Conservative Diffusions: a Constructive Approach to Nelson's Stochastic Mechanics.

NASA Astrophysics Data System (ADS)

Carlen, Eric Anders

In Nelson's stochastic mechanics, quantum phenomena are described in terms of diffusions instead of wave functions; this thesis is a study of that description. We emphasize that we are concerned here with the possibility of describing, as opposed to explaining, quantum phenomena in terms of diffusions. In this direction, the following questions arise: "Do the diffusions of stochastic mechanics--which are formally given by stochastic differential equations with extremely singular coefficients--really exist?" Given that they exist, one can ask, "Do these diffusions have physically reasonable sample path behavior, and can we use information about sample paths to study the behavior of physical systems?" These are the questions we treat in this thesis. In Chapter I we review stochastic mechanics and diffusion theory, using the Guerra-Morato variational principle to establish the connection with the Schroedinger equation. This chapter is largely expository; however, there are some novel features and proofs. In Chapter II we settle the first of the questions raised above. Using PDE methods, we construct the diffusions of stochastic mechanics. Our result is sufficiently general to be of independent mathematical interest. In Chapter III we treat potential scattering in stochastic mechanics and discuss direct probabilistic methods of studying quantum scattering problems. Our results provide a solid "Yes" in answer to the second question raised above.

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

PubMed

Koh, Wonryull; Blackwell, Kim T

2011-04-21

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

A Two-Step Approach to Uncertainty Quantification of Core Simulators

DOE PAGES

Yankov, Artem; Collins, Benjamin; Klein, Markus; ...

2012-01-01

For the multiple sources of error introduced into the standard computational regime for simulating reactor cores, rigorous uncertainty analysis methods are available primarily to quantify the effects of cross section uncertainties. Two methods for propagating cross section uncertainties through core simulators are the XSUSA statistical approach and the “two-step” method. The XSUSA approach, which is based on the SUSA code package, is fundamentally a stochastic sampling method. Alternatively, the two-step method utilizes generalized perturbation theory in the first step and stochastic sampling in the second step. The consistency of these two methods in quantifying uncertainties in the multiplication factor andmore » in the core power distribution was examined in the framework of phase I-3 of the OECD Uncertainty Analysis in Modeling benchmark. With the Three Mile Island Unit 1 core as a base model for analysis, the XSUSA and two-step methods were applied with certain limitations, and the results were compared to those produced by other stochastic sampling-based codes. Based on the uncertainty analysis results, conclusions were drawn as to the method that is currently more viable for computing uncertainties in burnup and transient calculations.« less

Disentangling the stochastic behavior of complex time series

NASA Astrophysics Data System (ADS)

Anvari, Mehrnaz; Tabar, M. Reza Rahimi; Peinke, Joachim; Lehnertz, Klaus

2016-10-01

Complex systems involving a large number of degrees of freedom, generally exhibit non-stationary dynamics, which can result in either continuous or discontinuous sample paths of the corresponding time series. The latter sample paths may be caused by discontinuous events - or jumps - with some distributed amplitudes, and disentangling effects caused by such jumps from effects caused by normal diffusion processes is a main problem for a detailed understanding of stochastic dynamics of complex systems. Here we introduce a non-parametric method to address this general problem. By means of a stochastic dynamical jump-diffusion modelling, we separate deterministic drift terms from different stochastic behaviors, namely diffusive and jumpy ones, and show that all of the unknown functions and coefficients of this modelling can be derived directly from measured time series. We demonstrate appli- cability of our method to empirical observations by a data-driven inference of the deterministic drift term and of the diffusive and jumpy behavior in brain dynamics from ten epilepsy patients. Particularly these different stochastic behaviors provide extra information that can be regarded valuable for diagnostic purposes.

Simplex-stochastic collocation method with improved scalability

NASA Astrophysics Data System (ADS)

Edeling, W. N.; Dwight, R. P.; Cinnella, P.

2016-04-01

The Simplex-Stochastic Collocation (SSC) method is a robust tool used to propagate uncertain input distributions through a computer code. However, it becomes prohibitively expensive for problems with dimensions higher than 5. The main purpose of this paper is to identify bottlenecks, and to improve upon this bad scalability. In order to do so, we propose an alternative interpolation stencil technique based upon the Set-Covering problem, and we integrate the SSC method in the High-Dimensional Model-Reduction framework. In addition, we address the issue of ill-conditioned sample matrices, and we present an analytical map to facilitate uniformly-distributed simplex sampling.

Assessing performance and validating finite element simulations using probabilistic knowledge

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

Dolin, Ronald M.; Rodriguez, E. A.

Two probabilistic approaches for assessing performance are presented. The first approach assesses probability of failure by simultaneously modeling all likely events. The probability each event causes failure along with the event's likelihood of occurrence contribute to the overall probability of failure. The second assessment method is based on stochastic sampling using an influence diagram. Latin-hypercube sampling is used to stochastically assess events. The overall probability of failure is taken as the maximum probability of failure of all the events. The Likelihood of Occurrence simulation suggests failure does not occur while the Stochastic Sampling approach predicts failure. The Likelihood of Occurrencemore » results are used to validate finite element predictions.« less

Multi-Frequency Signal Detection Based on Frequency Exchange and Re-Scaling Stochastic Resonance and Its Application to Weak Fault Diagnosis

PubMed Central

Leng, Yonggang; Fan, Shengbo

2018-01-01

Mechanical fault diagnosis usually requires not only identification of the fault characteristic frequency, but also detection of its second and/or higher harmonics. However, it is difficult to detect a multi-frequency fault signal through the existing Stochastic Resonance (SR) methods, because the characteristic frequency of the fault signal as well as its second and higher harmonics frequencies tend to be large parameters. To solve the problem, this paper proposes a multi-frequency signal detection method based on Frequency Exchange and Re-scaling Stochastic Resonance (FERSR). In the method, frequency exchange is implemented using filtering technique and Single SideBand (SSB) modulation. This new method can overcome the limitation of "sampling ratio" which is the ratio of the sampling frequency to the frequency of target signal. It also ensures that the multi-frequency target signals can be processed to meet the small-parameter conditions. Simulation results demonstrate that the method shows good performance for detecting a multi-frequency signal with low sampling ratio. Two practical cases are employed to further validate the effectiveness and applicability of this method. PMID:29693577

A Stochastic Diffusion Process for the Dirichlet Distribution

DOE PAGES

Bakosi, J.; Ristorcelli, J. R.

