for these extreme cases and also to understand the origin of the divergence of the propagator. In this paper we study in detail a general class of stochastic volatility models for extreme values ρ=±1 and show that in these two cases, the associated classical dynamics corresponds to a system with second class constraints, which must be dealt with using Dirac’s method for constrained systems (Dirac, 1958,1967) [22,23] in order to properly obtain the propagator in the form of a Euclidean Hamiltonian path integral (Henneaux and Teitelboim, 1992) [25]. After integrating over momenta, one gets an Euclidean Lagrangian path integral without constraints, which in the case of the Heston model corresponds to a path integral of a repulsive radial harmonic oscillator. In all the cases studied, the price of the underlying asset is completely determined by one of the second class constraints in terms of volatility and plays no active role in the path integral.

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.

Front propagation and clustering in the stochastic nonlocal Fisher equation

NASA Astrophysics Data System (ADS)

Ganan, Yehuda A.; Kessler, David A.

2018-04-01

In this work, we study the problem of front propagation and pattern formation in the stochastic nonlocal Fisher equation. We find a crossover between two regimes: a steadily propagating regime for not too large interaction range and a stochastic punctuated spreading regime for larger ranges. We show that the former regime is well described by the heuristic approximation of the system by a deterministic system where the linear growth term is cut off below some critical density. This deterministic system is seen not only to give the right front velocity, but also predicts the onset of clustering for interaction kernels which give rise to stable uniform states, such as the Gaussian kernel, for sufficiently large cutoff. Above the critical cutoff, distinct clusters emerge behind the front. These same features are present in the stochastic model for sufficiently small carrying capacity. In the latter, punctuated spreading, regime, the population is concentrated on clusters, as in the infinite range case, which divide and separate as a result of the stochastic noise. Due to the finite interaction range, if a fragment at the edge of the population separates sufficiently far, it stabilizes as a new cluster, and the processes begins anew. The deterministic cutoff model does not have this spreading for large interaction ranges, attesting to its purely stochastic origins. We show that this mode of spreading has an exponentially small mean spreading velocity, decaying with the range of the interaction kernel.

Front propagation and clustering in the stochastic nonlocal Fisher equation.

PubMed

Ganan, Yehuda A; Kessler, David A

2018-04-01

In this work, we study the problem of front propagation and pattern formation in the stochastic nonlocal Fisher equation. We find a crossover between two regimes: a steadily propagating regime for not too large interaction range and a stochastic punctuated spreading regime for larger ranges. We show that the former regime is well described by the heuristic approximation of the system by a deterministic system where the linear growth term is cut off below some critical density. This deterministic system is seen not only to give the right front velocity, but also predicts the onset of clustering for interaction kernels which give rise to stable uniform states, such as the Gaussian kernel, for sufficiently large cutoff. Above the critical cutoff, distinct clusters emerge behind the front. These same features are present in the stochastic model for sufficiently small carrying capacity. In the latter, punctuated spreading, regime, the population is concentrated on clusters, as in the infinite range case, which divide and separate as a result of the stochastic noise. Due to the finite interaction range, if a fragment at the edge of the population separates sufficiently far, it stabilizes as a new cluster, and the processes begins anew. The deterministic cutoff model does not have this spreading for large interaction ranges, attesting to its purely stochastic origins. We show that this mode of spreading has an exponentially small mean spreading velocity, decaying with the range of the interaction kernel.

Wave chaos in the elastic disk.

PubMed

Sondergaard, Niels; Tanner, Gregor

2002-12-01

The relation between the elastic wave equation for plane, isotropic bodies and an underlying classical ray dynamics is investigated. We study, in particular, the eigenfrequencies of an elastic disk with free boundaries and their connection to periodic rays inside the circular domain. Even though the problem is separable, wave mixing between the shear and pressure component of the wave field at the boundary leads to an effective stochastic part in the ray dynamics. This introduces phenomena typically associated with classical chaos as, for example, an exponential increase in the number of periodic orbits. Classically, the problem can be decomposed into an integrable part and a simple binary Markov process. Similarly, the wave equation can, in the high-frequency limit, be mapped onto a quantum graph. Implications of this result for the level statistics are discussed. Furthermore, a periodic trace formula is derived from the scattering matrix based on the inside-outside duality between eigenmodes and scattering solutions and periodic orbits are identified by Fourier transforming the spectral density.

Semi-Markov models for interval censored transient cognitive states with back transitions and a competing risk

PubMed Central

Wei, Shaoceng; Kryscio, Richard J.

2015-01-01

Continuous-time multi-state stochastic processes are useful for modeling the flow of subjects from intact cognition to dementia with mild cognitive impairment and global impairment as intervening transient, cognitive states and death as a competing risk (Figure 1). Each subject's cognition is assessed periodically resulting in interval censoring for the cognitive states while death without dementia is not interval censored. Since back transitions among the transient states are possible, Markov chains are often applied to this type of panel data. In this manuscript we apply a Semi-Markov process in which we assume that the waiting times are Weibull distributed except for transitions from the baseline state, which are exponentially distributed and in which we assume no additional changes in cognition occur between two assessments. We implement a quasi-Monte Carlo (QMC) method to calculate the higher order integration needed for likelihood estimation. We apply our model to a real dataset, the Nun Study, a cohort of 461 participants. PMID:24821001

Semi-Markov models for interval censored transient cognitive states with back transitions and a competing risk.

PubMed

Wei, Shaoceng; Kryscio, Richard J

2016-12-01

Continuous-time multi-state stochastic processes are useful for modeling the flow of subjects from intact cognition to dementia with mild cognitive impairment and global impairment as intervening transient cognitive states and death as a competing risk. Each subject's cognition is assessed periodically resulting in interval censoring for the cognitive states while death without dementia is not interval censored. Since back transitions among the transient states are possible, Markov chains are often applied to this type of panel data. In this manuscript, we apply a semi-Markov process in which we assume that the waiting times are Weibull distributed except for transitions from the baseline state, which are exponentially distributed and in which we assume no additional changes in cognition occur between two assessments. We implement a quasi-Monte Carlo (QMC) method to calculate the higher order integration needed for likelihood estimation. We apply our model to a real dataset, the Nun Study, a cohort of 461 participants. © The Author(s) 2014.

An Inverse Problem Formulation Methodology for Stochastic Models

DTIC Science & Technology

2010-05-02

form the surveillance data Infection control measures were implemented in the form of health care worker hand - hygiene before and after patients contact...manuscript derives from our interest in understanding the spread of infectious diseases in particular, nosocomial infections , in order to prevent major...given by the inverse of the parameter of the exponential distribution. A hand - hygiene policy applied to health care workers on isolated VRE colonized

Global Well-posedness of the Spatially Homogeneous Kolmogorov-Vicsek Model as a Gradient Flow

NASA Astrophysics Data System (ADS)

Figalli, Alessio; Kang, Moon-Jin; Morales, Javier

2018-03-01

We consider the so-called spatially homogenous Kolmogorov-Vicsek model, a non-linear Fokker-Planck equation of self-driven stochastic particles with orientation interaction under the space-homogeneity. We prove the global existence and uniqueness of weak solutions to the equation. We also show that weak solutions exponentially converge to a steady state, which has the form of the Fisher-von Mises distribution.

Stochastic Individual-Based Modeling of Bacterial Growth and Division Using Flow Cytometry.

PubMed

García, Míriam R; Vázquez, José A; Teixeira, Isabel G; Alonso, Antonio A

2017-01-01

A realistic description of the variability in bacterial growth and division is critical to produce reliable predictions of safety risks along the food chain. Individual-based modeling of bacteria provides the theoretical framework to deal with this variability, but it requires information about the individual behavior of bacteria inside populations. In this work, we overcome this problem by estimating the individual behavior of bacteria from population statistics obtained with flow cytometry. For this objective, a stochastic individual-based modeling framework is defined based on standard assumptions during division and exponential growth. The unknown single-cell parameters required for running the individual-based modeling simulations, such as cell size growth rate, are estimated from the flow cytometry data. Instead of using directly the individual-based model, we make use of a modified Fokker-Plank equation. This only equation simulates the population statistics in function of the unknown single-cell parameters. We test the validity of the approach by modeling the growth and division of Pediococcus acidilactici within the exponential phase. Estimations reveal the statistics of cell growth and division using only data from flow cytometry at a given time. From the relationship between the mother and daughter volumes, we also predict that P. acidilactici divide into two successive parallel planes.

An accurate and efficient method for evaluating the kernel of the integral equation relating pressure to normalwash in unsteady potential flow

NASA Technical Reports Server (NTRS)

Desmarais, R. N.

1982-01-01

This paper describes an accurate economical method for generating approximations to the kernel of the integral equation relating unsteady pressure to normalwash in nonplanar flow. The method is capable of generating approximations of arbitrary accuracy. It is based on approximating the algebraic part of the non elementary integrals in the kernel by exponential approximations and then integrating termwise. The exponent spacing in the approximation is a geometric sequence. The coefficients and exponent multiplier of the exponential approximation are computed by least squares so the method is completely automated. Exponential approximates generated in this manner are two orders of magnitude more accurate than the exponential approximation that is currently most often used for this purpose. Coefficients for 8, 12, 24, and 72 term approximations are tabulated in the report. Also, since the method is automated, it can be used to generate approximations to attain any desired trade-off between accuracy and computing cost.

Approximation of the exponential integral (well function) using sampling methods

NASA Astrophysics Data System (ADS)

Baalousha, Husam Musa

2015-04-01

Exponential integral (also known as well function) is often used in hydrogeology to solve Theis and Hantush equations. Many methods have been developed to approximate the exponential integral. Most of these methods are based on numerical approximations and are valid for a certain range of the argument value. This paper presents a new approach to approximate the exponential integral. The new approach is based on sampling methods. Three different sampling methods; Latin Hypercube Sampling (LHS), Orthogonal Array (OA), and Orthogonal Array-based Latin Hypercube (OA-LH) have been used to approximate the function. Different argument values, covering a wide range, have been used. The results of sampling methods were compared with results obtained by Mathematica software, which was used as a benchmark. All three sampling methods converge to the result obtained by Mathematica, at different rates. It was found that the orthogonal array (OA) method has the fastest convergence rate compared with LHS and OA-LH. The root mean square error RMSE of OA was in the order of 1E-08. This method can be used with any argument value, and can be used to solve other integrals in hydrogeology such as the leaky aquifer integral.

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.

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.

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.

Integral definition of the logarithmic function and the derivative of the exponential function in calculus

NASA Astrophysics Data System (ADS)

Vaninsky, Alexander

2015-04-01

Defining the logarithmic function as a definite integral with a variable upper limit, an approach used by some popular calculus textbooks, is problematic. We discuss the disadvantages of such a definition and provide a way to fix the problem. We also consider a definition-based, rigorous derivation of the derivative of the exponential function that is easier, more intuitive, and complies with the standard definitions of the number e, the logarithmic, and the exponential functions.

Cold induced mortality of the Burmese Python: An explanation via stochastic analysis

NASA Astrophysics Data System (ADS)

Quansah, Emmanuel; Parshad, Rana D.; Mondal, Sumona

2017-02-01

The Burmese python (Python bivitatus) is an invasive species, wreaking havoc on indigenous species in the Florida everglades. Data suggests an exponential growth in their population from 1995 to 2009, with a sharp decline however in 2010-2012 (Dorcas et al., 2012). In Mazzotti et al. (2011) an explanation is provided, citing the unusually cold winter that year, as the primary reason for this decline. We provide a first mathematical model, in the form of a system of stochastic differential equations, that supports the explanation in Mazzotti et al. (2011), by accurately matching the field data presented in Dorcas et al. (2012). More generally, our model provides a tool to predict the population dynamics of rapidly growing alien species, in the advent of climate change.

Stochastic queueing-theory approach to human dynamics

NASA Astrophysics Data System (ADS)

Walraevens, Joris; Demoor, Thomas; Maertens, Tom; Bruneel, Herwig

2012-02-01

Recently, numerous studies have shown that human dynamics cannot be described accurately by exponential laws. For instance, Barabási [Nature (London)NATUAS0028-083610.1038/nature03459 435, 207 (2005)] demonstrates that waiting times of tasks to be performed by a human are more suitably modeled by power laws. He presumes that these power laws are caused by a priority selection mechanism among the tasks. Priority models are well-developed in queueing theory (e.g., for telecommunication applications), and this paper demonstrates the (quasi-)immediate applicability of such a stochastic priority model to human dynamics. By calculating generating functions and by studying them in their dominant singularity, we prove that nonexponential tails result naturally. Contrary to popular belief, however, these are not necessarily triggered by the priority selection mechanism.

Inverse Stochastic Resonance in Cerebellar Purkinje Cells

PubMed Central

Häusser, Michael; Gutkin, Boris S.; Roth, Arnd

2016-01-01

Purkinje neurons play an important role in cerebellar computation since their axons are the only projection from the cerebellar cortex to deeper cerebellar structures. They have complex internal dynamics, which allow them to fire spontaneously, display bistability, and also to be involved in network phenomena such as high frequency oscillations and travelling waves. Purkinje cells exhibit type II excitability, which can be revealed by a discontinuity in their f-I curves. We show that this excitability mechanism allows Purkinje cells to be efficiently inhibited by noise of a particular variance, a phenomenon known as inverse stochastic resonance (ISR). While ISR has been described in theoretical models of single neurons, here we provide the first experimental evidence for this effect. We find that an adaptive exponential integrate-and-fire model fitted to the basic Purkinje cell characteristics using a modified dynamic IV method displays ISR and bistability between the resting state and a repetitive activity limit cycle. ISR allows the Purkinje cell to operate in different functional regimes: the all-or-none toggle or the linear filter mode, depending on the variance of the synaptic input. We propose that synaptic noise allows Purkinje cells to quickly switch between these functional regimes. Using mutual information analysis, we demonstrate that ISR can lead to a locally optimal information transfer between the input and output spike train of the Purkinje cell. These results provide the first experimental evidence for ISR and suggest a functional role for ISR in cerebellar information processing. PMID:27541958

Stochastic driven systems far from equilibrium

NASA Astrophysics Data System (ADS)

Kim, Kyung Hyuk

We study the dynamics and steady states of two systems far from equilibrium: a 1-D driven lattice gas and a driven Brownian particle with inertia. (1) We investigate the dynamical scaling behavior of a 1-D driven lattice gas model with two species of particles hopping in opposite directions. We confirm numerically that the dynamic exponent is equal to z = 1.5. We show analytically that a quasi-particle representation relates all phase points to a special phase line directly related to the single-species asymmetric simple exclusion process. Quasi-particle two-point correlations decay exponentially, and in such a manner that quasi-particles of opposite charge dynamically screen each other with a special balance. The balance encompasses all over the phase space. These results indicate that the model belongs to the Kardar-Parisi-Zhang (KPZ) universality class. (2) We investigate the non-equilibrium thermodynamics of a Brownian particle with inertia under feedback control of its inertia. We find such open systems can act as a molecular refrigerator due to an entropy pumping mechanism. We extend the fluctuation theorems to the refrigerator. The entropy pumping modifies both the Jarzynski equality and the fluctuation theorems. We discover that the entropy pumping has a dual role of work and heat. We also investigate the thermodynamics of the particle under a hydrodynamic interaction described by a Langevin equation with a multiplicative noise. The Stratonovich stochastic integration prescription involved in the definition of heat is shown to be the unique physical choice.

Finite-Size Scaling Analysis of Binary Stochastic Processes and Universality Classes of Information Cascade Phase Transition

NASA Astrophysics Data System (ADS)

Mori, Shintaro; Hisakado, Masato

2015-05-01

We propose a finite-size scaling analysis method for binary stochastic processes X(t) in { 0,1} based on the second moment correlation length ξ for the autocorrelation function C(t). The purpose is to clarify the critical properties and provide a new data analysis method for information cascades. As a simple model to represent the different behaviors of subjects in information cascade experiments, we assume that X(t) is a mixture of an independent random variable that takes 1 with probability q and a random variable that depends on the ratio z of the variables taking 1 among recent r variables. We consider two types of the probability f(z) that the latter takes 1: (i) analog [f(z) = z] and (ii) digital [f(z) = θ(z - 1/2)]. We study the universal functions of scaling for ξ and the integrated correlation time τ. For finite r, C(t) decays exponentially as a function of t, and there is only one stable renormalization group (RG) fixed point. In the limit r to ∞ , where X(t) depends on all the previous variables, C(t) in model (i) obeys a power law, and the system becomes scale invariant. In model (ii) with q ≠ 1/2, there are two stable RG fixed points, which correspond to the ordered and disordered phases of the information cascade phase transition with the critical exponents β = 1 and ν|| = 2.

Transient Properties of Probability Distribution for a Markov Process with Size-dependent Additive Noise

NASA Astrophysics Data System (ADS)

Yamada, Yuhei; Yamazaki, Yoshihiro

2018-04-01

This study considered a stochastic model for cluster growth in a Markov process with a cluster size dependent additive noise. According to this model, the probability distribution of the cluster size transiently becomes an exponential or a log-normal distribution depending on the initial condition of the growth. In this letter, a master equation is obtained for this model, and derivation of the distributions is discussed.

Non-Poisson Processes: Regression to Equilibrium Versus Equilibrium Correlation Functions

DTIC Science & Technology

2004-07-07

ARTICLE IN PRESSPhysica A 347 (2005) 268–2880378-4371/$ - doi:10.1016/j Correspo E-mail adwww.elsevier.com/locate/physaNon- Poisson processes : regression...05.40.a; 89.75.k; 02.50.Ey Keywords: Stochastic processes; Non- Poisson processes ; Liouville and Liouville-like equations; Correlation function...which is not legitimate with renewal non- Poisson processes , is a correct property if the deviation from the exponential relaxation is obtained by time

Exponential integration algorithms applied to viscoplasticity

NASA Technical Reports Server (NTRS)

Freed, Alan D.; Walker, Kevin P.

1991-01-01

Four, linear, exponential, integration algorithms (two implicit, one explicit, and one predictor/corrector) are applied to a viscoplastic model to assess their capabilities. Viscoplasticity comprises a system of coupled, nonlinear, stiff, first order, ordinary differential equations which are a challenge to integrate by any means. Two of the algorithms (the predictor/corrector and one of the implicits) give outstanding results, even for very large time steps.

Assessment of BTEX-induced health risk under multiple uncertainties at a petroleum-contaminated site: An integrated fuzzy stochastic approach

NASA Astrophysics Data System (ADS)

Zhang, Xiaodong; Huang, Guo H.

2011-12-01

Groundwater pollution has gathered more and more attention in the past decades. Conducting an assessment of groundwater contamination risk is desired to provide sound bases for supporting risk-based management decisions. Therefore, the objective of this study is to develop an integrated fuzzy stochastic approach to evaluate risks of BTEX-contaminated groundwater under multiple uncertainties. It consists of an integrated interval fuzzy subsurface modeling system (IIFMS) and an integrated fuzzy second-order stochastic risk assessment (IFSOSRA) model. The IIFMS is developed based on factorial design, interval analysis, and fuzzy sets approach to predict contaminant concentrations under hybrid uncertainties. Two input parameters (longitudinal dispersivity and porosity) are considered to be uncertain with known fuzzy membership functions, and intrinsic permeability is considered to be an interval number with unknown distribution information. A factorial design is conducted to evaluate interactive effects of the three uncertain factors on the modeling outputs through the developed IIFMS. The IFSOSRA model can systematically quantify variability and uncertainty, as well as their hybrids, presented as fuzzy, stochastic and second-order stochastic parameters in health risk assessment. The developed approach haw been applied to the management of a real-world petroleum-contaminated site within a western Canada context. The results indicate that multiple uncertainties, under a combination of information with various data-quality levels, can be effectively addressed to provide supports in identifying proper remedial efforts. A unique contribution of this research is the development of an integrated fuzzy stochastic approach for handling various forms of uncertainties associated with simulation and risk assessment efforts.

A Note on the Stochastic Nature of Feynman Quantum Paths

NASA Astrophysics Data System (ADS)

Botelho, Luiz C. L.

2016-11-01

We propose a Fresnel stochastic white noise framework to analyze the stochastic nature of the Feynman paths entering on the Feynman Path Integral expression for the Feynman Propagator of a particle quantum mechanically moving under a time-independent potential.

Extreme value statistics and finite-size scaling at the ecological extinction/laminar-turbulence transition

NASA Astrophysics Data System (ADS)

Shih, Hong-Yan; Goldenfeld, Nigel

Experiments on transitional turbulence in pipe flow seem to show that turbulence is a transient metastable state since the measured mean lifetime of turbulence puffs does not diverge asymptotically at a critical Reynolds number. Yet measurements reveal that the lifetime scales with Reynolds number in a super-exponential way reminiscent of extreme value statistics, and simulations and experiments in Couette and channel flow exhibit directed percolation type scaling phenomena near a well-defined transition. This universality class arises from the interplay between small-scale turbulence and a large-scale collective zonal flow, which exhibit predator-prey behavior. Why is asymptotically divergent behavior not observed? Using directed percolation and a stochastic individual level model of predator-prey dynamics related to transitional turbulence, we investigate the relation between extreme value statistics and power law critical behavior, and show that the paradox is resolved by carefully defining what is measured in the experiments. We theoretically derive the super-exponential scaling law, and using finite-size scaling, show how the same data can give both super-exponential behavior and power-law critical scaling.

Bifurcation physics of magnetic islands and stochasticity explored by heat pulse propagation studies in toroidal plasmas

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

Ida, K.; Kobayashi, T.; Yoshinuma, M.

Bifurcation physics of the magnetic island was investigated using the heat pulse propagation technique produced by the modulation of electron cyclotron heating. There are two types of bifurcation phenomena observed in LHD and DIII-D. One is a bifurcation of the magnetic topology between nested and stochastic fields. The nested state is characterized by the bi-directional (inward and outward) propagation of the heat pulse with slow propagation speed. The stochastic state is characterized by the fast propagation of the heat pulse with electron temperature flattening. The other bifurcation is between magnetic island with larger thermal diffusivity and that with smaller thermalmore » diffusivity. The damping of toroidal flow is observed at the O-point of the magnetic island both in helical plasmas and in tokamak plasmas during a mode locking phase with strong flow shears at the boundary of the magnetic island. Associated with the stochastization of the magnetic field, the abrupt damping of toroidal flow is observed in LHD. The toroidal flow shear shows a linear decay, while the ion temperature gradient shows an exponential decay. Lastly, this observation suggests that this flow damping is due to the change in the non-diffusive term of momentum transport.« less

Bifurcation physics of magnetic islands and stochasticity explored by heat pulse propagation studies in toroidal plasmas

DOE PAGES

Ida, K.; Kobayashi, T.; Yoshinuma, M.; ...

2016-07-29

Bifurcation physics of the magnetic island was investigated using the heat pulse propagation technique produced by the modulation of electron cyclotron heating. There are two types of bifurcation phenomena observed in LHD and DIII-D. One is a bifurcation of the magnetic topology between nested and stochastic fields. The nested state is characterized by the bi-directional (inward and outward) propagation of the heat pulse with slow propagation speed. The stochastic state is characterized by the fast propagation of the heat pulse with electron temperature flattening. The other bifurcation is between magnetic island with larger thermal diffusivity and that with smaller thermalmore » diffusivity. The damping of toroidal flow is observed at the O-point of the magnetic island both in helical plasmas and in tokamak plasmas during a mode locking phase with strong flow shears at the boundary of the magnetic island. Associated with the stochastization of the magnetic field, the abrupt damping of toroidal flow is observed in LHD. The toroidal flow shear shows a linear decay, while the ion temperature gradient shows an exponential decay. Lastly, this observation suggests that this flow damping is due to the change in the non-diffusive term of momentum transport.« less

Representing and computing regular languages on massively parallel networks

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

Miller, M.I.; O'Sullivan, J.A.; Boysam, B.

1991-01-01

This paper proposes a general method for incorporating rule-based constraints corresponding to regular languages into stochastic inference problems, thereby allowing for a unified representation of stochastic and syntactic pattern constraints. The authors' approach first established the formal connection of rules to Chomsky grammars, and generalizes the original work of Shannon on the encoding of rule-based channel sequences to Markov chains of maximum entropy. This maximum entropy probabilistic view leads to Gibb's representations with potentials which have their number of minima growing at precisely the exponential rate that the language of deterministically constrained sequences grow. These representations are coupled to stochasticmore » diffusion algorithms, which sample the language-constrained sequences by visiting the energy minima according to the underlying Gibbs' probability law. The coupling to stochastic search methods yields the all-important practical result that fully parallel stochastic cellular automata may be derived to generate samples from the rule-based constraint sets. The production rules and neighborhood state structure of the language of sequences directly determines the necessary connection structures of the required parallel computing surface. Representations of this type have been mapped to the DAP-510 massively-parallel processor consisting of 1024 mesh-connected bit-serial processing elements for performing automated segmentation of electron-micrograph images.« less

Effects of deterministic and random refuge in a prey-predator model with parasite infection.

PubMed

Mukhopadhyay, B; Bhattacharyya, R

2012-09-01

Most natural ecosystem populations suffer from various infectious diseases and the resulting host-pathogen dynamics is dependent on host's characteristics. On the other hand, empirical evidences show that for most host pathogen systems, a part of the host population always forms a refuge. To study the role of refuge on the host-pathogen interaction, we study a predator-prey-pathogen model where the susceptible and the infected prey can undergo refugia of constant size to evade predator attack. The stability aspects of the model system is investigated from a local and global perspective. The study reveals that the refuge sizes for the susceptible and the infected prey are the key parameters that control possible predator extinction as well as species co-existence. Next we perform a global study of the model system using Lyapunov functions and show the existence of a global attractor. Finally we perform a stochastic extension of the basic model to study the phenomenon of random refuge arising from various intrinsic, habitat-related and environmental factors. The stochastic model is analyzed for exponential mean square stability. Numerical study of the stochastic model shows that increasing the refuge rates has a stabilizing effect on the stochastic dynamics. Copyright © 2012 Elsevier Inc. All rights reserved.

Stochastic differential game formulation on the reinsurance and investment problem

NASA Astrophysics Data System (ADS)

Li, Danping; Rong, Ximin; Zhao, Hui

2015-09-01

This paper focuses on a stochastic differential game between two insurance companies, a big one and a small one. The big company has sufficient asset to invest in a risk-free asset and a risky asset and is allowed to purchase proportional reinsurance or acquire new business, and the small company can transfer part of the risk to a reinsurer via proportional reinsurance. The game studied here is zero-sum, where the big company is trying to maximise the expected exponential utility of the difference between two insurance companies' surpluses at the terminal time to keep its advantage on surplus, while simultaneously the small company is trying to minimise the same quantity to reduce its disadvantage. Particularly, the relationships between the surplus processes and the price process of the risky asset are considered. By applying stochastic control theory, we provide and prove the verification theorem and obtain the Nash equilibrium strategy of the game, explicitly. Furthermore, numerical simulations are presented to illustrate the effects of parameters on the equilibrium strategy as well as the economic meanings behind.

Deterministic analysis of extrinsic and intrinsic noise in an epidemiological model.

PubMed

Bayati, Basil S

2016-05-01

We couple a stochastic collocation method with an analytical expansion of the canonical epidemiological master equation to analyze the effects of both extrinsic and intrinsic noise. It is shown that depending on the distribution of the extrinsic noise, the master equation yields quantitatively different results compared to using the expectation of the distribution for the stochastic parameter. This difference is incident to the nonlinear terms in the master equation, and we show that the deviation away from the expectation of the extrinsic noise scales nonlinearly with the variance of the distribution. The method presented here converges linearly with respect to the number of particles in the system and exponentially with respect to the order of the polynomials used in the stochastic collocation calculation. This makes the method presented here more accurate than standard Monte Carlo methods, which suffer from slow, nonmonotonic convergence. In epidemiological terms, the results show that extrinsic fluctuations should be taken into account since they effect the speed of disease breakouts and that the gamma distribution should be used to model the basic reproductive number.

A variational method for analyzing limit cycle oscillations in stochastic hybrid systems

NASA Astrophysics Data System (ADS)

Bressloff, Paul C.; MacLaurin, James

2018-06-01

Many systems in biology can be modeled through ordinary differential equations, which are piece-wise continuous, and switch between different states according to a Markov jump process known as a stochastic hybrid system or piecewise deterministic Markov process (PDMP). In the fast switching limit, the dynamics converges to a deterministic ODE. In this paper, we develop a phase reduction method for stochastic hybrid systems that support a stable limit cycle in the deterministic limit. A classic example is the Morris-Lecar model of a neuron, where the switching Markov process is the number of open ion channels and the continuous process is the membrane voltage. We outline a variational principle for the phase reduction, yielding an exact analytic expression for the resulting phase dynamics. We demonstrate that this decomposition is accurate over timescales that are exponential in the switching rate ɛ-1 . That is, we show that for a constant C, the probability that the expected time to leave an O(a) neighborhood of the limit cycle is less than T scales as T exp (-C a /ɛ ) .

Deterministic alternatives to the full configuration interaction quantum Monte Carlo method for strongly correlated systems

NASA Astrophysics Data System (ADS)

Tubman, Norm; Whaley, Birgitta

The development of exponential scaling methods has seen great progress in tackling larger systems than previously thought possible. One such technique, full configuration interaction quantum Monte Carlo, allows exact diagonalization through stochastically sampling of determinants. The method derives its utility from the information in the matrix elements of the Hamiltonian, together with a stochastic projected wave function, which are used to explore the important parts of Hilbert space. However, a stochastic representation of the wave function is not required to search Hilbert space efficiently and new deterministic approaches have recently been shown to efficiently find the important parts of determinant space. We shall discuss the technique of Adaptive Sampling Configuration Interaction (ASCI) and the related heat-bath Configuration Interaction approach for ground state and excited state simulations. We will present several applications for strongly correlated Hamiltonians. This work was supported through the Scientific Discovery through Advanced Computing (SciDAC) program funded by the U.S. Department of Energy, Office of Science, Advanced Scientific Computing Research and Basic Energy Sciences.

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

Multi-hadron spectroscopy in a large physical volume

NASA Astrophysics Data System (ADS)

Bulava, John; Hörz, Ben; Morningstar, Colin

2018-03-01

We demonstrate the effcacy of the stochastic LapH method to treat all-toall quark propagation on a Nf = 2 + 1 CLS ensemble with large linear spatial extent L = 5:5 fm, allowing us to obtain the benchmark elastic isovector p-wave pion-pion scattering amplitude to good precision already on a relatively small number of gauge configurations. These results hold promise for multi-hadron spectroscopy at close-to-physical pion mass with exponential finite-volume effects under control.

Stochastic epigenetic mutations (DNA methylation) increase exponentially in human aging and correlate with X chromosome inactivation skewing in females.

PubMed

Gentilini, Davide; Garagnani, Paolo; Pisoni, Serena; Bacalini, Maria Giulia; Calzari, Luciano; Mari, Daniela; Vitale, Giovanni; Franceschi, Claudio; Di Blasio, Anna Maria

2015-08-01

In this study we applied a new analytical strategy to investigate the relations between stochastic epigenetic mutations (SEMs) and aging. We analysed methylation levels through the Infinium HumanMethylation27 and HumanMethylation450 BeadChips in a population of 178 subjects ranging from 3 to 106 years. For each CpG probe, epimutated subjects were identified as the extreme outliers with methylation level exceeding three times interquartile ranges the first quartile (Q1-(3 x IQR)) or the third quartile (Q3+(3 x IQR)). We demonstrated that the number of SEMs was low in childhood and increased exponentially during aging. Using the HUMARA method, skewing of X chromosome inactivation (XCI) was evaluated in heterozygotes women. Multivariate analysis indicated a significant correlation between log(SEMs) and degree of XCI skewing after adjustment for age (β = 0.41; confidence interval: 0.14, 0.68; p-value = 0.0053). The PATH analysis tested the complete model containing the variables: skewing of XCI, age, log(SEMs) and overall CpG methylation. After adjusting for the number of epimutations we failed to confirm the well reported correlation between skewing of XCI and aging. This evidence might suggest that the known correlation between XCI skewing and aging could not be a direct association but mediated by the number of SEMs.

A stochastic step model of replicative senescence explains ROS production rate in ageing cell populations.

PubMed

Lawless, Conor; Jurk, Diana; Gillespie, Colin S; Shanley, Daryl; Saretzki, Gabriele; von Zglinicki, Thomas; Passos, João F

2012-01-01

Increases in cellular Reactive Oxygen Species (ROS) concentration with age have been observed repeatedly in mammalian tissues. Concomitant increases in the proportion of replicatively senescent cells in ageing mammalian tissues have also been observed. Populations of mitotic human fibroblasts cultured in vitro, undergoing transition from proliferation competence to replicative senescence are useful models of ageing human tissues. Similar exponential increases in ROS with age have been observed in this model system. Tracking individual cells in dividing populations is difficult, and so the vast majority of observations have been cross-sectional, at the population level, rather than longitudinal observations of individual cells.One possible explanation for these observations is an exponential increase in ROS in individual fibroblasts with time (e.g. resulting from a vicious cycle between cellular ROS and damage). However, we demonstrate an alternative, simple hypothesis, equally consistent with these observations which does not depend on any gradual increase in ROS concentration: the Stochastic Step Model of Replicative Senescence (SSMRS). We also demonstrate that, consistent with the SSMRS, neither proliferation-competent human fibroblasts of any age, nor populations of hTERT overexpressing human fibroblasts passaged beyond the Hayflick limit, display high ROS concentrations. We conclude that longitudinal studies of single cells and their lineages are now required for testing hypotheses about roles and mechanisms of ROS increase during replicative senescence.

A Stochastic Step Model of Replicative Senescence Explains ROS Production Rate in Ageing Cell Populations

PubMed Central

Lawless, Conor; Jurk, Diana; Gillespie, Colin S.; Shanley, Daryl; Saretzki, Gabriele; von Zglinicki, Thomas; Passos, João F.

2012-01-01

Increases in cellular Reactive Oxygen Species (ROS) concentration with age have been observed repeatedly in mammalian tissues. Concomitant increases in the proportion of replicatively senescent cells in ageing mammalian tissues have also been observed. Populations of mitotic human fibroblasts cultured in vitro, undergoing transition from proliferation competence to replicative senescence are useful models of ageing human tissues. Similar exponential increases in ROS with age have been observed in this model system. Tracking individual cells in dividing populations is difficult, and so the vast majority of observations have been cross-sectional, at the population level, rather than longitudinal observations of individual cells. One possible explanation for these observations is an exponential increase in ROS in individual fibroblasts with time (e.g. resulting from a vicious cycle between cellular ROS and damage). However, we demonstrate an alternative, simple hypothesis, equally consistent with these observations which does not depend on any gradual increase in ROS concentration: the Stochastic Step Model of Replicative Senescence (SSMRS). We also demonstrate that, consistent with the SSMRS, neither proliferation-competent human fibroblasts of any age, nor populations of hTERT overexpressing human fibroblasts passaged beyond the Hayflick limit, display high ROS concentrations. We conclude that longitudinal studies of single cells and their lineages are now required for testing hypotheses about roles and mechanisms of ROS increase during replicative senescence. PMID:22359661

Stochastic modelling of a single ion channel: an alternating renewal approach with application to limited time resolution.

PubMed

Milne, R K; Yeo, G F; Edeson, R O; Madsen, B W

1988-04-22

Stochastic models of ion channels have been based largely on Markov theory where individual states and transition rates must be specified, and sojourn-time densities for each state are constrained to be exponential. This study presents an approach based on random-sum methods and alternating-renewal theory, allowing individual states to be grouped into classes provided the successive sojourn times in a given class are independent and identically distributed. Under these conditions Markov models form a special case. The utility of the approach is illustrated by considering the effects of limited time resolution (modelled by using a discrete detection limit, xi) on the properties of observable events, with emphasis on the observed open-time (xi-open-time). The cumulants and Laplace transform for a xi-open-time are derived for a range of Markov and non-Markov models; several useful approximations to the xi-open-time density function are presented. Numerical studies show that the effects of limited time resolution can be extreme, and also highlight the relative importance of the various model parameters. The theory could form a basis for future inferential studies in which parameter estimation takes account of limited time resolution in single channel records. Appendixes include relevant results concerning random sums and a discussion of the role of exponential distributions in Markov models.

Quantum stochastic calculus associated with quadratic quantum noises

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

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

2016-02-15

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

Robust Stabilization of T-S Fuzzy Stochastic Descriptor Systems via Integral Sliding Modes.

PubMed

Li, Jinghao; Zhang, Qingling; Yan, Xing-Gang; Spurgeon, Sarah K

2017-09-19

This paper addresses the robust stabilization problem for T-S fuzzy stochastic descriptor systems using an integral sliding mode control paradigm. A classical integral sliding mode control scheme and a nonparallel distributed compensation (Non-PDC) integral sliding mode control scheme are presented. It is shown that two restrictive assumptions previously adopted developing sliding mode controllers for Takagi-Sugeno (T-S) fuzzy stochastic systems are not required with the proposed framework. A unified framework for sliding mode control of T-S fuzzy systems is formulated. The proposed Non-PDC integral sliding mode control scheme encompasses existing schemes when the previously imposed assumptions hold. Stability of the sliding motion is analyzed and the sliding mode controller is parameterized in terms of the solutions of a set of linear matrix inequalities which facilitates design. The methodology is applied to an inverted pendulum model to validate the effectiveness of the results presented.

n-Iterative Exponential Forgetting Factor for EEG Signals Parameter Estimation

PubMed Central

Palma Orozco, Rosaura

2018-01-01

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

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

NASA Astrophysics Data System (ADS)

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

2014-07-01

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

Stochastic Modeling of Laminar-Turbulent Transition

NASA Technical Reports Server (NTRS)

Rubinstein, Robert; Choudhari, Meelan

2002-01-01

Stochastic versions of stability equations are developed in order to develop integrated models of transition and turbulence and to understand the effects of uncertain initial conditions on disturbance growth. Stochastic forms of the resonant triad equations, a high Reynolds number asymptotic theory, and the parabolized stability equations are developed.

? filtering for stochastic systems driven by Poisson processes

NASA Astrophysics Data System (ADS)

Song, Bo; Wu, Zheng-Guang; Park, Ju H.; Shi, Guodong; Zhang, Ya

2015-01-01

This paper investigates the ? filtering problem for stochastic systems driven by Poisson processes. By utilising the martingale theory such as the predictable projection operator and the dual predictable projection operator, this paper transforms the expectation of stochastic integral with respect to the Poisson process into the expectation of Lebesgue integral. Then, based on this, this paper designs an ? filter such that the filtering error system is mean-square asymptotically stable and satisfies a prescribed ? performance level. Finally, a simulation example is given to illustrate the effectiveness of the proposed filtering scheme.

Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

NASA Astrophysics Data System (ADS)

Lemmens, D.; Wouters, M.; Tempere, J.; Foulon, S.

2008-07-01

We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The flexibility of our approach is demonstrated by extending the realm of closed-form option price formulas to the case where both the volatility and interest rates are stochastic. This flexibility is promising for the treatment of exotic options. Our analytical formulas are tested with numerical Monte Carlo simulations.

Stochastic Integration H∞ Filter for Rapid Transfer Alignment of INS.

PubMed

Zhou, Dapeng; Guo, Lei

2017-11-18

The performance of an inertial navigation system (INS) operated on a moving base greatly depends on the accuracy of rapid transfer alignment (RTA). However, in practice, the coexistence of large initial attitude errors and uncertain observation noise statistics poses a great challenge for the estimation accuracy of misalignment angles. This study aims to develop a novel robust nonlinear filter, namely the stochastic integration H ∞ filter (SIH ∞ F) for improving both the accuracy and robustness of RTA. In this new nonlinear H ∞ filter, the stochastic spherical-radial integration rule is incorporated with the framework of the derivative-free H ∞ filter for the first time, and the resulting SIH ∞ F simultaneously attenuates the negative effect in estimations caused by significant nonlinearity and large uncertainty. Comparisons between the SIH ∞ F and previously well-known methodologies are carried out by means of numerical simulation and a van test. The results demonstrate that the newly-proposed method outperforms the cubature H ∞ filter. Moreover, the SIH ∞ F inherits the benefit of the traditional stochastic integration filter, but with more robustness in the presence of uncertainty.

Model selection for integrated pest management with stochasticity.

PubMed

Akman, Olcay; Comar, Timothy D; Hrozencik, Daniel

2018-04-07

In Song and Xiang (2006), an integrated pest management model with periodically varying climatic conditions was introduced. In order to address a wider range of environmental effects, the authors here have embarked upon a series of studies resulting in a more flexible modeling approach. In Akman et al. (2013), the impact of randomly changing environmental conditions is examined by incorporating stochasticity into the birth pulse of the prey species. In Akman et al. (2014), the authors introduce a class of models via a mixture of two birth-pulse terms and determined conditions for the global and local asymptotic stability of the pest eradication solution. With this work, the authors unify the stochastic and mixture model components to create further flexibility in modeling the impacts of random environmental changes on an integrated pest management system. In particular, we first determine the conditions under which solutions of our deterministic mixture model are permanent. We then analyze the stochastic model to find the optimal value of the mixing parameter that minimizes the variance in the efficacy of the pesticide. Additionally, we perform a sensitivity analysis to show that the corresponding pesticide efficacy determined by this optimization technique is indeed robust. Through numerical simulations we show that permanence can be preserved in our stochastic model. Our study of the stochastic version of the model indicates that our results on the deterministic model provide informative conclusions about the behavior of the stochastic model. Copyright © 2017 Elsevier Ltd. All rights reserved.

Using Differentials to Differentiate Trigonometric and Exponential Functions

ERIC Educational Resources Information Center

Dray, Tevian

2013-01-01

Starting from geometric definitions, we show how differentials can be used to differentiate trigonometric and exponential functions without limits, numerical estimates, solutions of differential equations, or integration.

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

Generalization of the event-based Carnevale-Hines integration scheme for integrate-and-fire models.

PubMed

van Elburg, Ronald A J; van Ooyen, Arjen

2009-07-01

An event-based integration scheme for an integrate-and-fire neuron model with exponentially decaying excitatory synaptic currents and double exponential inhibitory synaptic currents has been introduced by Carnevale and Hines. However, the integration scheme imposes nonphysiological constraints on the time constants of the synaptic currents, which hamper its general applicability. This letter addresses this problem in two ways. First, we provide physical arguments demonstrating why these constraints on the time constants can be relaxed. Second, we give a formal proof showing which constraints can be abolished. As part of our formal proof, we introduce the generalized Carnevale-Hines lemma, a new tool for comparing double exponentials as they naturally occur in many cascaded decay systems, including receptor-neurotransmitter dissociation followed by channel closing. Through repeated application of the generalized lemma, we lift most of the original constraints on the time constants. Thus, we show that the Carnevale-Hines integration scheme for the integrate-and-fire model can be employed for simulating a much wider range of neuron and synapse types than was previously thought.

Application of Krylov exponential propagation to fluid dynamics equations

NASA Technical Reports Server (NTRS)

Saad, Youcef; Semeraro, David

1991-01-01

An application of matrix exponentiation via Krylov subspace projection to the solution of fluid dynamics problems is presented. The main idea is to approximate the operation exp(A)v by means of a projection-like process onto a krylov subspace. This results in a computation of an exponential matrix vector product similar to the one above but of a much smaller size. Time integration schemes can then be devised to exploit this basic computational kernel. The motivation of this approach is to provide time-integration schemes that are essentially of an explicit nature but which have good stability properties.

Green function of the double-fractional Fokker-Planck equation: path integral and stochastic differential equations.