2013-03-01

The method of potential solutions of Fokker-Planck equations is used to develop a transport equation for the joint probability ofNcoupled stochastic variables with the Dirichlet distribution as its asymptotic solution. To ensure a bounded sample space, a coupled nonlinear diffusion process is required: the Wiener processes in the equivalent system of stochastic differential equations are multiplicative with coefficients dependent on all the stochastic variables. Individual samples of a discrete ensemble, obtained from the stochastic process, satisfy a unit-sum constraint at all times. The process may be used to represent realizations of a fluctuating ensemble ofNvariables subject to a conservation principle.more » Similar to the multivariate Wright-Fisher process, whose invariant is also Dirichlet, the univariate case yields a process whose invariant is the beta distribution. As a test of the results, Monte Carlo simulations are used to evolve numerical ensembles toward the invariant Dirichlet distribution.« less

RES: Regularized Stochastic BFGS Algorithm

NASA Astrophysics Data System (ADS)

Mokhtari, Aryan; Ribeiro, Alejandro

2014-12-01

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

Enhanced algorithms for stochastic programming

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

Krishna, Alamuru S.

1993-09-01

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

Oxygen Distributions—Evaluation of Computational Methods, Using a Stochastic Model for Large Tumour Vasculature, to Elucidate the Importance of Considering a Complete Vascular Network

PubMed Central

Bernhardt, Peter

2016-01-01

Purpose To develop a general model that utilises a stochastic method to generate a vessel tree based on experimental data, and an associated irregular, macroscopic tumour. These will be used to evaluate two different methods for computing oxygen distribution. Methods A vessel tree structure, and an associated tumour of 127 cm3, were generated, using a stochastic method and Bresenham’s line algorithm to develop trees on two different scales and fusing them together. The vessel dimensions were adjusted through convolution and thresholding and each vessel voxel was assigned an oxygen value. Diffusion and consumption were modelled using a Green’s function approach together with Michaelis-Menten kinetics. The computations were performed using a combined tree method (CTM) and an individual tree method (ITM). Five tumour sub-sections were compared, to evaluate the methods. Results The oxygen distributions of the same tissue samples, using different methods of computation, were considerably less similar (root mean square deviation, RMSD≈0.02) than the distributions of different samples using CTM (0.001< RMSD<0.01). The deviations of ITM from CTM increase with lower oxygen values, resulting in ITM severely underestimating the level of hypoxia in the tumour. Kolmogorov Smirnov (KS) tests showed that millimetre-scale samples may not represent the whole. Conclusions The stochastic model managed to capture the heterogeneous nature of hypoxic fractions and, even though the simplified computation did not considerably alter the oxygen distribution, it leads to an evident underestimation of tumour hypoxia, and thereby radioresistance. For a trustworthy computation of tumour oxygenation, the interaction between adjacent microvessel trees must not be neglected, why evaluation should be made using high resolution and the CTM, applied to the entire tumour. PMID:27861529

Oxygen Distributions-Evaluation of Computational Methods, Using a Stochastic Model for Large Tumour Vasculature, to Elucidate the Importance of Considering a Complete Vascular Network.

PubMed

Lagerlöf, Jakob H; Bernhardt, Peter

2016-01-01

To develop a general model that utilises a stochastic method to generate a vessel tree based on experimental data, and an associated irregular, macroscopic tumour. These will be used to evaluate two different methods for computing oxygen distribution. A vessel tree structure, and an associated tumour of 127 cm3, were generated, using a stochastic method and Bresenham's line algorithm to develop trees on two different scales and fusing them together. The vessel dimensions were adjusted through convolution and thresholding and each vessel voxel was assigned an oxygen value. Diffusion and consumption were modelled using a Green's function approach together with Michaelis-Menten kinetics. The computations were performed using a combined tree method (CTM) and an individual tree method (ITM). Five tumour sub-sections were compared, to evaluate the methods. The oxygen distributions of the same tissue samples, using different methods of computation, were considerably less similar (root mean square deviation, RMSD≈0.02) than the distributions of different samples using CTM (0.001< RMSD<0.01). The deviations of ITM from CTM increase with lower oxygen values, resulting in ITM severely underestimating the level of hypoxia in the tumour. Kolmogorov Smirnov (KS) tests showed that millimetre-scale samples may not represent the whole. The stochastic model managed to capture the heterogeneous nature of hypoxic fractions and, even though the simplified computation did not considerably alter the oxygen distribution, it leads to an evident underestimation of tumour hypoxia, and thereby radioresistance. For a trustworthy computation of tumour oxygenation, the interaction between adjacent microvessel trees must not be neglected, why evaluation should be made using high resolution and the CTM, applied to the entire tumour.

Multiscale study on stochastic reconstructions of shale samples

NASA Astrophysics Data System (ADS)

Lili, J.; Lin, M.; Jiang, W. B.

2016-12-01

Shales are known to have multiscale pore systems, composed of macroscale fractures, micropores, and nanoscale pores within gas or oil-producing organic material. Also, shales are fissile and laminated, and the heterogeneity in horizontal is quite different from that in vertical. Stochastic reconstructions are extremely useful in situations where three-dimensional information is costly and time consuming. Thus the purpose of our paper is to reconstruct stochastically equiprobable 3D models containing information from several scales. In this paper, macroscale and microscale images of shale structure in the Lower Silurian Longmaxi are obtained by X-ray microtomography and nanoscale images are obtained by scanning electron microscopy. Each image is representative for all given scales and phases. Especially, the macroscale is four times coarser than the microscale, which in turn is four times lower in resolution than the nanoscale image. Secondly, the cross correlation-based simulation method (CCSIM) and the three-step sampling method are combined together to generate stochastic reconstructions for each scale. It is important to point out that the boundary points of pore and matrix are selected based on multiple-point connectivity function in the sampling process, and thus the characteristics of the reconstructed image can be controlled indirectly. Thirdly, all images with the same resolution are developed through downscaling and upscaling by interpolation, and then we merge multiscale categorical spatial data into a single 3D image with predefined resolution (the microscale image). 30 realizations using the given images and the proposed method are generated. The result reveals that the proposed method is capable of preserving the multiscale pore structure, both vertically and horizontally, which is necessary for accurate permeability prediction. The variogram curves and pore-size distribution for both original 3D sample and the generated 3D realizations are compared. The result indicates that the agreement between the original 3D sample and the generated stochastic realizations is excellent. This work is supported by "973" Program (2014CB239004), the Key Instrument Developing Project of the CAS (ZDYZ2012-1-08-02) and the National Natural Science Foundation of China (Grant No. 41574129).

Binomial leap methods for simulating stochastic chemical kinetics.

PubMed

Tian, Tianhai; Burrage, Kevin

2004-12-01

This paper discusses efficient simulation methods for stochastic chemical kinetics. Based on the tau-leap and midpoint tau-leap methods of Gillespie [D. T. Gillespie, J. Chem. Phys. 115, 1716 (2001)], binomial random variables are used in these leap methods rather than Poisson random variables. The motivation for this approach is to improve the efficiency of the Poisson leap methods by using larger stepsizes. Unlike Poisson random variables whose range of sample values is from zero to infinity, binomial random variables have a finite range of sample values. This probabilistic property has been used to restrict possible reaction numbers and to avoid negative molecular numbers in stochastic simulations when larger stepsize is used. In this approach a binomial random variable is defined for a single reaction channel in order to keep the reaction number of this channel below the numbers of molecules that undergo this reaction channel. A sampling technique is also designed for the total reaction number of a reactant species that undergoes two or more reaction channels. Samples for the total reaction number are not greater than the molecular number of this species. In addition, probability properties of the binomial random variables provide stepsize conditions for restricting reaction numbers in a chosen time interval. These stepsize conditions are important properties of robust leap control strategies. Numerical results indicate that the proposed binomial leap methods can be applied to a wide range of chemical reaction systems with very good accuracy and significant improvement on efficiency over existing approaches. (c) 2004 American Institute of Physics.

A straightforward method to compute average stochastic oscillations from data samples.

PubMed

Júlvez, Jorge

2015-10-19

Many biological systems exhibit sustained stochastic oscillations in their steady state. Assessing these oscillations is usually a challenging task due to the potential variability of the amplitude and frequency of the oscillations over time. As a result of this variability, when several stochastic replications are averaged, the oscillations are flattened and can be overlooked. This can easily lead to the erroneous conclusion that the system reaches a constant steady state. This paper proposes a straightforward method to detect and asses stochastic oscillations. The basis of the method is in the use of polar coordinates for systems with two species, and cylindrical coordinates for systems with more than two species. By slightly modifying these coordinate systems, it is possible to compute the total angular distance run by the system and the average Euclidean distance to a reference point. This allows us to compute confidence intervals, both for the average angular speed and for the distance to a reference point, from a set of replications. The use of polar (or cylindrical) coordinates provides a new perspective of the system dynamics. The mean trajectory that can be obtained by averaging the usual cartesian coordinates of the samples informs about the trajectory of the center of mass of the replications. In contrast to such a mean cartesian trajectory, the mean polar trajectory can be used to compute the average circular motion of those replications, and therefore, can yield evidence about sustained steady state oscillations. Both, the coordinate transformation and the computation of confidence intervals, can be carried out efficiently. This results in an efficient method to evaluate stochastic oscillations.

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.

[Detection of Weak Speech Signals from Strong Noise Background Based on Adaptive Stochastic Resonance].

PubMed

Lu, Huanhuan; Wang, Fuzhong; Zhang, Huichun

2016-04-01

Traditional speech detection methods regard the noise as a jamming signal to filter,but under the strong noise background,these methods lost part of the original speech signal while eliminating noise.Stochastic resonance can use noise energy to amplify the weak signal and suppress the noise.According to stochastic resonance theory,a new method based on adaptive stochastic resonance to extract weak speech signals is proposed.This method,combined with twice sampling,realizes the detection of weak speech signals from strong noise.The parameters of the systema,b are adjusted adaptively by evaluating the signal-to-noise ratio of the output signal,and then the weak speech signal is optimally detected.Experimental simulation analysis showed that under the background of strong noise,the output signal-to-noise ratio increased from the initial value-7dB to about 0.86 dB,with the gain of signalto-noise ratio is 7.86 dB.This method obviously raises the signal-to-noise ratio of the output speech signals,which gives a new idea to detect the weak speech signals in strong noise environment.

An adaptive multi-level simulation algorithm for stochastic biological systems

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

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

2015-01-14

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

Neural Dynamics as Sampling: A Model for Stochastic Computation in Recurrent Networks of Spiking Neurons

PubMed Central

Buesing, Lars; Bill, Johannes; Nessler, Bernhard; Maass, Wolfgang

2011-01-01

The organization of computations in networks of spiking neurons in the brain is still largely unknown, in particular in view of the inherently stochastic features of their firing activity and the experimentally observed trial-to-trial variability of neural systems in the brain. In principle there exists a powerful computational framework for stochastic computations, probabilistic inference by sampling, which can explain a large number of macroscopic experimental data in neuroscience and cognitive science. But it has turned out to be surprisingly difficult to create a link between these abstract models for stochastic computations and more detailed models of the dynamics of networks of spiking neurons. Here we create such a link and show that under some conditions the stochastic firing activity of networks of spiking neurons can be interpreted as probabilistic inference via Markov chain Monte Carlo (MCMC) sampling. Since common methods for MCMC sampling in distributed systems, such as Gibbs sampling, are inconsistent with the dynamics of spiking neurons, we introduce a different approach based on non-reversible Markov chains that is able to reflect inherent temporal processes of spiking neuronal activity through a suitable choice of random variables. We propose a neural network model and show by a rigorous theoretical analysis that its neural activity implements MCMC sampling of a given distribution, both for the case of discrete and continuous time. This provides a step towards closing the gap between abstract functional models of cortical computation and more detailed models of networks of spiking neurons. PMID:22096452

Probabilistic inference using linear Gaussian importance sampling for hybrid Bayesian networks

NASA Astrophysics Data System (ADS)

Sun, Wei; Chang, K. C.