PubMed

Kleinert, H; Zatloukal, V

2013-11-01

The statistics of rare events, the so-called black-swan events, is governed by non-Gaussian distributions with heavy power-like tails. We calculate the Green functions of the associated Fokker-Planck equations and solve the related stochastic differential equations. We also discuss the subject in the framework of path integration.

Stochastic Representation of Chaos using Terminal Attractors

NASA Technical Reports Server (NTRS)

Zak, Michail

2005-01-01

A nonlinear version of the Liouville equation based upon terminal attractors is proposed for describing post-instability motions of dynamical systems with exponential divergence of trajectories such as those leading to chaos and turbulence. As a result, the post-instability motions are represented by expectations, variances, and higher moments of the state variables as functions of time. The proposed approach can be applied to conservative chaos, and in particular, to n-bodies problem, as well as to dissipative systems, and in particular, to chaotic attractors and turbulence.

Comparison between stochastic and machine learning methods for hydrological multi-step ahead forecasting: All forecasts are wrong!

NASA Astrophysics Data System (ADS)

Papacharalampous, Georgia; Tyralis, Hristos; Koutsoyiannis, Demetris

2017-04-01

Machine learning (ML) is considered to be a promising approach to hydrological processes forecasting. We conduct a comparison between several stochastic and ML point estimation methods by performing large-scale computational experiments based on simulations. The purpose is to provide generalized results, while the respective comparisons in the literature are usually based on case studies. The stochastic methods used include simple methods, models from the frequently used families of Autoregressive Moving Average (ARMA), Autoregressive Fractionally Integrated Moving Average (ARFIMA) and Exponential Smoothing models. The ML methods used are Random Forests (RF), Support Vector Machines (SVM) and Neural Networks (NN). The comparison refers to the multi-step ahead forecasting properties of the methods. A total of 20 methods are used, among which 9 are the ML methods. 12 simulation experiments are performed, while each of them uses 2 000 simulated time series of 310 observations. The time series are simulated using stochastic processes from the families of ARMA and ARFIMA models. Each time series is split into a fitting (first 300 observations) and a testing set (last 10 observations). The comparative assessment of the methods is based on 18 metrics, that quantify the methods' performance according to several criteria related to the accurate forecasting of the testing set, the capturing of its variation and the correlation between the testing and forecasted values. The most important outcome of this study is that there is not a uniformly better or worse method. However, there are methods that are regularly better or worse than others with respect to specific metrics. It appears that, although a general ranking of the methods is not possible, their classification based on their similar or contrasting performance in the various metrics is possible to some extent. Another important conclusion is that more sophisticated methods do not necessarily provide better forecasts compared to simpler methods. It is pointed out that the ML methods do not differ dramatically from the stochastic methods, while it is interesting that the NN, RF and SVM algorithms used in this study offer potentially very good performance in terms of accuracy. It should be noted that, although this study focuses on hydrological processes, the results are of general scientific interest. Another important point in this study is the use of several methods and metrics. Using fewer methods and fewer metrics would have led to a very different overall picture, particularly if those fewer metrics corresponded to fewer criteria. For this reason, we consider that the proposed methodology is appropriate for the evaluation of forecasting methods.

The Sharma-Parthasarathy stochastic two-body problem

NASA Astrophysics Data System (ADS)

Cresson, J.; Pierret, F.; Puig, B.

2015-03-01

We study the Sharma-Parthasarathy stochastic two-body problem introduced by Sharma and Parthasarathy in ["Dynamics of a stochastically perturbed two-body problem," Proc. R. Soc. A 463, 979-1003 (2007)]. In particular, we focus on the preservation of some fundamental features of the classical two-body problem like the Hamiltonian structure and first integrals in the stochastic case. Numerical simulations are performed which illustrate the dynamical behaviour of the osculating elements as the semi-major axis, the eccentricity, and the pericenter. We also derive a stochastic version of Gauss's equations in the planar case.

Motoneuron membrane potentials follow a time inhomogeneous jump diffusion process.

PubMed

Jahn, Patrick; Berg, Rune W; Hounsgaard, Jørn; Ditlevsen, Susanne

2011-11-01

Stochastic leaky integrate-and-fire models are popular due to their simplicity and statistical tractability. They have been widely applied to gain understanding of the underlying mechanisms for spike timing in neurons, and have served as building blocks for more elaborate models. Especially the Ornstein-Uhlenbeck process is popular to describe the stochastic fluctuations in the membrane potential of a neuron, but also other models like the square-root model or models with a non-linear drift are sometimes applied. Data that can be described by such models have to be stationary and thus, the simple models can only be applied over short time windows. However, experimental data show varying time constants, state dependent noise, a graded firing threshold and time-inhomogeneous input. In the present study we build a jump diffusion model that incorporates these features, and introduce a firing mechanism with a state dependent intensity. In addition, we suggest statistical methods to estimate all unknown quantities and apply these to analyze turtle motoneuron membrane potentials. Finally, simulated and real data are compared and discussed. We find that a square-root diffusion describes the data much better than an Ornstein-Uhlenbeck process with constant diffusion coefficient. Further, the membrane time constant decreases with increasing depolarization, as expected from the increase in synaptic conductance. The network activity, which the neuron is exposed to, can be reasonably estimated to be a threshold version of the nerve output from the network. Moreover, the spiking characteristics are well described by a Poisson spike train with an intensity depending exponentially on the membrane potential.

Recurrence formulas for fully exponentially correlated four-body wave functions

NASA Astrophysics Data System (ADS)

Harris, Frank E.

2009-03-01

Formulas are presented for the recursive generation of four-body integrals in which the integrand consists of arbitrary integer powers (≥-1) of all the interparticle distances rij , multiplied by an exponential containing an arbitrary linear combination of all the rij . These integrals are generalizations of those encountered using Hylleraas basis functions and include all that are needed to make energy computations on the Li atom and other four-body systems with a fully exponentially correlated Slater-type basis of arbitrary quantum numbers. The only quantities needed to start the recursion are the basic four-body integral first evaluated by Fromm and Hill plus some easily evaluated three-body “boundary” integrals. The computational labor in constructing integral sets for practical computations is less than when the integrals are generated using explicit formulas obtained by differentiating the basic integral with respect to its parameters. Computations are facilitated by using a symbolic algebra program (MAPLE) to compute array index pointers and present syntactically correct FORTRAN source code as output; in this way it is possible to obtain error-free high-speed evaluations with minimal effort. The work can be checked by verifying sum rules the integrals must satisfy.

Evo-SETI: A Mathematical Tool for Cladistics, Evolution, and SETI.

PubMed

Maccone, Claudio

2017-04-06

The discovery of new exoplanets makes us wonder where each new exoplanet stands along its way to develop life as we know it on Earth. Our Evo-SETI Theory is a mathematical way to face this problem. We describe cladistics and evolution by virtue of a few statistical equations based on lognormal probability density functions (pdf) in the time . We call b -lognormal a lognormal pdf starting at instant b (birth). Then, the lifetime of any living being becomes a suitable b -lognormal in the time . Next, our "Peak-Locus Theorem" translates cladistics : each species created by evolution is a b -lognormal whose peak lies on the exponentially growing number of living species. This exponential is the mean value of a stochastic process called "Geometric Brownian Motion" (GBM). Past mass extinctions were all-lows of this GBM. In addition, the Shannon Entropy (with a reversed sign) of each b -lognormal is the measure of how evolved that species is, and we call it EvoEntropy. The "molecular clock" is re-interpreted as the EvoEntropy straight line in the time whenever the mean value is exactly the GBM exponential. We were also able to extend the Peak-Locus Theorem to any mean value other than the exponential. For example, we derive in this paper for the first time the EvoEntropy corresponding to the Markov-Korotayev (2007) "cubic" evolution: a curve of logarithmic increase.

Turbulence hierarchy in a random fibre laser

PubMed Central

González, Iván R. Roa; Lima, Bismarck C.; Pincheira, Pablo I. R.; Brum, Arthur A.; Macêdo, Antônio M. S.; Vasconcelos, Giovani L.; de S. Menezes, Leonardo; Raposo, Ernesto P.; Gomes, Anderson S. L.; Kashyap, Raman

2017-01-01

Turbulence is a challenging feature common to a wide range of complex phenomena. Random fibre lasers are a special class of lasers in which the feedback arises from multiple scattering in a one-dimensional disordered cavity-less medium. Here we report on statistical signatures of turbulence in the distribution of intensity fluctuations in a continuous-wave-pumped erbium-based random fibre laser, with random Bragg grating scatterers. The distribution of intensity fluctuations in an extensive data set exhibits three qualitatively distinct behaviours: a Gaussian regime below threshold, a mixture of two distributions with exponentially decaying tails near the threshold and a mixture of distributions with stretched-exponential tails above threshold. All distributions are well described by a hierarchical stochastic model that incorporates Kolmogorov’s theory of turbulence, which includes energy cascade and the intermittence phenomenon. Our findings have implications for explaining the remarkably challenging turbulent behaviour in photonics, using a random fibre laser as the experimental platform. PMID:28561064

Nuclear counting filter based on a centered Skellam test and a double exponential smoothing

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

Coulon, Romain; Kondrasovs, Vladimir; Dumazert, Jonathan

2015-07-01

Online nuclear counting represents a challenge due to the stochastic nature of radioactivity. The count data have to be filtered in order to provide a precise and accurate estimation of the count rate, this with a response time compatible with the application in view. An innovative filter is presented in this paper addressing this issue. It is a nonlinear filter based on a Centered Skellam Test (CST) giving a local maximum likelihood estimation of the signal based on a Poisson distribution assumption. This nonlinear approach allows to smooth the counting signal while maintaining a fast response when brutal change activitymore » occur. The filter has been improved by the implementation of a Brown's double Exponential Smoothing (BES). The filter has been validated and compared to other state of the art smoothing filters. The CST-BES filter shows a significant improvement compared to all tested smoothing filters. (authors)« less

Multi-step rhodopsin inactivation schemes can account for the size variability of single photon responses in Limulus ventral photoreceptors

PubMed Central

1994-01-01

Limulus ventral photoreceptors generate highly variable responses to the absorption of single photons. We have obtained data on the size distribution of these responses, derived the distribution predicted from simple transduction cascade models and compared the theory and data. In the simplest of models, the active state of the visual pigment (defined by its ability to activate G protein) is turned off in a single reaction. The output of such a cascade is predicted to be highly variable, largely because of stochastic variation in the number of G proteins activated. The exact distribution predicted is exponential, but we find that an exponential does not adequately account for the data. The data agree much better with the predictions of a cascade model in which the active state of the visual pigment is turned off by a multi-step process. PMID:8057085

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.

A scaling law for random walks on networks

PubMed Central

Perkins, Theodore J.; Foxall, Eric; Glass, Leon; Edwards, Roderick

2014-01-01

The dynamics of many natural and artificial systems are well described as random walks on a network: the stochastic behaviour of molecules, traffic patterns on the internet, fluctuations in stock prices and so on. The vast literature on random walks provides many tools for computing properties such as steady-state probabilities or expected hitting times. Previously, however, there has been no general theory describing the distribution of possible paths followed by a random walk. Here, we show that for any random walk on a finite network, there are precisely three mutually exclusive possibilities for the form of the path distribution: finite, stretched exponential and power law. The form of the distribution depends only on the structure of the network, while the stepping probabilities control the parameters of the distribution. We use our theory to explain path distributions in domains such as sports, music, nonlinear dynamics and stochastic chemical kinetics. PMID:25311870

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.

Stochastic Simulation of Actin Dynamics Reveals the Role of Annealing and Fragmentation

PubMed Central

Fass, Joseph; Pak, Chi; Bamburg, James; Mogilner, Alex

2008-01-01

Recent observations of F-actin dynamics call for theoretical models to interpret and understand the quantitative data. A number of existing models rely on simplifications and do not take into account F-actin fragmentation and annealing. We use Gillespie’s algorithm for stochastic simulations of the F-actin dynamics including fragmentation and annealing. The simulations vividly illustrate that fragmentation and annealing have little influence on the shape of the polymerization curve and on nucleotide profiles within filaments but drastically affect the F-actin length distribution, making it exponential. We find that recent surprising measurements of high length diffusivity at the critical concentration cannot be explained by fragmentation and annealing events unless both fragmentation rates and frequency of undetected fragmentation and annealing events are greater than previously thought. The simulations compare well with experimentally measured actin polymerization data and lend additional support to a number of existing theoretical models. PMID:18279896

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

NASA Technical Reports Server (NTRS)

Tse, C. J. C.

1973-01-01

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

Non-fragile ?-? control for discrete-time stochastic nonlinear systems under event-triggered protocols

NASA Astrophysics Data System (ADS)

Sun, Ying; Ding, Derui; Zhang, Sunjie; Wei, Guoliang; Liu, Hongjian

2018-07-01

In this paper, the non-fragile ?-? control problem is investigated for a class of discrete-time stochastic nonlinear systems under event-triggered communication protocols, which determine whether the measurement output should be transmitted to the controller or not. The main purpose of the addressed problem is to design an event-based output feedback controller subject to gain variations guaranteeing the prescribed disturbance attenuation level described by the ?-? performance index. By utilizing the Lyapunov stability theory combined with S-procedure, a sufficient condition is established to guarantee both the exponential mean-square stability and the ?-? performance for the closed-loop system. In addition, with the help of the orthogonal decomposition, the desired controller parameter is obtained in terms of the solution to certain linear matrix inequalities. Finally, a simulation example is exploited to demonstrate the effectiveness of the proposed event-based controller design scheme.

A scaling law for random walks on networks

NASA Astrophysics Data System (ADS)

Perkins, Theodore J.; Foxall, Eric; Glass, Leon; Edwards, Roderick

2014-10-01

The dynamics of many natural and artificial systems are well described as random walks on a network: the stochastic behaviour of molecules, traffic patterns on the internet, fluctuations in stock prices and so on. The vast literature on random walks provides many tools for computing properties such as steady-state probabilities or expected hitting times. Previously, however, there has been no general theory describing the distribution of possible paths followed by a random walk. Here, we show that for any random walk on a finite network, there are precisely three mutually exclusive possibilities for the form of the path distribution: finite, stretched exponential and power law. The form of the distribution depends only on the structure of the network, while the stepping probabilities control the parameters of the distribution. We use our theory to explain path distributions in domains such as sports, music, nonlinear dynamics and stochastic chemical kinetics.

A scaling law for random walks on networks.

PubMed

Perkins, Theodore J; Foxall, Eric; Glass, Leon; Edwards, Roderick

2014-10-14

The dynamics of many natural and artificial systems are well described as random walks on a network: the stochastic behaviour of molecules, traffic patterns on the internet, fluctuations in stock prices and so on. The vast literature on random walks provides many tools for computing properties such as steady-state probabilities or expected hitting times. Previously, however, there has been no general theory describing the distribution of possible paths followed by a random walk. Here, we show that for any random walk on a finite network, there are precisely three mutually exclusive possibilities for the form of the path distribution: finite, stretched exponential and power law. The form of the distribution depends only on the structure of the network, while the stepping probabilities control the parameters of the distribution. We use our theory to explain path distributions in domains such as sports, music, nonlinear dynamics and stochastic chemical kinetics.

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.

Dynamic topography and gravity anomalies for fluid layers whose viscosity varies exponentially with depth

NASA Technical Reports Server (NTRS)

Revenaugh, Justin; Parsons, Barry

1987-01-01

Adopting the formalism of Parsons and Daly (1983), analytical integral equations (Green's function integrals) are derived which relate gravity anomalies and dynamic boundary topography with temperature as a function of wavenumber for a fluid layer whose viscosity varies exponentially with depth. In the earth, such a viscosity profile may be found in the asthenosphere, where the large thermal gradient leads to exponential decrease of viscosity with depth, the effects of a pressure increase being small in comparison. It is shown that, when viscosity varies rapidly, topography kernels for both the surface and bottom boundaries (and hence the gravity kernel) are strongly affected at all wavelengths.

Exponential approximation for daily average solar heating or photolysis. [of stratospheric ozone layer

NASA Technical Reports Server (NTRS)

Cogley, A. C.; Borucki, W. J.

1976-01-01

When incorporating formulations of instantaneous solar heating or photolytic rates as functions of altitude and sun angle into long range forecasting models, it may be desirable to replace the time integrals by daily average rates that are simple functions of latitude and season. This replacement is accomplished by approximating the integral over the solar day by a pure exponential. This gives a daily average rate as a multiplication factor times the instantaneous rate evaluated at an appropriate sun angle. The accuracy of the exponential approximation is investigated by a sample calculation using an instantaneous ozone heating formulation available in the literature.

Exponential Methods for the Time Integration of Schroedinger Equation

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

Cano, B.; Gonzalez-Pachon, A.

2010-09-30

We consider exponential methods of second order in time in order to integrate the cubic nonlinear Schroedinger equation. We are interested in taking profit of the special structure of this equation. Therefore, we look at symmetry, symplecticity and approximation of invariants of the proposed methods. That will allow to integrate till long times with reasonable accuracy. Computational efficiency is also our aim. Therefore, we make numerical computations in order to compare the methods considered and so as to conclude that explicit Lawson schemes projected on the norm of the solution are an efficient tool to integrate this equation.

A method for exponential propagation of large systems of stiff nonlinear differential equations

NASA Technical Reports Server (NTRS)

Friesner, Richard A.; Tuckerman, Laurette S.; Dornblaser, Bright C.; Russo, Thomas V.

1989-01-01

A new time integrator for large, stiff systems of linear and nonlinear coupled differential equations is described. For linear systems, the method consists of forming a small (5-15-term) Krylov space using the Jacobian of the system and carrying out exact exponential propagation within this space. Nonlinear corrections are incorporated via a convolution integral formalism; the integral is evaluated via approximate Krylov methods as well. Gains in efficiency ranging from factors of 2 to 30 are demonstrated for several test problems as compared to a forward Euler scheme and to the integration package LSODE.

Chaotic Expansions of Elements of the Universal Enveloping Superalgebra Associated with a Z2-graded Quantum Stochastic Calculus

NASA Astrophysics Data System (ADS)

Eyre, T. M. W.

Given a polynomial function f of classical stochastic integrator processes whose differentials satisfy a closed Ito multiplication table, we can express the stochastic derivative of f as We establish an analogue of this formula in the form of a chaotic decomposition for Z2-graded theories of quantum stochastic calculus based on the natural coalgebra structure of the universal enveloping superalgebra.

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

NASA Astrophysics Data System (ADS)

Wu, Jiang; Liao, Fucheng; Tomizuka, Masayoshi

2017-01-01

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

On generic obstructions to recovering correct statistics from climate simulations: Homogenization for deterministic maps and multiplicative noise

NASA Astrophysics Data System (ADS)

Gottwald, Georg; Melbourne, Ian

2013-04-01

Whereas diffusion limits of stochastic multi-scale systems have a long and successful history, the case of constructing stochastic parametrizations of chaotic deterministic systems has been much less studied. We present rigorous results of convergence of a chaotic slow-fast system to a stochastic differential equation with multiplicative noise. Furthermore we present rigorous results for chaotic slow-fast maps, occurring as numerical discretizations of continuous time systems. This raises the issue of how to interpret certain stochastic integrals; surprisingly the resulting integrals of the stochastic limit system are generically neither of Stratonovich nor of Ito type in the case of maps. It is shown that the limit system of a numerical discretisation is different to the associated continuous time system. This has important consequences when interpreting the statistics of long time simulations of multi-scale systems - they may be very different to the one of the original continuous time system which we set out to study.

A computational method for solving stochastic Itô–Volterra integral equations based on stochastic operational matrix for generalized hat basis functions

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

Heydari, M.H., E-mail: heydari@stu.yazd.ac.ir; The Laboratory of Quantum Information Processing, Yazd University, Yazd; Hooshmandasl, M.R., E-mail: hooshmandasl@yazd.ac.ir

2014-08-01

In this paper, a new computational method based on the generalized hat basis functions is proposed for solving stochastic Itô–Volterra integral equations. In this way, a new stochastic operational matrix for generalized hat functions on the finite interval [0,T] is obtained. By using these basis functions and their stochastic operational matrix, such problems can be transformed into linear lower triangular systems of algebraic equations which can be directly solved by forward substitution. Also, the rate of convergence of the proposed method is considered and it has been shown that it is O(1/(n{sup 2}) ). Further, in order to show themore » accuracy and reliability of the proposed method, the new approach is compared with the block pulse functions method by some examples. The obtained results reveal that the proposed method is more accurate and efficient in comparison with the block pule functions method.« less

Heavy tailed bacterial motor switching statistics define macroscopic transport properties during upstream contamination by E. coli

NASA Astrophysics Data System (ADS)

Figueroa-Morales, N.; Rivera, A.; Altshuler, E.; Darnige, T.; Douarche, C.; Soto, R.; Lindner, A.; Clément, E.

The motility of E. Coli bacteria is described as a run and tumble process. Changes of direction correspond to a switch in the flagellar motor rotation. The run time distribution is described as an exponential decay of characteristic time close to 1s. Remarkably, it has been demonstrated that the generic response for the distribution of run times is not exponential, but a heavy tailed power law decay, which is at odds with the motility findings. We investigate the consequences of the motor statistics in the macroscopic bacterial transport. During upstream contamination processes in very confined channels, we have identified very long contamination tongues. Using a stochastic model considering bacterial dwelling times on the surfaces related to the run times, we are able to reproduce qualitatively and quantitatively the evolution of the contamination profiles when considering the power law run time distribution. However, the model fails to reproduce the qualitative dynamics when the classical exponential run and tumble distribution is considered. Moreover, we have corroborated the existence of a power law run time distribution by means of 3D Lagrangian tracking. We then argue that the macroscopic transport of bacteria is essentially determined by the motor rotation statistics.

Physical and numerical sources of computational inefficiency in integration of chemical kinetic rate equations: Etiology, treatment and prognosis

NASA Technical Reports Server (NTRS)

Pratt, D. T.; Radhakrishnan, K.

1986-01-01

The design of a very fast, automatic black-box code for homogeneous, gas-phase chemical kinetics problems requires an understanding of the physical and numerical sources of computational inefficiency. Some major sources reviewed in this report are stiffness of the governing ordinary differential equations (ODE's) and its detection, choice of appropriate method (i.e., integration algorithm plus step-size control strategy), nonphysical initial conditions, and too frequent evaluation of thermochemical and kinetic properties. Specific techniques are recommended (and some advised against) for improving or overcoming the identified problem areas. It is argued that, because reactive species increase exponentially with time during induction, and all species exhibit asymptotic, exponential decay with time during equilibration, exponential-fitted integration algorithms are inherently more accurate for kinetics modeling than classical, polynomial-interpolant methods for the same computational work. But current codes using the exponential-fitted method lack the sophisticated stepsize-control logic of existing black-box ODE solver codes, such as EPISODE and LSODE. The ultimate chemical kinetics code does not exist yet, but the general characteristics of such a code are becoming apparent.

Response of MDOF strongly nonlinear systems to fractional Gaussian noises.

PubMed

Deng, Mao-Lin; Zhu, Wei-Qiu

2016-08-01

In the present paper, multi-degree-of-freedom strongly nonlinear systems are modeled as quasi-Hamiltonian systems and the stochastic averaging method for quasi-Hamiltonian systems (including quasi-non-integrable, completely integrable and non-resonant, completely integrable and resonant, partially integrable and non-resonant, and partially integrable and resonant Hamiltonian systems) driven by fractional Gaussian noise is introduced. The averaged fractional stochastic differential equations (SDEs) are derived. The simulation results for some examples show that the averaged SDEs can be used to predict the response of the original systems and the simulation time for the averaged SDEs is less than that for the original systems.

Response of MDOF strongly nonlinear systems to fractional Gaussian noises

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

Deng, Mao-Lin; Zhu, Wei-Qiu, E-mail: wqzhu@zju.edu.cn

2016-08-15

In the present paper, multi-degree-of-freedom strongly nonlinear systems are modeled as quasi-Hamiltonian systems and the stochastic averaging method for quasi-Hamiltonian systems (including quasi-non-integrable, completely integrable and non-resonant, completely integrable and resonant, partially integrable and non-resonant, and partially integrable and resonant Hamiltonian systems) driven by fractional Gaussian noise is introduced. The averaged fractional stochastic differential equations (SDEs) are derived. The simulation results for some examples show that the averaged SDEs can be used to predict the response of the original systems and the simulation time for the averaged SDEs is less than that for the original systems.

Markov vs. Hurst-Kolmogorov behaviour identification in hydroclimatic processes

NASA Astrophysics Data System (ADS)

Dimitriadis, Panayiotis; Gournari, Naya; Koutsoyiannis, Demetris

2016-04-01

Hydroclimatic processes are usually modelled either by exponential decay of the autocovariance function, i.e., Markovian behaviour, or power type decay, i.e., long-term persistence (or else Hurst-Kolmogorov behaviour). For the identification and quantification of such behaviours several graphical stochastic tools can be used such as the climacogram (i.e., plot of the variance of the averaged process vs. scale), autocovariance, variogram, power spectrum etc. with the former usually exhibiting smaller statistical uncertainty as compared to the others. However, most methodologies including these tools are based on the expected value of the process. In this analysis, we explore a methodology that combines both the practical use of a graphical representation of the internal structure of the process as well as the statistical robustness of the maximum-likelihood estimation. For validation and illustration purposes, we apply this methodology to fundamental stochastic processes, such as Markov and Hurst-Kolmogorov type ones. Acknowledgement: This research is conducted within the frame of the undergraduate course "Stochastic Methods in Water Resources" of the National Technical University of Athens (NTUA). The School of Civil Engineering of NTUA provided moral support for the participation of the students in the Assembly.

Stochastic Modeling of Direct Radiation Transmission in Particle-Laden Turbulent Flows

NASA Astrophysics Data System (ADS)

Banko, Andrew; Villafane, Laura; Kim, Ji Hoon; Esmaily Moghadam, Mahdi; Eaton, John K.

2017-11-01

Direct radiation transmission in turbulent flows laden with heavy particles plays a fundamental role in systems such as clouds, spray combustors, and particle-solar-receivers. Owing to their inertia, the particles preferentially concentrate and the resulting voids and clusters lead to deviations in mean transmission from the classical Beer-Lambert law for exponential extinction. Additionally, the transmission fluctuations can exceed those of Poissonian media by an order of magnitude, which implies a gross misprediction in transmission statistics if the correlations in particle positions are neglected. On the other hand, tracking millions of particles in a turbulence simulation can be prohibitively expensive. This work presents stochastic processes as computationally cheap reduced order models for the instantaneous particle number density field and radiation transmission therein. Results from the stochastic processes are compared to Monte Carlo Ray Tracing (MCRT) simulations using the particle positions obtained from the point-particle DNS of isotropic turbulence at a Taylor Reynolds number of 150. Accurate transmission statistics are predicted with respect to MCRT by matching the mean, variance, and correlation length of DNS number density fields. Funded by the U.S. Department of Energy under Grant No. DE-NA0002373-1 and the National Science Foundation under Grant No. DGE-114747.

Exact simulation of integrate-and-fire models with exponential currents.

PubMed

Brette, Romain

2007-10-01

Neural networks can be simulated exactly using event-driven strategies, in which the algorithm advances directly from one spike to the next spike. It applies to neuron models for which we have (1) an explicit expression for the evolution of the state variables between spikes and (2) an explicit test on the state variables that predicts whether and when a spike will be emitted. In a previous work, we proposed a method that allows exact simulation of an integrate-and-fire model with exponential conductances, with the constraint of a single synaptic time constant. In this note, we propose a method, based on polynomial root finding, that applies to integrate-and-fire models with exponential currents, with possibly many different synaptic time constants. Models can include biexponential synaptic currents and spike-triggered adaptation currents.

The Sharma-Parthasarathy stochastic two-body problem

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

Cresson, J.; SYRTE/Observatoire de Paris, 75014 Paris; Pierret, F.

2015-03-15

We study the Sharma-Parthasarathy stochastic two-body problem introduced by Sharma and Parthasarathy in [“Dynamics of a stochastically perturbed two-body problem,” Proc. R. Soc. A 463, 979-1003 (2007)]. In particular, we focus on the preservation of some fundamental features of the classical two-body problem like the Hamiltonian structure and first integrals in the stochastic case. Numerical simulations are performed which illustrate the dynamical behaviour of the osculating elements as the semi-major axis, the eccentricity, and the pericenter. We also derive a stochastic version of Gauss’s equations in the planar case.

Lognormals for SETI, Evolution and Mass Extinctions

NASA Astrophysics Data System (ADS)

Maccone, Claudio

2014-12-01

In a series of recent papers (Refs. [1-5,7,8]) and in a book (Ref. [6]), this author suggested a new mathematical theory capable of merging Darwinian Evolution and SETI into a unified statistical framework. In this new vision, Darwinian Evolution, as it unfolded on Earth over the last 3.5 billion years, is defined as just one particular realization of a certain lognormal stochastic process in the number of living species on Earth, whose mean value increased in time exponentially. SETI also may be brought into this vision since the number of communicating civilizations in the Galaxy is given by a lognormal distribution (Statistical Drake Equation). Now, in this paper we further elaborate on all that particularly with regard to two important topics: The introduction of the general lognormal stochastic process L(t) whose mean value may be an arbitrary continuous function of the time, m(t), rather than just the exponential mGBM (t) =N0eμt typical of the Geometric Brownian Motion (GBM). This is a considerable generalization of the GBM-based theory used in Refs. [1-8]. The particular application of the general stochastic process L(t) to the understanding of Mass Extinctions like the K-Pg one that marked the dinosaurs' end 65 million years ago. We first model this Mass Extinction as a decreasing Geometric Brownian Motion (GBM) extending from the asteroid's impact time all through the ensuing 'nuclear winter'. However, this model has a flaw: the 'final value' of the GBM cannot have a horizontal tangent, as requested to enable the recovery of life again after this 'final extinction value'. That flaw, however, is removed if the rapidly decreasing mean value function of L(t) is the left branch of a parabola extending from the asteroid's impact time all through the ensuing 'nuclear winter' and up to the time when the number of living species on Earth started growing up again, as we show mathematically in Section 3. In conclusion, we have uncovered an important generalization of the GBM into the general lognormal stochastic process L(t), paving the way to a better, future understanding the evolution of life on Exoplanets on the basis of what Evolution unfolded on Earth in the last 3.5 billion years. That will be the goal of further research papers in the future.

Rainfall continuous time stochastic simulation for a wet climate in the Cantabric Coast

NASA Astrophysics Data System (ADS)

Rebole, Juan P.; Lopez, Jose J.; Garcia-Guzman, Adela

2010-05-01

Rain is the result of a series of complex atmospheric processes which are influenced by numerous factors. This complexity makes its simulation practically unfeasible from a physical basis, advising the use of stochastic diagrams. These diagrams, which are based on observed characteristics (Todorovic and Woolhiser, 1975), allow the introduction of renewal alternating processes, that account for the occurrence of rainfall at different time lapses (Markov chains are a particular case, where lapses can be described by exponential distributions). Thus, a sequential rainfall process can be defined as a temporal series in which rainfall events (periods in which rainfall is recorded) alternate with non rain events (periods in which no rainfall is recorded). The variables of a temporal rain sequence have been characterized (duration of the rainfall event, duration of the non rainfall event, average intensity of the rain in the rain event, and a temporal distribution of the amount of rain in the rain event) in a wet climate such as that of the coastal area of Guipúzcoa. The study has been performed from two series recorded at the meteorological stations of Igueldo-San Sebastián and Fuenterrabia / Airport (data every ten minutes and for its hourly aggregation). As a result of this work, the variables satisfactorily fitted the following distribution functions: the duration of the rain event to a exponential function; the duration of the dry event to a truncated exponential mixed distribution; the average intensity to a Weibull distribution; and the distribution of the rain fallen to the Beta distribution. The characterization was made for an hourly aggregation of the recorded interval of ten minutes. The parameters of the fitting functions were better obtained by means of the maximum likelihood method than the moment method. The parameters obtained from the characterization were used to develop a stochastic rainfall process simulation model by means of a three states Markov chain (Hutchinson, 1990), performed in an hourly basis by García-Guzmán (1993) and Castro et al. (1997, 2005 ). Simulation process results were valid in the hourly case for all the four described variables, with a slightly better response in Fuenterrabia than in Igueldo. In summary, all the variables were better simulated in Fuenterrabia than in Igueldo. Fuenterrabia data series is shorter and with longer sequences without missing data, compared to Igueldo. The latter shows higher number of missing data events, whereas its mean duration is longer in Fuenterrabia.

Numerically stable formulas for a particle-based explicit exponential integrator

NASA Astrophysics Data System (ADS)

Nadukandi, Prashanth

2015-05-01

Numerically stable formulas are presented for the closed-form analytical solution of the X-IVAS scheme in 3D. This scheme is a state-of-the-art particle-based explicit exponential integrator developed for the particle finite element method. Algebraically, this scheme involves two steps: (1) the solution of tangent curves for piecewise linear vector fields defined on simplicial meshes and (2) the solution of line integrals of piecewise linear vector-valued functions along these tangent curves. Hence, the stable formulas presented here have general applicability, e.g. exact integration of trajectories in particle-based (Lagrangian-type) methods, flow visualization and computer graphics. The Newton form of the polynomial interpolation definition is used to express exponential functions of matrices which appear in the analytical solution of the X-IVAS scheme. The divided difference coefficients in these expressions are defined in a piecewise manner, i.e. in a prescribed neighbourhood of removable singularities their series approximations are computed. An optimal series approximation of divided differences is presented which plays a critical role in this methodology. At least ten significant decimal digits in the formula computations are guaranteed to be exact using double-precision floating-point arithmetic. The worst case scenarios occur in the neighbourhood of removable singularities found in fourth-order divided differences of the exponential function.

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.

Integrating spread dynamics and economics of timber production to manage Chinese tallow invasions in southern U.S. forestlands.

PubMed

Wang, Hsiao-Hsuan; Grant, William E; Gan, Jianbang; Rogers, William E; Swannack, Todd M; Koralewski, Tomasz E; Miller, James H; Taylor, John W

2012-01-01

Economic costs associated with the invasion of nonnative species are of global concern. We estimated expected costs of Chinese tallow (Triadica sebifera (L.) Small) invasions related to timber production in southern U.S. forestlands under different management strategies. Expected costs were confined to the value of timber production losses plus costs for search and control. We simulated management strategies including (1) no control (NC), and control beginning as soon as the percentage of invaded forest land exceeded (2) 60 (Low Control), (3) 25 (Medium Control), or (4) 0 (High Control) using a spatially-explicit, stochastic, bioeconomic model. With NC, simulated invasions spread northward and westward into Arkansas and along the Gulf of Mexico to occupy ≈1.2 million hectares within 20 years, with associated expected total costs increasing exponentially to ≈$300 million. With LC, MC, and HC, invaded areas reached ≈275, 34, and 2 thousand hectares after 20 years, respectively, with associated expected costs reaching ≈$400, $230, and $200 million. Complete eradication would not be cost-effective; the minimum expected total cost was achieved when control began as soon as the percentage of invaded land exceeded 5%. These results suggest the importance of early detection and control of Chinese tallow, and emphasize the importance of integrating spread dynamics and economics to manage invasive species.

Integrating Spread Dynamics and Economics of Timber Production to Manage Chinese Tallow Invasions in Southern U.S. Forestlands

PubMed Central

Wang, Hsiao-Hsuan; Grant, William E.; Gan, Jianbang; Rogers, William E.; Swannack, Todd M.; Koralewski, Tomasz E.; Miller, James H.; Taylor, John W.

2012-01-01

Economic costs associated with the invasion of nonnative species are of global concern. We estimated expected costs of Chinese tallow (Triadica sebifera (L.) Small) invasions related to timber production in southern U.S. forestlands under different management strategies. Expected costs were confined to the value of timber production losses plus costs for search and control. We simulated management strategies including (1) no control (NC), and control beginning as soon as the percentage of invaded forest land exceeded (2) 60 (Low Control), (3) 25 (Medium Control), or (4) 0 (High Control) using a spatially-explicit, stochastic, bioeconomic model. With NC, simulated invasions spread northward and westward into Arkansas and along the Gulf of Mexico to occupy ≈1.2 million hectares within 20 years, with associated expected total costs increasing exponentially to ≈$300 million. With LC, MC, and HC, invaded areas reached ≈275, 34, and 2 thousand hectares after 20 years, respectively, with associated expected costs reaching ≈$400, $230, and $200 million. Complete eradication would not be cost-effective; the minimum expected total cost was achieved when control began as soon as the percentage of invaded land exceeded 5%. These results suggest the importance of early detection and control of Chinese tallow, and emphasize the importance of integrating spread dynamics and economics to manage invasive species. PMID:22442731

Concepts in solid tumor evolution.

PubMed

Sidow, Arend; Spies, Noah

2015-04-01

Evolutionary mechanisms in cancer progression give tumors their individuality. Cancer evolution is different from organismal evolution, however, and we discuss where concepts from evolutionary genetics are useful or limited in facilitating an understanding of cancer. Based on these concepts we construct and apply the simplest plausible model of tumor growth and progression. Simulations using this simple model illustrate the importance of stochastic events early in tumorigenesis, highlight the dominance of exponential growth over linear growth and differentiation, and explain the clonal substructure of tumors. Copyright © 2015 Elsevier Ltd. All rights reserved.

Pilot Study on the Applicability of Variance Reduction Techniques to the Simulation of a Stochastic Combat Model

DTIC Science & Technology

1987-09-01

inverse transform method to obtain unit-mean exponential random variables, where Vi is the jth random number in the sequence of a stream of uniform random...numbers. The inverse transform method is discussed in the simulation textbooks listed in the reference section of this thesis. X(b,c,d) = - P(b,c,d...Defender ,C * P(b,c,d) We again use the inverse transform method to obtain the conditions for an interim event to occur and to induce the change in

Firing patterns in the adaptive exponential integrate-and-fire model.

PubMed

Naud, Richard; Marcille, Nicolas; Clopath, Claudia; Gerstner, Wulfram

2008-11-01

For simulations of large spiking neuron networks, an accurate, simple and versatile single-neuron modeling framework is required. Here we explore the versatility of a simple two-equation model: the adaptive exponential integrate-and-fire neuron. We show that this model generates multiple firing patterns depending on the choice of parameter values, and present a phase diagram describing the transition from one firing type to another. We give an analytical criterion to distinguish between continuous adaption, initial bursting, regular bursting and two types of tonic spiking. Also, we report that the deterministic model is capable of producing irregular spiking when stimulated with constant current, indicating low-dimensional chaos. Lastly, the simple model is fitted to real experiments of cortical neurons under step current stimulation. The results provide support for the suitability of simple models such as the adaptive exponential integrate-and-fire neuron for large network simulations.

Effects of stochastic interest rates in decision making under risk: A Markov decision process model for forest management

Treesearch

Mo Zhou; Joseph Buongiorno

2011-01-01

Most economic studies of forest decision making under risk assume a fixed interest rate. This paper investigated some implications of this stochastic nature of interest rates. Markov decision process (MDP) models, used previously to integrate stochastic stand growth and prices, can be extended to include variable interest rates as well. This method was applied to...

A representation of solution of stochastic differential equations

NASA Astrophysics Data System (ADS)

Kim, Yoon Tae; Jeon, Jong Woo

2006-03-01

We prove that the logarithm of the formal power series, obtained from a stochastic differential equation, is an element in the closure of the Lie algebra generated by vector fields being coefficients of equations. By using this result, we obtain a representation of the solution of stochastic differential equations in terms of Lie brackets and iterated Stratonovich integrals in the algebra of formal power series.

Introducing correlations into carrier transport simulations of disordered materials through seeded nucleation: impact on density of states, carrier mobility, and carrier statistics

NASA Astrophysics Data System (ADS)

Brown, J. S.; Shaheen, S. E.

2018-04-01

Disorder in organic semiconductors has made it challenging to achieve performance gains; this is a result of the many competing and often nuanced mechanisms effecting charge transport. In this article, we attempt to illuminate one of these mechanisms in the hopes of aiding experimentalists in exceeding current performance thresholds. Using a heuristic exponential function, energetic correlation has been added to the Gaussian disorder model (GDM). The new model is grounded in the concept that energetic correlations can arise in materials without strong dipoles or dopants, but may be a result of an incomplete crystal formation process. The proposed correlation has been used to explain the exponential tail states often observed in these materials; it is also better able to capture the carrier mobility field dependence, commonly known as the Poole-Frenkel dependence, when compared to the GDM. Investigation of simulated current transients shows that the exponential tail states do not necessitate Montroll and Scher fits. Montroll and Scher fits occur in the form of two distinct power law curves that share a common constant in their exponent; they are clearly observed as linear lines when the current transient is plotted using a log-log scale. Typically, these fits have been found appropriate for describing amorphous silicon and other disordered materials which display exponential tail states. Furthermore, we observe the proposed correlation function leads to domains of energetically similar sites separated by boundaries where the site energies exhibit stochastic deviation. These boundary sites are found to be the source of the extended exponential tail states, and are responsible for high charge visitation frequency, which may be associated with the molecular turnover number and ultimately the material stability.

Introducing correlations into carrier transport simulations of disordered materials through seeded nucleation: impact on density of states, carrier mobility, and carrier statistics.

PubMed

Brown, J S; Shaheen, S E

2018-04-04

Disorder in organic semiconductors has made it challenging to achieve performance gains; this is a result of the many competing and often nuanced mechanisms effecting charge transport. In this article, we attempt to illuminate one of these mechanisms in the hopes of aiding experimentalists in exceeding current performance thresholds. Using a heuristic exponential function, energetic correlation has been added to the Gaussian disorder model (GDM). The new model is grounded in the concept that energetic correlations can arise in materials without strong dipoles or dopants, but may be a result of an incomplete crystal formation process. The proposed correlation has been used to explain the exponential tail states often observed in these materials; it is also better able to capture the carrier mobility field dependence, commonly known as the Poole-Frenkel dependence, when compared to the GDM. Investigation of simulated current transients shows that the exponential tail states do not necessitate Montroll and Scher fits. Montroll and Scher fits occur in the form of two distinct power law curves that share a common constant in their exponent; they are clearly observed as linear lines when the current transient is plotted using a log-log scale. Typically, these fits have been found appropriate for describing amorphous silicon and other disordered materials which display exponential tail states. Furthermore, we observe the proposed correlation function leads to domains of energetically similar sites separated by boundaries where the site energies exhibit stochastic deviation. These boundary sites are found to be the source of the extended exponential tail states, and are responsible for high charge visitation frequency, which may be associated with the molecular turnover number and ultimately the material stability.

The impacts of precipitation amount simulation on hydrological modeling in Nordic watersheds

NASA Astrophysics Data System (ADS)

Li, Zhi; Brissette, Fancois; Chen, Jie

2013-04-01

Stochastic modeling of daily precipitation is very important for hydrological modeling, especially when no observed data are available. Precipitation is usually modeled by two component model: occurrence generation and amount simulation. For occurrence simulation, the most common method is the first-order two-state Markov chain due to its simplification and good performance. However, various probability distributions have been reported to simulate precipitation amount, and spatiotemporal differences exist in the applicability of different distribution models. Therefore, assessing the applicability of different distribution models is necessary in order to provide more accurate precipitation information. Six precipitation probability distributions (exponential, Gamma, Weibull, skewed normal, mixed exponential, and hybrid exponential/Pareto distributions) are directly and indirectly evaluated on their ability to reproduce the original observed time series of precipitation amount. Data from 24 weather stations and two watersheds (Chute-du-Diable and Yamaska watersheds) in the province of Quebec (Canada) are used for this assessment. Various indices or statistics, such as the mean, variance, frequency distribution and extreme values are used to quantify the performance in simulating the precipitation and discharge. Performance in reproducing key statistics of the precipitation time series is well correlated to the number of parameters of the distribution function, and the three-parameter precipitation models outperform the other models, with the mixed exponential distribution being the best at simulating daily precipitation. The advantage of using more complex precipitation distributions is not as clear-cut when the simulated time series are used to drive a hydrological model. While the advantage of using functions with more parameters is not nearly as obvious, the mixed exponential distribution appears nonetheless as the best candidate for hydrological modeling. The implications of choosing a distribution function with respect to hydrological modeling and climate change impact studies are also discussed.