2005-05-01

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

Model-assisted probability of detection of flaws in aluminum blocks using polynomial chaos expansions

NASA Astrophysics Data System (ADS)

Du, Xiaosong; Leifsson, Leifur; Grandin, Robert; Meeker, William; Roberts, Ronald; Song, Jiming

2018-04-01

Probability of detection (POD) is widely used for measuring reliability of nondestructive testing (NDT) systems. Typically, POD is determined experimentally, while it can be enhanced by utilizing physics-based computational models in combination with model-assisted POD (MAPOD) methods. With the development of advanced physics-based methods, such as ultrasonic NDT testing, the empirical information, needed for POD methods, can be reduced. However, performing accurate numerical simulations can be prohibitively time-consuming, especially as part of stochastic analysis. In this work, stochastic surrogate models for computational physics-based measurement simulations are developed for cost savings of MAPOD methods while simultaneously ensuring sufficient accuracy. The stochastic surrogate is used to propagate the random input variables through the physics-based simulation model to obtain the joint probability distribution of the output. The POD curves are then generated based on those results. Here, the stochastic surrogates are constructed using non-intrusive polynomial chaos (NIPC) expansions. In particular, the NIPC methods used are the quadrature, ordinary least-squares (OLS), and least-angle regression sparse (LARS) techniques. The proposed approach is demonstrated on the ultrasonic testing simulation of a flat bottom hole flaw in an aluminum block. The results show that the stochastic surrogates have at least two orders of magnitude faster convergence on the statistics than direct Monte Carlo sampling (MCS). Moreover, the evaluation of the stochastic surrogate models is over three orders of magnitude faster than the underlying simulation model for this case, which is the UTSim2 model.

Correlative Stochastic Optical Reconstruction Microscopy and Electron Microscopy

PubMed Central

Kim, Doory; Deerinck, Thomas J.; Sigal, Yaron M.; Babcock, Hazen P.; Ellisman, Mark H.; Zhuang, Xiaowei

2015-01-01

Correlative fluorescence light microscopy and electron microscopy allows the imaging of spatial distributions of specific biomolecules in the context of cellular ultrastructure. Recent development of super-resolution fluorescence microscopy allows the location of molecules to be determined with nanometer-scale spatial resolution. However, correlative super-resolution fluorescence microscopy and electron microscopy (EM) still remains challenging because the optimal specimen preparation and imaging conditions for super-resolution fluorescence microscopy and EM are often not compatible. Here, we have developed several experiment protocols for correlative stochastic optical reconstruction microscopy (STORM) and EM methods, both for un-embedded samples by applying EM-specific sample preparations after STORM imaging and for embedded and sectioned samples by optimizing the fluorescence under EM fixation, staining and embedding conditions. We demonstrated these methods using a variety of cellular targets. PMID:25874453

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.

Calculating the Malliavin derivative of some stochastic mechanics problems

PubMed Central

Hauseux, Paul; Hale, Jack S.

2017-01-01

The Malliavin calculus is an extension of the classical calculus of variations from deterministic functions to stochastic processes. In this paper we aim to show in a practical and didactic way how to calculate the Malliavin derivative, the derivative of the expectation of a quantity of interest of a model with respect to its underlying stochastic parameters, for four problems found in mechanics. The non-intrusive approach uses the Malliavin Weight Sampling (MWS) method in conjunction with a standard Monte Carlo method. The models are expressed as ODEs or PDEs and discretised using the finite difference or finite element methods. Specifically, we consider stochastic extensions of; a 1D Kelvin-Voigt viscoelastic model discretised with finite differences, a 1D linear elastic bar, a hyperelastic bar undergoing buckling, and incompressible Navier-Stokes flow around a cylinder, all discretised with finite elements. A further contribution of this paper is an extension of the MWS method to the more difficult case of non-Gaussian random variables and the calculation of second-order derivatives. We provide open-source code for the numerical examples in this paper. PMID:29261776

Robust stochastic optimization for reservoir operation

NASA Astrophysics Data System (ADS)

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

2015-01-01

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

Adaptive hybrid simulations for multiscale stochastic reaction networks

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

Hepp, Benjamin; Gupta, Ankit; Khammash, Mustafa

2015-01-21

The probability distribution describing the state of a Stochastic Reaction Network (SRN) evolves according to the Chemical Master Equation (CME). It is common to estimate its solution using Monte Carlo methods such as the Stochastic Simulation Algorithm (SSA). In many cases, these simulations can take an impractical amount of computational time. Therefore, many methods have been developed that approximate sample paths of the underlying stochastic process and estimate the solution of the CME. A prominent class of these methods include hybrid methods that partition the set of species and the set of reactions into discrete and continuous subsets. Such amore » partition separates the dynamics into a discrete and a continuous part. Simulating such a stochastic process can be computationally much easier than simulating the exact discrete stochastic process with SSA. Moreover, the quasi-stationary assumption to approximate the dynamics of fast subnetworks can be applied for certain classes of networks. However, as the dynamics of a SRN evolves, these partitions may have to be adapted during the simulation. We develop a hybrid method that approximates the solution of a CME by automatically partitioning the reactions and species sets into discrete and continuous components and applying the quasi-stationary assumption on identifiable fast subnetworks. Our method does not require any user intervention and it adapts to exploit the changing timescale separation between reactions and/or changing magnitudes of copy-numbers of constituent species. We demonstrate the efficiency of the proposed method by considering examples from systems biology and showing that very good approximations to the exact probability distributions can be achieved in significantly less computational time. This is especially the case for systems with oscillatory dynamics, where the system dynamics change considerably throughout the time-period of interest.« less

Adaptive hybrid simulations for multiscale stochastic reaction networks.

PubMed

Hepp, Benjamin; Gupta, Ankit; Khammash, Mustafa

2015-01-21

The probability distribution describing the state of a Stochastic Reaction Network (SRN) evolves according to the Chemical Master Equation (CME). It is common to estimate its solution using Monte Carlo methods such as the Stochastic Simulation Algorithm (SSA). In many cases, these simulations can take an impractical amount of computational time. Therefore, many methods have been developed that approximate sample paths of the underlying stochastic process and estimate the solution of the CME. A prominent class of these methods include hybrid methods that partition the set of species and the set of reactions into discrete and continuous subsets. Such a partition separates the dynamics into a discrete and a continuous part. Simulating such a stochastic process can be computationally much easier than simulating the exact discrete stochastic process with SSA. Moreover, the quasi-stationary assumption to approximate the dynamics of fast subnetworks can be applied for certain classes of networks. However, as the dynamics of a SRN evolves, these partitions may have to be adapted during the simulation. We develop a hybrid method that approximates the solution of a CME by automatically partitioning the reactions and species sets into discrete and continuous components and applying the quasi-stationary assumption on identifiable fast subnetworks. Our method does not require any user intervention and it adapts to exploit the changing timescale separation between reactions and/or changing magnitudes of copy-numbers of constituent species. We demonstrate the efficiency of the proposed method by considering examples from systems biology and showing that very good approximations to the exact probability distributions can be achieved in significantly less computational time. This is especially the case for systems with oscillatory dynamics, where the system dynamics change considerably throughout the time-period of interest.

Stochastic Stability of Sampled Data Systems with a Jump Linear Controller

NASA Technical Reports Server (NTRS)

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

2004-01-01

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

Fokker-Planck Equations of Stochastic Acceleration: A Study of Numerical Methods

NASA Astrophysics Data System (ADS)

Park, Brian T.; Petrosian, Vahe

1996-03-01

Stochastic wave-particle acceleration may be responsible for producing suprathermal particles in many astrophysical situations. The process can be described as a diffusion process through the Fokker-Planck equation. If the acceleration region is homogeneous and the scattering mean free path is much smaller than both the energy change mean free path and the size of the acceleration region, then the Fokker-Planck equation reduces to a simple form involving only the time and energy variables. in an earlier paper (Park & Petrosian 1995, hereafter Paper 1), we studied the analytic properties of the Fokker-Planck equation and found analytic solutions for some simple cases. In this paper, we study the numerical methods which must be used to solve more general forms of the equation. Two classes of numerical methods are finite difference methods and Monte Carlo simulations. We examine six finite difference methods, three fully implicit and three semi-implicit, and a stochastic simulation method which uses the exact correspondence between the Fokker-Planck equation and the it5 stochastic differential equation. As discussed in Paper I, Fokker-Planck equations derived under the above approximations are singular, causing problems with boundary conditions and numerical overflow and underflow. We evaluate each method using three sample equations to test its stability, accuracy, efficiency, and robustness for both time-dependent and steady state solutions. We conclude that the most robust finite difference method is the fully implicit Chang-Cooper method, with minor extensions to account for the escape and injection terms. Other methods suffer from stability and accuracy problems when dealing with some Fokker-Planck equations. The stochastic simulation method, although simple to implement, is susceptible to Poisson noise when insufficient test particles are used and is computationally very expensive compared to the finite difference method.

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

PubMed

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

2016-12-28

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

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

Determining Reduced Order Models for Optimal Stochastic Reduced Order Models

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

Bonney, Matthew S.; Brake, Matthew R.W.

2015-08-01

The use of parameterized reduced order models(PROMs) within the stochastic reduced order model (SROM) framework is a logical progression for both methods. In this report, five different parameterized reduced order models are selected and critiqued against the other models along with truth model for the example of the Brake-Reuss beam. The models are: a Taylor series using finite difference, a proper orthogonal decomposition of the the output, a Craig-Bampton representation of the model, a method that uses Hyper-Dual numbers to determine the sensitivities, and a Meta-Model method that uses the Hyper-Dual results and constructs a polynomial curve to better representmore » the output data. The methods are compared against a parameter sweep and a distribution propagation where the first four statistical moments are used as a comparison. Each method produces very accurate results with the Craig-Bampton reduction having the least accurate results. The models are also compared based on time requirements for the evaluation of each model where the Meta- Model requires the least amount of time for computation by a significant amount. Each of the five models provided accurate results in a reasonable time frame. The determination of which model to use is dependent on the availability of the high-fidelity model and how many evaluations can be performed. Analysis of the output distribution is examined by using a large Monte-Carlo simulation along with a reduced simulation using Latin Hypercube and the stochastic reduced order model sampling technique. Both techniques produced accurate results. The stochastic reduced order modeling technique produced less error when compared to an exhaustive sampling for the majority of methods.« less

A stochastic diffusion process for Lochner's generalized Dirichlet distribution

DOE PAGES

Bakosi, J.; Ristorcelli, J. R.

2013-10-01

The method of potential solutions of Fokker-Planck equations is used to develop a transport equation for the joint probability of N stochastic variables with Lochner’s generalized Dirichlet distribution as its asymptotic solution. Individual samples of a discrete ensemble, obtained from the system of stochastic differential equations, equivalent to the Fokker-Planck equation developed here, satisfy a unit-sum constraint at all times and ensure a bounded sample space, similarly to the process developed in for the Dirichlet distribution. Consequently, the generalized Dirichlet diffusion process may be used to represent realizations of a fluctuating ensemble of N variables subject to a conservation principle.more » Compared to the Dirichlet distribution and process, the additional parameters of the generalized Dirichlet distribution allow a more general class of physical processes to be modeled with a more general covariance matrix.« less

Data Analysis Approaches for the Risk-Informed Safety Margins Characterization Toolkit

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

Mandelli, Diego; Alfonsi, Andrea; Maljovec, Daniel P.