Evo-SETI: A Mathematical Tool for Cladistics, Evolution, and SETI

PubMed Central

Maccone, Claudio

2017-01-01

The discovery of new exoplanets makes us wonder where each new exoplanet stands along its way to develop life as we know it on Earth. Our Evo-SETI Theory is a mathematical way to face this problem. We describe cladistics and evolution by virtue of a few statistical equations based on lognormal probability density functions (pdf) in the time. We call b-lognormal a lognormal pdf starting at instant b (birth). Then, the lifetime of any living being becomes a suitable b-lognormal in the time. Next, our “Peak-Locus Theorem” translates cladistics: each species created by evolution is a b-lognormal whose peak lies on the exponentially growing number of living species. This exponential is the mean value of a stochastic process called “Geometric Brownian Motion” (GBM). Past mass extinctions were all-lows of this GBM. In addition, the Shannon Entropy (with a reversed sign) of each b-lognormal is the measure of how evolved that species is, and we call it EvoEntropy. The “molecular clock” is re-interpreted as the EvoEntropy straight line in the time whenever the mean value is exactly the GBM exponential. We were also able to extend the Peak-Locus Theorem to any mean value other than the exponential. For example, we derive in this paper for the first time the EvoEntropy corresponding to the Markov-Korotayev (2007) “cubic” evolution: a curve of logarithmic increase. PMID:28383497

Design Of Combined Stochastic Feedforward/Feedback Control

NASA Technical Reports Server (NTRS)

Halyo, Nesim

1989-01-01

Methodology accommodates variety of control structures and design techniques. In methodology for combined stochastic feedforward/feedback control, main objectives of feedforward and feedback control laws seen clearly. Inclusion of error-integral feedback, dynamic compensation, rate-command control structure, and like integral element of methodology. Another advantage of methodology flexibility to develop variety of techniques for design of feedback control with arbitrary structures to obtain feedback controller: includes stochastic output feedback, multiconfiguration control, decentralized control, or frequency and classical control methods. Control modes of system include capture and tracking of localizer and glideslope, crab, decrab, and flare. By use of recommended incremental implementation, control laws simulated on digital computer and connected with nonlinear digital simulation of aircraft and its systems.

A combined stochastic feedforward and feedback control design methodology with application to autoland design

NASA Technical Reports Server (NTRS)

Halyo, Nesim

1987-01-01

A combined stochastic feedforward and feedback control design methodology was developed. The objective of the feedforward control law is to track the commanded trajectory, whereas the feedback control law tries to maintain the plant state near the desired trajectory in the presence of disturbances and uncertainties about the plant. The feedforward control law design is formulated as a stochastic optimization problem and is embedded into the stochastic output feedback problem where the plant contains unstable and uncontrollable modes. An algorithm to compute the optimal feedforward is developed. In this approach, the use of error integral feedback, dynamic compensation, control rate command structures are an integral part of the methodology. An incremental implementation is recommended. Results on the eigenvalues of the implemented versus designed control laws are presented. The stochastic feedforward/feedback control methodology is used to design a digital automatic landing system for the ATOPS Research Vehicle, a Boeing 737-100 aircraft. The system control modes include localizer and glideslope capture and track, and flare to touchdown. Results of a detailed nonlinear simulation of the digital control laws, actuator systems, and aircraft aerodynamics are presented.

Integrated seismic stochastic inversion and multi-attributes to delineate reservoir distribution: Case study MZ fields, Central Sumatra Basin

NASA Astrophysics Data System (ADS)

Haris, A.; Novriyani, M.; Suparno, S.; Hidayat, R.; Riyanto, A.

2017-07-01

This study presents the integration of seismic stochastic inversion and multi-attributes for delineating the reservoir distribution in term of lithology and porosity in the formation within depth interval between the Top Sihapas and Top Pematang. The method that has been used is a stochastic inversion, which is integrated with multi-attribute seismic by applying neural network Probabilistic Neural Network (PNN). Stochastic methods are used to predict the probability mapping sandstone as the result of impedance varied with 50 realizations that will produce a good probability. Analysis of Stochastic Seismic Tnversion provides more interpretive because it directly gives the value of the property. Our experiment shows that AT of stochastic inversion provides more diverse uncertainty so that the probability value will be close to the actual values. The produced AT is then used for an input of a multi-attribute analysis, which is used to predict the gamma ray, density and porosity logs. To obtain the number of attributes that are used, stepwise regression algorithm is applied. The results are attributes which are used in the process of PNN. This PNN method is chosen because it has the best correlation of others neural network method. Finally, we interpret the product of the multi-attribute analysis are in the form of pseudo-gamma ray volume, density volume and volume of pseudo-porosity to delineate the reservoir distribution. Our interpretation shows that the structural trap is identified in the southeastern part of study area, which is along the anticline.

Modeling stochastic noise in gene regulatory systems

PubMed Central

Meister, Arwen; Du, Chao; Li, Ye Henry; Wong, Wing Hung

2014-01-01

The Master equation is considered the gold standard for modeling the stochastic mechanisms of gene regulation in molecular detail, but it is too complex to solve exactly in most cases, so approximation and simulation methods are essential. However, there is still a lack of consensus about the best way to carry these out. To help clarify the situation, we review Master equation models of gene regulation, theoretical approximations based on an expansion method due to N.G. van Kampen and R. Kubo, and simulation algorithms due to D.T. Gillespie and P. Langevin. Expansion of the Master equation shows that for systems with a single stable steady-state, the stochastic model reduces to a deterministic model in a first-order approximation. Additional theory, also due to van Kampen, describes the asymptotic behavior of multistable systems. To support and illustrate the theory and provide further insight into the complex behavior of multistable systems, we perform a detailed simulation study comparing the various approximation and simulation methods applied to synthetic gene regulatory systems with various qualitative characteristics. The simulation studies show that for large stochastic systems with a single steady-state, deterministic models are quite accurate, since the probability distribution of the solution has a single peak tracking the deterministic trajectory whose variance is inversely proportional to the system size. In multistable stochastic systems, large fluctuations can cause individual trajectories to escape from the domain of attraction of one steady-state and be attracted to another, so the system eventually reaches a multimodal probability distribution in which all stable steady-states are represented proportional to their relative stability. However, since the escape time scales exponentially with system size, this process can take a very long time in large systems. PMID:25632368

Shallow cumuli ensemble statistics for development of a stochastic parameterization

NASA Astrophysics Data System (ADS)

Sakradzija, Mirjana; Seifert, Axel; Heus, Thijs

2014-05-01

According to a conventional deterministic approach to the parameterization of moist convection in numerical atmospheric models, a given large scale forcing produces an unique response from the unresolved convective processes. This representation leaves out the small-scale variability of convection, as it is known from the empirical studies of deep and shallow convective cloud ensembles, there is a whole distribution of sub-grid states corresponding to the given large scale forcing. Moreover, this distribution gets broader with the increasing model resolution. This behavior is also consistent with our theoretical understanding of a coarse-grained nonlinear system. We propose an approach to represent the variability of the unresolved shallow-convective states, including the dependence of the sub-grid states distribution spread and shape on the model horizontal resolution. Starting from the Gibbs canonical ensemble theory, Craig and Cohen (2006) developed a theory for the fluctuations in a deep convective ensemble. The micro-states of a deep convective cloud ensemble are characterized by the cloud-base mass flux, which, according to the theory, is exponentially distributed (Boltzmann distribution). Following their work, we study the shallow cumulus ensemble statistics and the distribution of the cloud-base mass flux. We employ a Large-Eddy Simulation model (LES) and a cloud tracking algorithm, followed by a conditional sampling of clouds at the cloud base level, to retrieve the information about the individual cloud life cycles and the cloud ensemble as a whole. In the case of shallow cumulus cloud ensemble, the distribution of micro-states is a generalized exponential distribution. Based on the empirical and theoretical findings, a stochastic model has been developed to simulate the shallow convective cloud ensemble and to test the convective ensemble theory. Stochastic model simulates a compound random process, with the number of convective elements drawn from a Poisson distribution, and cloud properties sub-sampled from a generalized ensemble distribution. We study the role of the different cloud subtypes in a shallow convective ensemble and how the diverse cloud properties and cloud lifetimes affect the system macro-state. To what extent does the cloud-base mass flux distribution deviate from the simple Boltzmann distribution and how does it affect the results from the stochastic model? Is the memory, provided by the finite lifetime of individual clouds, of importance for the ensemble statistics? We also test for the minimal information given as an input to the stochastic model, able to reproduce the ensemble mean statistics and the variability in a convective ensemble. An important property of the resulting distribution of the sub-grid convective states is its scale-adaptivity - the smaller the grid-size, the broader the compound distribution of the sub-grid states.

Differential equations driven by rough paths with jumps

NASA Astrophysics Data System (ADS)

Friz, Peter K.; Zhang, Huilin

2018-05-01

We develop the rough path counterpart of Itô stochastic integration and differential equations driven by general semimartingales. This significantly enlarges the classes of (Itô/forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed.

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.

Probability distribution functions for intermittent scrape-off layer plasma fluctuations

NASA Astrophysics Data System (ADS)

Theodorsen, A.; Garcia, O. E.

2018-03-01

A stochastic model for intermittent fluctuations in the scrape-off layer of magnetically confined plasmas has been constructed based on a super-position of uncorrelated pulses arriving according to a Poisson process. In the most common applications of the model, the pulse amplitudes are assumed exponentially distributed, supported by conditional averaging of large-amplitude fluctuations in experimental measurement data. This basic assumption has two potential limitations. First, statistical analysis of measurement data using conditional averaging only reveals the tail of the amplitude distribution to be exponentially distributed. Second, exponentially distributed amplitudes leads to a positive definite signal which cannot capture fluctuations in for example electric potential and radial velocity. Assuming pulse amplitudes which are not positive definite often make finding a closed form for the probability density function (PDF) difficult, even if the characteristic function remains relatively simple. Thus estimating model parameters requires an approach based on the characteristic function, not the PDF. In this contribution, the effect of changing the amplitude distribution on the moments, PDF and characteristic function of the process is investigated and a parameter estimation method using the empirical characteristic function is presented and tested on synthetically generated data. This proves valuable for describing intermittent fluctuations of all plasma parameters in the boundary region of magnetized plasmas.

Two-time scale subordination in physical processes with long-term memory

NASA Astrophysics Data System (ADS)

Stanislavsky, Aleksander; Weron, Karina

2008-03-01

We describe dynamical processes in continuous media with a long-term memory. Our consideration is based on a stochastic subordination idea and concerns two physical examples in detail. First we study a temporal evolution of the species concentration in a trapping reaction in which a diffusing reactant is surrounded by a sea of randomly moving traps. The analysis uses the random-variable formalism of anomalous diffusive processes. We find that the empirical trapping-reaction law, according to which the reactant concentration decreases in time as a product of an exponential and a stretched exponential function, can be explained by a two-time scale subordination of random processes. Another example is connected with a state equation for continuous media with memory. If the pressure and the density of a medium are subordinated in two different random processes, then the ordinary state equation becomes fractional with two-time scales. This allows one to arrive at the Bagley-Torvik type of state equation.

Enhancement of large fluctuations to extinction in adaptive networks

NASA Astrophysics Data System (ADS)

Hindes, Jason; Schwartz, Ira B.; Shaw, Leah B.

2018-01-01

During an epidemic, individual nodes in a network may adapt their connections to reduce the chance of infection. A common form of adaption is avoidance rewiring, where a noninfected node breaks a connection to an infected neighbor and forms a new connection to another noninfected node. Here we explore the effects of such adaptivity on stochastic fluctuations in the susceptible-infected-susceptible model, focusing on the largest fluctuations that result in extinction of infection. Using techniques from large-deviation theory, combined with a measurement of heterogeneity in the susceptible degree distribution at the endemic state, we are able to predict and analyze large fluctuations and extinction in adaptive networks. We find that in the limit of small rewiring there is a sharp exponential reduction in mean extinction times compared to the case of zero adaption. Furthermore, we find an exponential enhancement in the probability of large fluctuations with increased rewiring rate, even when holding the average number of infected nodes constant.

Time-delayed behaviors of transient four-wave mixing signal intensity in inverted semiconductor with carrier-injection pumping

NASA Astrophysics Data System (ADS)

Hu, Zhenhua; Gao, Shen; Xiang, Bowen

2016-01-01

An analytical expression of transient four-wave mixing (TFWM) in inverted semiconductor with carrier-injection pumping was derived from both the density matrix equation and the complex stochastic stationary statistical method of incoherent light. Numerical analysis showed that the TFWM decayed decay is towards the limit of extreme homogeneous and inhomogeneous broadenings in atoms and the decaying time is inversely proportional to half the power of the net carrier densities for a low carrier-density injection and other high carrier-density injection, while it obeys an usual exponential decay with other decaying time that is inversely proportional to half the power of the net carrier density or it obeys an unusual exponential decay with the decaying time that is inversely proportional to a third power of the net carrier density for a moderate carrier-density injection. The results can be applied to studying ultrafast carrier dephasing in the inverted semiconductors such as semiconductor laser amplifier and semiconductor optical amplifier.

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 path integral approach to the Hodgkin-Huxley model

NASA Astrophysics Data System (ADS)

Baravalle, Roman; Rosso, Osvaldo A.; Montani, Fernando

2017-11-01

To understand how single neurons process sensory information, it is necessary to develop suitable stochastic models to describe the response variability of the recorded spike trains. Spikes in a given neuron are produced by the synergistic action of sodium and potassium of the voltage-dependent channels that open or close the gates. Hodgkin and Huxley (HH) equations describe the ionic mechanisms underlying the initiation and propagation of action potentials, through a set of nonlinear ordinary differential equations that approximate the electrical characteristics of the excitable cell. Path integral provides an adequate approach to compute quantities such as transition probabilities, and any stochastic system can be expressed in terms of this methodology. We use the technique of path integrals to determine the analytical solution driven by a non-Gaussian colored noise when considering the HH equations as a stochastic system. The different neuronal dynamics are investigated by estimating the path integral solutions driven by a non-Gaussian colored noise q. More specifically we take into account the correlational structures of the complex neuronal signals not just by estimating the transition probability associated to the Gaussian approach of the stochastic HH equations, but instead considering much more subtle processes accounting for the non-Gaussian noise that could be induced by the surrounding neural network and by feedforward correlations. This allows us to investigate the underlying dynamics of the neural system when different scenarios of noise correlations are considered.

Deep Unfolding for Topic Models.

PubMed

Chien, Jen-Tzung; Lee, Chao-Hsi

2018-02-01

Deep unfolding provides an approach to integrate the probabilistic generative models and the deterministic neural networks. Such an approach is benefited by deep representation, easy interpretation, flexible learning and stochastic modeling. This study develops the unsupervised and supervised learning of deep unfolded topic models for document representation and classification. Conventionally, the unsupervised and supervised topic models are inferred via the variational inference algorithm where the model parameters are estimated by maximizing the lower bound of logarithm of marginal likelihood using input documents without and with class labels, respectively. The representation capability or classification accuracy is constrained by the variational lower bound and the tied model parameters across inference procedure. This paper aims to relax these constraints by directly maximizing the end performance criterion and continuously untying the parameters in learning process via deep unfolding inference (DUI). The inference procedure is treated as the layer-wise learning in a deep neural network. The end performance is iteratively improved by using the estimated topic parameters according to the exponentiated updates. Deep learning of topic models is therefore implemented through a back-propagation procedure. Experimental results show the merits of DUI with increasing number of layers compared with variational inference in unsupervised as well as supervised topic models.

A grey NGM(1,1, k) self-memory coupling prediction model for energy consumption prediction.

PubMed

Guo, Xiaojun; Liu, Sifeng; Wu, Lifeng; Tang, Lingling

2014-01-01

Energy consumption prediction is an important issue for governments, energy sector investors, and other related corporations. Although there are several prediction techniques, selection of the most appropriate technique is of vital importance. As for the approximate nonhomogeneous exponential data sequence often emerging in the energy system, a novel grey NGM(1,1, k) self-memory coupling prediction model is put forward in order to promote the predictive performance. It achieves organic integration of the self-memory principle of dynamic system and grey NGM(1,1, k) model. The traditional grey model's weakness as being sensitive to initial value can be overcome by the self-memory principle. In this study, total energy, coal, and electricity consumption of China is adopted for demonstration by using the proposed coupling prediction technique. The results show the superiority of NGM(1,1, k) self-memory coupling prediction model when compared with the results from the literature. Its excellent prediction performance lies in that the proposed coupling model can take full advantage of the systematic multitime historical data and catch the stochastic fluctuation tendency. This work also makes a significant contribution to the enrichment of grey prediction theory and the extension of its application span.

Modeling sustainability in renewable energy supply chain systems

NASA Astrophysics Data System (ADS)

Xie, Fei

This dissertation aims at modeling sustainability of renewable fuel supply chain systems against emerging challenges. In particular, the dissertation focuses on the biofuel supply chain system design, and manages to develop advanced modeling framework and corresponding solution methods in tackling challenges in sustaining biofuel supply chain systems. These challenges include: (1) to integrate "environmental thinking" into the long-term biofuel supply chain planning; (2) to adopt multimodal transportation to mitigate seasonality in biofuel supply chain operations; (3) to provide strategies in hedging against uncertainty from conversion technology; and (4) to develop methodologies in long-term sequential planning of the biofuel supply chain under uncertainties. All models are mixed integer programs, which also involves multi-objective programming method and two-stage/multistage stochastic programming methods. In particular for the long-term sequential planning under uncertainties, to reduce the computational challenges due to the exponential expansion of the scenario tree, I also developed efficient ND-Max method which is more efficient than CPLEX and Nested Decomposition method. Through result analysis of four independent studies, it is found that the proposed modeling frameworks can effectively improve the economic performance, enhance environmental benefits and reduce risks due to systems uncertainties for the biofuel supply chain systems.

Three perspectives on complexity: entropy, compression, subsymmetry

NASA Astrophysics Data System (ADS)

Nagaraj, Nithin; Balasubramanian, Karthi

2017-12-01

There is no single universally accepted definition of `Complexity'. There are several perspectives on complexity and what constitutes complex behaviour or complex systems, as opposed to regular, predictable behaviour and simple systems. In this paper, we explore the following perspectives on complexity: effort-to-describe (Shannon entropy H, Lempel-Ziv complexity LZ), effort-to-compress (ETC complexity) and degree-of-order (Subsymmetry or SubSym). While Shannon entropy and LZ are very popular and widely used, ETC is relatively a new complexity measure. In this paper, we also propose a novel normalized complexity measure SubSym based on the existing idea of counting the number of subsymmetries or palindromes within a sequence. We compare the performance of these complexity measures on the following tasks: (A) characterizing complexity of short binary sequences of lengths 4 to 16, (B) distinguishing periodic and chaotic time series from 1D logistic map and 2D Hénon map, (C) analyzing the complexity of stochastic time series generated from 2-state Markov chains, and (D) distinguishing between tonic and irregular spiking patterns generated from the `Adaptive exponential integrate-and-fire' neuron model. Our study reveals that each perspective has its own advantages and uniqueness while also having an overlap with each other.

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

Stochastic thermodynamics across scales: Emergent inter-attractoral discrete Markov jump process and its underlying continuous diffusion

NASA Astrophysics Data System (ADS)

Santillán, Moisés; Qian, Hong

2013-01-01

We investigate the internal consistency of a recently developed mathematical thermodynamic structure across scales, between a continuous stochastic nonlinear dynamical system, i.e., a diffusion process with Langevin and Fokker-Planck equations, and its emergent discrete, inter-attractoral Markov jump process. We analyze how the system’s thermodynamic state functions, e.g. free energy F, entropy S, entropy production ep, free energy dissipation Ḟ, etc., are related when the continuous system is described with coarse-grained discrete variables. It is shown that the thermodynamics derived from the underlying, detailed continuous dynamics gives rise to exactly the free-energy representation of Gibbs and Helmholtz. That is, the system’s thermodynamic structure is the same as if one only takes a middle road and starts with the natural discrete description, with the corresponding transition rates empirically determined. By natural we mean in the thermodynamic limit of a large system, with an inherent separation of time scales between inter- and intra-attractoral dynamics. This result generalizes a fundamental idea from chemistry, and the theory of Kramers, by incorporating thermodynamics: while a mechanical description of a molecule is in terms of continuous bond lengths and angles, chemical reactions are phenomenologically described by a discrete representation, in terms of exponential rate laws and a stochastic thermodynamics.

Sources of PCR-induced distortions in high-throughput sequencing data sets

PubMed Central

Kebschull, Justus M.; Zador, Anthony M.

2015-01-01

PCR permits the exponential and sequence-specific amplification of DNA, even from minute starting quantities. PCR is a fundamental step in preparing DNA samples for high-throughput sequencing. However, there are errors associated with PCR-mediated amplification. Here we examine the effects of four important sources of error—bias, stochasticity, template switches and polymerase errors—on sequence representation in low-input next-generation sequencing libraries. We designed a pool of diverse PCR amplicons with a defined structure, and then used Illumina sequencing to search for signatures of each process. We further developed quantitative models for each process, and compared predictions of these models to our experimental data. We find that PCR stochasticity is the major force skewing sequence representation after amplification of a pool of unique DNA amplicons. Polymerase errors become very common in later cycles of PCR but have little impact on the overall sequence distribution as they are confined to small copy numbers. PCR template switches are rare and confined to low copy numbers. Our results provide a theoretical basis for removing distortions from high-throughput sequencing data. In addition, our findings on PCR stochasticity will have particular relevance to quantification of results from single cell sequencing, in which sequences are represented by only one or a few molecules. PMID:26187991

Amerciamysis bahia Stochastic Matrix Population Model for Laboratory Populations

EPA Science Inventory

The population model described here is a stochastic, density-independent matrix model for integrating the effects of toxicants on survival and reproduction of the marine invertebrate, Americamysis bahia. The model was constructed using Microsoft® Excel 2003. The focus of the mode...

Effect of wet tropospheric path delays on estimation of geodetic baselines in the Gulf of California using the Global Positioning System

NASA Technical Reports Server (NTRS)

Tralli, David M.; Dixon, Timothy H.; Stephens, Scott A.

1988-01-01

Surface Meteorological (SM) and Water Vapor Radiometer (WVR) measurements are used to provide an independent means of calibrating the GPS signal for the wet tropospheric path delay in a study of geodetic baseline measurements in the Gulf of California using GPS in which high tropospheric water vapor content yielded wet path delays in excess of 20 cm at zenith. Residual wet delays at zenith are estimated as constants and as first-order exponentially correlated stochastic processes. Calibration with WVR data is found to yield the best repeatabilities, with improved results possible if combined carrier phase and pseudorange data are used. Although SM measurements can introduce significant errors in baseline solutions if used with a simple atmospheric model and estimation of residual zenith delays as constants, SM calibration and stochastic estimation for residual zenith wet delays may be adequate for precise estimation of GPS baselines. For dry locations, WVRs may not be required to accurately model tropospheric effects on GPS baselines.

Cast aluminium single crystals cross the threshold from bulk to size-dependent stochastic plasticity

NASA Astrophysics Data System (ADS)

Krebs, J.; Rao, S. I.; Verheyden, S.; Miko, C.; Goodall, R.; Curtin, W. A.; Mortensen, A.

2017-07-01

Metals are known to exhibit mechanical behaviour at the nanoscale different to bulk samples. This transition typically initiates at the micrometre scale, yet existing techniques to produce micrometre-sized samples often introduce artefacts that can influence deformation mechanisms. Here, we demonstrate the casting of micrometre-scale aluminium single-crystal wires by infiltration of a salt mould. Samples have millimetre lengths, smooth surfaces, a range of crystallographic orientations, and a diameter D as small as 6 μm. The wires deform in bursts, at a stress that increases with decreasing D. Bursts greater than 200 nm account for roughly 50% of wire deformation and have exponentially distributed intensities. Dislocation dynamics simulations show that single-arm sources that produce large displacement bursts halted by stochastic cross-slip and lock formation explain microcast wire behaviour. This microcasting technique may be extended to several other metals or alloys and offers the possibility of exploring mechanical behaviour spanning the micrometre scale.

Activation rates for nonlinear stochastic flows driven by non-Gaussian noise

NASA Astrophysics Data System (ADS)

van den Broeck, C.; Hänggi, P.

1984-11-01

Activation rates are calculated for stochastic bistable flows driven by asymmetric dichotomic Markov noise (a two-state Markov process). This noise contains as limits both a particular type of non-Gaussian white shot noise and white Gaussian noise. Apart from investigating the role of colored noise on the escape rates, one can thus also study the influence of the non-Gaussian nature of the noise on these rates. The rate for white shot noise differs in leading order (Arrhenius factor) from the corresponding rate for white Gaussian noise of equal strength. In evaluating the rates we demonstrate the advantage of using transport theory over a mean first-passage time approach for cases with generally non-white and non-Gaussian noise sources. For white shot noise with exponentially distributed weights we succeed in evaluating the mean first-passage time of the corresponding integro-differential master-equation dynamics. The rate is shown to coincide in the weak noise limit with the inverse mean first-passage time.

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.

Decoherence in yeast cell populations and its implications for genome-wide expression noise.

PubMed

Briones, M R S; Bosco, F

2009-01-20

Gene expression "noise" is commonly defined as the stochastic variation of gene expression levels in different cells of the same population under identical growth conditions. Here, we tested whether this "noise" is amplified with time, as a consequence of decoherence in global gene expression profiles (genome-wide microarrays) of synchronized cells. The stochastic component of transcription causes fluctuations that tend to be amplified as time progresses, leading to a decay of correlations of expression profiles, in perfect analogy with elementary relaxation processes. Measuring decoherence, defined here as a decay in the auto-correlation function of yeast genome-wide expression profiles, we found a slowdown in the decay of correlations, opposite to what would be expected if, as in mixing systems, correlations decay exponentially as the equilibrium state is reached. Our results indicate that the populational variation in gene expression (noise) is a consequence of temporal decoherence, in which the slow decay of correlations is a signature of strong interdependence of the transcription dynamics of different genes.

Attenuation of the NMR signal in a field gradient due to stochastic dynamics with memory

NASA Astrophysics Data System (ADS)

Lisý, Vladimír; Tóthová, Jana

2017-03-01

The attenuation function S(t) for an ensemble of spins in a magnetic-field gradient is calculated by accumulation of the phase shifts in the rotating frame resulting from the displacements of spin-bearing particles. The found S(t), expressed through the particle mean square displacement, is applicable for any kind of stationary stochastic motion of spins, including their non-markovian dynamics with memory. The known expressions valid for normal and anomalous diffusion are obtained as special cases in the long time approximation. The method is also applicable to the NMR pulse sequences based on the refocusing principle. This is demonstrated by describing the Hahn spin echo experiment. The attenuation of the NMR signal is also evaluated providing that the random motion of particle is modeled by the generalized Langevin equation with the memory kernel exponentially decaying in time. The models considered in our paper assume massive particles driven by much smaller particles.

Precise orbit determination for NASA's earth observing system using GPS (Global Positioning System)

NASA Technical Reports Server (NTRS)

Williams, B. G.

1988-01-01

An application of a precision orbit determination technique for NASA's Earth Observing System (EOS) using the Global Positioning System (GPS) is described. This technique allows the geometric information from measurements of GPS carrier phase and P-code pseudo-range to be exploited while minimizing requirements for precision dynamical modeling. The method combines geometric and dynamic information to determine the spacecraft trajectory; the weight on the dynamic information is controlled by adjusting fictitious spacecraft accelerations in three dimensions which are treated as first order exponentially time correlated stochastic processes. By varying the time correlation and uncertainty of the stochastic accelerations, the technique can range from purely geometric to purely dynamic. Performance estimates for this technique as applied to the orbit geometry planned for the EOS platforms indicate that decimeter accuracies for EOS orbit position may be obtainable. The sensitivity of the predicted orbit uncertainties to model errors for station locations, nongravitational platform accelerations, and Earth gravity is also presented.

Stability of Zero-Sum Games in Evolutionary Game Theory

NASA Astrophysics Data System (ADS)

Knebel, Johannes; Krueger, Torben; Weber, Markus F.; Frey, Erwin

2014-03-01

Evolutionary game theory has evolved into a successful theoretical concept to study mechanisms that govern the evolution of ecological communities. On a mathematical level, this theory was formalized in the framework of the celebrated replicator equations (REs) and its stochastic generalizations. In our work, we analyze the long-time behavior of the REs for zero-sum games with arbitrarily many strategies, which are generalized versions of the children's game Rock-Paper-Scissors.[1] We demonstrate how to determine the strategies that survive and those that become extinct in the long run. Our results show that extinction of strategies is exponentially fast in generic setups, and that conditions for the survival can be formulated in terms of the Pfaffian of the REs' antisymmetric payoff matrix. Consequences for the stochastic dynamics, which arise in finite populations, are reflected by a generalized scaling law for the extinction time in the vicinity of critical reaction rates. Our findings underline the relevance of zero-sum games as a reference for the analysis of other models in evolutionary game theory.

Scenario-based modeling for multiple allocation hub location problem under disruption risk: multiple cuts Benders decomposition approach

NASA Astrophysics Data System (ADS)

Yahyaei, Mohsen; Bashiri, Mahdi

2017-12-01

The hub location problem arises in a variety of domains such as transportation and telecommunication systems. In many real-world situations, hub facilities are subject to disruption. This paper deals with the multiple allocation hub location problem in the presence of facilities failure. To model the problem, a two-stage stochastic formulation is developed. In the proposed model, the number of scenarios grows exponentially with the number of facilities. To alleviate this issue, two approaches are applied simultaneously. The first approach is to apply sample average approximation to approximate the two stochastic problem via sampling. Then, by applying the multiple cuts Benders decomposition approach, computational performance is enhanced. Numerical studies show the effective performance of the SAA in terms of optimality gap for small problem instances with numerous scenarios. Moreover, performance of multi-cut Benders decomposition is assessed through comparison with the classic version and the computational results reveal the superiority of the multi-cut approach regarding the computational time and number of iterations.

Finite-time state feedback stabilisation of stochastic high-order nonlinear feedforward systems

NASA Astrophysics Data System (ADS)

Xie, Xue-Jun; Zhang, Xing-Hui; Zhang, Kemei

2016-07-01

This paper studies the finite-time state feedback stabilisation of stochastic high-order nonlinear feedforward systems. Based on the stochastic Lyapunov theorem on finite-time stability, by using the homogeneous domination method, the adding one power integrator and sign function method, constructing a ? Lyapunov function and verifying the existence and uniqueness of solution, a continuous state feedback controller is designed to guarantee the closed-loop system finite-time stable in probability.

On the Time-Dependent Analysis of Gamow Decay

ERIC Educational Resources Information Center

Durr, Detlef; Grummt, Robert; Kolb, Martin

2011-01-01

Gamow's explanation of the exponential decay law uses complex "eigenvalues" and exponentially growing "eigenfunctions". This raises the question, how Gamow's description fits into the quantum mechanical description of nature, which is based on real eigenvalues and square integrable wavefunctions. Observing that the time evolution of any…

Exact nonstationary responses of rectangular thin plate on Pasternak foundation excited by stochastic moving loads

NASA Astrophysics Data System (ADS)

Chen, Guohai; Meng, Zeng; Yang, Dixiong

2018-01-01

This paper develops an efficient method termed as PE-PIM to address the exact nonstationary responses of pavement structure, which is modeled as a rectangular thin plate resting on bi-parametric Pasternak elastic foundation subjected to stochastic moving loads with constant acceleration. Firstly, analytical power spectral density (PSD) functions of random responses for thin plate are derived by integrating pseudo excitation method (PEM) with Duhamel's integral. Based on PEM, the new equivalent von Mises stress (NEVMS) is proposed, whose PSD function contains all cross-PSD functions between stress components. Then, the PE-PIM that combines the PEM with precise integration method (PIM) is presented to achieve efficiently stochastic responses of the plate by replacing Duhamel's integral with the PIM. Moreover, the semi-analytical Monte Carlo simulation is employed to verify the computational results of the developed PE-PIM. Finally, numerical examples demonstrate the high accuracy and efficiency of PE-PIM for nonstationary random vibration analysis. The effects of velocity and acceleration of moving load, boundary conditions of the plate and foundation stiffness on the deflection and NEVMS responses are scrutinized.

Modelling and simulating decision processes of linked lives: An approach based on concurrent processes and stochastic race.

PubMed

Warnke, Tom; Reinhardt, Oliver; Klabunde, Anna; Willekens, Frans; Uhrmacher, Adelinde M

2017-10-01

Individuals' decision processes play a central role in understanding modern migration phenomena and other demographic processes. Their integration into agent-based computational demography depends largely on suitable support by a modelling language. We are developing the Modelling Language for Linked Lives (ML3) to describe the diverse decision processes of linked lives succinctly in continuous time. The context of individuals is modelled by networks the individual is part of, such as family ties and other social networks. Central concepts, such as behaviour conditional on agent attributes, age-dependent behaviour, and stochastic waiting times, are tightly integrated in the language. Thereby, alternative decisions are modelled by concurrent processes that compete by stochastic race. Using a migration model, we demonstrate how this allows for compact description of complex decisions, here based on the Theory of Planned Behaviour. We describe the challenges for the simulation algorithm posed by stochastic race between multiple concurrent complex decisions.

Langevin dynamics for vector variables driven by multiplicative white noise: A functional formalism

NASA Astrophysics Data System (ADS)

Moreno, Miguel Vera; Arenas, Zochil González; Barci, Daniel G.

2015-04-01

We discuss general multidimensional stochastic processes driven by a system of Langevin equations with multiplicative white noise. In particular, we address the problem of how time reversal diffusion processes are affected by the variety of conventions available to deal with stochastic integrals. We present a functional formalism to build up the generating functional of correlation functions without any type of discretization of the Langevin equations at any intermediate step. The generating functional is characterized by a functional integration over two sets of commuting variables, as well as Grassmann variables. In this representation, time reversal transformation became a linear transformation in the extended variables, simplifying in this way the complexity introduced by the mixture of prescriptions and the associated calculus rules. The stochastic calculus is codified in our formalism in the structure of the Grassmann algebra. We study some examples such as higher order derivative Langevin equations and the functional representation of the micromagnetic stochastic Landau-Lifshitz-Gilbert equation.

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

Quantitative characterization and modeling of lithologic heterogeneity

NASA Astrophysics Data System (ADS)

Deshpande, Anil

The fundamental goal of this thesis is to gain a better understanding of the vertical and lateral stratigraphic heterogeneities in sedimentary deposits. Two approaches are taken: Statistical characterization of lithologic variation recorded by geophysical data such as reflection seismic and wireline logs, and stochastic forward modeling of sediment accumulation in basins. Analysis of reflection seismic and wireline log data from Pleistocene fluvial and deltaic deposits in the Eugene Island 330 field, offshore Gulf of Mexico reveal scale-invariant statistics and strong anisotropy in rock properties. Systematic quantification of lateral lithologic heterogeneity within a stratigraphic framework, using reflection seismic data, indicates that fluvial and deltaic depositional systems exhibit statistical behavior related to stratigraphic fabric. Well log and seismic data profiles show a decay in power spectra with wavenumber, k, according to ksp{-beta} with beta between 1 and 2.3. The question of how surface processes are recorded in bed thickness distributions as a function of basin accommodation space is addressed with stochastic sedimentation model. In zones of high accommodation, random, uncorrelated, driving events produce a range of spatially correlated lithology fields. In zones of low accommodation, bed thickness distributions deviate from the random forcing imposed (an exponential thickness distribution). Model results are similar to that of a shallowing upward parasequence recorded in 15 meters of offshore Gulf of Mexico Pleistocene core. These data record a deviation from exponentially distributed bed thicknesses from the deeper water part of the cycle to the shallow part of the cycle where bed amalgamation dominates. Finally, a stochastic basin-fill model is used to explore the primary controls on stratigraphic architecture of turbidite channel-fill in the South Timbalier 295 field, offshore Louisiana Gulf Coast. Spatial and temporal changes in topography and subsidence rate are shown to be the main controls on turbidite channel stacking pattern within this basin. The model predicts the deposition of thick, amalgamated turbidite channel sands in the basin during a period of high initial subsidence followed by deposition of thinner, less connected sands when basin subsidence rate and accommodation space are low.

Derivation of exact master equation with stochastic description: dissipative harmonic oscillator.

PubMed

Li, Haifeng; Shao, Jiushu; Wang, Shikuan

2011-11-01

A systematic procedure for deriving the master equation of a dissipative system is reported in the framework of stochastic description. For the Caldeira-Leggett model of the harmonic-oscillator bath, a detailed and elementary derivation of the bath-induced stochastic field is presented. The dynamics of the system is thereby fully described by a stochastic differential equation, and the desired master equation would be acquired with statistical averaging. It is shown that the existence of a closed-form master equation depends on the specificity of the system as well as the feature of the dissipation characterized by the spectral density function. For a dissipative harmonic oscillator it is observed that the correlation between the stochastic field due to the bath and the system can be decoupled, and the master equation naturally results. Such an equation possesses the Lindblad form in which time-dependent coefficients are determined by a set of integral equations. It is proved that the obtained master equation is equivalent to the well-known Hu-Paz-Zhang equation based on the path-integral technique. The procedure is also used to obtain the master equation of a dissipative harmonic oscillator in time-dependent fields.

An explicit asymptotic model for the surface wave in a viscoelastic half-space based on applying Rabotnov's fractional exponential integral operators

NASA Astrophysics Data System (ADS)

Wilde, M. V.; Sergeeva, N. V.

2018-05-01

An explicit asymptotic model extracting the contribution of a surface wave to the dynamic response of a viscoelastic half-space is derived. Fractional exponential Rabotnov's integral operators are used for describing of material properties. The model is derived by extracting the principal part of the poles corresponding to the surface waves after applying Laplace and Fourier transforms. The simplified equations for the originals are written by using power series expansions. Padè approximation is constructed to unite short-time and long-time models. The form of this approximation allows to formulate the explicit model using a fractional exponential Rabotnov's integral operator with parameters depending on the properties of surface wave. The applicability of derived models is studied by comparing with the exact solutions of a model problem. It is revealed that the model based on Padè approximation is highly effective for all the possible time domains.

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.

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

PubMed

Li, Pu; Chen, Bing

2011-04-01

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

Stochastic Modeling of Overtime Occupancy and Its Application in Building Energy Simulation and Calibration

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

Sun, Kaiyu; Yan, Da; Hong, Tianzhen

2014-02-28

Overtime is a common phenomenon around the world. Overtime drives both internal heat gains from occupants, lighting and plug-loads, and HVAC operation during overtime periods. Overtime leads to longer occupancy hours and extended operation of building services systems beyond normal working hours, thus overtime impacts total building energy use. Current literature lacks methods to model overtime occupancy because overtime is stochastic in nature and varies by individual occupants and by time. To address this gap in the literature, this study aims to develop a new stochastic model based on the statistical analysis of measured overtime occupancy data from an officemore » building. A binomial distribution is used to represent the total number of occupants working overtime, while an exponential distribution is used to represent the duration of overtime periods. The overtime model is used to generate overtime occupancy schedules as an input to the energy model of a second office building. The measured and simulated cooling energy use during the overtime period is compared in order to validate the overtime model. A hybrid approach to energy model calibration is proposed and tested, which combines ASHRAE Guideline 14 for the calibration of the energy model during normal working hours, and a proposed KS test for the calibration of the energy model during overtime. The developed stochastic overtime model and the hybrid calibration approach can be used in building energy simulations to improve the accuracy of results, and better understand the characteristics of overtime in office buildings.« less

Integrating stochastic time-dependent travel speed in solution methods for the dynamic dial-a-ride problem.

PubMed

Schilde, M; Doerner, K F; Hartl, R F

2014-10-01

In urban areas, logistic transportation operations often run into problems because travel speeds change, depending on the current traffic situation. If not accounted for, time-dependent and stochastic travel speeds frequently lead to missed time windows and thus poorer service. Especially in the case of passenger transportation, it often leads to excessive passenger ride times as well. Therefore, time-dependent and stochastic influences on travel speeds are relevant for finding feasible and reliable solutions. This study considers the effect of exploiting statistical information available about historical accidents, using stochastic solution approaches for the dynamic dial-a-ride problem (dynamic DARP). The authors propose two pairs of metaheuristic solution approaches, each consisting of a deterministic method (average time-dependent travel speeds for planning) and its corresponding stochastic version (exploiting stochastic information while planning). The results, using test instances with up to 762 requests based on a real-world road network, show that in certain conditions, exploiting stochastic information about travel speeds leads to significant improvements over deterministic approaches.

Validation of the Poisson Stochastic Radiative Transfer Model

NASA Technical Reports Server (NTRS)

Zhuravleva, Tatiana; Marshak, Alexander

2004-01-01

A new approach to validation of the Poisson stochastic radiative transfer method is proposed. In contrast to other validations of stochastic models, the main parameter of the Poisson model responsible for cloud geometrical structure - cloud aspect ratio - is determined entirely by matching measurements and calculations of the direct solar radiation. If the measurements of the direct solar radiation is unavailable, it was shown that there is a range of the aspect ratios that allows the stochastic model to accurately approximate the average measurements of surface downward and cloud top upward fluxes. Realizations of the fractionally integrated cascade model are taken as a prototype of real measurements.

Optimal sensor locations for the backward Lagrangian stochastic technique in measuring lagoon gas emission

USDA-ARS?s Scientific Manuscript database

This study evaluated the impact of gas concentration and wind sensor locations on the accuracy of the backward Lagrangian stochastic inverse-dispersion technique (bLS) for measuring gas emission rates from a typical lagoon environment. Path-integrated concentrations (PICs) and 3-dimensional (3D) wi...

Feynman-Kac formula for stochastic hybrid systems.

PubMed

Bressloff, Paul C

2017-01-01

We derive a Feynman-Kac formula for functionals of a stochastic hybrid system evolving according to a piecewise deterministic Markov process. We first derive a stochastic Liouville equation for the moment generator of the stochastic functional, given a particular realization of the underlying discrete Markov process; the latter generates transitions between different dynamical equations for the continuous process. We then analyze the stochastic Liouville equation using methods recently developed for diffusion processes in randomly switching environments. In particular, we obtain dynamical equations for the moment generating function, averaged with respect to realizations of the discrete Markov process. The resulting Feynman-Kac formula takes the form of a differential Chapman-Kolmogorov equation. We illustrate the theory by calculating the occupation time for a one-dimensional velocity jump process on the infinite or semi-infinite real line. Finally, we present an alternative derivation of the Feynman-Kac formula based on a recent path-integral formulation of stochastic hybrid systems.

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.

Individualism in plant populations: using stochastic differential equations to model individual neighbourhood-dependent plant growth.