2016-09-01

In the past decades, several numerical simulation codes have been employed to simulate accident dynamics (e.g., RELAP5-3D, RELAP-7, MELCOR, MAAP). In order to evaluate the impact of uncertainties into accident dynamics, several stochastic methodologies have been coupled with these codes. These stochastic methods range from classical Monte-Carlo and Latin Hypercube sampling to stochastic polynomial methods. Similar approaches have been introduced into the risk and safety community where stochastic methods (such as RAVEN, ADAPT, MCDET, ADS) have been coupled with safety analysis codes in order to evaluate the safety impact of timing and sequencing of events. These approaches are usually calledmore » Dynamic PRA or simulation-based PRA methods. These uncertainties and safety methods usually generate a large number of simulation runs (database storage may be on the order of gigabytes or higher). The scope of this paper is to present a broad overview of methods and algorithms that can be used to analyze and extract information from large data sets containing time dependent data. In this context, “extracting information” means constructing input-output correlations, finding commonalities, and identifying outliers. Some of the algorithms presented here have been developed or are under development within the RAVEN statistical framework.« less

Stochastic stability properties of jump linear systems

NASA Technical Reports Server (NTRS)

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

1992-01-01

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

Quantifying Soiling Loss Directly From PV Yield

DOE PAGES

Deceglie, Michael G.; Micheli, Leonardo; Muller, Matthew

2018-01-23

Soiling of photovoltaic (PV) panels is typically quantified through the use of specialized sensors. Here, we describe and validate a method for estimating soiling loss experienced by PV systems directly from system yield without the need for precipitation data. The method, termed the stochastic rate and recovery (SRR) method, automatically detects soiling intervals in a dataset, then stochastically generates a sample of possible soiling profiles based on the observed characteristics of each interval. In this paper, we describe the method, validate it against soiling station measurements, and compare it with other PV-yield-based soiling estimation methods. The broader application of themore » SRR method will enable the fleet scale assessment of soiling loss to facilitate mitigation planning and risk assessment.« less

Quantifying Soiling Loss Directly From PV Yield

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

Deceglie, Michael G.; Micheli, Leonardo; Muller, Matthew

Soiling of photovoltaic (PV) panels is typically quantified through the use of specialized sensors. Here, we describe and validate a method for estimating soiling loss experienced by PV systems directly from system yield without the need for precipitation data. The method, termed the stochastic rate and recovery (SRR) method, automatically detects soiling intervals in a dataset, then stochastically generates a sample of possible soiling profiles based on the observed characteristics of each interval. In this paper, we describe the method, validate it against soiling station measurements, and compare it with other PV-yield-based soiling estimation methods. The broader application of themore » SRR method will enable the fleet scale assessment of soiling loss to facilitate mitigation planning and risk assessment.« less

A Stochastic Point Cloud Sampling Method for Multi-Template Protein Comparative Modeling.

PubMed

Li, Jilong; Cheng, Jianlin

2016-05-10

Generating tertiary structural models for a target protein from the known structure of its homologous template proteins and their pairwise sequence alignment is a key step in protein comparative modeling. Here, we developed a new stochastic point cloud sampling method, called MTMG, for multi-template protein model generation. The method first superposes the backbones of template structures, and the Cα atoms of the superposed templates form a point cloud for each position of a target protein, which are represented by a three-dimensional multivariate normal distribution. MTMG stochastically resamples the positions for Cα atoms of the residues whose positions are uncertain from the distribution, and accepts or rejects new position according to a simulated annealing protocol, which effectively removes atomic clashes commonly encountered in multi-template comparative modeling. We benchmarked MTMG on 1,033 sequence alignments generated for CASP9, CASP10 and CASP11 targets, respectively. Using multiple templates with MTMG improves the GDT-TS score and TM-score of structural models by 2.96-6.37% and 2.42-5.19% on the three datasets over using single templates. MTMG's performance was comparable to Modeller in terms of GDT-TS score, TM-score, and GDT-HA score, while the average RMSD was improved by a new sampling approach. The MTMG software is freely available at: http://sysbio.rnet.missouri.edu/multicom_toolbox/mtmg.html.

A Stochastic Point Cloud Sampling Method for Multi-Template Protein Comparative Modeling

PubMed Central

Li, Jilong; Cheng, Jianlin

2016-01-01

Generating tertiary structural models for a target protein from the known structure of its homologous template proteins and their pairwise sequence alignment is a key step in protein comparative modeling. Here, we developed a new stochastic point cloud sampling method, called MTMG, for multi-template protein model generation. The method first superposes the backbones of template structures, and the Cα atoms of the superposed templates form a point cloud for each position of a target protein, which are represented by a three-dimensional multivariate normal distribution. MTMG stochastically resamples the positions for Cα atoms of the residues whose positions are uncertain from the distribution, and accepts or rejects new position according to a simulated annealing protocol, which effectively removes atomic clashes commonly encountered in multi-template comparative modeling. We benchmarked MTMG on 1,033 sequence alignments generated for CASP9, CASP10 and CASP11 targets, respectively. Using multiple templates with MTMG improves the GDT-TS score and TM-score of structural models by 2.96–6.37% and 2.42–5.19% on the three datasets over using single templates. MTMG’s performance was comparable to Modeller in terms of GDT-TS score, TM-score, and GDT-HA score, while the average RMSD was improved by a new sampling approach. The MTMG software is freely available at: http://sysbio.rnet.missouri.edu/multicom_toolbox/mtmg.html. PMID:27161489

Selection of Polynomial Chaos Bases via Bayesian Model Uncertainty Methods with Applications to Sparse Approximation of PDEs with Stochastic Inputs

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

Karagiannis, Georgios; Lin, Guang

2014-02-15

Generalized polynomial chaos (gPC) expansions allow the representation of the solution of a stochastic system as a series of polynomial terms. The number of gPC terms increases dramatically with the dimension of the random input variables. When the number of the gPC terms is larger than that of the available samples, a scenario that often occurs if the evaluations of the system are expensive, the evaluation of the gPC expansion can be inaccurate due to over-fitting. We propose a fully Bayesian approach that allows for global recovery of the stochastic solution, both in spacial and random domains, by coupling Bayesianmore » model uncertainty and regularization regression methods. It allows the evaluation of the PC coefficients on a grid of spacial points via (1) Bayesian model average or (2) medial probability model, and their construction as functions on the spacial domain via spline interpolation. The former accounts the model uncertainty and provides Bayes-optimal predictions; while the latter, additionally, provides a sparse representation of the solution by evaluating the expansion on a subset of dominating gPC bases when represented as a gPC expansion. Moreover, the method quantifies the importance of the gPC bases through inclusion probabilities. We design an MCMC sampler that evaluates all the unknown quantities without the need of ad-hoc techniques. The proposed method is suitable for, but not restricted to, problems whose stochastic solution is sparse at the stochastic level with respect to the gPC bases while the deterministic solver involved is expensive. We demonstrate the good performance of the proposed method and make comparisons with others on 1D, 14D and 40D in random space elliptic stochastic partial differential equations.« less

An equation-free probabilistic steady-state approximation: dynamic application to the stochastic simulation of biochemical reaction networks.