PubMed

Lv, Qiming; Schneider, Manuel K; Pitchford, Jonathan W

2008-08-01

We study individual plant growth and size hierarchy formation in an experimental population of Arabidopsis thaliana, within an integrated analysis that explicitly accounts for size-dependent growth, size- and space-dependent competition, and environmental stochasticity. It is shown that a Gompertz-type stochastic differential equation (SDE) model, involving asymmetric competition kernels and a stochastic term which decreases with the logarithm of plant weight, efficiently describes individual plant growth, competition, and variability in the studied population. The model is evaluated within a Bayesian framework and compared to its deterministic counterpart, and to several simplified stochastic models, using distributional validation. We show that stochasticity is an important determinant of size hierarchy and that SDE models outperform the deterministic model if and only if structural components of competition (asymmetry; size- and space-dependence) are accounted for. Implications of these results are discussed in the context of plant ecology and in more general modelling situations.

Size-dependent standard deviation for growth rates: Empirical results and theoretical modeling

NASA Astrophysics Data System (ADS)

Podobnik, Boris; Horvatic, Davor; Pammolli, Fabio; Wang, Fengzhong; Stanley, H. Eugene; Grosse, I.

2008-05-01

We study annual logarithmic growth rates R of various economic variables such as exports, imports, and foreign debt. For each of these variables we find that the distributions of R can be approximated by double exponential (Laplace) distributions in the central parts and power-law distributions in the tails. For each of these variables we further find a power-law dependence of the standard deviation σ(R) on the average size of the economic variable with a scaling exponent surprisingly close to that found for the gross domestic product (GDP) [Phys. Rev. Lett. 81, 3275 (1998)]. By analyzing annual logarithmic growth rates R of wages of 161 different occupations, we find a power-law dependence of the standard deviation σ(R) on the average value of the wages with a scaling exponent β≈0.14 close to those found for the growth of exports, imports, debt, and the growth of the GDP. In contrast to these findings, we observe for payroll data collected from 50 states of the USA that the standard deviation σ(R) of the annual logarithmic growth rate R increases monotonically with the average value of payroll. However, also in this case we observe a power-law dependence of σ(R) on the average payroll with a scaling exponent β≈-0.08 . Based on these observations we propose a stochastic process for multiple cross-correlated variables where for each variable (i) the distribution of logarithmic growth rates decays exponentially in the central part, (ii) the distribution of the logarithmic growth rate decays algebraically in the far tails, and (iii) the standard deviation of the logarithmic growth rate depends algebraically on the average size of the stochastic variable.

Probing the stochastic property of endoreduplication in cell size determination of Arabidopsis thaliana leaf epidermal tissue

PubMed Central

2017-01-01

Cell size distribution is highly reproducible, whereas the size of individual cells often varies greatly within a tissue. This is obvious in a population of Arabidopsis thaliana leaf epidermal cells, which ranged from 1,000 to 10,000 μm2 in size. Endoreduplication is a specialized cell cycle in which nuclear genome size (ploidy) is doubled in the absence of cell division. Although epidermal cells require endoreduplication to enhance cellular expansion, the issue of whether this mechanism is sufficient for explaining cell size distribution remains unclear due to a lack of quantitative understanding linking the occurrence of endoreduplication with cell size diversity. Here, we addressed this question by quantitatively summarizing ploidy profile and cell size distribution using a simple theoretical framework. We first found that endoreduplication dynamics is a Poisson process through cellular maturation. This finding allowed us to construct a mathematical model to predict the time evolution of a ploidy profile with a single rate constant for endoreduplication occurrence in a given time. We reproduced experimentally measured ploidy profile in both wild-type leaf tissue and endoreduplication-related mutants with this analytical solution, further demonstrating the probabilistic property of endoreduplication. We next extended the mathematical model by incorporating the element that cell size is determined according to ploidy level to examine cell size distribution. This analysis revealed that cell size is exponentially enlarged 1.5 times every endoreduplication round. Because this theoretical simulation successfully recapitulated experimentally observed cell size distributions, we concluded that Poissonian endoreduplication dynamics and exponential size-boosting are the sources of the broad cell size distribution in epidermal tissue. More generally, this study contributes to a quantitative understanding whereby stochastic dynamics generate steady-state biological heterogeneity. PMID:28926847

Kinematic state estimation and motion planning for stochastic nonholonomic systems using the exponential map.

PubMed

Park, Wooram; Liu, Yan; Zhou, Yu; Moses, Matthew; Chirikjian, Gregory S

2008-04-11

A nonholonomic system subjected to external noise from the environment, or internal noise in its own actuators, will evolve in a stochastic manner described by an ensemble of trajectories. This ensemble of trajectories is equivalent to the solution of a Fokker-Planck equation that typically evolves on a Lie group. If the most likely state of such a system is to be estimated, and plans for subsequent motions from the current state are to be made so as to move the system to a desired state with high probability, then modeling how the probability density of the system evolves is critical. Methods for solving Fokker-Planck equations that evolve on Lie groups then become important. Such equations can be solved using the operational properties of group Fourier transforms in which irreducible unitary representation (IUR) matrices play a critical role. Therefore, we develop a simple approach for the numerical approximation of all the IUR matrices for two of the groups of most interest in robotics: the rotation group in three-dimensional space, SO(3), and the Euclidean motion group of the plane, SE(2). This approach uses the exponential mapping from the Lie algebras of these groups, and takes advantage of the sparse nature of the Lie algebra representation matrices. Other techniques for density estimation on groups are also explored. The computed densities are applied in the context of probabilistic path planning for kinematic cart in the plane and flexible needle steering in three-dimensional space. In these examples the injection of artificial noise into the computational models (rather than noise in the actual physical systems) serves as a tool to search the configuration spaces and plan paths. Finally, we illustrate how density estimation problems arise in the characterization of physical noise in orientational sensors such as gyroscopes.

Size-dependent standard deviation for growth rates: empirical results and theoretical modeling.

PubMed

Podobnik, Boris; Horvatic, Davor; Pammolli, Fabio; Wang, Fengzhong; Stanley, H Eugene; Grosse, I

2008-05-01

We study annual logarithmic growth rates R of various economic variables such as exports, imports, and foreign debt. For each of these variables we find that the distributions of R can be approximated by double exponential (Laplace) distributions in the central parts and power-law distributions in the tails. For each of these variables we further find a power-law dependence of the standard deviation sigma(R) on the average size of the economic variable with a scaling exponent surprisingly close to that found for the gross domestic product (GDP) [Phys. Rev. Lett. 81, 3275 (1998)]. By analyzing annual logarithmic growth rates R of wages of 161 different occupations, we find a power-law dependence of the standard deviation sigma(R) on the average value of the wages with a scaling exponent beta approximately 0.14 close to those found for the growth of exports, imports, debt, and the growth of the GDP. In contrast to these findings, we observe for payroll data collected from 50 states of the USA that the standard deviation sigma(R) of the annual logarithmic growth rate R increases monotonically with the average value of payroll. However, also in this case we observe a power-law dependence of sigma(R) on the average payroll with a scaling exponent beta approximately -0.08 . Based on these observations we propose a stochastic process for multiple cross-correlated variables where for each variable (i) the distribution of logarithmic growth rates decays exponentially in the central part, (ii) the distribution of the logarithmic growth rate decays algebraically in the far tails, and (iii) the standard deviation of the logarithmic growth rate depends algebraically on the average size of the stochastic variable.

A stochastic approach for quantifying immigrant integration: the Spanish test case

NASA Astrophysics Data System (ADS)

Agliari, Elena; Barra, Adriano; Contucci, Pierluigi; Sandell, Richard; Vernia, Cecilia

2014-10-01

We apply stochastic process theory to the analysis of immigrant integration. Using a unique and detailed data set from Spain, we study the relationship between local immigrant density and two social and two economic immigration quantifiers for the period 1999-2010. As opposed to the classic time-series approach, by letting immigrant density play the role of ‘time’ and the quantifier the role of ‘space,’ it becomes possible to analyse the behavior of the quantifiers by means of continuous time random walks. Two classes of results are then obtained. First, we show that social integration quantifiers evolve following diffusion law, while the evolution of economic quantifiers exhibits ballistic dynamics. Second, we make predictions of best- and worst-case scenarios taking into account large local fluctuations. Our stochastic process approach to integration lends itself to interesting forecasting scenarios which, in the hands of policy makers, have the potential to improve political responses to integration problems. For instance, estimating the standard first-passage time and maximum-span walk reveals local differences in integration performance for different immigration scenarios. Thus, by recognizing the importance of local fluctuations around national means, this research constitutes an important tool to assess the impact of immigration phenomena on municipal budgets and to set up solid multi-ethnic plans at the municipal level as immigration pressures build.

A path integral methodology for obtaining thermodynamic properties of nonadiabatic systems using Gaussian mixture distributions

NASA Astrophysics Data System (ADS)

Raymond, Neil; Iouchtchenko, Dmitri; Roy, Pierre-Nicholas; Nooijen, Marcel

2018-05-01

We introduce a new path integral Monte Carlo method for investigating nonadiabatic systems in thermal equilibrium and demonstrate an approach to reducing stochastic error. We derive a general path integral expression for the partition function in a product basis of continuous nuclear and discrete electronic degrees of freedom without the use of any mapping schemes. We separate our Hamiltonian into a harmonic portion and a coupling portion; the partition function can then be calculated as the product of a Monte Carlo estimator (of the coupling contribution to the partition function) and a normalization factor (that is evaluated analytically). A Gaussian mixture model is used to evaluate the Monte Carlo estimator in a computationally efficient manner. Using two model systems, we demonstrate our approach to reduce the stochastic error associated with the Monte Carlo estimator. We show that the selection of the harmonic oscillators comprising the sampling distribution directly affects the efficiency of the method. Our results demonstrate that our path integral Monte Carlo method's deviation from exact Trotter calculations is dominated by the choice of the sampling distribution. By improving the sampling distribution, we can drastically reduce the stochastic error leading to lower computational cost.

A Path Integral Approach to Option Pricing with Stochastic Volatility: Some Exact Results

NASA Astrophysics Data System (ADS)

Baaquie, Belal E.

1997-12-01

The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic volatility is reviewed starting from the first principles of finance. The equation of Merton and Garman is then recast using the path integration technique of theoretical physics. The price of the stock option is shown to be the analogue of the Schrödinger wavefunction of quantum mechanics and the exact Hamiltonian and Lagrangian of the system is obtained. The results of Hull and White are generalized to the case when stock price and volatility have non-zero correlation. Some exact results for pricing stock options for the general correlated case are derived.

Optimal Strategy for Integrated Dynamic Inventory Control and Supplier Selection in Unknown Environment via Stochastic Dynamic Programming

NASA Astrophysics Data System (ADS)

Sutrisno; Widowati; Solikhin

2016-06-01

In this paper, we propose a mathematical model in stochastic dynamic optimization form to determine the optimal strategy for an integrated single product inventory control problem and supplier selection problem where the demand and purchasing cost parameters are random. For each time period, by using the proposed model, we decide the optimal supplier and calculate the optimal product volume purchased from the optimal supplier so that the inventory level will be located at some point as close as possible to the reference point with minimal cost. We use stochastic dynamic programming to solve this problem and give several numerical experiments to evaluate the model. From the results, for each time period, the proposed model was generated the optimal supplier and the inventory level was tracked the reference point well.

A method for nonlinear exponential regression analysis

NASA Technical Reports Server (NTRS)

Junkin, B. G.

1971-01-01

A computer-oriented technique is presented for performing a nonlinear exponential regression analysis on decay-type experimental data. The technique involves the least squares procedure wherein the nonlinear problem is linearized by expansion in a Taylor series. A linear curve fitting procedure for determining the initial nominal estimates for the unknown exponential model parameters is included as an integral part of the technique. A correction matrix was derived and then applied to the nominal estimate to produce an improved set of model parameters. The solution cycle is repeated until some predetermined criterion is satisfied.

Energy Optimal Path Planning: Integrating Coastal Ocean Modelling with Optimal Control

NASA Astrophysics Data System (ADS)

Subramani, D. N.; Haley, P. J., Jr.; Lermusiaux, P. F. J.

2016-02-01

A stochastic optimization methodology is formulated for computing energy-optimal paths from among time-optimal paths of autonomous vehicles navigating in a dynamic flow field. To set up the energy optimization, the relative vehicle speed and headings are considered to be stochastic, and new stochastic Dynamically Orthogonal (DO) level-set equations that govern their stochastic time-optimal reachability fronts are derived. Their solution provides the distribution of time-optimal reachability fronts and corresponding distribution of time-optimal paths. An optimization is then performed on the vehicle's energy-time joint distribution to select the energy-optimal paths for each arrival time, among all stochastic time-optimal paths for that arrival time. The accuracy and efficiency of the DO level-set equations for solving the governing stochastic level-set reachability fronts are quantitatively assessed, including comparisons with independent semi-analytical solutions. Energy-optimal missions are studied in wind-driven barotropic quasi-geostrophic double-gyre circulations, and in realistic data-assimilative re-analyses of multiscale coastal ocean flows. The latter re-analyses are obtained from multi-resolution 2-way nested primitive-equation simulations of tidal-to-mesoscale dynamics in the Middle Atlantic Bight and Shelbreak Front region. The effects of tidal currents, strong wind events, coastal jets, and shelfbreak fronts on the energy-optimal paths are illustrated and quantified. Results showcase the opportunities for longer-duration missions that intelligently utilize the ocean environment to save energy, rigorously integrating ocean forecasting with optimal control of autonomous vehicles.

An Anatomically Constrained, Stochastic Model of Eye Movement Control in Reading

ERIC Educational Resources Information Center

McDonald, Scott A.; Carpenter, R. H. S.; Shillcock, Richard C.

2005-01-01

This article presents SERIF, a new model of eye movement control in reading that integrates an established stochastic model of saccade latencies (LATER; R. H. S. Carpenter, 1981) with a fundamental anatomical constraint on reading: the vertically split fovea and the initial projection of information in either visual field to the contralateral…

Integration of Monte-Carlo ray tracing with a stochastic optimisation method: application to the design of solar receiver geometry.

PubMed

Asselineau, Charles-Alexis; Zapata, Jose; Pye, John

2015-06-01

A stochastic optimisation method adapted to illumination and radiative heat transfer problems involving Monte-Carlo ray-tracing is presented. A solar receiver shape optimisation case study illustrates the advantages of the method and its potential: efficient receivers are identified using a moderate computational cost.

Efficiency in the Community College Sector: Stochastic Frontier Analysis

ERIC Educational Resources Information Center

Agasisti, Tommaso; Belfield, Clive

2017-01-01

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

Effective long wavelength scalar dynamics in de Sitter

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

Moss, Ian; Rigopoulos, Gerasimos, E-mail: ian.moss@newcastle.ac.uk, E-mail: gerasimos.rigopoulos@ncl.ac.uk

We discuss the effective infrared theory governing a light scalar's long wavelength dynamics in de Sitter spacetime. We show how the separation of scales around the physical curvature radius k / a ∼ H can be performed consistently with a window function and how short wavelengths can be integrated out in the Schwinger-Keldysh path integral formalism. At leading order, and for time scales Δ t >> H {sup −1}, this results in the well-known Starobinsky stochastic evolution. However, our approach allows for the computation of quantum UV corrections, generating an effective potential on which the stochastic dynamics takes place. Themore » long wavelength stochastic dynamical equations are now second order in time, incorporating temporal scales Δ t ∼ H {sup −1} and resulting in a Kramers equation for the probability distribution—more precisely the Wigner function—in contrast to the more usual Fokker-Planck equation. This feature allows us to non-perturbatively evaluate, within the stochastic formalism, not only expectation values of field correlators, but also the stress-energy tensor of φ.« less

Insights into the variability of nucleated amyloid polymerization by a minimalistic model of stochastic protein assembly

NASA Astrophysics Data System (ADS)

Eugène, Sarah; Xue, Wei-Feng; Robert, Philippe; Doumic, Marie

2016-05-01

Self-assembly of proteins into amyloid aggregates is an important biological phenomenon associated with human diseases such as Alzheimer's disease. Amyloid fibrils also have potential applications in nano-engineering of biomaterials. The kinetics of amyloid assembly show an exponential growth phase preceded by a lag phase, variable in duration as seen in bulk experiments and experiments that mimic the small volumes of cells. Here, to investigate the origins and the properties of the observed variability in the lag phase of amyloid assembly currently not accounted for by deterministic nucleation dependent mechanisms, we formulate a new stochastic minimal model that is capable of describing the characteristics of amyloid growth curves despite its simplicity. We then solve the stochastic differential equations of our model and give mathematical proof of a central limit theorem for the sample growth trajectories of the nucleated aggregation process. These results give an asymptotic description for our simple model, from which closed form analytical results capable of describing and predicting the variability of nucleated amyloid assembly were derived. We also demonstrate the application of our results to inform experiments in a conceptually friendly and clear fashion. Our model offers a new perspective and paves the way for a new and efficient approach on extracting vital information regarding the key initial events of amyloid formation.

Stochastic Computations in Cortical Microcircuit Models

PubMed Central

Maass, Wolfgang

2013-01-01

Experimental data from neuroscience suggest that a substantial amount of knowledge is stored in the brain in the form of probability distributions over network states and trajectories of network states. We provide a theoretical foundation for this hypothesis by showing that even very detailed models for cortical microcircuits, with data-based diverse nonlinear neurons and synapses, have a stationary distribution of network states and trajectories of network states to which they converge exponentially fast from any initial state. We demonstrate that this convergence holds in spite of the non-reversibility of the stochastic dynamics of cortical microcircuits. We further show that, in the presence of background network oscillations, separate stationary distributions emerge for different phases of the oscillation, in accordance with experimentally reported phase-specific codes. We complement these theoretical results by computer simulations that investigate resulting computation times for typical probabilistic inference tasks on these internally stored distributions, such as marginalization or marginal maximum-a-posteriori estimation. Furthermore, we show that the inherent stochastic dynamics of generic cortical microcircuits enables them to quickly generate approximate solutions to difficult constraint satisfaction problems, where stored knowledge and current inputs jointly constrain possible solutions. This provides a powerful new computing paradigm for networks of spiking neurons, that also throws new light on how networks of neurons in the brain could carry out complex computational tasks such as prediction, imagination, memory recall and problem solving. PMID:24244126

Kinematic dynamo, supersymmetry breaking, and chaos

NASA Astrophysics Data System (ADS)

Ovchinnikov, Igor V.; Enßlin, Torsten A.

2016-04-01

The kinematic dynamo (KD) describes the growth of magnetic fields generated by the flow of a conducting medium in the limit of vanishing backaction of the fields onto the flow. The KD is therefore an important model system for understanding astrophysical magnetism. Here, the mathematical correspondence between the KD and a specific stochastic differential equation (SDE) viewed from the perspective of the supersymmetric theory of stochastics (STS) is discussed. The STS is a novel, approximation-free framework to investigate SDEs. The correspondence reported here permits insights from the STS to be applied to the theory of KD and vice versa. It was previously known that the fast KD in the idealistic limit of no magnetic diffusion requires chaotic flows. The KD-STS correspondence shows that this is also true for the diffusive KD. From the STS perspective, the KD possesses a topological supersymmetry, and the dynamo effect can be viewed as its spontaneous breakdown. This supersymmetry breaking can be regarded as the stochastic generalization of the concept of dynamical chaos. As this supersymmetry breaking happens in both the diffusive and the nondiffusive cases, the necessity of the underlying SDE being chaotic is given in either case. The observed exponentially growing and oscillating KD modes prove physically that dynamical spectra of the STS evolution operator that break the topological supersymmetry exist with both real and complex ground state eigenvalues. Finally, we comment on the nonexistence of dynamos for scalar quantities.

Factorization of the association rate coefficient in ligand rebinding to heme proteins

NASA Astrophysics Data System (ADS)

Young, Robert D.

1984-01-01

A stochastic theory of ligand migration in biomolecules is used to analyze the recombination of small ligands to heme proteins after flash photolysis. The stochastic theory is based on a generalized sequential barrier model in which a ligand binds by overcoming a series of barriers formed by the solvent protein interface, the protein matrix, and the heme distal histidine system. The stochastic theory shows that the association rate coefficient λon factorizes into three terms λon =γ12Nout, where γ12 is the rate coefficient from the heme pocket to the heme binding site, is the equilibrium pocket occupation factor, and Nout is the fraction of heme proteins which do not undergo geminate recombination of a flashed-off ligand. The factorization of λon holds for any number of barriers and with no assumptions regarding the various rate coefficients so long as the exponential solvent process occurs. Transitions of a single ligand are allowed between any two sites with two crucial exceptions: (i) the heme binding site acts as a trap so that thermal dissociation of a bound ligand does not occur within the time of the measurement; (ii) the final step in the rebinding process always has a ligand in the heme pocket from where the ligand binds to the heme iron.

A statistical approach to quasi-extinction forecasting.

PubMed

Holmes, Elizabeth Eli; Sabo, John L; Viscido, Steven Vincent; Fagan, William Fredric

2007-12-01

Forecasting population decline to a certain critical threshold (the quasi-extinction risk) is one of the central objectives of population viability analysis (PVA), and such predictions figure prominently in the decisions of major conservation organizations. In this paper, we argue that accurate forecasting of a population's quasi-extinction risk does not necessarily require knowledge of the underlying biological mechanisms. Because of the stochastic and multiplicative nature of population growth, the ensemble behaviour of population trajectories converges to common statistical forms across a wide variety of stochastic population processes. This paper provides a theoretical basis for this argument. We show that the quasi-extinction surfaces of a variety of complex stochastic population processes (including age-structured, density-dependent and spatially structured populations) can be modelled by a simple stochastic approximation: the stochastic exponential growth process overlaid with Gaussian errors. Using simulated and real data, we show that this model can be estimated with 20-30 years of data and can provide relatively unbiased quasi-extinction risk with confidence intervals considerably smaller than (0,1). This was found to be true even for simulated data derived from some of the noisiest population processes (density-dependent feedback, species interactions and strong age-structure cycling). A key advantage of statistical models is that their parameters and the uncertainty of those parameters can be estimated from time series data using standard statistical methods. In contrast for most species of conservation concern, biologically realistic models must often be specified rather than estimated because of the limited data available for all the various parameters. Biologically realistic models will always have a prominent place in PVA for evaluating specific management options which affect a single segment of a population, a single demographic rate, or different geographic areas. However, for forecasting quasi-extinction risk, statistical models that are based on the convergent statistical properties of population processes offer many advantages over biologically realistic models.

Time-splitting combined with exponential wave integrator fourier pseudospectral method for Schrödinger-Boussinesq system

NASA Astrophysics Data System (ADS)

Liao, Feng; Zhang, Luming; Wang, Shanshan

2018-02-01

In this article, we formulate an efficient and accurate numerical method for approximations of the coupled Schrödinger-Boussinesq (SBq) system. The main features of our method are based on: (i) the applications of a time-splitting Fourier spectral method for Schrödinger-like equation in SBq system, (ii) the utilizations of exponential wave integrator Fourier pseudospectral for spatial derivatives in the Boussinesq-like equation. The scheme is fully explicit and efficient due to fast Fourier transform. The numerical examples are presented to show the efficiency and accuracy of our method.

Synchronised firing patterns in a random network of adaptive exponential integrate-and-fire neuron model.

PubMed

Borges, F S; Protachevicz, P R; Lameu, E L; Bonetti, R C; Iarosz, K C; Caldas, I L; Baptista, M S; Batista, A M

2017-06-01

We have studied neuronal synchronisation in a random network of adaptive exponential integrate-and-fire neurons. We study how spiking or bursting synchronous behaviour appears as a function of the coupling strength and the probability of connections, by constructing parameter spaces that identify these synchronous behaviours from measurements of the inter-spike interval and the calculation of the order parameter. Moreover, we verify the robustness of synchronisation by applying an external perturbation to each neuron. The simulations show that bursting synchronisation is more robust than spike synchronisation. Copyright © 2017 Elsevier Ltd. All rights reserved.

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).

Integral equation methods for computing likelihoods and their derivatives in the stochastic integrate-and-fire model.

PubMed

Paninski, Liam; Haith, Adrian; Szirtes, Gabor

2008-02-01

We recently introduced likelihood-based methods for fitting stochastic integrate-and-fire models to spike train data. The key component of this method involves the likelihood that the model will emit a spike at a given time t. Computing this likelihood is equivalent to computing a Markov first passage time density (the probability that the model voltage crosses threshold for the first time at time t). Here we detail an improved method for computing this likelihood, based on solving a certain integral equation. This integral equation method has several advantages over the techniques discussed in our previous work: in particular, the new method has fewer free parameters and is easily differentiable (for gradient computations). The new method is also easily adaptable for the case in which the model conductance, not just the input current, is time-varying. Finally, we describe how to incorporate large deviations approximations to very small likelihoods.

Incorporating variability in simulations of seasonally forced phenology using integral projection models

DOE PAGES

Goodsman, Devin W.; Aukema, Brian H.; McDowell, Nate G.; ...

2017-11-26

Phenology models are becoming increasingly important tools to accurately predict how climate change will impact the life histories of organisms. We propose a class of integral projection phenology models derived from stochastic individual-based models of insect development and demography. Our derivation, which is based on the rate summation concept, produces integral projection models that capture the effect of phenotypic rate variability on insect phenology, but which are typically more computationally frugal than equivalent individual-based phenology models. We demonstrate our approach using a temperature-dependent model of the demography of the mountain pine beetle (Dendroctonus ponderosae Hopkins), an insect that kills maturemore » pine trees. This work illustrates how a wide range of stochastic phenology models can be reformulated as integral projection models. Due to their computational efficiency, these integral projection models are suitable for deployment in large-scale simulations, such as studies of altered pest distributions under climate change.« less

Incorporating variability in simulations of seasonally forced phenology using integral projection models

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

Goodsman, Devin W.; Aukema, Brian H.; McDowell, Nate G.

Phenology models are becoming increasingly important tools to accurately predict how climate change will impact the life histories of organisms. We propose a class of integral projection phenology models derived from stochastic individual-based models of insect development and demography. Our derivation, which is based on the rate summation concept, produces integral projection models that capture the effect of phenotypic rate variability on insect phenology, but which are typically more computationally frugal than equivalent individual-based phenology models. We demonstrate our approach using a temperature-dependent model of the demography of the mountain pine beetle (Dendroctonus ponderosae Hopkins), an insect that kills maturemore » pine trees. This work illustrates how a wide range of stochastic phenology models can be reformulated as integral projection models. Due to their computational efficiency, these integral projection models are suitable for deployment in large-scale simulations, such as studies of altered pest distributions under climate change.« less

Vector Observation-Aided/Attitude-Rate Estimation Using Global Positioning System Signals

NASA Technical Reports Server (NTRS)

Oshman, Yaakov; Markley, F. Landis

1997-01-01

A sequential filtering algorithm is presented for attitude and attitude-rate estimation from Global Positioning System (GPS) differential carrier phase measurements. A third-order, minimal-parameter method for solving the attitude matrix kinematic equation is used to parameterize the filter's state, which renders the resulting estimator computationally efficient. Borrowing from tracking theory concepts, the angular acceleration is modeled as an exponentially autocorrelated stochastic process, thus avoiding the use of the uncertain spacecraft dynamic model. The new formulation facilitates the use of aiding vector observations in a unified filtering algorithm, which can enhance the method's robustness and accuracy. Numerical examples are used to demonstrate the performance of the method.

Probabilistic structural analysis of a truss typical for space station

NASA Technical Reports Server (NTRS)

Pai, Shantaram S.

1990-01-01

A three-bay, space, cantilever truss is probabilistically evaluated using the computer code NESSUS (Numerical Evaluation of Stochastic Structures Under Stress) to identify and quantify the uncertainties and respective sensitivities associated with corresponding uncertainties in the primitive variables (structural, material, and loads parameters) that defines the truss. The distribution of each of these primitive variables is described in terms of one of several available distributions such as the Weibull, exponential, normal, log-normal, etc. The cumulative distribution function (CDF's) for the response functions considered and sensitivities associated with the primitive variables for given response are investigated. These sensitivities help in determining the dominating primitive variables for that response.

Diffusion equations and the time evolution of foreign exchange rates

NASA Astrophysics Data System (ADS)

Figueiredo, Annibal; de Castro, Marcio T.; da Fonseca, Regina C. B.; Gleria, Iram

2013-10-01

We investigate which type of diffusion equation is most appropriate to describe the time evolution of foreign exchange rates. We modify the geometric diffusion model assuming a non-exponential time evolution and the stochastic term is the sum of a Wiener noise and a jump process. We find the resulting diffusion equation to obey the Kramers-Moyal equation. Analytical solutions are obtained using the characteristic function formalism and compared with empirical data. The analysis focus on the first four central moments considering the returns of foreign exchange rate. It is shown that the proposed model offers a good improvement over the classical geometric diffusion model.

Velocity and stress autocorrelation decay in isothermal dissipative particle dynamics

NASA Astrophysics Data System (ADS)

Chaudhri, Anuj; Lukes, Jennifer R.

2010-02-01

The velocity and stress autocorrelation decay in a dissipative particle dynamics ideal fluid model is analyzed in this paper. The autocorrelation functions are calculated at three different friction parameters and three different time steps using the well-known Groot/Warren algorithm and newer algorithms including self-consistent leap-frog, self-consistent velocity Verlet and Shardlow first and second order integrators. At low friction values, the velocity autocorrelation function decays exponentially at short times, shows slower-than exponential decay at intermediate times, and approaches zero at long times for all five integrators. As friction value increases, the deviation from exponential behavior occurs earlier and is more pronounced. At small time steps, all the integrators give identical decay profiles. As time step increases, there are qualitative and quantitative differences between the integrators. The stress correlation behavior is markedly different for the algorithms. The self-consistent velocity Verlet and the Shardlow algorithms show very similar stress autocorrelation decay with change in friction parameter, whereas the Groot/Warren and leap-frog schemes show variations at higher friction factors. Diffusion coefficients and shear viscosities are calculated using Green-Kubo integration of the velocity and stress autocorrelation functions. The diffusion coefficients match well-known theoretical results at low friction limits. Although the stress autocorrelation function is different for each integrator, fluctuates rapidly, and gives poor statistics for most of the cases, the calculated shear viscosities still fall within range of theoretical predictions and nonequilibrium studies.

Integrating stochastic time-dependent travel speed in solution methods for the dynamic dial-a-ride problem

PubMed Central

Schilde, M.; Doerner, K.F.; Hartl, R.F.

2014-01-01

In urban areas, logistic transportation operations often run into problems because travel speeds change, depending on the current traffic situation. If not accounted for, time-dependent and stochastic travel speeds frequently lead to missed time windows and thus poorer service. Especially in the case of passenger transportation, it often leads to excessive passenger ride times as well. Therefore, time-dependent and stochastic influences on travel speeds are relevant for finding feasible and reliable solutions. This study considers the effect of exploiting statistical information available about historical accidents, using stochastic solution approaches for the dynamic dial-a-ride problem (dynamic DARP). The authors propose two pairs of metaheuristic solution approaches, each consisting of a deterministic method (average time-dependent travel speeds for planning) and its corresponding stochastic version (exploiting stochastic information while planning). The results, using test instances with up to 762 requests based on a real-world road network, show that in certain conditions, exploiting stochastic information about travel speeds leads to significant improvements over deterministic approaches. PMID:25844013

Kinetic Model for 1D aggregation of yeast ``prions''

NASA Astrophysics Data System (ADS)

Kunes, Kay; Cox, Daniel; Singh, Rajiv

2004-03-01

Mammalian prion proteins (PrP) are of public health interest because of mad cow and chronic wasting diseases. Yeast have proteins which can undergo similar reconformation and aggregation processes to PrP; yeast forms are simpler to experimentally study and model. Recent in vitro studies of the SUP35 protein(1), showed long aggregates and pure exponential growth of the misfolded form. To explain this data, we have extended a previous model of aggregation kinetics(2). The model assumes reconformation only upon aggregation, and includes aggregate fissioning and an initial nucleation barrier. We find for sufficiently small nucleation rates or seeding by small dimer concentrations that we can achieve the requisite exponential growth and long aggregates. We will compare to a more realistic stochastic kinetics model and present prelimary attempts to describe recent experiments on SUP35 strains. *-Supported by U.S. Army Congressionally Mandated Research Fund. 1) P. Chien and J.S. Weissman, Nature 410, 223 (2001); http://online.kitp.ucsb.edu/online/bionet03/collins/. 2) J. Masel, V.A.> Jansen, M.A. Nowak, Biophys. Chem. 77, 139 (1999).

Exponential growth and Gaussian—like fluctuations of solutions of stochastic differential equations with maximum functionals

NASA Astrophysics Data System (ADS)

Appleby, J. A. D.; Wu, H.

2008-11-01

In this paper we consider functional differential equations subjected to either instantaneous state-dependent noise, or to a white noise perturbation. The drift of the equations depend linearly on the current value and on the maximum of the solution. The functional term always provides positive feedback, while the instantaneous term can be mean-reverting or can exhibit positive feedback. We show in the white noise case that if the instantaneous term is mean reverting and dominates the history term, then solutions are recurrent, and upper bounds on the a.s. growth rate of the partial maxima of the solution can be found. When the instantaneous term is weaker, or is of positive feedback type, we determine necessary and sufficient conditions on the diffusion coefficient which ensure the exact exponential growth of solutions. An application of these results to an inefficient financial market populated by reference traders and speculators is given, in which the difference between the current instantaneous returns and maximum of the returns over the last few time units is used to determine trading strategies.

Intervention-Based Stochastic Disease Eradication

NASA Astrophysics Data System (ADS)

Billings, Lora; Mier-Y-Teran-Romero, Luis; Lindley, Brandon; Schwartz, Ira

2013-03-01

Disease control is of paramount importance in public health with infectious disease extinction as the ultimate goal. Intervention controls, such as vaccination of susceptible individuals and/or treatment of infectives, are typically based on a deterministic schedule, such as periodically vaccinating susceptible children based on school calendars. In reality, however, such policies are administered as a random process, while still possessing a mean period. Here, we consider the effect of randomly distributed intervention as disease control on large finite populations. We show explicitly how intervention control, based on mean period and treatment fraction, modulates the average extinction times as a function of population size and the speed of infection. In particular, our results show an exponential improvement in extinction times even though the controls are implemented using a random Poisson distribution. Finally, we discover those parameter regimes where random treatment yields an exponential improvement in extinction times over the application of strictly periodic intervention. The implication of our results is discussed in light of the availability of limited resources for control. Supported by the National Institute of General Medical Sciences Award No. R01GM090204

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

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.

Towards a minimal stochastic model for a large class of diffusion-reactions on biological membranes.

PubMed

Chevalier, Michael W; El-Samad, Hana

2012-08-28

Diffusion of biological molecules on 2D biological membranes can play an important role in the behavior of stochastic biochemical reaction systems. Yet, we still lack a fundamental understanding of circumstances where explicit accounting of the diffusion and spatial coordinates of molecules is necessary. In this work, we illustrate how time-dependent, non-exponential reaction probabilities naturally arise when explicitly accounting for the diffusion of molecules. We use the analytical expression of these probabilities to derive a novel algorithm which, while ignoring the exact position of the molecules, can still accurately capture diffusion effects. We investigate the regions of validity of the algorithm and show that for most parameter regimes, it constitutes an accurate framework for studying these systems. We also document scenarios where large spatial fluctuation effects mandate explicit consideration of all the molecules and their positions. Taken together, our results derive a fundamental understanding of the role of diffusion and spatial fluctuations in these systems. Simultaneously, they provide a general computational methodology for analyzing a broad class of biological networks whose behavior is influenced by diffusion on membranes.

Randomized central limit theorems: A unified theory.

PubMed

Eliazar, Iddo; Klafter, Joseph

2010-08-01

The central limit theorems (CLTs) characterize the macroscopic statistical behavior of large ensembles of independent and identically distributed random variables. The CLTs assert that the universal probability laws governing ensembles' aggregate statistics are either Gaussian or Lévy, and that the universal probability laws governing ensembles' extreme statistics are Fréchet, Weibull, or Gumbel. The scaling schemes underlying the CLTs are deterministic-scaling all ensemble components by a common deterministic scale. However, there are "random environment" settings in which the underlying scaling schemes are stochastic-scaling the ensemble components by different random scales. Examples of such settings include Holtsmark's law for gravitational fields and the Stretched Exponential law for relaxation times. In this paper we establish a unified theory of randomized central limit theorems (RCLTs)-in which the deterministic CLT scaling schemes are replaced with stochastic scaling schemes-and present "randomized counterparts" to the classic CLTs. The RCLT scaling schemes are shown to be governed by Poisson processes with power-law statistics, and the RCLTs are shown to universally yield the Lévy, Fréchet, and Weibull probability laws.

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

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.

Trigonometric Integration without Trigonometric Functions

ERIC Educational Resources Information Center

Quinlan, James; Kolibal, Joseph

2016-01-01

Teaching techniques of integration can be tedious and often uninspired. We present an obvious but underutilized approach for finding antiderivatives of various trigonometric functions using the complex exponential representation of the sine and cosine. The purpose goes beyond providing students an alternative approach to trigonometric integrals.…

Distributed parallel computing in stochastic modeling of groundwater systems.

PubMed

Dong, Yanhui; Li, Guomin; Xu, Haizhen

2013-03-01

Stochastic modeling is a rapidly evolving, popular approach to the study of the uncertainty and heterogeneity of groundwater systems. However, the use of Monte Carlo-type simulations to solve practical groundwater problems often encounters computational bottlenecks that hinder the acquisition of meaningful results. To improve the computational efficiency, a system that combines stochastic model generation with MODFLOW-related programs and distributed parallel processing is investigated. The distributed computing framework, called the Java Parallel Processing Framework, is integrated into the system to allow the batch processing of stochastic models in distributed and parallel systems. As an example, the system is applied to the stochastic delineation of well capture zones in the Pinggu Basin in Beijing. Through the use of 50 processing threads on a cluster with 10 multicore nodes, the execution times of 500 realizations are reduced to 3% compared with those of a serial execution. Through this application, the system demonstrates its potential in solving difficult computational problems in practical stochastic modeling. © 2012, The Author(s). Groundwater © 2012, National Ground Water Association.

Analytical Assessment for Transient Stability Under Stochastic Continuous Disturbances

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

Ju, Ping; Li, Hongyu; Gan, Chun

Here, with the growing integration of renewable power generation, plug-in electric vehicles, and other sources of uncertainty, increasing stochastic continuous disturbances are brought to power systems. The impact of stochastic continuous disturbances on power system transient stability attracts significant attention. To address this problem, this paper proposes an analytical assessment method for transient stability of multi-machine power systems under stochastic continuous disturbances. In the proposed method, a probability measure of transient stability is presented and analytically solved by stochastic averaging. Compared with the conventional method (Monte Carlo simulation), the proposed method is many orders of magnitude faster, which makes itmore » very attractive in practice when many plans for transient stability must be compared or when transient stability must be analyzed quickly. Also, it is found that the evolution of system energy over time is almost a simple diffusion process by the proposed method, which explains the impact mechanism of stochastic continuous disturbances on transient stability in theory.« less

A VLSI recurrent network of integrate-and-fire neurons connected by plastic synapses with long-term memory.

PubMed

Chicca, E; Badoni, D; Dante, V; D'Andreagiovanni, M; Salina, G; Carota, L; Fusi, S; Del Giudice, P

2003-01-01

Electronic neuromorphic devices with on-chip, on-line learning should be able to modify quickly the synaptic couplings to acquire information about new patterns to be stored (synaptic plasticity) and, at the same time, preserve this information on very long time scales (synaptic stability). Here, we illustrate the electronic implementation of a simple solution to this stability-plasticity problem, recently proposed and studied in various contexts. It is based on the observation that reducing the analog depth of the synapses to the extreme (bistable synapses) does not necessarily disrupt the performance of the device as an associative memory, provided that 1) the number of neurons is large enough; 2) the transitions between stable synaptic states are stochastic; and 3) learning is slow. The drastic reduction of the analog depth of the synaptic variable also makes this solution appealing from the point of view of electronic implementation and offers a simple methodological alternative to the technological solution based on floating gates. We describe the full custom analog very large-scale integration (VLSI) realization of a small network of integrate-and-fire neurons connected by bistable deterministic plastic synapses which can implement the idea of stochastic learning. In the absence of stimuli, the memory is preserved indefinitely. During the stimulation the synapse undergoes quick temporary changes through the activities of the pre- and postsynaptic neurons; those changes stochastically result in a long-term modification of the synaptic efficacy. The intentionally disordered pattern of connectivity allows the system to generate a randomness suited to drive the stochastic selection mechanism. We check by a suitable stimulation protocol that the stochastic synaptic plasticity produces the expected pattern of potentiation and depression in the electronic network.

A Grey NGM(1,1, k) Self-Memory Coupling Prediction Model for Energy Consumption Prediction

PubMed Central

Guo, Xiaojun; Liu, Sifeng; Wu, Lifeng; Tang, Lingling

2014-01-01

Energy consumption prediction is an important issue for governments, energy sector investors, and other related corporations. Although there are several prediction techniques, selection of the most appropriate technique is of vital importance. As for the approximate nonhomogeneous exponential data sequence often emerging in the energy system, a novel grey NGM(1,1, k) self-memory coupling prediction model is put forward in order to promote the predictive performance. It achieves organic integration of the self-memory principle of dynamic system and grey NGM(1,1, k) model. The traditional grey model's weakness as being sensitive to initial value can be overcome by the self-memory principle. In this study, total energy, coal, and electricity consumption of China is adopted for demonstration by using the proposed coupling prediction technique. The results show the superiority of NGM(1,1, k) self-memory coupling prediction model when compared with the results from the literature. Its excellent prediction performance lies in that the proposed coupling model can take full advantage of the systematic multitime historical data and catch the stochastic fluctuation tendency. This work also makes a significant contribution to the enrichment of grey prediction theory and the extension of its application span. PMID:25054174

An efficient and accurate technique to compute the absorption, emission, and transmission of radiation by the Martian atmosphere

NASA Technical Reports Server (NTRS)

Lindner, Bernhard Lee; Ackerman, Thomas P.; Pollack, James B.

1990-01-01

CO2 comprises 95 pct. of the composition of the Martian atmosphere. However, the Martian atmosphere also has a high aerosol content. Dust particles vary from less than 0.2 to greater than 3.0. CO2 is an active absorber and emitter in near IR and IR wavelengths; the near IR absorption bands of CO2 provide significant heating of the atmosphere, and the 15 micron band provides rapid cooling. Including both CO2 and aerosol radiative transfer simultaneously in a model is difficult. Aerosol radiative transfer requires a multiple scattering code, while CO2 radiative transfer must deal with complex wavelength structure. As an alternative to the pure atmosphere treatment in most models which causes inaccuracies, a treatment was developed called the exponential sum or k distribution approximation. The chief advantage of the exponential sum approach is that the integration over k space of f(k) can be computed more quickly than the integration of k sub upsilon over frequency. The exponential sum approach is superior to the photon path distribution and emissivity techniques for dusty conditions. This study was the first application of the exponential sum approach to Martian conditions.

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.

Doi-Peliti path integral methods for stochastic systems with partial exclusion

NASA Astrophysics Data System (ADS)

Greenman, Chris D.

2018-09-01

Doi-Peliti methods are developed for stochastic models with finite maximum occupation numbers per site. We provide a generalized framework for the different Fock spaces reported in the literature. Paragrassmannian techniques are then utilized to construct path integral formulations of factorial moments. We show that for many models of interest, a Magnus expansion is required to construct a suitable action, meaning actions containing a finite number of terms are not always feasible. However, for such systems, perturbative techniques are still viable, and for some examples, including carrying capacity population dynamics, and diffusion with partial exclusion, the expansions are exactly summable.

Evaluation of Mean and Variance Integrals without Integration

ERIC Educational Resources Information Center

Joarder, A. H.; Omar, M. H.

2007-01-01

The mean and variance of some continuous distributions, in particular the exponentially decreasing probability distribution and the normal distribution, are considered. Since they involve integration by parts, many students do not feel comfortable. In this note, a technique is demonstrated for deriving mean and variance through differential…

Stochastic Mixing Model with Power Law Decay of Variance

NASA Technical Reports Server (NTRS)

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

2003-01-01

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

Application of a stochastic inverse to the geophysical inverse problem

NASA Technical Reports Server (NTRS)

Jordan, T. H.; Minster, J. B.

1972-01-01

The inverse problem for gross earth data can be reduced to an undertermined linear system of integral equations of the first kind. A theory is discussed for computing particular solutions to this linear system based on the stochastic inverse theory presented by Franklin. The stochastic inverse is derived and related to the generalized inverse of Penrose and Moore. A Backus-Gilbert type tradeoff curve is constructed for the problem of estimating the solution to the linear system in the presence of noise. It is shown that the stochastic inverse represents an optimal point on this tradeoff curve. A useful form of the solution autocorrelation operator as a member of a one-parameter family of smoothing operators is derived.

Stochastic Feshbach Projection for the Dynamics of Open Quantum Systems

NASA Astrophysics Data System (ADS)

Link, Valentin; Strunz, Walter T.

2017-11-01

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

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

PubMed

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

2018-06-01

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

Consistent nonlinear deterministic and stochastic evolution equations for deep to shallow water wave shoaling

NASA Astrophysics Data System (ADS)

Vrecica, Teodor; Toledo, Yaron

2015-04-01

One-dimensional deterministic and stochastic evolution equations are derived for the dispersive nonlinear waves while taking dissipation of energy into account. The deterministic nonlinear evolution equations are formulated using operational calculus by following the approach of Bredmose et al. (2005). Their formulation is extended to include the linear and nonlinear effects of wave dissipation due to friction and breaking. The resulting equation set describes the linear evolution of the velocity potential for each wave harmonic coupled by quadratic nonlinear terms. These terms describe the nonlinear interactions between triads of waves, which represent the leading-order nonlinear effects in the near-shore region. The equations are translated to the amplitudes of the surface elevation by using the approach of Agnon and Sheremet (1997) with the correction of Eldeberky and Madsen (1999). The only current possibility for calculating the surface gravity wave field over large domains is by using stochastic wave evolution models. Hence, the above deterministic model is formulated as a stochastic one using the method of Agnon and Sheremet (1997) with two types of stochastic closure relations (Benney and Saffman's, 1966, and Hollway's, 1980). These formulations cannot be applied to the common wave forecasting models without further manipulation, as they include a non-local wave shoaling coefficients (i.e., ones that require integration along the wave rays). Therefore, a localization method was applied (see Stiassnie and Drimer, 2006, and Toledo and Agnon, 2012). This process essentially extracts the local terms that constitute the mean nonlinear energy transfer while discarding the remaining oscillatory terms, which transfer energy back and forth. One of the main findings of this work is the understanding that the approximated non-local coefficients behave in two essentially different manners. In intermediate water depths these coefficients indeed consist of rapidly oscillating terms, but as the water depth becomes shallow they change to an exponential growth (or decay) behavior. Hence, the formerly used localization technique cannot be justified for the shallow water region. A new formulation is devised for the localization in shallow water, it approximates the nonlinear non-local shoaling coefficient in shallow water and matches it to the one fitting to the intermediate water region. This allows the model behavior to be consistent from deep water to intermediate depths and up to the shallow water regime. Various simulations of the model were performed for the cases of intermediate, and shallow water, overall the model was found to give good results in both shallow and intermediate water depths. The essential difference between the shallow and intermediate nonlinear shoaling physics is explained via the dominating class III Bragg resonances phenomenon. By inspecting the resonance conditions and the nature of the dispersion relation, it is shown that unlike in the intermediate water regime, in shallow water depths the formation of resonant interactions is possible without taking into account bottom components. References Agnon, Y. & Sheremet, A. 1997 Stochastic nonlinear shoaling of directional spectra. J. Fluid Mech. 345, 79-99. Benney, D. J. & Saffman, P. G. 1966 Nonlinear interactions of random waves. Proc. R. Soc. Lond. A 289, 301-321. Bredmose, H., Agnon, Y., Madsen, P.A. & Schaffer, H.A. 2005 Wave transformation models with exact second-order transfer. European J. of Mech. - B/Fluids 24 (6), 659-682. Eldeberky, Y. & Madsen, P. A. 1999 Deterministic and stochastic evolution equations for fully dispersive and weakly nonlinear waves. Coastal Engineering 38, 1-24. Kaihatu, J. M. & Kirby, J. T. 1995 Nonlinear transformation of waves in infinite water depth. Phys. Fluids 8, 175-188. Holloway, G. 1980 Oceanic internal waves are not weak waves. J. Phys. Oceanogr. 10, 906-914. Stiassnie, M. & Drimer, N. 2006 Prediction of long forcing waves for harbor agitation studies. J. of waterways, port, coastal and ocean engineering 132(3), 166-171. Toledo, Y. & Agnon, Y. 2012 Stochastic evolution equations with localized nonlinear shoaling coefficients. European J. of Mech. - B/Fluids 34, 13-18.

Accelerating numerical solution of stochastic differential equations with CUDA

NASA Astrophysics Data System (ADS)

Januszewski, M.; Kostur, M.

2010-01-01

Numerical integration of stochastic differential equations is commonly used in many branches of science. In this paper we present how to accelerate this kind of numerical calculations with popular NVIDIA Graphics Processing Units using the CUDA programming environment. We address general aspects of numerical programming on stream processors and illustrate them by two examples: the noisy phase dynamics in a Josephson junction and the noisy Kuramoto model. In presented cases the measured speedup can be as high as 675× compared to a typical CPU, which corresponds to several billion integration steps per second. This means that calculations which took weeks can now be completed in less than one hour. This brings stochastic simulation to a completely new level, opening for research a whole new range of problems which can now be solved interactively. Program summaryProgram title: SDE Catalogue identifier: AEFG_v1_0 Program summary URL:http://cpc.cs.qub.ac.uk/summaries/AEFG_v1_0.html Program obtainable from: CPC Program Library, Queen's University, Belfast, N. Ireland Licensing provisions: Gnu GPL v3 No. of lines in distributed program, including test data, etc.: 978 No. of bytes in distributed program, including test data, etc.: 5905 Distribution format: tar.gz Programming language: CUDA C Computer: any system with a CUDA-compatible GPU Operating system: Linux RAM: 64 MB of GPU memory Classification: 4.3 External routines: The program requires the NVIDIA CUDA Toolkit Version 2.0 or newer and the GNU Scientific Library v1.0 or newer. Optionally gnuplot is recommended for quick visualization of the results. Nature of problem: Direct numerical integration of stochastic differential equations is a computationally intensive problem, due to the necessity of calculating multiple independent realizations of the system. We exploit the inherent parallelism of this problem and perform the calculations on GPUs using the CUDA programming environment. The GPU's ability to execute hundreds of threads simultaneously makes it possible to speed up the computation by over two orders of magnitude, compared to a typical modern CPU. Solution method: The stochastic Runge-Kutta method of the second order is applied to integrate the equation of motion. Ensemble-averaged quantities of interest are obtained through averaging over multiple independent realizations of the system. Unusual features: The numerical solution of the stochastic differential equations in question is performed on a GPU using the CUDA environment. Running time: < 1 minute

New methods for accelerating the convergence of molecular electronic integrals over exponential type orbitals

NASA Astrophysics Data System (ADS)

Safouhi, Hassan; Hoggan, Philip

2003-01-01

This review on molecular integrals for large electronic systems (MILES) places the problem of analytical integration over exponential-type orbitals (ETOs) in a historical context. After reference to the pioneering work, particularly by Barnett, Shavitt and Yoshimine, it focuses on recent progress towards rapid and accurate analytic solutions of MILES over ETOs. Software such as the hydrogenlike wavefunction package Alchemy by Yoshimine and collaborators is described. The review focuses on convergence acceleration of these highly oscillatory integrals and in particular it highlights suitable nonlinear transformations. Work by Levin and Sidi is described and applied to MILES. A step by step description of progress in the use of nonlinear transformation methods to obtain efficient codes is provided. The recent approach developed by Safouhi is also presented. The current state of the art in this field is summarized to show that ab initio analytical work over ETOs is now a viable option.

Robust authentication through stochastic femtosecond laser filament induced scattering surfaces

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

Zhang, Haisu; Tzortzakis, Stelios, E-mail: stzortz@iesl.forth.gr; Materials Science and Technology Department, University of Crete, 71003 Heraklion

2016-05-23

We demonstrate a reliable authentication method by femtosecond laser filament induced scattering surfaces. The stochastic nonlinear laser fabrication nature results in unique authentication robust properties. This work provides a simple and viable solution for practical applications in product authentication, while also opens the way for incorporating such elements in transparent media and coupling those in integrated optical circuits.

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.

Stochastic global identification of a bio-inspired self-sensing composite UAV wing via wind tunnel experiments

NASA Astrophysics Data System (ADS)

Kopsaftopoulos, Fotios; Nardari, Raphael; Li, Yu-Hung; Wang, Pengchuan; Chang, Fu-Kuo

2016-04-01

In this work, the system design, integration, and wind tunnel experimental evaluation are presented for a bioinspired self-sensing intelligent composite unmanned aerial vehicle (UAV) wing. A total of 148 micro-sensors, including piezoelectric, strain, and temperature sensors, in the form of stretchable sensor networks are embedded in the layup of a composite wing in order to enable its self-sensing capabilities. Novel stochastic system identification techniques based on time series models and statistical parameter estimation are employed in order to accurately interpret the sensing data and extract real-time information on the coupled air flow-structural dynamics. Special emphasis is given to the wind tunnel experimental assessment under various flight conditions defined by multiple airspeeds and angles of attack. A novel modeling approach based on the recently introduced Vector-dependent Functionally Pooled (VFP) model structure is employed for the stochastic identification of the "global" coupled airflow-structural dynamics of the wing and their correlation with dynamic utter and stall. The obtained results demonstrate the successful system-level integration and effectiveness of the stochastic identification approach, thus opening new perspectives for the state sensing and awareness capabilities of the next generation of "fly-by-fee" UAVs.

Quantum stochastic walks on networks for decision-making.

PubMed

Martínez-Martínez, Ismael; Sánchez-Burillo, Eduardo

2016-03-31

Recent experiments report violations of the classical law of total probability and incompatibility of certain mental representations when humans process and react to information. Evidence shows promise of a more general quantum theory providing a better explanation of the dynamics and structure of real decision-making processes than classical probability theory. Inspired by this, we show how the behavioral choice-probabilities can arise as the unique stationary distribution of quantum stochastic walkers on the classical network defined from Luce's response probabilities. This work is relevant because (i) we provide a very general framework integrating the positive characteristics of both quantum and classical approaches previously in confrontation, and (ii) we define a cognitive network which can be used to bring other connectivist approaches to decision-making into the quantum stochastic realm. We model the decision-maker as an open system in contact with her surrounding environment, and the time-length of the decision-making process reveals to be also a measure of the process' degree of interplay between the unitary and irreversible dynamics. Implementing quantum coherence on classical networks may be a door to better integrate human-like reasoning biases in stochastic models for decision-making.

Quantum stochastic walks on networks for decision-making

NASA Astrophysics Data System (ADS)

Martínez-Martínez, Ismael; Sánchez-Burillo, Eduardo

2016-03-01

Recent experiments report violations of the classical law of total probability and incompatibility of certain mental representations when humans process and react to information. Evidence shows promise of a more general quantum theory providing a better explanation of the dynamics and structure of real decision-making processes than classical probability theory. Inspired by this, we show how the behavioral choice-probabilities can arise as the unique stationary distribution of quantum stochastic walkers on the classical network defined from Luce’s response probabilities. This work is relevant because (i) we provide a very general framework integrating the positive characteristics of both quantum and classical approaches previously in confrontation, and (ii) we define a cognitive network which can be used to bring other connectivist approaches to decision-making into the quantum stochastic realm. We model the decision-maker as an open system in contact with her surrounding environment, and the time-length of the decision-making process reveals to be also a measure of the process’ degree of interplay between the unitary and irreversible dynamics. Implementing quantum coherence on classical networks may be a door to better integrate human-like reasoning biases in stochastic models for decision-making.

Quantum stochastic walks on networks for decision-making

PubMed Central

Martínez-Martínez, Ismael; Sánchez-Burillo, Eduardo

2016-01-01

Recent experiments report violations of the classical law of total probability and incompatibility of certain mental representations when humans process and react to information. Evidence shows promise of a more general quantum theory providing a better explanation of the dynamics and structure of real decision-making processes than classical probability theory. Inspired by this, we show how the behavioral choice-probabilities can arise as the unique stationary distribution of quantum stochastic walkers on the classical network defined from Luce’s response probabilities. This work is relevant because (i) we provide a very general framework integrating the positive characteristics of both quantum and classical approaches previously in confrontation, and (ii) we define a cognitive network which can be used to bring other connectivist approaches to decision-making into the quantum stochastic realm. We model the decision-maker as an open system in contact with her surrounding environment, and the time-length of the decision-making process reveals to be also a measure of the process’ degree of interplay between the unitary and irreversible dynamics. Implementing quantum coherence on classical networks may be a door to better integrate human-like reasoning biases in stochastic models for decision-making. PMID:27030372

Shifts in Summertime Precipitation Accumulation Distributions over the US

NASA Astrophysics Data System (ADS)

Martinez-Villalobos, C.; Neelin, J. D.

2016-12-01

Precipitation accumulations, i.e., the amount of precipitation integrated over the course of an event, is a variable with both important physical and societal implications. Previous observational studies show that accumulation distributions have a characteristic shape, with an approximately power law decrease at first, followed by a sharp decrease at a characteristic large event cutoff scale. This cutoff scale is important as it limits the biggest accumulation events. Stochastic prototypes show that the resulting distributions, and importantly the large event cutoff scale, can be understood as a result of the interplay between moisture loss by precipitation and changes in moisture sinks/sources due to fluctuations in moisture divergence over the course of a precipitation event. The strength of this fluctuating moisture sink/source term is expected to increase under global warming, with both theory and climate model simulations predicting a concomitant increase in the large event cutoff scale. This cutoff scale increase has important consequences as it implies an approximately exponential increase for the largest accumulation events. Given its importance, in this study we characterize and track changes in the distribution of precipitation events accumulations over the contiguous US. Accumulation distributions are calculated using hourly precipitation data from 1700 stations, covering the 1974-2013 period over May-October. The resulting distributions largely follow the aforementioned shape, with individual cutoff scales depending on the local climate. An increase in the large event cutoff scale over this period is observed over several regions over the US, most notably over the eastern third of the US. In agreement with the increase in the cutoff, almost exponential increases in the highest accumulation percentiles occur over these regions, with increases in the 99.9 percentile in the Northeast of 70% for example. The relationship to changes in daily precipitation that have previously been noted and to changes in the moisture budget over this period are examined.

Shifts in Summertime Precipitation Accumulation Distributions over the US

NASA Astrophysics Data System (ADS)

Martinez-Villalobos, C.; Neelin, J. D.

2017-12-01

Precipitation accumulations, i.e., the amount of precipitation integrated over the course of an event, is a variable with both important physical and societal implications. Previous observational studies show that accumulation distributions have a characteristic shape, with an approximately power law decrease at first, followed by a sharp decrease at a characteristic large event cutoff scale. This cutoff scale is important as it limits the biggest accumulation events. Stochastic prototypes show that the resulting distributions, and importantly the large event cutoff scale, can be understood as a result of the interplay between moisture loss by precipitation and changes in moisture sinks/sources due to fluctuations in moisture divergence over the course of a precipitation event. The strength of this fluctuating moisture sink/source term is expected to increase under global warming, with both theory and climate model simulations predicting a concomitant increase in the large event cutoff scale. This cutoff scale increase has important consequences as it implies an approximately exponential increase for the largest accumulation events. Given its importance, in this study we characterize and track changes in the distribution of precipitation events accumulations over the contiguous US. Accumulation distributions are calculated using hourly precipitation data from 1700 stations, covering the 1974-2013 period over May-October. The resulting distributions largely follow the aforementioned shape, with individual cutoff scales depending on the local climate. An increase in the large event cutoff scale over this period is observed over several regions over the US, most notably over the eastern third of the US. In agreement with the increase in the cutoff, almost exponential increases in the highest accumulation percentiles occur over these regions, with increases in the 99.9 percentile in the Northeast of 70% for example. The relationship to changes in daily precipitation that have previously been noted and to changes in the moisture budget over this period are examined.

ParaExp Using Leapfrog as Integrator for High-Frequency Electromagnetic Simulations

NASA Astrophysics Data System (ADS)

Merkel, M.; Niyonzima, I.; Schöps, S.

2017-12-01

Recently, ParaExp was proposed for the time integration of linear hyperbolic problems. It splits the time interval of interest into subintervals and computes the solution on each subinterval in parallel. The overall solution is decomposed into a particular solution defined on each subinterval with zero initial conditions and a homogeneous solution propagated by the matrix exponential applied to the initial conditions. The efficiency of the method depends on fast approximations of this matrix exponential based on recent results from numerical linear algebra. This paper deals with the application of ParaExp in combination with Leapfrog to electromagnetic wave problems in time domain. Numerical tests are carried out for a simple toy problem and a realistic spiral inductor model discretized by the Finite Integration Technique.

Dynamics of Competition between Subnetworks of Spiking Neuronal Networks in the Balanced State.

PubMed

Lagzi, Fereshteh; Rotter, Stefan

2015-01-01

We explore and analyze the nonlinear switching dynamics of neuronal networks with non-homogeneous connectivity. The general significance of such transient dynamics for brain function is unclear; however, for instance decision-making processes in perception and cognition have been implicated with it. The network under study here is comprised of three subnetworks of either excitatory or inhibitory leaky integrate-and-fire neurons, of which two are of the same type. The synaptic weights are arranged to establish and maintain a balance between excitation and inhibition in case of a constant external drive. Each subnetwork is randomly connected, where all neurons belonging to a particular population have the same in-degree and the same out-degree. Neurons in different subnetworks are also randomly connected with the same probability; however, depending on the type of the pre-synaptic neuron, the synaptic weight is scaled by a factor. We observed that for a certain range of the "within" versus "between" connection weights (bifurcation parameter), the network activation spontaneously switches between the two sub-networks of the same type. This kind of dynamics has been termed "winnerless competition", which also has a random component here. In our model, this phenomenon is well described by a set of coupled stochastic differential equations of Lotka-Volterra type that imply a competition between the subnetworks. The associated mean-field model shows the same dynamical behavior as observed in simulations of large networks comprising thousands of spiking neurons. The deterministic phase portrait is characterized by two attractors and a saddle node, its stochastic component is essentially given by the multiplicative inherent noise of the system. We find that the dwell time distribution of the active states is exponential, indicating that the noise drives the system randomly from one attractor to the other. A similar model for a larger number of populations might suggest a general approach to study the dynamics of interacting populations of spiking networks.

Dynamics of Competition between Subnetworks of Spiking Neuronal Networks in the Balanced State

PubMed Central

Lagzi, Fereshteh; Rotter, Stefan

2015-01-01

We explore and analyze the nonlinear switching dynamics of neuronal networks with non-homogeneous connectivity. The general significance of such transient dynamics for brain function is unclear; however, for instance decision-making processes in perception and cognition have been implicated with it. The network under study here is comprised of three subnetworks of either excitatory or inhibitory leaky integrate-and-fire neurons, of which two are of the same type. The synaptic weights are arranged to establish and maintain a balance between excitation and inhibition in case of a constant external drive. Each subnetwork is randomly connected, where all neurons belonging to a particular population have the same in-degree and the same out-degree. Neurons in different subnetworks are also randomly connected with the same probability; however, depending on the type of the pre-synaptic neuron, the synaptic weight is scaled by a factor. We observed that for a certain range of the “within” versus “between” connection weights (bifurcation parameter), the network activation spontaneously switches between the two sub-networks of the same type. This kind of dynamics has been termed “winnerless competition”, which also has a random component here. In our model, this phenomenon is well described by a set of coupled stochastic differential equations of Lotka-Volterra type that imply a competition between the subnetworks. The associated mean-field model shows the same dynamical behavior as observed in simulations of large networks comprising thousands of spiking neurons. The deterministic phase portrait is characterized by two attractors and a saddle node, its stochastic component is essentially given by the multiplicative inherent noise of the system. We find that the dwell time distribution of the active states is exponential, indicating that the noise drives the system randomly from one attractor to the other. A similar model for a larger number of populations might suggest a general approach to study the dynamics of interacting populations of spiking networks. PMID:26407178

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.

A new approach to the extraction of single exponential diode model parameters

NASA Astrophysics Data System (ADS)

Ortiz-Conde, Adelmo; García-Sánchez, Francisco J.

2018-06-01

A new integration method is presented for the extraction of the parameters of a single exponential diode model with series resistance from the measured forward I-V characteristics. The extraction is performed using auxiliary functions based on the integration of the data which allow to isolate the effects of each of the model parameters. A differentiation method is also presented for data with low level of experimental noise. Measured and simulated data are used to verify the applicability of both proposed method. Physical insight about the validity of the model is also obtained by using the proposed graphical determinations of the parameters.

Solution of some types of differential equations: operational calculus and inverse differential operators.

PubMed

Zhukovsky, K

2014-01-01

We present a general method of operational nature to analyze and obtain solutions for a variety of equations of mathematical physics and related mathematical problems. We construct inverse differential operators and produce operational identities, involving inverse derivatives and families of generalised orthogonal polynomials, such as Hermite and Laguerre polynomial families. We develop the methodology of inverse and exponential operators, employing them for the study of partial differential equations. Advantages of the operational technique, combined with the use of integral transforms, generating functions with exponentials and their integrals, for solving a wide class of partial derivative equations, related to heat, wave, and transport problems, are demonstrated.

Stochastic multifractal forecasts: from theory to applications in radar meteorology

NASA Astrophysics Data System (ADS)

da Silva Rocha Paz, Igor; Tchiguirinskaia, Ioulia; Schertzer, Daniel

2017-04-01

Radar meteorology has been very inspiring for the development of multifractals. It has enabled to work on a 3D+1 field with many challenging applications, including predictability and stochastic forecasts, especially nowcasts that are particularly demanding in computation speed. Multifractals are indeed parsimonious stochastic models that require only a few physically meaningful parameters, e.g. Universal Multifractal (UM) parameters, because they are based on non-trivial symmetries of nonlinear equations. We first recall the physical principles of multifractal predictability and predictions, which are so closely related that the latter correspond to the most optimal predictions in the multifractal framework. Indeed, these predictions are based on the fundamental duality of a relatively slow decay of large scale structures and an injection of new born small scale structures. Overall, this triggers a mulfitractal inverse cascade of unpredictability. With the help of high resolution rainfall radar data (≈ 100 m), we detail and illustrate the corresponding stochastic algorithm in the framework of (causal) UM Fractionally Integrated Flux models (UM-FIF), where the rainfall field is obtained with the help of a fractional integration of a conservative multifractal flux, whose average is strictly scale invariant (like the energy flux in a dynamic cascade). Whereas, the introduction of small structures is rather straightforward, the deconvolution of the past of the field is more subtle, but nevertheless achievable, to obtain the past of the flux. Then, one needs to only fractionally integrate a multiplicative combination of past and future fluxes to obtain a nowcast realisation.

Stochastic flux freezing and magnetic dynamo.

PubMed

Eyink, Gregory L

2011-05-01

Magnetic flux conservation in turbulent plasmas at high magnetic Reynolds numbers is argued neither to hold in the conventional sense nor to be entirely broken, but instead to be valid in a statistical sense associated to the "spontaneous stochasticity" of Lagrangian particle trajectories. The latter phenomenon is due to the explosive separation of particles undergoing turbulent Richardson diffusion, which leads to a breakdown of Laplacian determinism for classical dynamics. Empirical evidence is presented for spontaneous stochasticity, including numerical results. A Lagrangian path-integral approach is then exploited to establish stochastic flux freezing for resistive hydromagnetic equations and to argue, based on the properties of Richardson diffusion, that flux conservation must remain stochastic at infinite magnetic Reynolds number. An important application of these results is the kinematic, fluctuation dynamo in nonhelical, incompressible turbulence at magnetic Prandtl number (Pr(m)) equal to unity. Numerical results on the Lagrangian dynamo mechanisms by a stochastic particle method demonstrate a strong similarity between the Pr(m)=1 and 0 dynamos. Stochasticity of field-line motion is an essential ingredient of both. Finally, some consequences for nonlinear magnetohydrodynamic turbulence, dynamo, and reconnection are briefly considered. © 2011 American Physical Society

Sensitivity curves for searches for gravitational-wave backgrounds

NASA Astrophysics Data System (ADS)

Thrane, Eric; Romano, Joseph D.

2013-12-01

We propose a graphical representation of detector sensitivity curves for stochastic gravitational-wave backgrounds that takes into account the increase in sensitivity that comes from integrating over frequency in addition to integrating over time. This method is valid for backgrounds that have a power-law spectrum in the analysis band. We call these graphs “power-law integrated curves.” For simplicity, we consider cross-correlation searches for unpolarized and isotropic stochastic backgrounds using two or more detectors. We apply our method to construct power-law integrated sensitivity curves for second-generation ground-based detectors such as Advanced LIGO, space-based detectors such as LISA and the Big Bang Observer, and timing residuals from a pulsar timing array. The code used to produce these plots is available at https://dcc.ligo.org/LIGO-P1300115/public for researchers interested in constructing similar sensitivity curves.

Path-integral methods for analyzing the effects of fluctuations in stochastic hybrid neural networks.

PubMed

Bressloff, Paul C

2015-01-01

We consider applications of path-integral methods to the analysis of a stochastic hybrid model representing a network of synaptically coupled spiking neuronal populations. The state of each local population is described in terms of two stochastic variables, a continuous synaptic variable and a discrete activity variable. The synaptic variables evolve according to piecewise-deterministic dynamics describing, at the population level, synapses driven by spiking activity. The dynamical equations for the synaptic currents are only valid between jumps in spiking activity, and the latter are described by a jump Markov process whose transition rates depend on the synaptic variables. We assume a separation of time scales between fast spiking dynamics with time constant [Formula: see text] and slower synaptic dynamics with time constant τ. This naturally introduces a small positive parameter [Formula: see text], which can be used to develop various asymptotic expansions of the corresponding path-integral representation of the stochastic dynamics. First, we derive a variational principle for maximum-likelihood paths of escape from a metastable state (large deviations in the small noise limit [Formula: see text]). We then show how the path integral provides an efficient method for obtaining a diffusion approximation of the hybrid system for small ϵ. The resulting Langevin equation can be used to analyze the effects of fluctuations within the basin of attraction of a metastable state, that is, ignoring the effects of large deviations. We illustrate this by using the Langevin approximation to analyze the effects of intrinsic noise on pattern formation in a spatially structured hybrid network. In particular, we show how noise enlarges the parameter regime over which patterns occur, in an analogous fashion to PDEs. Finally, we carry out a [Formula: see text]-loop expansion of the path integral, and use this to derive corrections to voltage-based mean-field equations, analogous to the modified activity-based equations generated from a neural master equation.

Emitting electron spectra and acceleration processes in the jet of PKS 0447-439

NASA Astrophysics Data System (ADS)

Zhou, Yao; Yan, Dahai; Dai, Benzhong; Zhang, Li

2014-02-01

We investigate the electron energy distributions (EEDs) and the corresponding acceleration processes in the jet of PKS 0447-439, and estimate its redshift through modeling its observed spectral energy distribution (SED) in the frame of a one-zone synchrotron-self Compton (SSC) model. Three EEDs formed in different acceleration scenarios are assumed: the power-law with exponential cut-off (PLC) EED (shock-acceleration scenario or the case of the EED approaching equilibrium in the stochastic-acceleration scenario), the log-parabolic (LP) EED (stochastic-acceleration scenario and the acceleration dominating), and the broken power-law (BPL) EED (no acceleration scenario). The corresponding fluxes of both synchrotron and SSC are then calculated. The model is applied to PKS 0447-439, and modeled SEDs are compared to the observed SED of this object by using the Markov Chain Monte Carlo method. The results show that the PLC model fails to fit the observed SED well, while the LP and BPL models give comparably good fits for the observed SED. The results indicate that it is possible that a stochastic acceleration process acts in the emitting region of PKS 0447-439 and the EED is far from equilibrium (acceleration dominating) or no acceleration process works (in the emitting region). The redshift of PKS 0447-439 is also estimated in our fitting: z = 0.16 ± 0.05 for the LP case and z = 0.17 ± 0.04 for BPL case.

Noise-Driven Phenotypic Heterogeneity with Finite Correlation Time in Clonal Populations.

PubMed

Lee, UnJin; Skinner, John J; Reinitz, John; Rosner, Marsha Rich; Kim, Eun-Jin

2015-01-01

There has been increasing awareness in the wider biological community of the role of clonal phenotypic heterogeneity in playing key roles in phenomena such as cellular bet-hedging and decision making, as in the case of the phage-λ lysis/lysogeny and B. Subtilis competence/vegetative pathways. Here, we report on the effect of stochasticity in growth rate, cellular memory/intermittency, and its relation to phenotypic heterogeneity. We first present a linear stochastic differential model with finite auto-correlation time, where a randomly fluctuating growth rate with a negative average is shown to result in exponential growth for sufficiently large fluctuations in growth rate. We then present a non-linear stochastic self-regulation model where the loss of coherent self-regulation and an increase in noise can induce a shift from bounded to unbounded growth. An important consequence of these models is that while the average change in phenotype may not differ for various parameter sets, the variance of the resulting distributions may considerably change. This demonstrates the necessity of understanding the influence of variance and heterogeneity within seemingly identical clonal populations, while providing a mechanism for varying functional consequences of such heterogeneity. Our results highlight the importance of a paradigm shift from a deterministic to a probabilistic view of clonality in understanding selection as an optimization problem on noise-driven processes, resulting in a wide range of biological implications, from robustness to environmental stress to the development of drug resistance.

A Probabilistic, Dynamic, and Attribute-wise Model of Intertemporal Choice

PubMed Central

Dai, Junyi; Busemeyer, Jerome R.

2014-01-01

Most theoretical and empirical research on intertemporal choice assumes a deterministic and static perspective, leading to the widely adopted delay discounting models. As a form of preferential choice, however, intertemporal choice may be generated by a stochastic process that requires some deliberation time to reach a decision. We conducted three experiments to investigate how choice and decision time varied as a function of manipulations designed to examine the delay duration effect, the common difference effect, and the magnitude effect in intertemporal choice. The results, especially those associated with the delay duration effect, challenged the traditional deterministic and static view and called for alternative approaches. Consequently, various static or dynamic stochastic choice models were explored and fit to the choice data, including alternative-wise models derived from the traditional exponential or hyperbolic discount function and attribute-wise models built upon comparisons of direct or relative differences in money and delay. Furthermore, for the first time, dynamic diffusion models, such as those based on decision field theory, were also fit to the choice and response time data simultaneously. The results revealed that the attribute-wise diffusion model with direct differences, power transformations of objective value and time, and varied diffusion parameter performed the best and could account for all three intertemporal effects. In addition, the empirical relationship between choice proportions and response times was consistent with the prediction of diffusion models and thus favored a stochastic choice process for intertemporal choice that requires some deliberation time to make a decision. PMID:24635188

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

NASA Astrophysics Data System (ADS)

Ikegami, Kenji; Kimura, Tadahiko; Mochizuki, Riuji

1993-04-01

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

STOCHSIMGPU: parallel stochastic simulation for the Systems Biology Toolbox 2 for MATLAB.

PubMed

Klingbeil, Guido; Erban, Radek; Giles, Mike; Maini, Philip K

2011-04-15

The importance of stochasticity in biological systems is becoming increasingly recognized and the computational cost of biologically realistic stochastic simulations urgently requires development of efficient software. We present a new software tool STOCHSIMGPU that exploits graphics processing units (GPUs) for parallel stochastic simulations of biological/chemical reaction systems and show that significant gains in efficiency can be made. It is integrated into MATLAB and works with the Systems Biology Toolbox 2 (SBTOOLBOX2) for MATLAB. The GPU-based parallel implementation of the Gillespie stochastic simulation algorithm (SSA), the logarithmic direct method (LDM) and the next reaction method (NRM) is approximately 85 times faster than the sequential implementation of the NRM on a central processing unit (CPU). Using our software does not require any changes to the user's models, since it acts as a direct replacement of the stochastic simulation software of the SBTOOLBOX2. The software is open source under the GPL v3 and available at http://www.maths.ox.ac.uk/cmb/STOCHSIMGPU. The web site also contains supplementary information. klingbeil@maths.ox.ac.uk Supplementary data are available at Bioinformatics online.

Tsunami evacuation plans for future megathrust earthquakes in Padang, Indonesia, considering stochastic earthquake scenarios

NASA Astrophysics Data System (ADS)

Muhammad, Ario; Goda, Katsuichiro; Alexander, Nicholas A.; Kongko, Widjo; Muhari, Abdul

2017-12-01

This study develops tsunami evacuation plans in Padang, Indonesia, using a stochastic tsunami simulation method. The stochastic results are based on multiple earthquake scenarios for different magnitudes (Mw 8.5, 8.75, and 9.0) that reflect asperity characteristics of the 1797 historical event in the same region. The generation of the earthquake scenarios involves probabilistic models of earthquake source parameters and stochastic synthesis of earthquake slip distributions. In total, 300 source models are generated to produce comprehensive tsunami evacuation plans in Padang. The tsunami hazard assessment results show that Padang may face significant tsunamis causing the maximum tsunami inundation height and depth of 15 and 10 m, respectively. A comprehensive tsunami evacuation plan - including horizontal evacuation area maps, assessment of temporary shelters considering the impact due to ground shaking and tsunami, and integrated horizontal-vertical evacuation time maps - has been developed based on the stochastic tsunami simulation results. The developed evacuation plans highlight that comprehensive mitigation policies can be produced from the stochastic tsunami simulation for future tsunamigenic events.

A stochastic regulator for integrated communication and control systems. I - Formulation of control law. II - Numerical analysis and simulation

NASA Technical Reports Server (NTRS)

Liou, Luen-Woei; Ray, Asok

1991-01-01

A state feedback control law for integrated communication and control systems (ICCS) is formulated by using the dynamic programming and optimality principle on a finite-time horizon. The control law is derived on the basis of a stochastic model of the plant which is augmented in state space to allow for the effects of randomly varying delays in the feedback loop. A numerical procedure for synthesizing the control parameters is then presented, and the performance of the control law is evaluated by simulating the flight dynamics model of an advanced aircraft. Finally, recommendations for future work are made.

Influence of Microphysical Variability on Stochastic Condensation in Turbulent Clouds

NASA Astrophysics Data System (ADS)

Desai, N.; Chandrakar, K. K.; Chang, K.; Glienke, S.; Cantrell, W. H.; Fugal, J. P.; Shaw, R. A.

2017-12-01

We investigate the influence of variability in droplet number concentration and radius on the evolution of cloud droplet size distributions. Measurements are made on the centimeter scale using digitial inline holography, both in a controlled laboratory setting and in the field using HOLODEC measurements from CSET. We created steady state cloud conditions in the laboratory Pi Chamber, in which a turbulent cloud can be sustained for long periods of time. Using holographic imaging, we directly observe the variations in local number concentration and droplet size distribution and, thereby, the integral radius. We interpret the measurements in the context of stochastic condensation theory to determine how fluctuations in integral radius contribute to droplet growth. We find that the variability in integral radius is primarily driven by variations in the droplet number concentration and not the droplet radius. This variability does not contribute significantly to the mean droplet growth rate, but contributes significantly to the rate of increase of the size distribution width. We compare these results with in-situ measurements and find evidence for microphysical signatures of stochastic condensation. The results suggest that supersaturation fluctuations lead to broader size distributions and allow droplets to reach the collision-coalescence stage.

Incorporating variability in simulations of seasonally forced phenology using integral projection models

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

Goodsman, Devin W.; Aukema, Brian H.; McDowell, Nate G.

Phenology models are becoming increasingly important tools to accurately predict how climate change will impact the life histories of organisms. We propose a class of integral projection phenology models derived from stochastic individual-based models of insect development and demography.Our derivation, which is based on the rate-summation concept, produces integral projection models that capture the effect of phenotypic rate variability on insect phenology, but which are typically more computationally frugal than equivalent individual-based phenology models. We demonstrate our approach using a temperature-dependent model of the demography of the mountain pine beetle (Dendroctonus ponderosae Hopkins), an insect that kills mature pine trees.more » This work illustrates how a wide range of stochastic phenology models can be reformulated as integral projection models. Due to their computational efficiency, these integral projection models are suitable for deployment in large-scale simulations, such as studies of altered pest distributions under climate change.« less

Beller Lectureship: Stochasticity and robustness in growth and morphogenesis

NASA Astrophysics Data System (ADS)

Boudaoud, Arezki

How do organisms cope with natural variability to achieve well-defined morphologies and architectures? We addressed this question by combining experiments with live plants and analyses of stochastic models that integrate cell-cell communication and tissue mechanics. This led us to counterintuitive results on the role of noise in development, whereby noise is either filtered or enhanced according to the level at which it is acting.

Debates—Stochastic subsurface hydrology from theory to practice: A geologic perspective

NASA Astrophysics Data System (ADS)

Fogg, Graham E.; Zhang, Yong

2016-12-01

A geologic perspective on stochastic subsurface hydrology offers insights on representativeness of prominent field experiments and their general relevance to other hydrogeologic settings. Although the gains in understanding afforded by some 30 years of research in stochastic hydrogeology have been important and even essential, adoption of the technologies and insights by practitioners has been limited, due in part to a lack of geologic context in both the field and theoretical studies. In general, unintentional, biased sampling of hydraulic conductivity (K) using mainly hydrologic, well-based methods has resulted in the tacit assumption by many in the community that the subsurface is much less heterogeneous than in reality. Origins of the bias range from perspectives that are limited by scale and the separation of disciplines (geology, soils, aquifer hydrology, groundwater hydraulics, etc.). Consequences include a misfit between stochastic hydrogeology research results and the needs of, for example, practitioners who are dealing with local plume site cleanup that is often severely hampered by very low velocities in the very aquitard facies that are commonly overlooked or missing from low-variance stochastic models or theories. We suggest that answers to many of the problems exposed by stochastic hydrogeology research can be found through greater geologic integration into the analyses, including the recognition of not only the nearly ubiquitously high variances of K but also the strong tendency for the good connectivity of the high-K facies when spatially persistent geologic unconformities are absent. We further suggest that although such integration may appear to make the contaminant transport problem more complex, expensive and intractable, it may in fact lead to greater simplification and more reliable, less expensive site characterizations and models.

Global dynamics of oscillator populations under common noise

NASA Astrophysics Data System (ADS)

Braun, W.; Pikovsky, A.; Matias, M. A.; Colet, P.

2012-07-01

Common noise acting on a population of identical oscillators can synchronize them. We develop a description of this process which is not limited to the states close to synchrony, but provides a global picture of the evolution of the ensembles. The theory is based on the Watanabe-Strogatz transformation, allowing us to obtain closed stochastic equations for the global variables. We show that at the initial stage, the order parameter grows linearly in time, while at the later stages the convergence to synchrony is exponentially fast. Furthermore, we extend the theory to nonidentical ensembles with the Lorentzian distribution of natural frequencies and determine the stationary values of the order parameter in dependence on driving noise and mismatch.

Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets

NASA Astrophysics Data System (ADS)

Zeng, Yan; Li, Zhongfei; Wu, Huiling

2013-03-01

This article considers an investor who has an exogenous cash flow evolving according to a Lévy process and invests in a financial market consisting of only risky assets, whose prices are governed by exponential Lévy processes. Two continuous-time portfolio selection problems are studied for the investor. One is a benchmark problem, and the other is a mean-variance problem. The first problem is solved by adopting the stochastic dynamic programming approach, and the obtained results are extended to the second problem by employing the duality theory. Closed-form solutions of these two problems are derived. Some existing results are found to be special cases of our results.

Valuation of exotic options in the framework of Levy processes

NASA Astrophysics Data System (ADS)

Milev, Mariyan; Georgieva, Svetla; Markovska, Veneta

2013-12-01

In this paper we explore a straightforward procedure to price derivatives by using the Monte Carlo approach when the underlying process is a jump-diffusion. We have compared the Black-Scholes model with one of its extensions that is the Merton model. The latter model is better in capturing the market's phenomena and is comparative to stochastic volatility models in terms of pricing accuracy. We have presented simulations of asset paths and pricing of barrier options for both Geometric Brownian motion and exponential Levy processes as it is the concrete case of the Merton model. A desired level of accuracy is obtained with simple computer operations in MATLAB for efficient computational time.

Plasmids as stochastic model systems

NASA Astrophysics Data System (ADS)

Paulsson, Johan

2003-05-01

Plasmids are self-replicating gene clusters present in on average 2-100 copies per bacterial cell. To reduce random fluctuations and thereby avoid extinction, they ubiquitously autoregulate their own synthesis using negative feedback loops. Here I use van Kampen's Ω-expansion for a two-dimensional model of negative feedback including plasmids and ther replication inhibitors. This analytically summarizes the standard perspective on replication control -- including the effects of sensitivity amplification, exponential time-delays and noisy signaling. I further review the two most common molecular sensitivity mechanisms: multistep control and cooperativity. Finally, I discuss more controversial sensitivity schemes, such as noise-enhanced sensitivity, the exploitation of small-number combinatorics and double-layered feedback loops to suppress noise in disordered environments.

Determining Mutation Rates in Bacterial Populations

PubMed Central

Rosche, William A.; Foster, Patricia L.