PubMed

Salis, Howard; Kaznessis, Yiannis N

2005-12-01

Stochastic chemical kinetics more accurately describes the dynamics of "small" chemical systems, such as biological cells. Many real systems contain dynamical stiffness, which causes the exact stochastic simulation algorithm or other kinetic Monte Carlo methods to spend the majority of their time executing frequently occurring reaction events. Previous methods have successfully applied a type of probabilistic steady-state approximation by deriving an evolution equation, such as the chemical master equation, for the relaxed fast dynamics and using the solution of that equation to determine the slow dynamics. However, because the solution of the chemical master equation is limited to small, carefully selected, or linear reaction networks, an alternate equation-free method would be highly useful. We present a probabilistic steady-state approximation that separates the time scales of an arbitrary reaction network, detects the convergence of a marginal distribution to a quasi-steady-state, directly samples the underlying distribution, and uses those samples to accurately predict the state of the system, including the effects of the slow dynamics, at future times. The numerical method produces an accurate solution of both the fast and slow reaction dynamics while, for stiff systems, reducing the computational time by orders of magnitude. The developed theory makes no approximations on the shape or form of the underlying steady-state distribution and only assumes that it is ergodic. We demonstrate the accuracy and efficiency of the method using multiple interesting examples, including a highly nonlinear protein-protein interaction network. The developed theory may be applied to any type of kinetic Monte Carlo simulation to more efficiently simulate dynamically stiff systems, including existing exact, approximate, or hybrid stochastic simulation techniques.

A robust nonparametric framework for reconstruction of stochastic differential equation models

NASA Astrophysics Data System (ADS)

Rajabzadeh, Yalda; Rezaie, Amir Hossein; Amindavar, Hamidreza

2016-05-01

In this paper, we employ a nonparametric framework to robustly estimate the functional forms of drift and diffusion terms from discrete stationary time series. The proposed method significantly improves the accuracy of the parameter estimation. In this framework, drift and diffusion coefficients are modeled through orthogonal Legendre polynomials. We employ the least squares regression approach along with the Euler-Maruyama approximation method to learn coefficients of stochastic model. Next, a numerical discrete construction of mean squared prediction error (MSPE) is established to calculate the order of Legendre polynomials in drift and diffusion terms. We show numerically that the new method is robust against the variation in sample size and sampling rate. The performance of our method in comparison with the kernel-based regression (KBR) method is demonstrated through simulation and real data. In case of real dataset, we test our method for discriminating healthy electroencephalogram (EEG) signals from epilepsy ones. We also demonstrate the efficiency of the method through prediction in the financial data. In both simulation and real data, our algorithm outperforms the KBR method.

On the efficacy of stochastic collocation, stochastic Galerkin, and stochastic reduced order models for solving stochastic problems

DOE PAGES

Richard V. Field, Jr.; Emery, John M.; Grigoriu, Mircea Dan

2015-05-19

The stochastic collocation (SC) and stochastic Galerkin (SG) methods are two well-established and successful approaches for solving general stochastic problems. A recently developed method based on stochastic reduced order models (SROMs) can also be used. Herein we provide a comparison of the three methods for some numerical examples; our evaluation only holds for the examples considered in the paper. The purpose of the comparisons is not to criticize the SC or SG methods, which have proven very useful for a broad range of applications, nor is it to provide overall ratings of these methods as compared to the SROM method.more » Furthermore, our objectives are to present the SROM method as an alternative approach to solving stochastic problems and provide information on the computational effort required by the implementation of each method, while simultaneously assessing their performance for a collection of specific problems.« less

An introduction of a new stochastic tropical cyclone model for Japan area

NASA Astrophysics Data System (ADS)

Suzuki, K.; Nakano, S.; Ueno, G.; Mori, N.; Nakajo, S.

2015-12-01

The extreme events such as tropical cyclones (TC), downpours, floods, and so on, have huge influences on the human life in the past, present, and future. In particular, the change in their risks on the human life under the future climate has been concerned by the governments and researchers. Our aim is to estimate the probabilities for frequencies of TC which could attack to Japan under the future climate that calculated by GCMs. For carrying out this subject, it is needed a suitable rare event sampling method to find TCs that land on big cities in Japan. Moreover, it requires sufficient reproductions of TCs for calculation of their probabilities, too. The model for TC reproductions is designed with three parts following the lifecycle of TC; formation, maturity and decay. However, we don't treat the part of maturity with physical equations because the maturity process is complicated to express as a stochastic model. The TC intensity model will take the place of this physical part. Several stochastic TC models have been developed for different purposes and problems. Our model is developed for the establishment of a rare event sampling method. Here, the comparisons of behaviors of TC tracks among several stochastic TC models will be discussed using Best Track data provided by Japan Meteorological Agency and MRI-AGCM data for the present climate.

Coarse-graining and hybrid methods for efficient simulation of stochastic multi-scale models of tumour growth.