2010-01-01

When properly determined, spontaneous mutation rates are a more accurate and biologically meaningful reflection of the underlying mutagenic mechanism than are mutation frequencies. Because bacteria grow exponentially and mutations arise stochastically, methods to estimate mutation rates depend on theoretical models that describe the distribution of mutant numbers among parallel cultures, as in the original Luria-Delbrück fluctuation analysis. An accurate determination of mutation rate depends on understanding the strengths and limitations of these methods, and how to design fluctuation assays to optimize a given method. In this paper we describe a number of methods to estimate mutation rates, give brief accounts of their derivations, and discuss how they behave under various experimental conditions. PMID:10610800

Multi-element least square HDMR methods and their applications for stochastic multiscale model reduction

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

Jiang, Lijian, E-mail: ljjiang@hnu.edu.cn; Li, Xinping, E-mail: exping@126.com

Stochastic multiscale modeling has become a necessary approach to quantify uncertainty and characterize multiscale phenomena for many practical problems such as flows in stochastic porous media. The numerical treatment of the stochastic multiscale models can be very challengeable as the existence of complex uncertainty and multiple physical scales in the models. To efficiently take care of the difficulty, we construct a computational reduced model. To this end, we propose a multi-element least square high-dimensional model representation (HDMR) method, through which the random domain is adaptively decomposed into a few subdomains, and a local least square HDMR is constructed in eachmore » subdomain. These local HDMRs are represented by a finite number of orthogonal basis functions defined in low-dimensional random spaces. The coefficients in the local HDMRs are determined using least square methods. We paste all the local HDMR approximations together to form a global HDMR approximation. To further reduce computational cost, we present a multi-element reduced least-square HDMR, which improves both efficiency and approximation accuracy in certain conditions. To effectively treat heterogeneity properties and multiscale features in the models, we integrate multiscale finite element methods with multi-element least-square HDMR for stochastic multiscale model reduction. This approach significantly reduces the original model's complexity in both the resolution of the physical space and the high-dimensional stochastic space. We analyze the proposed approach, and provide a set of numerical experiments to demonstrate the performance of the presented model reduction techniques. - Highlights: • Multi-element least square HDMR is proposed to treat stochastic models. • Random domain is adaptively decomposed into some subdomains to obtain adaptive multi-element HDMR. • Least-square reduced HDMR is proposed to enhance computation efficiency and approximation accuracy in certain conditions. • Integrating MsFEM and multi-element least square HDMR can significantly reduce computation complexity.« less

Integrals for IBS and beam cooling

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

Burov, A.; /Fermilab

Simulation of beam cooling usually requires performing certain integral transformations every time step or so, which is a significant burden on the CPU. Examples are the dispersion integrals (Hilbert transforms) in the stochastic cooling, wake fields and IBS integrals. An original method is suggested for fast and sufficiently accurate computation of the integrals. This method is applied for the dispersion integral. Some methodical aspects of the IBS analysis are discussed.

Integrals for IBS and Beam Cooling

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

Burov, A.

Simulation of beam cooling usually requires performing certain integral transformations every time step or so, which is a significant burden on the CPU. Examples are the dispersion integrals (Hilbert transforms) in the stochastic cooling, wake fields and IBS integrals. An original method is suggested for fast and sufficiently accurate computation of the integrals. This method is applied for the dispersion integral. Some methodical aspects of the IBS analysis are discussed.

Memory feedback PID control for exponential synchronisation of chaotic Lur'e systems

NASA Astrophysics Data System (ADS)

Zhang, Ruimei; Zeng, Deqiang; Zhong, Shouming; Shi, Kaibo

2017-09-01

This paper studies the problem of exponential synchronisation of chaotic Lur'e systems (CLSs) via memory feedback proportional-integral-derivative (PID) control scheme. First, a novel augmented Lyapunov-Krasovskii functional (LKF) is constructed, which can make full use of the information on time delay and activation function. Second, improved synchronisation criteria are obtained by using new integral inequalities, which can provide much tighter bounds than what the existing integral inequalities can produce. In comparison with existing results, in which only proportional control or proportional derivative (PD) control is used, less conservative results are derived for CLSs by PID control. Third, the desired memory feedback controllers are designed in terms of the solution to linear matrix inequalities. Finally, numerical simulations of Chua's circuit and neural network are provided to show the effectiveness and advantages of the proposed results.

Förster resonance energy transfer, absorption and emission spectra in multichromophoric systems. III. Exact stochastic path integral evaluation.

PubMed

Moix, Jeremy M; Ma, Jian; Cao, Jianshu

2015-03-07

A numerically exact path integral treatment of the absorption and emission spectra of open quantum systems is presented that requires only the straightforward solution of a stochastic differential equation. The approach converges rapidly enabling the calculation of spectra of large excitonic systems across the complete range of system parameters and for arbitrary bath spectral densities. With the numerically exact absorption and emission operators, one can also immediately compute energy transfer rates using the multi-chromophoric Förster resonant energy transfer formalism. Benchmark calculations on the emission spectra of two level systems are presented demonstrating the efficacy of the stochastic approach. This is followed by calculations of the energy transfer rates between two weakly coupled dimer systems as a function of temperature and system-bath coupling strength. It is shown that the recently developed hybrid cumulant expansion (see Paper II) is the only perturbative method capable of generating uniformly reliable energy transfer rates and emission spectra across a broad range of system parameters.

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.

Two-part models with stochastic processes for modelling longitudinal semicontinuous data: Computationally efficient inference and modelling the overall marginal mean.

PubMed

Yiu, Sean; Tom, Brian Dm

2017-01-01

Several researchers have described two-part models with patient-specific stochastic processes for analysing longitudinal semicontinuous data. In theory, such models can offer greater flexibility than the standard two-part model with patient-specific random effects. However, in practice, the high dimensional integrations involved in the marginal likelihood (i.e. integrated over the stochastic processes) significantly complicates model fitting. Thus, non-standard computationally intensive procedures based on simulating the marginal likelihood have so far only been proposed. In this paper, we describe an efficient method of implementation by demonstrating how the high dimensional integrations involved in the marginal likelihood can be computed efficiently. Specifically, by using a property of the multivariate normal distribution and the standard marginal cumulative distribution function identity, we transform the marginal likelihood so that the high dimensional integrations are contained in the cumulative distribution function of a multivariate normal distribution, which can then be efficiently evaluated. Hence, maximum likelihood estimation can be used to obtain parameter estimates and asymptotic standard errors (from the observed information matrix) of model parameters. We describe our proposed efficient implementation procedure for the standard two-part model parameterisation and when it is of interest to directly model the overall marginal mean. The methodology is applied on a psoriatic arthritis data set concerning functional disability.

Enhancement of epidemic spread by noise and stochastic resonance in spatial network models with viral dynamics.

PubMed

Tuckwell, H C; Toubiana, L; Vibert, J F

2000-05-01

We extend a previous dynamical viral network model to include stochastic effects. The dynamical equations for the viral and immune effector densities within a host population of size n are bilinear, and the noise is white, additive, and Gaussian. The individuals are connected with an n x n transmission matrix, with terms which decay exponentially with distance. In a single individual, for the range of noise parameters considered, it is found that increasing the amplitude of the noise tends to decrease the maximum mean virion level, and slightly accelerate its attainment. Two different spatial dynamical models are employed to ascertain the effects of environmental stochasticity on viral spread. In the first model transmission is unrestricted and there is no threshold within individuals. This model has the advantage that it can be analyzed using a Fokker-Planck approach. The noise is found both to synchronize and uniformize the trajectories of the viral levels across the population of infected individuals, and thus to promote the epidemic spread of the virus. Quantitative measures of the speed of spread and overall amplitude of the epidemic are obtained as functions of the noise and virulence parameters. The mean amplitude increases steadily without threshold effects for a fixed value of the virulence as the noise amplitude sigma is increased, and there is no evidence of a stochastic resonance. However, the speed of transmission, both with respect to its mean and variance, undergoes rapid increases as sigma changes by relatively small amounts. In the second, more realistic, model, there is a threshold for infection and an upper limit to the transmission rate. There may be no spread of infection at all in the absence of noise. With increasing noise level and a low threshold, the mean maximum virion level grows quickly and shows a broad-based stochastic resonance effect. When the threshold within individuals is increased, the mean population virion level increases only slowly as sigma increases, until a critical value is reached at which the mean infection level suddenly increases. Similar results are obtained when the parameters of the model are also randomized across the population. We conclude with a discussion and a description of a diffusion approximation for a model in which stochasticity arises through random contacts rather than fluctuation in ambient virion levels.

Disentangling Mechanisms That Mediate the Balance Between Stochastic and Deterministic Processes in Microbial Succession

DOE PAGES

Dini-Andreote, Francisco; Stegen, James C.; van Elsas, Jan D.; ...

2015-03-17

Despite growing recognition that deterministic and stochastic factors simultaneously influence bacterial communities, little is known about mechanisms shifting their relative importance. To better understand underlying mechanisms, we developed a conceptual model linking ecosystem development during primary succession to shifts in the stochastic/deterministic balance. To evaluate the conceptual model we coupled spatiotemporal data on soil bacterial communities with environmental conditions spanning 105 years of salt marsh development. At the local scale there was a progression from stochasticity to determinism due to Na accumulation with increasing ecosystem age, supporting a main element of the conceptual model. At the regional-scale, soil organic mattermore » (SOM) governed the relative influence of stochasticity and the type of deterministic ecological selection, suggesting scale-dependency in how deterministic ecological selection is imposed. Analysis of a new ecological simulation model supported these conceptual inferences. Looking forward, we propose an extended conceptual model that integrates primary and secondary succession in microbial systems.« less

Use of suprathreshold stochastic resonance in cochlear implant coding

NASA Astrophysics Data System (ADS)

Allingham, David; Stocks, Nigel G.; Morse, Robert P.

2003-05-01

In this article we discuss the possible use of a novel form of stochastic resonance, termed suprathreshold stochastic resonance (SSR), to improve signal encoding/transmission in cochlear implants. A model, based on the leaky-integrate-and-fire (LIF) neuron, has been developed from physiological data and use to model information flow in a population of cochlear nerve fibers. It is demonstrated that information flow can, in principle, be enhanced by the SSR effect. Furthermore, SSR was found to enhance information transmission for signal parameters that are commonly encountered in cochlear implants. This, therefore, gives hope that SSR may be implemented in cochlear implants to improve speech comprehension.

Stochastic Games. I. Foundations,

DTIC Science & Technology

1982-04-01

underpinning for the theory of stochastic games. Section 2 is a reworking of the Bevley- Kohlberg result integrated with Shapley’s; the "black magic" of... Kohlberg : The values of the r-discount game, and the stationary optimal strategies, have Puiseaux expansions. L.. 11" 6 3. More generally, consider an...1969). Introduction to Commu- tative Algebra. Reading, Mass.: Addison-Wesley. [3] Bewley, T. and E. Kohlberg (1976). "The Asymptotic Theory of

Joint Stochastic Inversion of Pre-Stack 3D Seismic Data and Well Logs for High Resolution Hydrocarbon Reservoir Characterization

NASA Astrophysics Data System (ADS)

Torres-Verdin, C.

2007-05-01

This paper describes the successful implementation of a new 3D AVA stochastic inversion algorithm to quantitatively integrate pre-stack seismic amplitude data and well logs. The stochastic inversion algorithm is used to characterize flow units of a deepwater reservoir located in the central Gulf of Mexico. Conventional fluid/lithology sensitivity analysis indicates that the shale/sand interface represented by the top of the hydrocarbon-bearing turbidite deposits generates typical Class III AVA responses. On the other hand, layer- dependent Biot-Gassmann analysis shows significant sensitivity of the P-wave velocity and density to fluid substitution. Accordingly, AVA stochastic inversion, which combines the advantages of AVA analysis with those of geostatistical inversion, provided quantitative information about the lateral continuity of the turbidite reservoirs based on the interpretation of inverted acoustic properties (P-velocity, S-velocity, density), and lithotype (sand- shale) distributions. The quantitative use of rock/fluid information through AVA seismic amplitude data, coupled with the implementation of co-simulation via lithotype-dependent multidimensional joint probability distributions of acoustic/petrophysical properties, yields accurate 3D models of petrophysical properties such as porosity and permeability. Finally, by fully integrating pre-stack seismic amplitude data and well logs, the vertical resolution of inverted products is higher than that of deterministic inversions methods.

Application of a linked stress release model in Corinth Gulf and Central Ionian Islands (Greece)

NASA Astrophysics Data System (ADS)

Mangira, Ourania; Vasiliadis, Georgios; Papadimitriou, Eleftheria

2017-06-01

Spatio-temporal stress changes and interactions between adjacent fault segments consist of the most important component in seismic hazard assessment, as they can alter the occurrence probability of strong earthquake onto these segments. The investigation of the interactions between adjacent areas by means of the linked stress release model is attempted for moderate earthquakes ( M ≥ 5.2) in the Corinth Gulf and the Central Ionian Islands (Greece). The study areas were divided in two subareas, based on seismotectonic criteria. The seismicity of each subarea is investigated by means of a stochastic point process and its behavior is determined by the conditional intensity function, which usually gets an exponential form. A conditional intensity function of Weibull form is used for identifying the most appropriate among the models (simple, independent and linked stress release model) for the interpretation of the earthquake generation process. The appropriateness of the models was decided after evaluation via the Akaike information criterion. Despite the fact that the curves of the conditional intensity functions exhibit similar behavior, the use of the exponential-type conditional intensity function seems to fit better the data.

Turbulence and the Stabilization Principle

NASA Technical Reports Server (NTRS)

Zak, Michail

2010-01-01

Further results of research, reported in several previous NASA Tech Briefs articles, were obtained on a mathematical formalism for postinstability motions of a dynamical system characterized by exponential divergences of trajectories leading to chaos (including turbulence). To recapitulate: Fictitious control forces are introduced to couple the dynamical equations with a Liouville equation that describes the evolution of the probability density of errors in initial conditions. These forces create a powerful terminal attractor in probability space that corresponds to occurrence of a target trajectory with probability one. The effect in ordinary perceived three-dimensional space is to suppress exponential divergences of neighboring trajectories without affecting the target trajectory. Con sequently, the postinstability motion is represented by a set of functions describing the evolution of such statistical quantities as expectations and higher moments, and this representation is stable. The previously reported findings are analyzed from the perspective of the authors Stabilization Principle, according to which (1) stability is recognized as an attribute of mathematical formalism rather than of underlying physics and (2) a dynamical system that appears unstable when modeled by differentiable functions only can be rendered stable by modifying the dynamical equations to incorporate intrinsic stochasticity.

Exploiting the Adaptation Dynamics to Predict the Distribution of Beneficial Fitness Effects

PubMed Central

2016-01-01

Adaptation of asexual populations is driven by beneficial mutations and therefore the dynamics of this process, besides other factors, depends on the distribution of beneficial fitness effects. It is known that on uncorrelated fitness landscapes, this distribution can only be of three types: truncated, exponential and power law. We performed extensive stochastic simulations to study the adaptation dynamics on rugged fitness landscapes, and identified two quantities that can be used to distinguish the underlying distribution of beneficial fitness effects. The first quantity studied here is the fitness difference between successive mutations that spread in the population, which is found to decrease in the case of truncated distributions, remains nearly a constant for exponentially decaying distributions and increases when the fitness distribution decays as a power law. The second quantity of interest, namely, the rate of change of fitness with time also shows quantitatively different behaviour for different beneficial fitness distributions. The patterns displayed by the two aforementioned quantities are found to hold good for both low and high mutation rates. We discuss how these patterns can be exploited to determine the distribution of beneficial fitness effects in microbial experiments. PMID:26990188

Influence of stochastic sea ice parametrization on climate and the role of atmosphere–sea ice–ocean interaction

PubMed Central

Juricke, Stephan; Jung, Thomas

2014-01-01

The influence of a stochastic sea ice strength parametrization on the mean climate is investigated in a coupled atmosphere–sea ice–ocean model. The results are compared with an uncoupled simulation with a prescribed atmosphere. It is found that the stochastic sea ice parametrization causes an effective weakening of the sea ice. In the uncoupled model this leads to an Arctic sea ice volume increase of about 10–20% after an accumulation period of approximately 20–30 years. In the coupled model, no such increase is found. Rather, the stochastic perturbations lead to a spatial redistribution of the Arctic sea ice thickness field. A mechanism involving a slightly negative atmospheric feedback is proposed that can explain the different responses in the coupled and uncoupled system. Changes in integrated Antarctic sea ice quantities caused by the stochastic parametrization are generally small, as memory is lost during the melting season because of an almost complete loss of sea ice. However, stochastic sea ice perturbations affect regional sea ice characteristics in the Southern Hemisphere, both in the uncoupled and coupled model. Remote impacts of the stochastic sea ice parametrization on the mean climate of non-polar regions were found to be small. PMID:24842027

Variable diffusion in stock market fluctuations

NASA Astrophysics Data System (ADS)

Hua, Jia-Chen; Chen, Lijian; Falcon, Liberty; McCauley, Joseph L.; Gunaratne, Gemunu H.

2015-02-01

We analyze intraday fluctuations in several stock indices to investigate the underlying stochastic processes using techniques appropriate for processes with nonstationary increments. The five most actively traded stocks each contains two time intervals during the day where the variance of increments can be fit by power law scaling in time. The fluctuations in return within these intervals follow asymptotic bi-exponential distributions. The autocorrelation function for increments vanishes rapidly, but decays slowly for absolute and squared increments. Based on these results, we propose an intraday stochastic model with linear variable diffusion coefficient as a lowest order approximation to the real dynamics of financial markets, and to test the effects of time averaging techniques typically used for financial time series analysis. We find that our model replicates major stylized facts associated with empirical financial time series. We also find that ensemble averaging techniques can be used to identify the underlying dynamics correctly, whereas time averages fail in this task. Our work indicates that ensemble average approaches will yield new insight into the study of financial markets' dynamics. Our proposed model also provides new insight into the modeling of financial markets dynamics in microscopic time scales.

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

Relaxation and coarsening of weakly-interacting breathers in a simplified DNLS chain

NASA Astrophysics Data System (ADS)

Iubini, Stefano; Politi, Antonio; Politi, Paolo

2017-07-01

The discrete nonlinear Schrödinger (DNLS) equation displays a parameter region characterized by the presence of localized excitations (breathers). While their formation is well understood and it is expected that the asymptotic configuration comprises a single breather on top of a background, it is not clear why the dynamics of a multi-breather configuration is essentially frozen. In order to investigate this question, we introduce simple stochastic models, characterized by suitable conservation laws. We focus on the role of the coupling strength between localized excitations and background. In the DNLS model, higher breathers interact more weakly, as a result of their faster rotation. In our stochastic models, the strength of the coupling is controlled directly by an amplitude-dependent parameter. In the case of a power-law decrease, the associated coarsening process undergoes a slowing down if the decay rate is larger than a critical value. In the case of an exponential decrease, a freezing effect is observed that is reminiscent of the scenario observed in the DNLS. This last regime arises spontaneously when direct energy diffusion between breathers and background is blocked below a certain threshold.

Kinematic state estimation and motion planning for stochastic nonholonomic systems using the exponential map

PubMed Central

Park, Wooram; Liu, Yan; Zhou, Yu; Moses, Matthew; Chirikjian, Gregory S.

2010-01-01

SUMMARY A nonholonomic system subjected to external noise from the environment, or internal noise in its own actuators, will evolve in a stochastic manner described by an ensemble of trajectories. This ensemble of trajectories is equivalent to the solution of a Fokker–Planck equation that typically evolves on a Lie group. If the most likely state of such a system is to be estimated, and plans for subsequent motions from the current state are to be made so as to move the system to a desired state with high probability, then modeling how the probability density of the system evolves is critical. Methods for solving Fokker-Planck equations that evolve on Lie groups then become important. Such equations can be solved using the operational properties of group Fourier transforms in which irreducible unitary representation (IUR) matrices play a critical role. Therefore, we develop a simple approach for the numerical approximation of all the IUR matrices for two of the groups of most interest in robotics: the rotation group in three-dimensional space, SO(3), and the Euclidean motion group of the plane, SE(2). This approach uses the exponential mapping from the Lie algebras of these groups, and takes advantage of the sparse nature of the Lie algebra representation matrices. Other techniques for density estimation on groups are also explored. The computed densities are applied in the context of probabilistic path planning for kinematic cart in the plane and flexible needle steering in three-dimensional space. In these examples the injection of artificial noise into the computational models (rather than noise in the actual physical systems) serves as a tool to search the configuration spaces and plan paths. Finally, we illustrate how density estimation problems arise in the characterization of physical noise in orientational sensors such as gyroscopes. PMID:20454468

Direct Solution of the Chemical Master Equation Using Quantized Tensor Trains

PubMed Central

Kazeev, Vladimir; Khammash, Mustafa; Nip, Michael; Schwab, Christoph

2014-01-01

The Chemical Master Equation (CME) is a cornerstone of stochastic analysis and simulation of models of biochemical reaction networks. Yet direct solutions of the CME have remained elusive. Although several approaches overcome the infinite dimensional nature of the CME through projections or other means, a common feature of proposed approaches is their susceptibility to the curse of dimensionality, i.e. the exponential growth in memory and computational requirements in the number of problem dimensions. We present a novel approach that has the potential to “lift” this curse of dimensionality. The approach is based on the use of the recently proposed Quantized Tensor Train (QTT) formatted numerical linear algebra for the low parametric, numerical representation of tensors. The QTT decomposition admits both, algorithms for basic tensor arithmetics with complexity scaling linearly in the dimension (number of species) and sub-linearly in the mode size (maximum copy number), and a numerical tensor rounding procedure which is stable and quasi-optimal. We show how the CME can be represented in QTT format, then use the exponentially-converging -discontinuous Galerkin discretization in time to reduce the CME evolution problem to a set of QTT-structured linear equations to be solved at each time step using an algorithm based on Density Matrix Renormalization Group (DMRG) methods from quantum chemistry. Our method automatically adapts the “basis” of the solution at every time step guaranteeing that it is large enough to capture the dynamics of interest but no larger than necessary, as this would increase the computational complexity. Our approach is demonstrated by applying it to three different examples from systems biology: independent birth-death process, an example of enzymatic futile cycle, and a stochastic switch model. The numerical results on these examples demonstrate that the proposed QTT method achieves dramatic speedups and several orders of magnitude storage savings over direct approaches. PMID:24626049

A Note on Feynman Path Integral for Electromagnetic External Fields

NASA Astrophysics Data System (ADS)

Botelho, Luiz C. L.

2017-08-01

We propose a Fresnel stochastic white noise framework to analyze the nature of the Feynman paths entering on the Feynman Path Integral expression for the Feynman Propagator of a particle quantum mechanically moving under an external electromagnetic time-independent potential.

Exponential propagators for the Schrödinger equation with a time-dependent potential.

PubMed

Bader, Philipp; Blanes, Sergio; Kopylov, Nikita

2018-06-28

We consider the numerical integration of the Schrödinger equation with a time-dependent Hamiltonian given as the sum of the kinetic energy and a time-dependent potential. Commutator-free (CF) propagators are exponential propagators that have shown to be highly efficient for general time-dependent Hamiltonians. We propose new CF propagators that are tailored for Hamiltonians of the said structure, showing a considerably improved performance. We obtain new fourth- and sixth-order CF propagators as well as a novel sixth-order propagator that incorporates a double commutator that only depends on coordinates, so this term can be considered as cost-free. The algorithms require the computation of the action of exponentials on a vector similar to the well-known exponential midpoint propagator, and this is carried out using the Lanczos method. We illustrate the performance of the new methods on several numerical examples.

Exponential convergence through linear finite element discretization of stratified subdomains

NASA Astrophysics Data System (ADS)

Guddati, Murthy N.; Druskin, Vladimir; Vaziri Astaneh, Ali

2016-10-01

Motivated by problems where the response is needed at select localized regions in a large computational domain, we devise a novel finite element discretization that results in exponential convergence at pre-selected points. The key features of the discretization are (a) use of midpoint integration to evaluate the contribution matrices, and (b) an unconventional mapping of the mesh into complex space. Named complex-length finite element method (CFEM), the technique is linked to Padé approximants that provide exponential convergence of the Dirichlet-to-Neumann maps and thus the solution at specified points in the domain. Exponential convergence facilitates drastic reduction in the number of elements. This, combined with sparse computation associated with linear finite elements, results in significant reduction in the computational cost. The paper presents the basic ideas of the method as well as illustration of its effectiveness for a variety of problems involving Laplace, Helmholtz and elastodynamics equations.

Stochastic simulation and robust design optimization of integrated photonic filters

NASA Astrophysics Data System (ADS)

Weng, Tsui-Wei; Melati, Daniele; Melloni, Andrea; Daniel, Luca

2017-01-01

Manufacturing variations are becoming an unavoidable issue in modern fabrication processes; therefore, it is crucial to be able to include stochastic uncertainties in the design phase. In this paper, integrated photonic coupled ring resonator filters are considered as an example of significant interest. The sparsity structure in photonic circuits is exploited to construct a sparse combined generalized polynomial chaos model, which is then used to analyze related statistics and perform robust design optimization. Simulation results show that the optimized circuits are more robust to fabrication process variations and achieve a reduction of 11%-35% in the mean square errors of the 3 dB bandwidth compared to unoptimized nominal designs.

Galactic Cosmic-ray Transport in the Global Heliosphere: A Four-Dimensional Stochastic Model

NASA Astrophysics Data System (ADS)

Florinski, V.

2009-04-01

We study galactic cosmic-ray transport in the outer heliosphere and heliosheath using a newly developed transport model based on stochastic integration of the phase-space trajectories of Parker's equation. The model employs backward integration of the diffusion-convection transport equation using Ito calculus and is four-dimensional in space+momentum. We apply the model to the problem of galactic proton transport in the heliosphere during a negative solar minimum. Model results are compared with the Voyager measurements of galactic proton radial gradients and spectra in the heliosheath. We show that the heliosheath is not as efficient in diverting cosmic rays during solar minima as predicted by earlier two-dimensional models.

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

Zhu, Z. W., E-mail: zhuzhiwen@tju.edu.cn; Li, X. M., E-mail: lixinmiaotju@163.com; Xu, J., E-mail: xujia-ld@163.com

A kind of magnetic shape memory alloy (MSMA) microgripper is proposed in this paper, and its nonlinear dynamic characteristics are studied when the stochastic perturbation is considered. Nonlinear differential items are introduced to explain the hysteretic phenomena of MSMA, and the constructive relationships among strain, stress, and magnetic field intensity are obtained by the partial least-square regression method. The nonlinear dynamic model of a MSMA microgripper subjected to in-plane stochastic excitation is developed. The stationary probability density function of the system’s response is obtained, the transition sets of the system are determined, and the conditions of stochastic bifurcation are obtained.more » The homoclinic and heteroclinic orbits of the system are given, and the boundary of the system’s safe basin is obtained by stochastic Melnikov integral method. The numerical and experimental results show that the system’s motion depends on its parameters, and stochastic Hopf bifurcation appears in the variation of the parameters; the area of the safe basin decreases with the increase of the stochastic excitation, and the boundary of the safe basin becomes fractal. The results of this paper are helpful for the application of MSMA microgripper in engineering fields.« less

A coupled stochastic inverse-management framework for dealing with nonpoint agriculture pollution under groundwater parameter uncertainty

NASA Astrophysics Data System (ADS)

Llopis-Albert, Carlos; Palacios-Marqués, Daniel; Merigó, José M.

2014-04-01

In this paper a methodology for the stochastic management of groundwater quality problems is presented, which can be used to provide agricultural advisory services. A stochastic algorithm to solve the coupled flow and mass transport inverse problem is combined with a stochastic management approach to develop methods for integrating uncertainty; thus obtaining more reliable policies on groundwater nitrate pollution control from agriculture. The stochastic inverse model allows identifying non-Gaussian parameters and reducing uncertainty in heterogeneous aquifers by constraining stochastic simulations to data. The management model determines the spatial and temporal distribution of fertilizer application rates that maximizes net benefits in agriculture constrained by quality requirements in groundwater at various control sites. The quality constraints can be taken, for instance, by those given by water laws such as the EU Water Framework Directive (WFD). Furthermore, the methodology allows providing the trade-off between higher economic returns and reliability in meeting the environmental standards. Therefore, this new technology can help stakeholders in the decision-making process under an uncertainty environment. The methodology has been successfully applied to a 2D synthetic aquifer, where an uncertainty assessment has been carried out by means of Monte Carlo simulation techniques.

Predicting evolutionary rescue via evolving plasticity in stochastic environments

PubMed Central

Baskett, Marissa L.

2016-01-01

Phenotypic plasticity and its evolution may help evolutionary rescue in a novel and stressful environment, especially if environmental novelty reveals cryptic genetic variation that enables the evolution of increased plasticity. However, the environmental stochasticity ubiquitous in natural systems may alter these predictions, because high plasticity may amplify phenotype–environment mismatches. Although previous studies have highlighted this potential detrimental effect of plasticity in stochastic environments, they have not investigated how it affects extinction risk in the context of evolutionary rescue and with evolving plasticity. We investigate this question here by integrating stochastic demography with quantitative genetic theory in a model with simultaneous change in the mean and predictability (temporal autocorrelation) of the environment. We develop an approximate prediction of long-term persistence under the new pattern of environmental fluctuations, and compare it with numerical simulations for short- and long-term extinction risk. We find that reduced predictability increases extinction risk and reduces persistence because it increases stochastic load during rescue. This understanding of how stochastic demography, phenotypic plasticity, and evolution interact when evolution acts on cryptic genetic variation revealed in a novel environment can inform expectations for invasions, extinctions, or the emergence of chemical resistance in pests. PMID:27655762

Spatial analysis of soil organic carbon in Zhifanggou catchment of the Loess Plateau.

PubMed

Li, Mingming; Zhang, Xingchang; Zhen, Qing; Han, Fengpeng

2013-01-01

Soil organic carbon (SOC) reflects soil quality and plays a critical role in soil protection, food safety, and global climate changes. This study involved grid sampling at different depths (6 layers) between 0 and 100 cm in a catchment. A total of 1282 soil samples were collected from 215 plots over 8.27 km(2). A combination of conventional analytical methods and geostatistical methods were used to analyze the data for spatial variability and soil carbon content patterns. The mean SOC content in the 1282 samples from the study field was 3.08 g · kg(-1). The SOC content of each layer decreased with increasing soil depth by a power function relationship. The SOC content of each layer was moderately variable and followed a lognormal distribution. The semi-variograms of the SOC contents of the six different layers were fit with the following models: exponential, spherical, exponential, Gaussian, exponential, and exponential, respectively. A moderate spatial dependence was observed in the 0-10 and 10-20 cm layers, which resulted from stochastic and structural factors. The spatial distribution of SOC content in the four layers between 20 and 100 cm exhibit were mainly restricted by structural factors. Correlations within each layer were observed between 234 and 562 m. A classical Kriging interpolation was used to directly visualize the spatial distribution of SOC in the catchment. The variability in spatial distribution was related to topography, land use type, and human activity. Finally, the vertical distribution of SOC decreased. Our results suggest that the ordinary Kriging interpolation can directly reveal the spatial distribution of SOC and the sample distance about this study is sufficient for interpolation or plotting. More research is needed, however, to clarify the spatial variability on the bigger scale and better understand the factors controlling spatial variability of soil carbon in the Loess Plateau region.

Disentangling mechanisms that mediate the balance between stochastic and deterministic processes in microbial succession.

PubMed

Dini-Andreote, Francisco; Stegen, James C; van Elsas, Jan Dirk; Salles, Joana Falcão

2015-03-17

Ecological succession and the balance between stochastic and deterministic processes are two major themes within microbial ecology, but these conceptual domains have mostly developed independent of each other. Here we provide a framework that integrates shifts in community assembly processes with microbial primary succession to better understand mechanisms governing the stochastic/deterministic balance. Synthesizing previous work, we devised a conceptual model that links ecosystem development to alternative hypotheses related to shifts in ecological assembly processes. Conceptual model hypotheses were tested by coupling spatiotemporal data on soil bacterial communities with environmental conditions in a salt marsh chronosequence spanning 105 years of succession. Analyses within successional stages showed community composition to be initially governed by stochasticity, but as succession proceeded, there was a progressive increase in deterministic selection correlated with increasing sodium concentration. Analyses of community turnover among successional stages--which provide a larger spatiotemporal scale relative to within stage analyses--revealed that changes in the concentration of soil organic matter were the main predictor of the type and relative influence of determinism. Taken together, these results suggest scale-dependency in the mechanisms underlying selection. To better understand mechanisms governing these patterns, we developed an ecological simulation model that revealed how changes in selective environments cause shifts in the stochastic/deterministic balance. Finally, we propose an extended--and experimentally testable--conceptual model integrating ecological assembly processes with primary and secondary succession. This framework provides a priori hypotheses for future experiments, thereby facilitating a systematic approach to understand assembly and succession in microbial communities across ecosystems.

Disentangling mechanisms that mediate the balance between stochastic and deterministic processes in microbial succession

PubMed Central

Dini-Andreote, Francisco; Stegen, James C.; van Elsas, Jan Dirk; Salles, Joana Falcão

2015-01-01

Ecological succession and the balance between stochastic and deterministic processes are two major themes within microbial ecology, but these conceptual domains have mostly developed independent of each other. Here we provide a framework that integrates shifts in community assembly processes with microbial primary succession to better understand mechanisms governing the stochastic/deterministic balance. Synthesizing previous work, we devised a conceptual model that links ecosystem development to alternative hypotheses related to shifts in ecological assembly processes. Conceptual model hypotheses were tested by coupling spatiotemporal data on soil bacterial communities with environmental conditions in a salt marsh chronosequence spanning 105 years of succession. Analyses within successional stages showed community composition to be initially governed by stochasticity, but as succession proceeded, there was a progressive increase in deterministic selection correlated with increasing sodium concentration. Analyses of community turnover among successional stages—which provide a larger spatiotemporal scale relative to within stage analyses—revealed that changes in the concentration of soil organic matter were the main predictor of the type and relative influence of determinism. Taken together, these results suggest scale-dependency in the mechanisms underlying selection. To better understand mechanisms governing these patterns, we developed an ecological simulation model that revealed how changes in selective environments cause shifts in the stochastic/deterministic balance. Finally, we propose an extended—and experimentally testable—conceptual model integrating ecological assembly processes with primary and secondary succession. This framework provides a priori hypotheses for future experiments, thereby facilitating a systematic approach to understand assembly and succession in microbial communities across ecosystems. PMID:25733885

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.

Kinetics of Thermal Unimolecular Decomposition of Acetic Anhydride: An Integrated Deterministic and Stochastic Model.

PubMed

Mai, Tam V-T; Duong, Minh V; Nguyen, Hieu T; Lin, Kuang C; Huynh, Lam K

2017-04-27

An integrated deterministic and stochastic model within the master equation/Rice-Ramsperger-Kassel-Marcus (ME/RRKM) framework was first used to characterize temperature- and pressure-dependent behaviors of thermal decomposition of acetic anhydride in a wide range of conditions (i.e., 300-1500 K and 0.001-100 atm). Particularly, using potential energy surface and molecular properties obtained from high-level electronic structure calculations at CCSD(T)/CBS, macroscopic thermodynamic properties and rate coefficients of the title reaction were derived with corrections for hindered internal rotation and tunneling treatments. Being in excellent agreement with the scattered experimental data, the results from deterministic and stochastic frameworks confirmed and complemented each other to reveal that the main decomposition pathway proceeds via a 6-membered-ring transition state with the 0 K barrier of 35.2 kcal·mol -1 . This observation was further understood and confirmed by the sensitivity analysis on the time-resolved species profiles and the derived rate coefficients with respect to the ab initio barriers. Such an agreement suggests the integrated model can be confidently used for a wide range of conditions as a powerful postfacto and predictive tool in detailed chemical kinetic modeling and simulation for the title reaction and thus can be extended to complex chemical reactions.

Two-state theory of binned photon statistics for a large class of waiting time distributions and its application to quantum dot blinking

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

Volkán-Kacsó, Sándor

2014-06-14

A theoretical method is proposed for the calculation of the photon counting probability distribution during a bin time. Two-state fluorescence and steady excitation are assumed. A key feature is a kinetic scheme that allows for an extensive class of stochastic waiting time distribution functions, including power laws, expanded as a sum of weighted decaying exponentials. The solution is analytic in certain conditions, and an exact and simple expression is found for the integral contribution of “bright” and “dark” states. As an application for power law kinetics, theoretical results are compared with experimental intensity histograms from a number of blinking CdSe/ZnSmore » quantum dots. The histograms are consistent with distributions of intensity states around a “bright” and a “dark” maximum. A gap of states is also revealed in the more-or-less flat inter-peak region. The slope and to some extent the flatness of the inter-peak feature are found to be sensitive to the power-law exponents. Possible models consistent with these findings are discussed, such as the combination of multiple charging and fluctuating non-radiative channels or the multiple recombination center model. A fitting of the latter to experiment provides constraints on the interaction parameter between the recombination centers. Further extensions and applications of the photon counting theory are also discussed.« less

From Spiking Neuron Models to Linear-Nonlinear Models

PubMed Central

Ostojic, Srdjan; Brunel, Nicolas

2011-01-01

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

From spiking neuron models to linear-nonlinear models.

PubMed

Ostojic, Srdjan; Brunel, Nicolas

2011-01-20

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

Random transitions described by the stochastic Smoluchowski-Poisson system and by the stochastic Keller-Segel model.

PubMed

Chavanis, P H; Delfini, L

2014-03-01

We study random transitions between two metastable states that appear below a critical temperature in a one-dimensional self-gravitating Brownian gas with a modified Poisson equation experiencing a second order phase transition from a homogeneous phase to an inhomogeneous phase [P. H. Chavanis and L. Delfini, Phys. Rev. E 81, 051103 (2010)]. We numerically solve the N-body Langevin equations and the stochastic Smoluchowski-Poisson system, which takes fluctuations (finite N effects) into account. The system switches back and forth between the two metastable states (bistability) and the particles accumulate successively at the center or at the boundary of the domain. We explicitly show that these random transitions exhibit the phenomenology of the ordinary Kramers problem for a Brownian particle in a double-well potential. The distribution of the residence time is Poissonian and the average lifetime of a metastable state is given by the Arrhenius law; i.e., it is proportional to the exponential of the barrier of free energy ΔF divided by the energy of thermal excitation kBT. Since the free energy is proportional to the number of particles N for a system with long-range interactions, the lifetime of metastable states scales as eN and is considerable for N≫1. As a result, in many applications, metastable states of systems with long-range interactions can be considered as stable states. However, for moderate values of N, or close to a critical point, the lifetime of the metastable states is reduced since the barrier of free energy decreases. In that case, the fluctuations become important and the mean field approximation is no more valid. This is the situation considered in this paper. By an appropriate change of notations, our results also apply to bacterial populations experiencing chemotaxis in biology. Their dynamics can be described by a stochastic Keller-Segel model that takes fluctuations into account and goes beyond the usual mean field approximation.

Algorithms for Performance, Dependability, and Performability Evaluation using Stochastic Activity Networks

NASA Technical Reports Server (NTRS)

Deavours, Daniel D.; Qureshi, M. Akber; Sanders, William H.

1997-01-01

Modeling tools and technologies are important for aerospace development. At the University of Illinois, we have worked on advancing the state of the art in modeling by Markov reward models in two important areas: reducing the memory necessary to numerically solve systems represented as stochastic activity networks and other stochastic Petri net extensions while still obtaining solutions in a reasonable amount of time, and finding numerically stable and memory-efficient methods to solve for the reward accumulated during a finite mission time. A long standing problem when modeling with high level formalisms such as stochastic activity networks is the so-called state space explosion, where the number of states increases exponentially with size of the high level model. Thus, the corresponding Markov model becomes prohibitively large and solution is constrained by the the size of primary memory. To reduce the memory necessary to numerically solve complex systems, we propose new methods that can tolerate such large state spaces that do not require any special structure in the model (as many other techniques do). First, we develop methods that generate row and columns of the state transition-rate-matrix on-the-fly, eliminating the need to explicitly store the matrix at all. Next, we introduce a new iterative solution method, called modified adaptive Gauss-Seidel, that exhibits locality in its use of data from the state transition-rate-matrix, permitting us to cache portions of the matrix and hence reduce the solution time. Finally, we develop a new memory and computationally efficient technique for Gauss-Seidel based solvers that avoids the need for generating rows of A in order to solve Ax = b. This is a significant performance improvement for on-the-fly methods as well as other recent solution techniques based on Kronecker operators. Taken together, these new results show that one can solve very large models without any special structure.

Wave-optics modeling of the optical-transport line for passive optical stochastic cooling

NASA Astrophysics Data System (ADS)

Andorf, M. B.; Lebedev, V. A.; Piot, P.; Ruan, J.

2018-03-01

Optical stochastic cooling (OSC) is expected to enable fast cooling of dense particle beams. Transition from microwave to optical frequencies enables an achievement of stochastic cooling rates which are orders of magnitude higher than ones achievable with the classical microwave based stochastic cooling systems. A subsystemcritical to the OSC scheme is the focusing optics used to image radiation from the upstream "pickup" undulator to the downstream "kicker" undulator. In this paper, we present simulation results using wave-optics calculation carried out with the SYNCHROTRON RADIATION WORKSHOP (SRW). Our simulations are performed in support to a proof-of-principle experiment planned at the Integrable Optics Test Accelerator (IOTA) at Fermilab. The calculations provide an estimate of the energy kick received by a 100-MeV electron as it propagates in the kicker undulator and interacts with the electromagnetic pulse it radiated at an earlier time while traveling through the pickup undulator.

Stochastic determination of matrix determinants

NASA Astrophysics Data System (ADS)

Dorn, Sebastian; Enßlin, Torsten A.

2015-07-01

Matrix determinants play an important role in data analysis, in particular when Gaussian processes are involved. Due to currently exploding data volumes, linear operations—matrices—acting on the data are often not accessible directly but are only represented indirectly in form of a computer routine. Such a routine implements the transformation a data vector undergoes under matrix multiplication. While efficient probing routines to estimate a matrix's diagonal or trace, based solely on such computationally affordable matrix-vector multiplications, are well known and frequently used in signal inference, there is no stochastic estimate for its determinant. We introduce a probing method for the logarithm of a determinant of a linear operator. Our method rests upon a reformulation of the log-determinant by an integral representation and the transformation of the involved terms into stochastic expressions. This stochastic determinant determination enables large-size applications in Bayesian inference, in particular evidence calculations, model comparison, and posterior determination.

Stochastic determination of matrix determinants.

PubMed

Dorn, Sebastian; Ensslin, Torsten A

2015-07-01

Matrix determinants play an important role in data analysis, in particular when Gaussian processes are involved. Due to currently exploding data volumes, linear operations-matrices-acting on the data are often not accessible directly but are only represented indirectly in form of a computer routine. Such a routine implements the transformation a data vector undergoes under matrix multiplication. While efficient probing routines to estimate a matrix's diagonal or trace, based solely on such computationally affordable matrix-vector multiplications, are well known and frequently used in signal inference, there is no stochastic estimate for its determinant. We introduce a probing method for the logarithm of a determinant of a linear operator. Our method rests upon a reformulation of the log-determinant by an integral representation and the transformation of the involved terms into stochastic expressions. This stochastic determinant determination enables large-size applications in Bayesian inference, in particular evidence calculations, model comparison, and posterior determination.

Distributed Secure Coordinated Control for Multiagent Systems Under Strategic Attacks.

PubMed

Feng, Zhi; Wen, Guanghui; Hu, Guoqiang

2017-05-01

This paper studies a distributed secure consensus tracking control problem for multiagent systems subject to strategic cyber attacks modeled by a random Markov process. A hybrid stochastic secure control framework is established for designing a distributed secure control law such that mean-square exponential consensus tracking is achieved. A connectivity restoration mechanism is considered and the properties on attack frequency and attack length rate are investigated, respectively. Based on the solutions of an algebraic Riccati equation and an algebraic Riccati inequality, a procedure to select the control gains is provided and stability analysis is studied by using Lyapunov's method.. The effect of strategic attacks on discrete-time systems is also investigated. Finally, numerical examples are provided to illustrate the effectiveness of theoretical analysis.

Finite-temperature effects in helical quantum turbulence

NASA Astrophysics Data System (ADS)

Clark Di Leoni, Patricio; Mininni, Pablo D.; Brachet, Marc E.

2018-04-01

We perform a study of the evolution of helical quantum turbulence at different temperatures by solving numerically the Gross-Pitaevskii and the stochastic Ginzburg-Landau equations, using up to 40963 grid points with a pseudospectral method. We show that for temperatures close to the critical one, the fluid described by these equations can act as a classical viscous flow, with the decay of the incompressible kinetic energy and the helicity becoming exponential. The transition from this behavior to the one observed at zero temperature is smooth as a function of temperature. Moreover, the presence of strong thermal effects can inhibit the development of a proper turbulent cascade. We provide Ansätze for the effective viscosity and friction as a function of the temperature.

Noise-driven neuromorphic tuned amplifier.

PubMed

Fanelli, Duccio; Ginelli, Francesco; Livi, Roberto; Zagli, Niccoló; Zankoc, Clement

2017-12-01

We study a simple stochastic model of neuronal excitatory and inhibitory interactions. The model is defined on a directed lattice and internodes couplings are modulated by a nonlinear function that mimics the process of synaptic activation. We prove that such a system behaves as a fully tunable amplifier: the endogenous component of noise, stemming from finite size effects, seeds a coherent (exponential) amplification across the chain generating giant oscillations with tunable frequencies, a process that the brain could exploit to enhance, and eventually encode, different signals. On a wider perspective, the characterized amplification process could provide a reliable pacemaking mechanism for biological systems. The device extracts energy from the finite size bath and operates as an out of equilibrium thermal machine, under stationary conditions.

Demonstration of fundamental statistics by studying timing of electronics signals in a physics-based laboratory

NASA Astrophysics Data System (ADS)

Beach, Shaun E.; Semkow, Thomas M.; Remling, David J.; Bradt, Clayton J.

2017-07-01

We have developed accessible methods to demonstrate fundamental statistics in several phenomena, in the context of teaching electronic signal processing in a physics-based college-level curriculum. A relationship between the exponential time-interval distribution and Poisson counting distribution for a Markov process with constant rate is derived in a novel way and demonstrated using nuclear counting. Negative binomial statistics is demonstrated as a model for overdispersion and justified by the effect of electronic noise in nuclear counting. The statistics of digital packets on a computer network are shown to be compatible with the fractal-point stochastic process leading to a power-law as well as generalized inverse Gaussian density distributions of time intervals between packets.

Stochastic sampling of quadrature grids for the evaluation of vibrational expectation values

NASA Astrophysics Data System (ADS)

López Ríos, Pablo; Monserrat, Bartomeu; Needs, Richard J.

2018-02-01

The thermal lines method for the evaluation of vibrational expectation values of electronic observables [B. Monserrat, Phys. Rev. B 93, 014302 (2016), 10.1103/PhysRevB.93.014302] was recently proposed as a physically motivated approximation offering balance between the accuracy of direct Monte Carlo integration and the low computational cost of using local quadratic approximations. In this paper we reformulate thermal lines as a stochastic implementation of quadrature-grid integration, analyze the analytical form of its bias, and extend the method to multiple-point quadrature grids applicable to any factorizable harmonic or anharmonic nuclear wave function. The bias incurred by thermal lines is found to depend on the local form of the expectation value, and we demonstrate that the use of finer quadrature grids along selected modes can eliminate this bias, while still offering an ˜30 % lower computational cost than direct Monte Carlo integration in our tests.

Evo-SETI SCALE to measure Life on Exoplanets

NASA Astrophysics Data System (ADS)

Maccone, Claudio

2016-04-01

Darwinian Evolution over the last 3.5 billion years was an increase in the number of living species from 1 (RNA?) to the current 50 million. This increasing trend in time looks like being exponential, but one may not assume an exactly exponential curve since many species went extinct in the past, even in mass extinctions. Thus, the simple exponential curve must be replaced by a stochastic process having an exponential mean value. Borrowing from financial mathematics (;Black-Scholes models;), this ;exponential; stochastic process is called Geometric Brownian Motion (GBM), and its probability density function (pdf) is a lognormal (not a Gaussian) (Proof: see ref. Maccone [3], Chapter 30, and ref. Maccone [4]). Lognormal also is the pdf of the statistical number of communicating ExtraTerrestrial (ET) civilizations in the Galaxy at a certain fixed time, like a snapshot: this result was found in 2008 by this author as his solution to the Statistical Drake Equation of SETI (Proof: see ref. Maccone [1]). Thus, the GBM of Darwinian Evolution may also be regarded as the extension in time of the Statistical Drake equation (Proof: see ref. Maccone [4]). But the key step ahead made by this author in his Evo-SETI (Evolution and SETI) mathematical model was to realize that LIFE also is just a b-lognormal in time: every living organism (a cell, a human, a civilization, even an ET civilization) is born at a certain time b (;birth;), grows up to a peak p (with an ascending inflexion point in between, a for adolescence), then declines from p to s (senility, i.e. descending inflexion point) and finally declines linearly and dies at a final instant d (death). In other words, the infinite tail of the b-lognormal was cut away and replaced by just a straight line between s and d, leading to simple mathematical formulae (;History Formulae;) allowing one to find this ;finite b-lognormal; when the three instants b, s, and d are assigned. Next the crucial Peak-Locus Theorem comes. It means that the GBM exponential may be regarded as the geometric locus of all the peaks of a one-parameter (i.e. the peak time p) family of b-lognormals. Since b-lognormals are pdf-s, the area under each of them always equals 1 (normalization condition) and so, going from left to right on the time axis, the b-lognormals become more and more ;peaky;, and so they last less and less in time. This is precisely what happened in human history: civilizations that lasted millennia (like Ancient Greece and Rome) lasted just centuries (like the Italian Renaissance and Portuguese, Spanish, French, British and USA Empires) but they were more and more advanced in the ;level of civilization;. This ;level of civilization; is what physicists call ENTROPY. Also, in refs. Maccone [3] and [4], this author proved that, for all GBMs, the (Shannon) Entropy of the b-lognormals in his Peak-Locus Theorem grows LINEARLY in time. The Molecular Clock, well known to geneticists since 50 years, shows that the DNA base-substitutions occur LINEARLY in time since they are neutral with respect to Darwinian selection. In simple words: DNA evolved by obeying the laws of quantum physics only (microscopic laws) and not by obeying assumed ;Darwinian selection laws; (macroscopic laws). This is Kimura's neutral theory of molecular evolution. The conclusion is that the Molecular Clock and the b-lognormal Entropy are the same thing. At last, we reach the new, original result justifying the publication of this paper. On exoplanets, molecular evolution is proceeding at about the same rate as it did proceed on Earth: rather independently of the physical conditions of the exoplanet, if the DNA had the possibility to evolve in water initially. Thus, Evo-Entropy, i.e. the (Shannon) Entropy of the generic b-lognormal of the Peak-Locus Theorem, provides the Evo-SETI SCALE to measure the evolution of life on exoplanets.

The time-course of protection of the RTS,S vaccine against malaria infections and clinical disease.

PubMed

Penny, Melissa A; Pemberton-Ross, Peter; Smith, Thomas A

2015-11-04

Recent publications have reported follow-up of the RTS,S/AS01 malaria vaccine candidate Phase III trials at 11 African sites for 32 months (or longer). This includes site- and time-specific estimates of incidence and efficacy against clinical disease with four different vaccination schedules. These data allow estimation of the time-course of protection against infection associated with two different ages of vaccination, both with and without a booster dose. Using an ensemble of individual-based stochastic models, each trial cohort in the Phase III trial was simulated assuming many different hypothetical profiles for the vaccine efficacy against infection in time, for both the primary course and boosting dose and including the potential for either exponential or non-exponential decay. The underlying profile of protection was determined by Bayesian fitting of these model predictions to the site- and time-specific incidence of clinical malaria over 32 months (or longer) of follow-up. Using the same stochastic models, projections of clinical efficacy in each of the sites were modelled and compared to available observed trial data. The initial protection of RTS,S immediately following three doses is estimated as providing an efficacy against infection of 65 % (when immunizing infants aged 6-12 weeks old) and 91 % (immunizing children aged 5-17 months old at first vaccination). This protection decays relatively rapidly, with an approximately exponential decay for the 6-12 weeks old cohort (with a half-life of 7.2 months); for the 5-17 months old cohort a biphasic decay with a similar half-life is predicted, with an initial rapid decay followed by a slower decay. The boosting dose was estimated to return protection to an efficacy against infection of 50-55 % for both cohorts. Estimates of clinical efficacy by trial site are consistent with those reported in the trial for all cohorts. The site- and time-specific clinical observations from the RTS,S/AS01 trial data allowed a reasonably precise estimation of the underlying vaccine protection against infection which is consistent with common underlying efficacy and decay rates across the trial sites. This calibration suggests that the decay in efficacy against clinical disease is more rapid than that against infection because of age-shifts in the incidence of disease. The dynamical models predict that clinical effectiveness will continue to decay and that likely effects beyond the time-scale of the trial will be small.

Time step rescaling recovers continuous-time dynamical properties for discrete-time Langevin integration of nonequilibrium systems.

PubMed

Sivak, David A; Chodera, John D; Crooks, Gavin E

2014-06-19

When simulating molecular systems using deterministic equations of motion (e.g., Newtonian dynamics), such equations are generally numerically integrated according to a well-developed set of algorithms that share commonly agreed-upon desirable properties. However, for stochastic equations of motion (e.g., Langevin dynamics), there is still broad disagreement over which integration algorithms are most appropriate. While multiple desiderata have been proposed throughout the literature, consensus on which criteria are important is absent, and no published integration scheme satisfies all desiderata simultaneously. Additional nontrivial complications stem from simulating systems driven out of equilibrium using existing stochastic integration schemes in conjunction with recently developed nonequilibrium fluctuation theorems. Here, we examine a family of discrete time integration schemes for Langevin dynamics, assessing how each member satisfies a variety of desiderata that have been enumerated in prior efforts to construct suitable Langevin integrators. We show that the incorporation of a novel time step rescaling in the deterministic updates of position and velocity can correct a number of dynamical defects in these integrators. Finally, we identify a particular splitting (related to the velocity Verlet discretization) that has essentially universally appropriate properties for the simulation of Langevin dynamics for molecular systems in equilibrium, nonequilibrium, and path sampling contexts.

A general time-dependent stochastic method for solving Parker's transport equation in spherical coordinates

NASA Astrophysics Data System (ADS)

Pei, C.; Bieber, J. W.; Burger, R. A.; Clem, J.

2010-12-01

We present a detailed description of our newly developed stochastic approach for solving Parker's transport equation, which we believe is the first attempt to solve it with time dependence in 3-D, evolving from our 3-D steady state stochastic approach. Our formulation of this method is general and is valid for any type of heliospheric magnetic field, although we choose the standard Parker field as an example to illustrate the steps to calculate the transport of galactic cosmic rays. Our 3-D stochastic method is different from other stochastic approaches in the literature in several ways. For example, we employ spherical coordinates to integrate directly, which makes the code much more efficient by reducing coordinate transformations. What is more, the equivalence between our stochastic differential equations and Parker's transport equation is guaranteed by Ito's theorem in contrast to some other approaches. We generalize the technique for calculating particle flux based on the pseudoparticle trajectories for steady state solutions and for time-dependent solutions in 3-D. To validate our code, first we show that good agreement exists between solutions obtained by our steady state stochastic method and a traditional finite difference method. Then we show that good agreement also exists for our time-dependent method for an idealized and simplified heliosphere which has a Parker magnetic field and a simple initial condition for two different inner boundary conditions.

Stochastic Optimally Tuned Range-Separated Hybrid Density Functional Theory.

PubMed

Neuhauser, Daniel; Rabani, Eran; Cytter, Yael; Baer, Roi

2016-05-19

We develop a stochastic formulation of the optimally tuned range-separated hybrid density functional theory that enables significant reduction of the computational effort and scaling of the nonlocal exchange operator at the price of introducing a controllable statistical error. Our method is based on stochastic representations of the Coulomb convolution integral and of the generalized Kohn-Sham density matrix. The computational cost of the approach is similar to that of usual Kohn-Sham density functional theory, yet it provides a much more accurate description of the quasiparticle energies for the frontier orbitals. This is illustrated for a series of silicon nanocrystals up to sizes exceeding 3000 electrons. Comparison with the stochastic GW many-body perturbation technique indicates excellent agreement for the fundamental band gap energies, good agreement for the band edge quasiparticle excitations, and very low statistical errors in the total energy for large systems. The present approach has a major advantage over one-shot GW by providing a self-consistent Hamiltonian that is central for additional postprocessing, for example, in the stochastic Bethe-Salpeter approach.

Spatial delineation, fluid-lithology characterization, and petrophysical modeling of deepwater Gulf of Mexico reservoirs though joint AVA deterministic and stochastic inversion of three-dimensional partially-stacked seismic amplitude data and well logs

NASA Astrophysics Data System (ADS)

Contreras, Arturo Javier

This dissertation describes a novel Amplitude-versus-Angle (AVA) inversion methodology to quantitatively integrate pre-stack seismic data, well logs, geologic data, and geostatistical information. Deterministic and stochastic inversion algorithms are used to characterize flow units of deepwater reservoirs located in the central Gulf of Mexico. A detailed fluid/lithology sensitivity analysis was conducted to assess the nature of AVA effects in the study area. Standard AVA analysis indicates that the shale/sand interface represented by the top of the hydrocarbon-bearing turbidite deposits generate typical Class III AVA responses. Layer-dependent Biot-Gassmann analysis shows significant sensitivity of the P-wave velocity and density to fluid substitution, indicating that presence of light saturating fluids clearly affects the elastic response of sands. Accordingly, AVA deterministic and stochastic inversions, which combine the advantages of AVA analysis with those of inversion, have provided quantitative information about the lateral continuity of the turbidite reservoirs based on the interpretation of inverted acoustic properties and fluid-sensitive modulus attributes (P-Impedance, S-Impedance, density, and LambdaRho, in the case of deterministic inversion; and P-velocity, S-velocity, density, and lithotype (sand-shale) distributions, in the case of stochastic inversion). The quantitative use of rock/fluid information through AVA seismic data, coupled with the implementation of co-simulation via lithotype-dependent multidimensional joint probability distributions of acoustic/petrophysical properties, provides accurate 3D models of petrophysical properties such as porosity, permeability, and water saturation. Pre-stack stochastic inversion provides more realistic and higher-resolution results than those obtained from analogous deterministic techniques. Furthermore, 3D petrophysical models can be more accurately co-simulated from AVA stochastic inversion results. By combining AVA sensitivity analysis techniques with pre-stack stochastic inversion, geologic data, and awareness of inversion pitfalls, it is possible to substantially reduce the risk in exploration and development of conventional and non-conventional reservoirs. From the final integration of deterministic and stochastic inversion results with depositional models and analogous examples, the M-series reservoirs have been interpreted as stacked terminal turbidite lobes within an overall fan complex (the Miocene MCAVLU Submarine Fan System); this interpretation is consistent with previous core data interpretations and regional stratigraphic/depositional studies.

Matrix exponential-based closures for the turbulent subgrid-scale stress tensor.

PubMed

Li, Yi; Chevillard, Laurent; Eyink, Gregory; Meneveau, Charles

2009-01-01

Two approaches for closing the turbulence subgrid-scale stress tensor in terms of matrix exponentials are introduced and compared. The first approach is based on a formal solution of the stress transport equation in which the production terms can be integrated exactly in terms of matrix exponentials. This formal solution of the subgrid-scale stress transport equation is shown to be useful to explore special cases, such as the response to constant velocity gradient, but neglecting pressure-strain correlations and diffusion effects. The second approach is based on an Eulerian-Lagrangian change of variables, combined with the assumption of isotropy for the conditionally averaged Lagrangian velocity gradient tensor and with the recent fluid deformation approximation. It is shown that both approaches lead to the same basic closure in which the stress tensor is expressed as the matrix exponential of the resolved velocity gradient tensor multiplied by its transpose. Short-time expansions of the matrix exponentials are shown to provide an eddy-viscosity term and particular quadratic terms, and thus allow a reinterpretation of traditional eddy-viscosity and nonlinear stress closures. The basic feasibility of the matrix-exponential closure is illustrated by implementing it successfully in large eddy simulation of forced isotropic turbulence. The matrix-exponential closure employs the drastic approximation of entirely omitting the pressure-strain correlation and other nonlinear scrambling terms. But unlike eddy-viscosity closures, the matrix exponential approach provides a simple and local closure that can be derived directly from the stress transport equation with the production term, and using physically motivated assumptions about Lagrangian decorrelation and upstream isotropy.

Additive noise-induced Turing transitions in spatial systems with application to neural fields and the Swift Hohenberg equation

NASA Astrophysics Data System (ADS)

Hutt, Axel; Longtin, Andre; Schimansky-Geier, Lutz

2008-05-01

This work studies the spatio-temporal dynamics of a generic integral-differential equation subject to additive random fluctuations. It introduces a combination of the stochastic center manifold approach for stochastic differential equations and the adiabatic elimination for Fokker-Planck equations, and studies analytically the systems’ stability near Turing bifurcations. In addition two types of fluctuation are studied, namely fluctuations uncorrelated in space and time, and global fluctuations, which are constant in space but uncorrelated in time. We show that the global fluctuations shift the Turing bifurcation threshold. This shift is proportional to the fluctuation variance. Applications to a neural field equation and the Swift-Hohenberg equation reveal the shift of the bifurcation to larger control parameters, which represents a stabilization of the system. All analytical results are confirmed by numerical simulations of the occurring mode equations and the full stochastic integral-differential equation. To gain some insight into experimental manifestations, the sum of uncorrelated and global additive fluctuations is studied numerically and the analytical results on global fluctuations are confirmed qualitatively.

Ecological invasion, roughened fronts, and a competitor's extreme advance: integrating stochastic spatial-growth models.

PubMed

O'Malley, Lauren; Korniss, G; Caraco, Thomas

2009-07-01

Both community ecology and conservation biology seek further understanding of factors governing the advance of an invasive species. We model biological invasion as an individual-based, stochastic process on a two-dimensional landscape. An ecologically superior invader and a resident species compete for space preemptively. Our general model includes the basic contact process and a variant of the Eden model as special cases. We employ the concept of a "roughened" front to quantify effects of discreteness and stochasticity on invasion; we emphasize the probability distribution of the front-runner's relative position. That is, we analyze the location of the most advanced invader as the extreme deviation about the front's mean position. We find that a class of models with different assumptions about neighborhood interactions exhibits universal characteristics. That is, key features of the invasion dynamics span a class of models, independently of locally detailed demographic rules. Our results integrate theories of invasive spatial growth and generate novel hypotheses linking habitat or landscape size (length of the invading front) to invasion velocity, and to the relative position of the most advanced invader.

Target Lagrangian kinematic simulation for particle-laden flows.

PubMed

Murray, S; Lightstone, M F; Tullis, S

2016-09-01

The target Lagrangian kinematic simulation method was motivated as a stochastic Lagrangian particle model that better synthesizes turbulence structure, relative to stochastic separated flow models. By this method, the trajectories of particles are constructed according to synthetic turbulent-like fields, which conform to a target Lagrangian integral timescale. In addition to recovering the expected Lagrangian properties of fluid tracers, this method is shown to reproduce the crossing trajectories and continuity effects, in agreement with an experimental benchmark.

Matrix elements of N-particle explicitly correlated Gaussian basis functions with complex exponential parameters

NASA Astrophysics Data System (ADS)

Bubin, Sergiy; Adamowicz, Ludwik

2006-06-01

In this work we present analytical expressions for Hamiltonian matrix elements with spherically symmetric, explicitly correlated Gaussian basis functions with complex exponential parameters for an arbitrary number of particles. The expressions are derived using the formalism of matrix differential calculus. In addition, we present expressions for the energy gradient that includes derivatives of the Hamiltonian integrals with respect to the exponential parameters. The gradient is used in the variational optimization of the parameters. All the expressions are presented in the matrix form suitable for both numerical implementation and theoretical analysis. The energy and gradient formulas have been programed and used to calculate ground and excited states of the He atom using an approach that does not involve the Born-Oppenheimer approximation.

Matrix elements of N-particle explicitly correlated Gaussian basis functions with complex exponential parameters.

PubMed

Bubin, Sergiy; Adamowicz, Ludwik

2006-06-14

In this work we present analytical expressions for Hamiltonian matrix elements with spherically symmetric, explicitly correlated Gaussian basis functions with complex exponential parameters for an arbitrary number of particles. The expressions are derived using the formalism of matrix differential calculus. In addition, we present expressions for the energy gradient that includes derivatives of the Hamiltonian integrals with respect to the exponential parameters. The gradient is used in the variational optimization of the parameters. All the expressions are presented in the matrix form suitable for both numerical implementation and theoretical analysis. The energy and gradient formulas have been programmed and used to calculate ground and excited states of the He atom using an approach that does not involve the Born-Oppenheimer approximation.

Stochastic integrated assessment of climate tipping points indicates the need for strict climate policy

NASA Astrophysics Data System (ADS)

Lontzek, Thomas S.; Cai, Yongyang; Judd, Kenneth L.; Lenton, Timothy M.

2015-05-01

Perhaps the most `dangerous’ aspect of future climate change is the possibility that human activities will push parts of the climate system past tipping points, leading to irreversible impacts. The likelihood of such large-scale singular events is expected to increase with global warming, but is fundamentally uncertain. A key question is how should the uncertainty surrounding tipping events affect climate policy? We address this using a stochastic integrated assessment model, based on the widely used deterministic DICE model. The temperature-dependent likelihood of tipping is calibrated using expert opinions, which we find to be internally consistent. The irreversible impacts of tipping events are assumed to accumulate steadily over time (rather than instantaneously), consistent with scientific understanding. Even with conservative assumptions about the rate and impacts of a stochastic tipping event, today’s optimal carbon tax is increased by ~50%. For a plausibly rapid, high-impact tipping event, today’s optimal carbon tax is increased by >200%. The additional carbon tax to delay climate tipping grows at only about half the rate of the baseline carbon tax. This implies that the effective discount rate for the costs of stochastic climate tipping is much lower than the discount rate for deterministic climate damages. Our results support recent suggestions that the costs of carbon emission used to inform policy are being underestimated, and that uncertain future climate damages should be discounted at a low rate.

Edgeworth expansions of stochastic trading time

NASA Astrophysics Data System (ADS)

Decamps, Marc; De Schepper, Ann

2010-08-01

Under most local and stochastic volatility models the underlying forward is assumed to be a positive function of a time-changed Brownian motion. It relates nicely the implied volatility smile to the so-called activity rate in the market. Following Young and DeWitt-Morette (1986) [8], we propose to apply the Duru-Kleinert process-cum-time transformation in path integral to formulate the transition density of the forward. The method leads to asymptotic expansions of the transition density around a Gaussian kernel corresponding to the average activity in the market conditional on the forward value. The approximation is numerically illustrated for pricing vanilla options under the CEV model and the popular normal SABR model. The asymptotics can also be used for Monte Carlo simulations or backward integration schemes.

Stable schemes for dissipative particle dynamics with conserved energy

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

Stoltz, Gabriel, E-mail: stoltz@cermics.enpc.fr

2017-07-01

This article presents a new numerical scheme for the discretization of dissipative particle dynamics with conserved energy. The key idea is to reduce elementary pairwise stochastic dynamics (either fluctuation/dissipation or thermal conduction) to effective single-variable dynamics, and to approximate the solution of these dynamics with one step of a Metropolis–Hastings algorithm. This ensures by construction that no negative internal energies are encountered during the simulation, and hence allows to increase the admissible timesteps to integrate the dynamics, even for systems with small heat capacities. Stability is only limited by the Hamiltonian part of the dynamics, which suggests resorting to multiplemore » timestep strategies where the stochastic part is integrated less frequently than the Hamiltonian one.« less

s-Ordered Exponential of Quadratic Forms Gained via IWSOP Technique

NASA Astrophysics Data System (ADS)

Bazrafkan, M. R.; Shähandeh, F.; Nahvifard, E.

2012-11-01

Using the generalized bar{s}-ordered Wigner operator, in which bar{s} is a vector over the field of complex numbers, the technique of integration within an s-ordered product of operators (IWSOP) has been extended to multimode case. We derive the bar{s}-ordered form of the widely applicable multimode exponential of quadratic form exp\\{sum_{i,j = 1}n ai^{dag}\\varLambda_{ij}{aj}\\} , each mode being in some particular order s i , applying this method.

Extremely rare collapse and build-up of turbulence in stochastic models of transitional wall flows.

PubMed

Rolland, Joran

2018-02-01

This paper presents a numerical and theoretical study of multistability in two stochastic models of transitional wall flows. An algorithm dedicated to the computation of rare events is adapted on these two stochastic models. The main focus is placed on a stochastic partial differential equation model proposed by Barkley. Three types of events are computed in a systematic and reproducible manner: (i) the collapse of isolated puffs and domains initially containing their steady turbulent fraction; (ii) the puff splitting; (iii) the build-up of turbulence from the laminar base flow under a noise perturbation of vanishing variance. For build-up events, an extreme realization of the vanishing variance noise pushes the state from the laminar base flow to the most probable germ of turbulence which in turn develops into a full blown puff. For collapse events, the Reynolds number and length ranges of the two regimes of collapse of laminar-turbulent pipes, independent collapse or global collapse of puffs, is determined. The mean first passage time before each event is then systematically computed as a function of the Reynolds number r and pipe length L in the laminar-turbulent coexistence range of Reynolds number. In the case of isolated puffs, the faster-than-linear growth with Reynolds number of the logarithm of mean first passage time T before collapse is separated in two. One finds that ln(T)=A_{p}r-B_{p}, with A_{p} and B_{p} positive. Moreover, A_{p} and B_{p} are affine in the spatial integral of turbulence intensity of the puff, with the same slope. In the case of pipes initially containing the steady turbulent fraction, the length L and Reynolds number r dependence of the mean first passage time T before collapse is also separated. The author finds that T≍exp[L(Ar-B)] with A and B positive. The length and Reynolds number dependence of T are then discussed in view of the large deviations theoretical approaches of the study of mean first passage times and multistability, where ln(T) in the limit of small variance noise is studied. Two points of view, local noise of small variance and large length, can be used to discuss the exponential dependence in L of T. In particular, it is shown how a T≍exp[L(A^{'}R-B^{'})] can be derived in a conceptual two degrees of freedom model of a transitional wall flow proposed by Dauchot and Manneville. This is done by identifying a quasipotential in low variance noise, large length limit. This pinpoints the physical effects controlling collapse and build-up trajectories and corresponding passage times with an emphasis on the saddle points between laminar and turbulent states. This analytical analysis also shows that these effects lead to the asymmetric probability density function of kinetic energy of turbulence.

Extremely rare collapse and build-up of turbulence in stochastic models of transitional wall flows

NASA Astrophysics Data System (ADS)

Rolland, Joran

2018-02-01

This paper presents a numerical and theoretical study of multistability in two stochastic models of transitional wall flows. An algorithm dedicated to the computation of rare events is adapted on these two stochastic models. The main focus is placed on a stochastic partial differential equation model proposed by Barkley. Three types of events are computed in a systematic and reproducible manner: (i) the collapse of isolated puffs and domains initially containing their steady turbulent fraction; (ii) the puff splitting; (iii) the build-up of turbulence from the laminar base flow under a noise perturbation of vanishing variance. For build-up events, an extreme realization of the vanishing variance noise pushes the state from the laminar base flow to the most probable germ of turbulence which in turn develops into a full blown puff. For collapse events, the Reynolds number and length ranges of the two regimes of collapse of laminar-turbulent pipes, independent collapse or global collapse of puffs, is determined. The mean first passage time before each event is then systematically computed as a function of the Reynolds number r and pipe length L in the laminar-turbulent coexistence range of Reynolds number. In the case of isolated puffs, the faster-than-linear growth with Reynolds number of the logarithm of mean first passage time T before collapse is separated in two. One finds that ln(T ) =Apr -Bp , with Ap and Bp positive. Moreover, Ap and Bp are affine in the spatial integral of turbulence intensity of the puff, with the same slope. In the case of pipes initially containing the steady turbulent fraction, the length L and Reynolds number r dependence of the mean first passage time T before collapse is also separated. The author finds that T ≍exp[L (A r -B )] with A and B positive. The length and Reynolds number dependence of T are then discussed in view of the large deviations theoretical approaches of the study of mean first passage times and multistability, where ln(T ) in the limit of small variance noise is studied. Two points of view, local noise of small variance and large length, can be used to discuss the exponential dependence in L of T . In particular, it is shown how a T ≍exp[L (A'R -B') ] can be derived in a conceptual two degrees of freedom model of a transitional wall flow proposed by Dauchot and Manneville. This is done by identifying a quasipotential in low variance noise, large length limit. This pinpoints the physical effects controlling collapse and build-up trajectories and corresponding passage times with an emphasis on the saddle points between laminar and turbulent states. This analytical analysis also shows that these effects lead to the asymmetric probability density function of kinetic energy of turbulence.

Weak Galilean invariance as a selection principle for coarse-grained diffusive models.

PubMed

Cairoli, Andrea; Klages, Rainer; Baule, Adrian

2018-05-29

How does the mathematical description of a system change in different reference frames? Galilei first addressed this fundamental question by formulating the famous principle of Galilean invariance. It prescribes that the equations of motion of closed systems remain the same in different inertial frames related by Galilean transformations, thus imposing strong constraints on the dynamical rules. However, real world systems are often described by coarse-grained models integrating complex internal and external interactions indistinguishably as friction and stochastic forces. Since Galilean invariance is then violated, there is seemingly no alternative principle to assess a priori the physical consistency of a given stochastic model in different inertial frames. Here, starting from the Kac-Zwanzig Hamiltonian model generating Brownian motion, we show how Galilean invariance is broken during the coarse-graining procedure when deriving stochastic equations. Our analysis leads to a set of rules characterizing systems in different inertial frames that have to be satisfied by general stochastic models, which we call "weak Galilean invariance." Several well-known stochastic processes are invariant in these terms, except the continuous-time random walk for which we derive the correct invariant description. Our results are particularly relevant for the modeling of biological systems, as they provide a theoretical principle to select physically consistent stochastic models before a validation against experimental data.

Measures of thermodynamic irreversibility in deterministic and stochastic dynamics

NASA Astrophysics Data System (ADS)

Ford, Ian J.

2015-07-01

It is generally observed that if a dynamical system is sufficiently complex, then as time progresses it will share out energy and other properties amongst its component parts to eliminate any initial imbalances, retaining only fluctuations. This is known as energy dissipation and it is closely associated with the concept of thermodynamic irreversibility, measured by the increase in entropy according to the second law. It is of interest to quantify such behaviour from a dynamical rather than a thermodynamic perspective and to this end stochastic entropy production and the time-integrated dissipation function have been introduced as analogous measures of irreversibility, principally for stochastic and deterministic dynamics, respectively. We seek to compare these measures. First we modify the dissipation function to allow it to measure irreversibility in situations where the initial probability density function (pdf) of the system is asymmetric as well as symmetric in velocity. We propose that it tests for failure of what we call the obversibility of the system, to be contrasted with reversibility, the failure of which is assessed by stochastic entropy production. We note that the essential difference between stochastic entropy production and the time-integrated modified dissipation function lies in the sequence of procedures undertaken in the associated tests of irreversibility. We argue that an assumed symmetry of the initial pdf with respect to velocity inversion (within a framework of deterministic dynamics) can be incompatible with the Past Hypothesis, according to which there should be a statistical distinction between the behaviour of certain properties of an isolated system as it evolves into the far future and the remote past. Imposing symmetry on a velocity distribution is acceptable for many applications of statistical physics, but can introduce difficulties when discussing irreversible behaviour.

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.

Adaptive output-feedback control for switched stochastic uncertain nonlinear systems with time-varying delay.

PubMed

Song, Zhibao; Zhai, Junyong

2018-04-01

This paper addresses the problem of adaptive output-feedback control for a class of switched stochastic time-delay nonlinear systems with uncertain output function, where both the control coefficients and time-varying delay are unknown. The drift and diffusion terms are subject to unknown homogeneous growth condition. By virtue of adding a power integrator technique, an adaptive output-feedback controller is designed to render that the closed-loop system is bounded in probability, and the state of switched stochastic nonlinear system can be globally regulated to the origin almost surely. A numerical example is provided to demonstrate the validity of the proposed control method. Copyright © 2018 ISA. Published by Elsevier Ltd. All rights reserved.

Memory behaviors of entropy production rates in heat conduction

NASA Astrophysics Data System (ADS)

Li, Shu-Nan; Cao, Bing-Yang

2018-02-01

Based on the relaxation time approximation and first-order expansion, memory behaviors in heat conduction are found between the macroscopic and Boltzmann-Gibbs-Shannon (BGS) entropy production rates with exponentially decaying memory kernels. In the frameworks of classical irreversible thermodynamics (CIT) and BGS statistical mechanics, the memory dependency on the integrated history is unidirectional, while for the extended irreversible thermodynamics (EIT) and BGS entropy production rates, the memory dependences are bidirectional and coexist with the linear terms. When macroscopic and microscopic relaxation times satisfy a specific relationship, the entropic memory dependences will be eliminated. There also exist initial effects in entropic memory behaviors, which decay exponentially. The second-order term are also discussed, which can be understood as the global non-equilibrium degree. The effects of the second-order term are consisted of three parts: memory dependency, initial value and linear term. The corresponding memory kernels are still exponential and the initial effects of the global non-equilibrium degree also decay exponentially.

Stochasticity in numerical solutions of the nonlinear Schroedinger equation

NASA Technical Reports Server (NTRS)

Shen, Mei-Mei; Nicholson, D. R.

1987-01-01

The cubically nonlinear Schroedinger equation is an important model of nonlinear phenomena in fluids and plasmas. Numerical solutions in a spatially periodic system commonly involve truncation to a finite number of Fourier modes. These solutions are found to be stochastic in the sense that the largest Liapunov exponent is positive. As the number of modes is increased, the size of this exponent appears to converge to zero, in agreement with the recent demonstration of the integrability of the spatially periodic case.

Stochastic Network Interdiction

DTIC Science & Technology

1998-04-01

UB(6, g) are monotonic in the sense that if 69 is a refinement of 6: wI~6! < wI~69! and w# ~6, g! > w# ~69, g!. See Hausch and Ziemba (1983) for...of Vulnerability—The Integrity Family. Networks 24, 207–213. HAUSCH, D. B., AND W. T. ZIEMBA . 1983. Bounds on the Value of Information in Uncertain...Decision Problems II. Stochastics 10, 181–217. HUANG, C. C., W. T. ZIEMBA , AND A. BEN-TAL. 1977. Bounds on the Expectation of a Convex Function of a

Noise and Dissipation on Coadjoint Orbits

NASA Astrophysics Data System (ADS)

Arnaudon, Alexis; De Castro, Alex L.; Holm, Darryl D.

2018-02-01

We derive and study stochastic dissipative dynamics on coadjoint orbits by incorporating noise and dissipation into mechanical systems arising from the theory of reduction by symmetry, including a semidirect product extension. Random attractors are found for this general class of systems when the Lie algebra is semi-simple, provided the top Lyapunov exponent is positive. We study in details two canonical examples, the free rigid body and the heavy top, whose stochastic integrable reductions are found and numerical simulations of their random attractors are shown.

On time-dependent diffusion coefficients arising from stochastic processes with memory

NASA Astrophysics Data System (ADS)

Carpio-Bernido, M. Victoria; Barredo, Wilson I.; Bernido, Christopher C.

2017-08-01

Time-dependent diffusion coefficients arise from anomalous diffusion encountered in many physical systems such as protein transport in cells. We compare these coefficients with those arising from analysis of stochastic processes with memory that go beyond fractional Brownian motion. Facilitated by the Hida white noise functional integral approach, diffusion propagators or probability density functions (pdf) are obtained and shown to be solutions of modified diffusion equations with time-dependent diffusion coefficients. This should be useful in the study of complex transport processes.

Integrated Human Behavior Modeling and Stochastic Control (IHBMSC)

DTIC Science & Technology

2014-08-01

T after the outcome of two inspections has become available is calculated as in the Kalman filtering paradigm. First and foremost, n = 2 is adequate...output, the probability P2(T |·, ·) that the inspected object is a T is calculated—see equations (5.7, 5.8) where a discrete Kalman filtering ...information or value. The behavior of the Stochastic Controller can be usefully compared to a 2-stage screen or a 2-stage filter . The 1st stage of the

Stochastic Analysis and Applied Probability(3.3.1): Topics in the Theory and Applications of Stochastic Analysis

DTIC Science & Technology

2015-08-13

is due to Reiman [36] who considered the case where the arrivals and services are mutually independent renewal processes with square integrable summands...to a reflected diffusion process with drift and diffusion coefficients that depend on the state of the process. In models considered in works of Reiman ...the infinity Laplacian. Jour. AMS, to appear [36] M. I. Reiman . Open queueing networks in heavy traffic. Mathematics of Operations Research, 9(3): 441

Capture of fixation by rotational flow; a deterministic hypothesis regarding scaling and stochasticity in fixational eye movements

PubMed Central

Wilkinson, Nicholas M.; Metta, Giorgio

2014-01-01

Visual scan paths exhibit complex, stochastic dynamics. Even during visual fixation, the eye is in constant motion. Fixational drift and tremor are thought to reflect fluctuations in the persistent neural activity of neural integrators in the oculomotor brainstem, which integrate sequences of transient saccadic velocity signals into a short term memory of eye position. Despite intensive research and much progress, the precise mechanisms by which oculomotor posture is maintained remain elusive. Drift exhibits a stochastic statistical profile which has been modeled using random walk formalisms. Tremor is widely dismissed as noise. Here we focus on the dynamical profile of fixational tremor, and argue that tremor may be a signal which usefully reflects the workings of oculomotor postural control. We identify signatures reminiscent of a certain flavor of transient neurodynamics; toric traveling waves which rotate around a central phase singularity. Spiral waves play an organizational role in dynamical systems at many scales throughout nature, though their potential functional role in brain activity remains a matter of educated speculation. Spiral waves have a repertoire of functionally interesting dynamical properties, including persistence, which suggest that they could in theory contribute to persistent neural activity in the oculomotor postural control system. Whilst speculative, the singularity hypothesis of oculomotor postural control implies testable predictions, and could provide the beginnings of an integrated dynamical framework for eye movements across scales. PMID:24616670

Towards a theory of cortical columns: From spiking neurons to interacting neural populations of finite size.

PubMed

Schwalger, Tilo; Deger, Moritz; Gerstner, Wulfram

2017-04-01

Neural population equations such as neural mass or field models are widely used to study brain activity on a large scale. However, the relation of these models to the properties of single neurons is unclear. Here we derive an equation for several interacting populations at the mesoscopic scale starting from a microscopic model of randomly connected generalized integrate-and-fire neuron models. Each population consists of 50-2000 neurons of the same type but different populations account for different neuron types. The stochastic population equations that we find reveal how spike-history effects in single-neuron dynamics such as refractoriness and adaptation interact with finite-size fluctuations on the population level. Efficient integration of the stochastic mesoscopic equations reproduces the statistical behavior of the population activities obtained from microscopic simulations of a full spiking neural network model. The theory describes nonlinear emergent dynamics such as finite-size-induced stochastic transitions in multistable networks and synchronization in balanced networks of excitatory and inhibitory neurons. The mesoscopic equations are employed to rapidly integrate a model of a cortical microcircuit consisting of eight neuron types, which allows us to predict spontaneous population activities as well as evoked responses to thalamic input. Our theory establishes a general framework for modeling finite-size neural population dynamics based on single cell and synapse parameters and offers an efficient approach to analyzing cortical circuits and computations.

TIME-DOMAIN METHODS FOR DIFFUSIVE TRANSPORT IN SOFT MATTER

PubMed Central

Fricks, John; Yao, Lingxing; Elston, Timothy C.; Gregory Forest, And M.

2015-01-01

Passive microrheology [12] utilizes measurements of noisy, entropic fluctuations (i.e., diffusive properties) of micron-scale spheres in soft matter to infer bulk frequency-dependent loss and storage moduli. Here, we are concerned exclusively with diffusion of Brownian particles in viscoelastic media, for which the Mason-Weitz theoretical-experimental protocol is ideal, and the more challenging inference of bulk viscoelastic moduli is decoupled. The diffusive theory begins with a generalized Langevin equation (GLE) with a memory drag law specified by a kernel [7, 16, 22, 23]. We start with a discrete formulation of the GLE as an autoregressive stochastic process governing microbead paths measured by particle tracking. For the inverse problem (recovery of the memory kernel from experimental data) we apply time series analysis (maximum likelihood estimators via the Kalman filter) directly to bead position data, an alternative to formulas based on mean-squared displacement statistics in frequency space. For direct modeling, we present statistically exact GLE algorithms for individual particle paths as well as statistical correlations for displacement and velocity. Our time-domain methods rest upon a generalization of well-known results for a single-mode exponential kernel [1, 7, 22, 23] to an arbitrary M-mode exponential series, for which the GLE is transformed to a vector Ornstein-Uhlenbeck process. PMID:26412904

Driven fragmentation of granular gases.

PubMed

Cruz Hidalgo, Raúl; Pagonabarraga, Ignacio

2008-06-01

The dynamics of homogeneously heated granular gases which fragment due to particle collisions is analyzed. We introduce a kinetic model which accounts for correlations induced at the grain collisions and analyze both the kinetics and relevant distribution functions these systems develop. The work combines analytical and numerical studies based on direct simulation Monte Carlo calculations. A broad family of fragmentation probabilities is considered, and its implications for the system kinetics are discussed. We show that generically these driven materials evolve asymptotically into a dynamical scaling regime. If the fragmentation probability tends to a constant, the grain number diverges at a finite time, leading to a shattering singularity. If the fragmentation probability vanishes, then the number of grains grows monotonously as a power law. We consider different homogeneous thermostats and show that the kinetics of these systems depends weakly on both the grain inelasticity and driving. We observe that fragmentation plays a relevant role in the shape of the velocity distribution of the particles. When the fragmentation is driven by local stochastic events, the long velocity tail is essentially exponential independently of the heating frequency and the breaking rule. However, for a Lowe-Andersen thermostat, numerical evidence strongly supports the conjecture that the scaled velocity distribution follows a generalized exponential behavior f(c) approximately exp(-cn) , with n approximately 1.2 , regarding less the fragmentation mechanisms.

Cluster-cluster aggregation with particle replication and chemotaxy: a simple model for the growth of animal cells in culture

NASA Astrophysics Data System (ADS)

Alves, S. G.; Martins, M. L.

2010-09-01

Aggregation of animal cells in culture comprises a series of motility, collision and adhesion processes of basic relevance for tissue engineering, bioseparations, oncology research and in vitro drug testing. In the present paper, a cluster-cluster aggregation model with stochastic particle replication and chemotactically driven motility is investigated as a model for the growth of animal cells in culture. The focus is on the scaling laws governing the aggregation kinetics. Our simulations reveal that in the absence of chemotaxy the mean cluster size and the total number of clusters scale in time as stretched exponentials dependent on the particle replication rate. Also, the dynamical cluster size distribution functions are represented by a scaling relation in which the scaling function involves a stretched exponential of the time. The introduction of chemoattraction among the particles leads to distribution functions decaying as power laws with exponents that decrease in time. The fractal dimensions and size distributions of the simulated clusters are qualitatively discussed in terms of those determined experimentally for several normal and tumoral cell lines growing in culture. It is shown that particle replication and chemotaxy account for the simplest cluster size distributions of cellular aggregates observed in culture.

Exponential Thurston maps and limits of quadratic differentials

NASA Astrophysics Data System (ADS)

Hubbard, John; Schleicher, Dierk; Shishikura, Mitsuhiro

2009-01-01

We give a topological characterization of postsingularly finite topological exponential maps, i.e., universal covers g\\colon{C}to{C}setminus\\{0\\} such that 0 has a finite orbit. Such a map either is Thurston equivalent to a unique holomorphic exponential map λ e^z or it has a topological obstruction called a degenerate Levy cycle. This is the first analog of Thurston's topological characterization theorem of rational maps, as published by Douady and Hubbard, for the case of infinite degree. One main tool is a theorem about the distribution of mass of an integrable quadratic differential with a given number of poles, providing an almost compact space of models for the entire mass of quadratic differentials. This theorem is given for arbitrary Riemann surfaces of finite type in a uniform way.

Spectrometry and filtering with high rejection of stray light

DOEpatents

Ferrell, Thomas L.; Thundat, Thomas G.

2004-12-14

A microoptoelectromechanical integrated spectrometer with a photonic element assembly having metal foil removably disposed on a first transparent substrate surface, the substrate having no foil on any other surface. A means is provided for directing source photons that are reflected from or transmitted through a sample, over a range of angles of incidence, into the transparent substrate and onto the metal foil such that source photons are incident at the Brewsters angle. A means is also provided for detecting an induced exponential field in the metal foil. A means is also provided for relating the induced exponential field to a known exponential field for the sample and determining the identity of the sample. The spectrometer performs ultraviolet-to-visible-to-infrared spectroscopy using photon tunneling and surface plasmon excitation.

Stochastic modelling of wall stresses in abdominal aortic aneurysms treated by a gene therapy.

PubMed

Mohand-Kaci, Faïza; Ouni, Anissa Eddhahak; Dai, Jianping; Allaire, Eric; Zidi, Mustapha

2012-01-01

A stochastic mechanical model using the membrane theory was used to simulate the in vivo mechanical behaviour of abdominal aortic aneurysms (AAAs) in order to compute the wall stresses after stabilisation by gene therapy. For that, both length and diameter of AAAs rats were measured during their expansion. Four groups of animals, control and treated by an endovascular gene therapy during 3 or 28 days were included. The mechanical problem was solved analytically using the geometric parameters and assuming the shape of aneurysms by a 'parabolic-exponential curve'. When compared to controls, stress variations in the wall of AAAs for treated arteries during 28 days decreased, while they were nearly constant at day 3. The measured geometric parameters of AAAs were then investigated using probability density functions (pdf) attributed to every random variable. Different trials were useful to define a reliable confidence region in which the probability to have a realisation is equal to 99%. The results demonstrated that the error in the estimation of the stresses can be greater than 28% when parameters uncertainties are not considered in the modelling. The relevance of the proposed approach for the study of AAA growth may be studied further and extended to other treatments aimed at stabilisation AAAs, using biotherapies and pharmacological approaches.

Stochastic Averaging Principle for Spatial Birth-and-Death Evolutions in the Continuum

NASA Astrophysics Data System (ADS)

Friesen, Martin; Kondratiev, Yuri

2018-06-01

We study a spatial birth-and-death process on the phase space of locally finite configurations Γ^+ × Γ^- over R}^d. Dynamics is described by an non-equilibrium evolution of states obtained from the Fokker-Planck equation and associated with the Markov operator L^+(γ ^-) + 1/ɛ L^-, ɛ > 0. Here L^- describes the environment process on Γ^- and L^+(γ ^-) describes the system process on Γ^+, where γ ^- indicates that the corresponding birth-and-death rates depend on another locally finite configuration γ ^- \\in Γ^-. We prove that, for a certain class of birth-and-death rates, the corresponding Fokker-Planck equation is well-posed, i.e. there exists a unique evolution of states μ _t^{ɛ } on Γ^+ × Γ^-. Moreover, we give a sufficient condition such that the environment is ergodic with exponential rate. Let μ _{inv} be the invariant measure for the environment process on Γ^-. In the main part of this work we establish the stochastic averaging principle, i.e. we prove that the marginal of μ _t^{ɛ } onto Γ^+ converges weakly to an evolution of states on {Γ}^+ associated with the averaged Markov birth-and-death operator {\\overline{L}} = \\int _{Γ}^- L^+(γ ^-)d μ _{inv}(γ ^-).

Stochastic Averaging Principle for Spatial Birth-and-Death Evolutions in the Continuum

NASA Astrophysics Data System (ADS)

Friesen, Martin; Kondratiev, Yuri

2018-04-01

We study a spatial birth-and-death process on the phase space of locally finite configurations Γ^+ × Γ^- over R^d . Dynamics is described by an non-equilibrium evolution of states obtained from the Fokker-Planck equation and associated with the Markov operator L^+(γ ^-) + 1/ɛ L^- , ɛ > 0 . Here L^- describes the environment process on Γ^- and L^+(γ ^-) describes the system process on Γ^+ , where γ ^- indicates that the corresponding birth-and-death rates depend on another locally finite configuration γ ^- \\in Γ^- . We prove that, for a certain class of birth-and-death rates, the corresponding Fokker-Planck equation is well-posed, i.e. there exists a unique evolution of states μ _t^{ɛ } on Γ^+ × Γ^- . Moreover, we give a sufficient condition such that the environment is ergodic with exponential rate. Let μ _{inv} be the invariant measure for the environment process on Γ^- . In the main part of this work we establish the stochastic averaging principle, i.e. we prove that the marginal of μ _t^{ɛ } onto Γ^+ converges weakly to an evolution of states on Γ^+ associated with the averaged Markov birth-and-death operator \\overline{L} = \\int _{Γ}^-}L^+(γ ^-)d μ _{inv}(γ ^-).

Diffusive motion with nonlinear friction: apparently Brownian.

PubMed

Goohpattader, Partho S; Chaudhury, Manoj K

2010-07-14

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

Evidence for Chaotic Edge Turbulence in the Alcator C-Mod Tokamak

NASA Astrophysics Data System (ADS)

Zhu, Ziyan; White, Anne; Carter, Troy; Terry, Jim; Baek, Seung Gyou

2017-10-01

Turbulence greatly reduces the confinement time of magnetic-confined plasmas; understanding the nature of this turbulence and the associated transport is therefore of great importance. This research seeks to establish whether turbulent fluctuations in Alcator C-Mod are chaotic or stochastic. Stochastic fluctuations may lead to a random walk diffusive transport, whereas a diffusive description is unlikely to be valid for chaotic fluctuations since it lives in restricted areas of phase space (e.g., on attractors). Analysis of the time series obtained with the O-mode reflectometer and the gas puff imaging (GPI) systems reveals that the turbulent density fluctuations in C-Mod are chaotic. Supporting evidence for this conclusion includes the observation of an exponential power spectra (which is associated with Lorentzian-shaped pulses in the time series), the population of the corresponding Bandt-Pompe (BP) probability distribution, and the location of the signal on the Complexity-Entropy plane (C-H plane). These analysis techniques will be briefly introduced along with a discussion of the analysis results. The classification of edge turbulence as chaotic opens the door for further work to understand the underlying process and the impact on turbulent transport. Supported by USDoE awards DE-FC02-99ER54512 and DE-FC02-07ER54918:011.

Stochastic Model for the Vocabulary Growth in Natural Languages

NASA Astrophysics Data System (ADS)

Gerlach, Martin; Altmann, Eduardo G.

2013-04-01

We propose a stochastic model for the number of different words in a given database which incorporates the dependence on the database size and historical changes. The main feature of our model is the existence of two different classes of words: (i) a finite number of core words, which have higher frequency and do not affect the probability of a new word to be used, and (ii) the remaining virtually infinite number of noncore words, which have lower frequency and, once used, reduce the probability of a new word to be used in the future. Our model relies on a careful analysis of the Google Ngram database of books published in the last centuries, and its main consequence is the generalization of Zipf’s and Heaps’ law to two-scaling regimes. We confirm that these generalizations yield the best simple description of the data among generic descriptive models and that the two free parameters depend only on the language but not on the database. From the point of view of our model, the main change on historical time scales is the composition of the specific words included in the finite list of core words, which we observe to decay exponentially in time with a rate of approximately 30 words per year for English.

Effect of reaction-step-size noise on the switching dynamics of stochastic populations

NASA Astrophysics Data System (ADS)

Be'er, Shay; Heller-Algazi, Metar; Assaf, Michael

2016-05-01

In genetic circuits, when the messenger RNA lifetime is short compared to the cell cycle, proteins are produced in geometrically distributed bursts, which greatly affects the cellular switching dynamics between different metastable phenotypic states. Motivated by this scenario, we study a general problem of switching or escape in stochastic populations, where influx of particles occurs in groups or bursts, sampled from an arbitrary distribution. The fact that the step size of the influx reaction is a priori unknown and, in general, may fluctuate in time with a given correlation time and statistics, introduces an additional nondemographic reaction-step-size noise into the system. Employing the probability-generating function technique in conjunction with Hamiltonian formulation, we are able to map the problem in the leading order onto solving a stationary Hamilton-Jacobi equation. We show that compared to the "usual case" of single-step influx, bursty influx exponentially decreases the population's mean escape time from its long-lived metastable state. In particular, close to bifurcation we find a simple analytical expression for the mean escape time which solely depends on the mean and variance of the burst-size distribution. Our results are demonstrated on several realistic distributions and compare well with numerical Monte Carlo simulations.

The Distribution of Chromosomal Aberrations in Human Cells Predicted by a Generalized Time-Dependent Model of Radiation-Induced Formation of Aberrations

NASA Technical Reports Server (NTRS)

Ponomarev, Artem L.; George, K.; Cucinotta, F. A.

2011-01-01

New experimental data show how chromosomal aberrations for low- and high-LET radiation are dependent on DSB repair deficiencies in wild-type, AT and NBS cells. We simulated the development of chromosomal aberrations in these cells lines in a stochastic track-structure-dependent model, in which different cells have different kinetics of DSB repair. We updated a previously formulated model of chromosomal aberrations, which was based on a stochastic Monte Carlo approach, to consider the time-dependence of DSB rejoining. The previous version of the model had an assumption that all DSBs would rejoin, and therefore we called it a time-independent model. The chromosomal-aberrations model takes into account the DNA and track structure for low- and high-LET radiations, and provides an explanation and prediction of the statistics of rare and more complex aberrations. We compared the program-simulated kinetics of DSB rejoining to the experimentally-derived bimodal exponential curves of the DSB kinetics. We scored the formation of translocations, dicentrics, acentric and centric rings, deletions, and inversions. The fraction of DSBs participating in aberrations was studied in relation to the rejoining time. Comparisons of simulated dose dependence for simple aberrations to the experimental dose-dependence for HF19, AT and NBS cells will be made.

Exponential quantum spreading in a class of kicked rotor systems near high-order resonances

NASA Astrophysics Data System (ADS)

Wang, Hailong; Wang, Jiao; Guarneri, Italo; Casati, Giulio; Gong, Jiangbin

2013-11-01

Long-lasting exponential quantum spreading was recently found in a simple but very rich dynamical model, namely, an on-resonance double-kicked rotor model [J. Wang, I. Guarneri, G. Casati, and J. B. Gong, Phys. Rev. Lett.PRLTAO0031-900710.1103/PhysRevLett.107.234104 107, 234104 (2011)]. The underlying mechanism, unrelated to the chaotic motion in the classical limit but resting on quasi-integrable motion in a pseudoclassical limit, is identified for one special case. By presenting a detailed study of the same model, this work offers a framework to explain long-lasting exponential quantum spreading under much more general conditions. In particular, we adopt the so-called “spinor” representation to treat the kicked-rotor dynamics under high-order resonance conditions and then exploit the Born-Oppenheimer approximation to understand the dynamical evolution. It is found that the existence of a flat band (or an effectively flat band) is one important feature behind why and how the exponential dynamics emerges. It is also found that a quantitative prediction of the exponential spreading rate based on an interesting and simple pseudoclassical map may be inaccurate. In addition to general interests regarding the question of how exponential behavior in quantum systems may persist for a long time scale, our results should motivate further studies toward a better understanding of high-order resonance behavior in δ-kicked quantum systems.

Quantum stopping times stochastic integral in the interacting Fock space

NASA Astrophysics Data System (ADS)

Kang, Yuanbao

2015-08-01

Following the ideas of Hudson [J. Funct. Anal. 34(2), 266-281 (1979)] and Parthasarathy and Sinha [Probab. Theory Relat. Fields 73, 317-349 (1987)], we define a quantum stopping time (QST, for short) τ in the interacting Fock space (IFS, for short), Γ, over L2(ℝ+), which is actually a spectral measure in [0, ∞] such that τ([0, t]) is an adapted process. Motivated by Parthasarathy and Sinha [Probab. Theory Relat. Fields 73, 317-349 (1987)] and Applebaum [J. Funct. Anal. 65, 273-291 (1986)], we also develop a corresponding quantum stopping time stochastic integral (QSTSI, for abbreviations) on the IFS over a subspace of L2(ℝ+) equipped with a filtration. As an application, such integral provides a useful tool for proving that Γ admits a strong factorisation, i.e., Γ = Γτ] ⊗ Γ[τ, where Γτ] and Γ[τ stand for the part "before τ" and the part "after τ," respectively. Additionally, this integral also gives rise to a natural composition operation among QST to make the space of all QSTs a semigroup.

path integral approach to closed form pricing formulas in the Heston framework.

NASA Astrophysics Data System (ADS)

Lemmens, Damiaan; Wouters, Michiel; Tempere, Jacques; Foulon, Sven

2008-03-01

We present a path integral approach for finding closed form formulas for option prices in the framework of the Heston model. The first model for determining option prices was the Black-Scholes model, which assumed that the logreturn followed a Wiener process with a given drift and constant volatility. To provide a realistic description of the market, the Black-Scholes results must be extended to include stochastic volatility. This is achieved by the Heston model, which assumes that the volatility follows a mean reverting square root process. Current applications of the Heston model are hampered by the unavailability of fast numerical methods, due to a lack of closed-form formulae. Therefore the search for closed form solutions is an essential step before the qualitatively better stochastic volatility models will be used in practice. To attain this goal we outline a simplified path integral approach yielding straightforward results for vanilla Heston options with correlation. Extensions to barrier options and other path-dependent option are discussed, and the new derivation is compared to existing results obtained from alternative path-integral approaches (Dragulescu, Kleinert).

Applications of physics to economics and finance: Money, income, wealth, and the stock market

NASA Astrophysics Data System (ADS)

Dragulescu, Adrian Antoniu

Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. The dissertation is organized as follows: In the first chapter it is argued that in a closed economic system, money is conserved. Thus, by analogy with energy, the equilibrium probability distribution of money must follow the exponential Boltzmann-Gibbs law characterized by an effective temperature equal to the average amount of money per economic agent. The emergence of Boltzmann-Gibbs distribution is demonstrated through computer simulations of economic models. A thermal machine which extracts a monetary profit can be constructed between two economic systems with different temperatures. The role of debt and models with broken time-reversal symmetry for which the Boltzmann-Gibbs law does not hold, are discussed. In the second chapter, using data from several sources, it is found that the distribution of income is described for the great majority of population by an exponential distribution, whereas the high-end tail follows a power law. From the individual income distribution, the probability distribution of income for families with two earners is derived and it is shown that it also agrees well with the data. Data on wealth is presented and it is found that the distribution of wealth has a structure similar to the distribution of income. The Lorenz curve and Gini coefficient were calculated and are shown to be in good agreement with both income and wealth data sets. In the third chapter, the stock-market fluctuations at different time scales are investigated. A model where stock-price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance is proposed. The corresponding Fokker-Planck equation can be solved exactly. Integrating out the variance, an analytic formula for the time-dependent probability distribution of stock price changes (returns) is found. The formula is in excellent agreement with the Dow-Jones index for the time lags from 1 to 250 trading days. For time lags longer than the relaxation time of variance, the probability distribution can be expressed in a scaling form using a Bessel function. The Dow-Jones data follow the scaling function for seven orders of magnitude.

Effects of correlations and fees in random multiplicative environments: Implications for portfolio management.

PubMed

Alper, Ofer; Somekh-Baruch, Anelia; Pirvandy, Oz; Schaps, Malka; Yaari, Gur

2017-08-01

Geometric Brownian motion (GBM) is frequently used to model price dynamics of financial assets, and a weighted average of multiple GBMs is commonly used to model a financial portfolio. Diversified portfolios can lead to an increased exponential growth compared to a single asset by effectively reducing the effective noise. The sum of GBM processes is no longer a log-normal process and has a complex statistical properties. The nonergodicity of the weighted average process results in constant degradation of the exponential growth from the ensemble average toward the time average. One way to stay closer to the ensemble average is to maintain a balanced portfolio: keep the relative weights of the different assets constant over time. To keep these proportions constant, whenever assets values change, it is necessary to rebalance their relative weights, exposing this strategy to fees (transaction costs). Two strategies that were suggested in the past for cases that involve fees are rebalance the portfolio periodically and rebalance it in a partial way. In this paper, we study these two strategies in the presence of correlations and fees. We show that using periodic and partial rebalance strategies, it is possible to maintain a steady exponential growth while minimizing the losses due to fees. We also demonstrate how these redistribution strategies perform in a phenomenal way on real-world market data, despite the fact that not all assumptions of the model hold in these real-world systems. Our results have important implications for stochastic dynamics in general and to portfolio management in particular, as we show that there is a superior alternative to the common buy-and-hold strategy, even in the presence of correlations and fees.

Effects of correlations and fees in random multiplicative environments: Implications for portfolio management

NASA Astrophysics Data System (ADS)

Alper, Ofer; Somekh-Baruch, Anelia; Pirvandy, Oz; Schaps, Malka; Yaari, Gur

2017-08-01

Geometric Brownian motion (GBM) is frequently used to model price dynamics of financial assets, and a weighted average of multiple GBMs is commonly used to model a financial portfolio. Diversified portfolios can lead to an increased exponential growth compared to a single asset by effectively reducing the effective noise. The sum of GBM processes is no longer a log-normal process and has a complex statistical properties. The nonergodicity of the weighted average process results in constant degradation of the exponential growth from the ensemble average toward the time average. One way to stay closer to the ensemble average is to maintain a balanced portfolio: keep the relative weights of the different assets constant over time. To keep these proportions constant, whenever assets values change, it is necessary to rebalance their relative weights, exposing this strategy to fees (transaction costs). Two strategies that were suggested in the past for cases that involve fees are rebalance the portfolio periodically and rebalance it in a partial way. In this paper, we study these two strategies in the presence of correlations and fees. We show that using periodic and partial rebalance strategies, it is possible to maintain a steady exponential growth while minimizing the losses due to fees. We also demonstrate how these redistribution strategies perform in a phenomenal way on real-world market data, despite the fact that not all assumptions of the model hold in these real-world systems. Our results have important implications for stochastic dynamics in general and to portfolio management in particular, as we show that there is a superior alternative to the common buy-and-hold strategy, even in the presence of correlations and fees.

Application of IFT and SPSA to servo system control.

PubMed

Rădac, Mircea-Bogdan; Precup, Radu-Emil; Petriu, Emil M; Preitl, Stefan

2011-12-01

This paper treats the application of two data-based model-free gradient-based stochastic optimization techniques, i.e., iterative feedback tuning (IFT) and simultaneous perturbation stochastic approximation (SPSA), to servo system control. The representative case of controlled processes modeled by second-order systems with an integral component is discussed. New IFT and SPSA algorithms are suggested to tune the parameters of the state feedback controllers with an integrator in the linear-quadratic-Gaussian (LQG) problem formulation. An implementation case study concerning the LQG-based design of an angular position controller for a direct current servo system laboratory equipment is included to highlight the pros and cons of IFT and SPSA from an application's point of view. The comparison of IFT and SPSA algorithms is focused on an insight into their implementation.

Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation

PubMed Central

Müller, Eike H.; Scheichl, Rob; Shardlow, Tony

2015-01-01

This paper applies several well-known tricks from the numerical treatment of deterministic differential equations to improve the efficiency of the multilevel Monte Carlo (MLMC) method for stochastic differential equations (SDEs) and especially the Langevin equation. We use modified equations analysis as an alternative to strong-approximation theory for the integrator, and we apply this to introduce MLMC for Langevin-type equations with integrators based on operator splitting. We combine this with extrapolation and investigate the use of discrete random variables in place of the Gaussian increments, which is a well-known technique for the weak approximation of SDEs. We show that, for small-noise problems, discrete random variables can lead to an increase in efficiency of almost two orders of magnitude for practical levels of accuracy. PMID:27547075

Irregular synchronous activity in stochastically-coupled networks of integrate-and-fire neurons.

PubMed

Lin, J K; Pawelzik, K; Ernst, U; Sejnowski, T J

1998-08-01

We investigate the spatial and temporal aspects of firing patterns in a network of integrate-and-fire neurons arranged in a one-dimensional ring topology. The coupling is stochastic and shaped like a Mexican hat with local excitation and lateral inhibition. With perfect precision in the couplings, the attractors of activity in the network occur at every position in the ring. Inhomogeneities in the coupling break the translational invariance of localized attractors and lead to synchronization within highly active as well as weakly active clusters. The interspike interval variability is high, consistent with recent observations of spike time distributions in visual cortex. The robustness of our results is demonstrated with more realistic simulations on a network of McGregor neurons which model conductance changes and after-hyperpolarization potassium currents.

Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation.

PubMed

Müller, Eike H; Scheichl, Rob; Shardlow, Tony

2015-04-08

This paper applies several well-known tricks from the numerical treatment of deterministic differential equations to improve the efficiency of the multilevel Monte Carlo (MLMC) method for stochastic differential equations (SDEs) and especially the Langevin equation. We use modified equations analysis as an alternative to strong-approximation theory for the integrator, and we apply this to introduce MLMC for Langevin-type equations with integrators based on operator splitting. We combine this with extrapolation and investigate the use of discrete random variables in place of the Gaussian increments, which is a well-known technique for the weak approximation of SDEs. We show that, for small-noise problems, discrete random variables can lead to an increase in efficiency of almost two orders of magnitude for practical levels of accuracy.

Discrepancy-based error estimates for Quasi-Monte Carlo III. Error distributions and central limits

NASA Astrophysics Data System (ADS)

Hoogland, Jiri; Kleiss, Ronald

1997-04-01

In Quasi-Monte Carlo integration, the integration error is believed to be generally smaller than in classical Monte Carlo with the same number of integration points. Using an appropriate definition of an ensemble of quasi-random point sets, we derive various results on the probability distribution of the integration error, which can be compared to the standard Central Limit Theorem for normal stochastic sampling. In many cases, a Gaussian error distribution is obtained.

A stochastic multicellular model identifies biological watermarks from disorders in self-organized patterns of phyllotaxis

PubMed Central

Refahi, Yassin; Brunoud, Géraldine; Farcot, Etienne; Jean-Marie, Alain; Pulkkinen, Minna; Vernoux, Teva; Godin, Christophe

2016-01-01

Exploration of developmental mechanisms classically relies on analysis of pattern regularities. Whether disorders induced by biological noise may carry information on building principles of developmental systems is an important debated question. Here, we addressed theoretically this question using phyllotaxis, the geometric arrangement of plant aerial organs, as a model system. Phyllotaxis arises from reiterative organogenesis driven by lateral inhibitions at the shoot apex. Motivated by recurrent observations of disorders in phyllotaxis patterns, we revisited in depth the classical deterministic view of phyllotaxis. We developed a stochastic model of primordia initiation at the shoot apex, integrating locality and stochasticity in the patterning system. This stochastic model recapitulates phyllotactic patterns, both regular and irregular, and makes quantitative predictions on the nature of disorders arising from noise. We further show that disorders in phyllotaxis instruct us on the parameters governing phyllotaxis dynamics, thus that disorders can reveal biological watermarks of developmental systems. DOI: http://dx.doi.org/10.7554/eLife.14093.001 PMID:27380805

Adaptive Neural Tracking Control for Switched High-Order Stochastic Nonlinear Systems.

PubMed

Zhao, Xudong; Wang, Xinyong; Zong, Guangdeng; Zheng, Xiaolong

2017-10-01

This paper deals with adaptive neural tracking control design for a class of switched high-order stochastic nonlinear systems with unknown uncertainties and arbitrary deterministic switching. The considered issues are: 1) completely unknown uncertainties; 2) stochastic disturbances; and 3) high-order nonstrict-feedback system structure. The considered mathematical models can represent many practical systems in the actual engineering. By adopting the approximation ability of neural networks, common stochastic Lyapunov function method together with adding an improved power integrator technique, an adaptive state feedback controller with multiple adaptive laws is systematically designed for the systems. Subsequently, a controller with only two adaptive laws is proposed to solve the problem of over parameterization. Under the designed controllers, all the signals in the closed-loop system are bounded-input bounded-output stable in probability, and the system output can almost surely track the target trajectory within a specified bounded error. Finally, simulation results are presented to show the effectiveness of the proposed approaches.

Stochastic Forecasting of Labor Supply and Population: An Integrated Model.

PubMed

Fuchs, Johann; Söhnlein, Doris; Weber, Brigitte; Weber, Enzo

2018-01-01

This paper presents a stochastic model to forecast the German population and labor supply until 2060. Within a cohort-component approach, our population forecast applies principal components analysis to birth, mortality, emigration, and immigration rates, which allows for the reduction of dimensionality and accounts for correlation of the rates. Labor force participation rates are estimated by means of an econometric time series approach. All time series are forecast by stochastic simulation using the bootstrap method. As our model also distinguishes between German and foreign nationals, different developments in fertility, migration, and labor participation could be predicted. The results show that even rising birth rates and high levels of immigration cannot break the basic demographic trend in the long run. An important finding from an endogenous modeling of emigration rates is that high net migration in the long run will be difficult to achieve. Our stochastic perspective suggests therefore a high probability of substantially decreasing the labor supply in Germany.

Propagation of mechanical waves through a stochastic medium with spherical symmetry

NASA Astrophysics Data System (ADS)

Avendaño, Carlos G.; Reyes, J. Adrián

2018-01-01

We theoretically analyze the propagation of outgoing mechanical waves through an infinite isotropic elastic medium possessing spherical symmetry whose Lamé coefficients and density are spatial random functions characterized by well-defined statistical parameters. We derive the differential equation that governs the average displacement for a system whose properties depend on the radial coordinate. We show that such an equation is an extended version of the well-known Bessel differential equation whose perturbative additional terms contain coefficients that depend directly on the squared noise intensities and the autocorrelation lengths in an exponential decay fashion. We numerically solve the second order differential equation for several values of noise intensities and autocorrelation lengths and compare the corresponding displacement profiles with that of the exact analytic solution for the case of absent inhomogeneities.

Relativistic runaway ionization fronts.

PubMed

Luque, A

2014-01-31

We investigate the first example of self-consistent impact ionization fronts propagating at relativistic speeds and involving interacting, high-energy electrons. These fronts, which we name relativistic runaway ionization fronts, show remarkable features such as a bulk speed within less than one percent of the speed of light and the stochastic selection of high-energy electrons for further acceleration, which leads to a power-law distribution of particle energies. A simplified model explains this selection in terms of the overrun of Coulomb-scattered electrons. Appearing as the electromagnetic interaction between electrons saturates the exponential growth of a relativistic runaway electron avalanche, relativistic runaway ionization fronts may occur in conjunction with terrestrial gamma-ray flashes and thus explain recent observations of long, power-law tails in the terrestrial gamma-ray flash energy spectrum.

Path integral Monte Carlo and the electron gas

NASA Astrophysics Data System (ADS)

Brown, Ethan W.

Path integral Monte Carlo is a proven method for accurately simulating quantum mechanical systems at finite-temperature. By stochastically sampling Feynman's path integral representation of the quantum many-body density matrix, path integral Monte Carlo includes non-perturbative effects like thermal fluctuations and particle correlations in a natural way. Over the past 30 years, path integral Monte Carlo has been successfully employed to study the low density electron gas, high-pressure hydrogen, and superfluid helium. For systems where the role of Fermi statistics is important, however, traditional path integral Monte Carlo simulations have an exponentially decreasing efficiency with decreased temperature and increased system size. In this thesis, we work towards improving this efficiency, both through approximate and exact methods, as specifically applied to the homogeneous electron gas. We begin with a brief overview of the current state of atomic simulations at finite-temperature before we delve into a pedagogical review of the path integral Monte Carlo method. We then spend some time discussing the one major issue preventing exact simulation of Fermi systems, the sign problem. Afterwards, we introduce a way to circumvent the sign problem in PIMC simulations through a fixed-node constraint. We then apply this method to the homogeneous electron gas at a large swatch of densities and temperatures in order to map out the warm-dense matter regime. The electron gas can be a representative model for a host of real systems, from simple medals to stellar interiors. However, its most common use is as input into density functional theory. To this end, we aim to build an accurate representation of the electron gas from the ground state to the classical limit and examine its use in finite-temperature density functional formulations. The latter half of this thesis focuses on possible routes beyond the fixed-node approximation. As a first step, we utilize the variational principle inherent in the path integral Monte Carlo method to optimize the nodal surface. By using a ansatz resembling a free particle density matrix, we make a unique connection between a nodal effective mass and the traditional effective mass of many-body quantum theory. We then propose and test several alternate nodal ansatzes and apply them to single atomic systems. Finally, we propose a method to tackle the sign problem head on, by leveraging the relatively simple structure of permutation space. Using this method, we find we can perform exact simulations this of the electron gas and 3He that were previously impossible.

Inflow forecasting model construction with stochastic time series for coordinated dam operation

NASA Astrophysics Data System (ADS)

Kim, T.; Jung, Y.; Kim, H.; Heo, J. H.

2014-12-01

Dam inflow forecasting is one of the most important tasks in dam operation for an effective water resources management and control. In general, dam inflow forecasting with stochastic time series model is possible to apply when the data is stationary because most of stochastic process based on stationarity. However, recent hydrological data cannot be satisfied the stationarity anymore because of climate change. Therefore a stochastic time series model, which can consider seasonality and trend in the data series, named SARIMAX(Seasonal Autoregressive Integrated Average with eXternal variable) model were constructed in this study. This SARIMAX model could increase the performance of stochastic time series model by considering the nonstationarity components and external variable such as precipitation. For application, the models were constructed for four coordinated dams on Han river in South Korea with monthly time series data. As a result, the models of each dam have similar performance and it would be possible to use the model for coordinated dam operation.Acknowledgement This research was supported by a grant 'Establishing Active Disaster Management System of Flood Control Structures by using 3D BIM Technique' [NEMA-NH-12-57] from the Natural Hazard Mitigation Research Group, National Emergency Management Agency of Korea.

Lightning-Discharge Initiation as a Noise-Induced Kinetic Transition

NASA Astrophysics Data System (ADS)

Iudin, D. I.

2017-10-01

The electric fields observed in thunderclouds have the peak values one order of magnitude smaller than the electric strength of air. This fact renders the issue of the lightning-discharge initiation one of the most intriguing problems of thunderstorm electricity. In this work, the lightning initiation in a thundercloud is considered as a noise-induced kinetic transition. The stochastic electric field of the charged hydrometeors is the noise source. The considered kinetic transition has some features which distinguish it from other lightning-initiation mechanisms. First, the dynamic realization of this transition, which is due to interaction of the electron and ion components, is extended for a time significantly exceeding the spark-discharge development time. In this case, the fast attachment of electrons generated by supercritical bursts of the electric field of hydrometeors is balanced during long-term time intervals by the electron-release processes when the negative ions are destroyed. Second, an important role in the transition kinetics is played by the stochastic drift of electrons and ions caused by the small-scale fluctuations of the field of charged hydrometeors. From the formal mathematical viewpoint, this stochastic drift is indistinguishable from the scalar-impurity advection in a turbulent flow. In this work, it is shown that the efficiency of "advective mixing" is several orders of magnitude greater than that of the ordinary diffusion. Third, the considered transition leads to a sharp increase in the conductivity in the exponentially rare compact regions of space against the background of the vanishingly small variations in the average conductivity of the medium. In turn, the spots with increased conductivity are polarized in the mean field followed by the streamer initiation and discharge contraction.

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

Stochastic Reconnection for Large Magnetic Prandtl Numbers

NASA Astrophysics Data System (ADS)

Jafari, Amir; Vishniac, Ethan T.; Kowal, Grzegorz; Lazarian, Alex

2018-06-01

We consider stochastic magnetic reconnection in high-β plasmas with large magnetic Prandtl numbers, Pr m > 1. For large Pr m , field line stochasticity is suppressed at very small scales, impeding diffusion. In addition, viscosity suppresses very small-scale differential motions and therefore also the local reconnection. Here we consider the effect of high magnetic Prandtl numbers on the global reconnection rate in a turbulent medium and provide a diffusion equation for the magnetic field lines considering both resistive and viscous dissipation. We find that the width of the outflow region is unaffected unless Pr m is exponentially larger than the Reynolds number Re. The ejection velocity of matter from the reconnection region is also unaffected by viscosity unless Re ∼ 1. By these criteria the reconnection rate in typical astrophysical systems is almost independent of viscosity. This remains true for reconnection in quiet environments where current sheet instabilities drive reconnection. However, if Pr m > 1, viscosity can suppress small-scale reconnection events near and below the Kolmogorov or viscous damping scale. This will produce a threshold for the suppression of large-scale reconnection by viscosity when {\\Pr }m> \\sqrt{Re}}. In any case, for Pr m > 1 this leads to a flattening of the magnetic fluctuation power spectrum, so that its spectral index is ∼‑4/3 for length scales between the viscous dissipation scale and eddies larger by roughly {{\\Pr }}m3/2. Current numerical simulations are insensitive to this effect. We suggest that the dependence of reconnection on viscosity in these simulations may be due to insufficient resolution for the turbulent inertial range rather than a guide to the large Re limit.

Stochastic dynamics and combinatorial optimization

NASA Astrophysics Data System (ADS)

Ovchinnikov, Igor V.; Wang, Kang L.

2017-11-01

Natural dynamics is often dominated by sudden nonlinear processes such as neuroavalanches, gamma-ray bursts, solar flares, etc., that exhibit scale-free statistics much in the spirit of the logarithmic Ritcher scale for earthquake magnitudes. On phase diagrams, stochastic dynamical systems (DSs) exhibiting this type of dynamics belong to the finite-width phase (N-phase for brevity) that precedes ordinary chaotic behavior and that is known under such names as noise-induced chaos, self-organized criticality, dynamical complexity, etc. Within the recently proposed supersymmetric theory of stochastic dynamics, the N-phase can be roughly interpreted as the noise-induced “overlap” between integrable and chaotic deterministic dynamics. As a result, the N-phase dynamics inherits the properties of the both. Here, we analyze this unique set of properties and conclude that the N-phase DSs must naturally be the most efficient optimizers: on one hand, N-phase DSs have integrable flows with well-defined attractors that can be associated with candidate solutions and, on the other hand, the noise-induced attractor-to-attractor dynamics in the N-phase is effectively chaotic or aperiodic so that a DS must avoid revisiting solutions/attractors thus accelerating the search for the best solution. Based on this understanding, we propose a method for stochastic dynamical optimization using the N-phase DSs. This method can be viewed as a hybrid of the simulated and chaotic annealing methods. Our proposition can result in a new generation of hardware devices for efficient solution of various search and/or combinatorial optimization problems.

Stochastic Sampling in the IMF of Galactic Open Clusters

NASA Astrophysics Data System (ADS)

Kay, Christina; Hancock, M.; Canalizo, G.; Smith, B. J.; Giroux, M. L.

2010-01-01

We sought observational evidence of the effects of stochastic sampling of the initial mass function by investigating the integrated colors of a sample of Galactic open clusters. In particular we looked for scatter in the integrated (V-K) color as previous research resulted in little scatter in the (U-B) and (B-V) colors. Combining data from WEBDA and 2MASS we determined three different colors for 287 open clusters. Of these clusters, 39 have minimum uncertainties in age and formed a standard set. A plot of the (V-K) color versus age showed much more scatter than the (U-B) versus age. We also divided the sample into two groups based on a lowest luminosity limit which is a function of age and V magnitude. We expected the group of clusters fainter than this limit to show more scatter than the brighter group. Assuming the published ages, we compared the reddening corrected observed colors to those predicted by Starburst99. The presence of stochastic sampling should increase scatter in the distribution of the differences between observed and model colors of the fainter group relative to the brighter group. However, we found that K-S tests cannot rule out that the distribution of color difference for the brighter and fainter sets come from the same parent distribution. This indistinguishabilty may result from uncertainties in the parameters used to define the groups. This result constrains the size of the effects of stochastic sampling of the initial mass function.

Finite element modelling of woven composite failure modes at the mesoscopic scale: deterministic versus stochastic approaches

NASA Astrophysics Data System (ADS)

Roirand, Q.; Missoum-Benziane, D.; Thionnet, A.; Laiarinandrasana, L.

2017-09-01

Textile composites are composed of 3D complex architecture. To assess the durability of such engineering structures, the failure mechanisms must be highlighted. Examinations of the degradation have been carried out thanks to tomography. The present work addresses a numerical damage model dedicated to the simulation of the crack initiation and propagation at the scale of the warp yarns. For the 3D woven composites under study, loadings in tension and combined tension and bending were considered. Based on an erosion procedure of broken elements, the failure mechanisms have been modelled on 3D periodic cells by finite element calculations. The breakage of one element was determined using a failure criterion at the mesoscopic scale based on the yarn stress at failure. The results were found to be in good agreement with the experimental data for the two kinds of macroscopic loadings. The deterministic approach assumed a homogeneously distributed stress at failure all over the integration points in the meshes of woven composites. A stochastic approach was applied to a simple representative elementary periodic cell. The distribution of the Weibull stress at failure was assigned to the integration points using a Monte Carlo simulation. It was shown that this stochastic approach allowed more realistic failure simulations avoiding the idealised symmetry due to the deterministic modelling. In particular, the stochastic simulations performed have shown several variations of the stress as well as strain at failure and the failure modes of the yarn.

Analytical solution for boundary heat fluxes from a radiating rectangular medium

NASA Technical Reports Server (NTRS)

Siegel, R.

1991-01-01

Reference is made to the work of Shah (1979) which demonstrated the possibility of partially integrating the radiative equations analytically to obtain an 'exact' solution. Shah's solution was given as a double integration of the modified Bessel function of order zero. Here, it is shown that the 'exact' solution for a rectangular region radiating to cold black walls can be conveniently derived, and expressed in simple form, by using an integral function, Sn, analogous to the exponential integral function appearing in plane-layer solutions.

Enhancement of Markov chain model by integrating exponential smoothing: A case study on Muslims marriage and divorce

NASA Astrophysics Data System (ADS)

Jamaluddin, Fadhilah; Rahim, Rahela Abdul

2015-12-01

Markov Chain has been introduced since the 1913 for the purpose of studying the flow of data for a consecutive number of years of the data and also forecasting. The important feature in Markov Chain is obtaining the accurate Transition Probability Matrix (TPM). However to obtain the suitable TPM is hard especially in involving long-term modeling due to unavailability of data. This paper aims to enhance the classical Markov Chain by introducing Exponential Smoothing technique in developing the appropriate TPM.

A comparison of two- and three-dimensional stochastic models of regional solute movement

USGS Publications Warehouse

Shapiro, A.M.; Cvetkovic, V.D.

1990-01-01

Recent models of solute movement in porous media that are based on a stochastic description of the porous medium properties have been dedicated primarily to a three-dimensional interpretation of solute movement. In many practical problems, however, it is more convenient and consistent with measuring techniques to consider flow and solute transport as an areal, two-dimensional phenomenon. The physics of solute movement, however, is dependent on the three-dimensional heterogeneity in the formation. A comparison of two- and three-dimensional stochastic interpretations of solute movement in a porous medium having a statistically isotropic hydraulic conductivity field is investigated. To provide an equitable comparison between the two- and three-dimensional analyses, the stochastic properties of the transmissivity are defined in terms of the stochastic properties of the hydraulic conductivity. The variance of the transmissivity is shown to be significantly reduced in comparison to that of the hydraulic conductivity, and the transmissivity is spatially correlated over larger distances. These factors influence the two-dimensional interpretations of solute movement by underestimating the longitudinal and transverse growth of the solute plume in comparison to its description as a three-dimensional phenomenon. Although this analysis is based on small perturbation approximations and the special case of a statistically isotropic hydraulic conductivity field, it casts doubt on the use of a stochastic interpretation of the transmissivity in describing regional scale movement. However, by assuming the transmissivity to be the vertical integration of the hydraulic conductivity field at a given position, the stochastic properties of the hydraulic conductivity can be estimated from the stochastic properties of the transmissivity and applied to obtain a more accurate interpretation of solute movement. ?? 1990 Kluwer Academic Publishers.

Design Tool Using a New Optimization Method Based on a Stochastic Process

NASA Astrophysics Data System (ADS)

Yoshida, Hiroaki; Yamaguchi, Katsuhito; Ishikawa, Yoshio

Conventional optimization methods are based on a deterministic approach since their purpose is to find out an exact solution. However, such methods have initial condition dependence and the risk of falling into local solution. In this paper, we propose a new optimization method based on the concept of path integrals used in quantum mechanics. The method obtains a solution as an expected value (stochastic average) using a stochastic process. The advantages of this method are that it is not affected by initial conditions and does not require techniques based on experiences. We applied the new optimization method to a hang glider design. In this problem, both the hang glider design and its flight trajectory were optimized. The numerical calculation results prove that performance of the method is sufficient for practical use.

Machine learning from computer simulations with applications in rail vehicle dynamics

NASA Astrophysics Data System (ADS)

Taheri, Mehdi; Ahmadian, Mehdi

2016-05-01

The application of stochastic modelling for learning the behaviour of a multibody dynamics (MBD) models is investigated. Post-processing data from a simulation run are used to train the stochastic model that estimates the relationship between model inputs (suspension relative displacement and velocity) and the output (sum of suspension forces). The stochastic model can be used to reduce the computational burden of the MBD model by replacing a computationally expensive subsystem in the model (suspension subsystem). With minor changes, the stochastic modelling technique is able to learn the behaviour of a physical system and integrate its behaviour within MBD models. The technique is highly advantageous for MBD models where real-time simulations are necessary, or with models that have a large number of repeated substructures, e.g. modelling a train with a large number of railcars. The fact that the training data are acquired prior to the development of the stochastic model discards the conventional sampling plan strategies like Latin Hypercube sampling plans where simulations are performed using the inputs dictated by the sampling plan. Since the sampling plan greatly influences the overall accuracy and efficiency of the stochastic predictions, a sampling plan suitable for the process is developed where the most space-filling subset of the acquired data with ? number of sample points that best describes the dynamic behaviour of the system under study is selected as the training data.

Stochastic inflation in phase space: is slow roll a stochastic attractor?

NASA Astrophysics Data System (ADS)

Grain, Julien; Vennin, Vincent

2017-05-01

An appealing feature of inflationary cosmology is the presence of a phase-space attractor, ``slow roll'', which washes out the dependence on initial field velocities. We investigate the robustness of this property under backreaction from quantum fluctuations using the stochastic inflation formalism in the phase-space approach. A Hamiltonian formulation of stochastic inflation is presented, where it is shown that the coarse-graining procedure—where wavelengths smaller than the Hubble radius are integrated out—preserves the canonical structure of free fields. This means that different sets of canonical variables give rise to the same probability distribution which clarifies the literature with respect to this issue. The role played by the quantum-to-classical transition is also analysed and is shown to constrain the coarse-graining scale. In the case of free fields, we find that quantum diffusion is aligned in phase space with the slow-roll direction. This implies that the classical slow-roll attractor is immune to stochastic effects and thus generalises to a stochastic attractor regardless of initial conditions, with a relaxation time at least as short as in the classical system. For non-test fields or for test fields with non-linear self interactions however, quantum diffusion and the classical slow-roll flow are misaligned. We derive a condition on the coarse-graining scale so that observational corrections from this misalignment are negligible at leading order in slow roll.