PubMed

de la Cruz, Roberto; Guerrero, Pilar; Calvo, Juan; Alarcón, Tomás

2017-12-01

The development of hybrid methodologies is of current interest in both multi-scale modelling and stochastic reaction-diffusion systems regarding their applications to biology. We formulate a hybrid method for stochastic multi-scale models of cells populations that extends the remit of existing hybrid methods for reaction-diffusion systems. Such method is developed for a stochastic multi-scale model of tumour growth, i.e. population-dynamical models which account for the effects of intrinsic noise affecting both the number of cells and the intracellular dynamics. In order to formulate this method, we develop a coarse-grained approximation for both the full stochastic model and its mean-field limit. Such approximation involves averaging out the age-structure (which accounts for the multi-scale nature of the model) by assuming that the age distribution of the population settles onto equilibrium very fast. We then couple the coarse-grained mean-field model to the full stochastic multi-scale model. By doing so, within the mean-field region, we are neglecting noise in both cell numbers (population) and their birth rates (structure). This implies that, in addition to the issues that arise in stochastic-reaction diffusion systems, we need to account for the age-structure of the population when attempting to couple both descriptions. We exploit our coarse-graining model so that, within the mean-field region, the age-distribution is in equilibrium and we know its explicit form. This allows us to couple both domains consistently, as upon transference of cells from the mean-field to the stochastic region, we sample the equilibrium age distribution. Furthermore, our method allows us to investigate the effects of intracellular noise, i.e. fluctuations of the birth rate, on collective properties such as travelling wave velocity. We show that the combination of population and birth-rate noise gives rise to large fluctuations of the birth rate in the region at the leading edge of front, which cannot be accounted for by the coarse-grained model. Such fluctuations have non-trivial effects on the wave velocity. Beyond the development of a new hybrid method, we thus conclude that birth-rate fluctuations are central to a quantitatively accurate description of invasive phenomena such as tumour growth.

Coarse-graining and hybrid methods for efficient simulation of stochastic multi-scale models of tumour growth

NASA Astrophysics Data System (ADS)

de la Cruz, Roberto; Guerrero, Pilar; Calvo, Juan; Alarcón, Tomás

2017-12-01

The development of hybrid methodologies is of current interest in both multi-scale modelling and stochastic reaction-diffusion systems regarding their applications to biology. We formulate a hybrid method for stochastic multi-scale models of cells populations that extends the remit of existing hybrid methods for reaction-diffusion systems. Such method is developed for a stochastic multi-scale model of tumour growth, i.e. population-dynamical models which account for the effects of intrinsic noise affecting both the number of cells and the intracellular dynamics. In order to formulate this method, we develop a coarse-grained approximation for both the full stochastic model and its mean-field limit. Such approximation involves averaging out the age-structure (which accounts for the multi-scale nature of the model) by assuming that the age distribution of the population settles onto equilibrium very fast. We then couple the coarse-grained mean-field model to the full stochastic multi-scale model. By doing so, within the mean-field region, we are neglecting noise in both cell numbers (population) and their birth rates (structure). This implies that, in addition to the issues that arise in stochastic-reaction diffusion systems, we need to account for the age-structure of the population when attempting to couple both descriptions. We exploit our coarse-graining model so that, within the mean-field region, the age-distribution is in equilibrium and we know its explicit form. This allows us to couple both domains consistently, as upon transference of cells from the mean-field to the stochastic region, we sample the equilibrium age distribution. Furthermore, our method allows us to investigate the effects of intracellular noise, i.e. fluctuations of the birth rate, on collective properties such as travelling wave velocity. We show that the combination of population and birth-rate noise gives rise to large fluctuations of the birth rate in the region at the leading edge of front, which cannot be accounted for by the coarse-grained model. Such fluctuations have non-trivial effects on the wave velocity. Beyond the development of a new hybrid method, we thus conclude that birth-rate fluctuations are central to a quantitatively accurate description of invasive phenomena such as tumour growth.

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

NASA Astrophysics Data System (ADS)

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

2017-12-01

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

Effect of sample volume on metastable zone width and induction time

NASA Astrophysics Data System (ADS)

Kubota, Noriaki

2012-04-01

The metastable zone width (MSZW) and the induction time, measured for a large sample (say>0.1 L) are reproducible and deterministic, while, for a small sample (say<1 mL), these values are irreproducible and stochastic. Such behaviors of MSZW and induction time were theoretically discussed both with stochastic and deterministic models. Equations for the distribution of stochastic MSZW and induction time were derived. The average values of stochastic MSZW and induction time both decreased with an increase in sample volume, while, the deterministic MSZW and induction time remained unchanged. Such different behaviors with variation in sample volume were explained in terms of detection sensitivity of crystallization events. The average values of MSZW and induction time in the stochastic model were compared with the deterministic MSZW and induction time, respectively. Literature data reported for paracetamol aqueous solution were explained theoretically with the presented models.

A novel stochastic modeling method to simulate cooling loads in residential districts

DOE PAGES

An, Jingjing; Yan, Da; Hong, Tianzhen; ...

2017-09-04

District cooling systems are widely used in urban residential communities in China. Most of such systems are oversized, which leads to wasted investment, low operational efficiency and, thus, waste of energy. The accurate prediction of district cooling loads that can support the rightsizing of cooling plant equipment remains a challenge. This study develops a novel stochastic modeling method that consists of (1) six prototype house models representing most apartments in a district, (2) occupant behavior models of residential buildings reflecting their spatial and temporal diversity as well as their complexity based on a large-scale residential survey in China, and (3)more » a stochastic sampling process to represent all apartments and occupants in the district. The stochastic method was applied to a case study using the Designer's Simulation Toolkit (DeST) to simulate the cooling loads of a residential district in Wuhan, China. The simulation results agreed well with the measured data based on five performance metrics representing the aggregated cooling consumption, the peak cooling loads, the spatial load distribution, the temporal load distribution and the load profiles. Two prevalent simulation methods were also employed to simulate the district cooling loads. Here, the results showed that oversimplified assumptions about occupant behavior could lead to significant overestimation of the peak cooling load and the total cooling loads in the district. Future work will aim to simplify the workflow and data requirements of the stochastic method for its application, and to explore its use in predicting district heating loads and in commercial or mixed-use districts.« less

A novel stochastic modeling method to simulate cooling loads in residential districts

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

An, Jingjing; Yan, Da; Hong, Tianzhen

District cooling systems are widely used in urban residential communities in China. Most of such systems are oversized, which leads to wasted investment, low operational efficiency and, thus, waste of energy. The accurate prediction of district cooling loads that can support the rightsizing of cooling plant equipment remains a challenge. This study develops a novel stochastic modeling method that consists of (1) six prototype house models representing most apartments in a district, (2) occupant behavior models of residential buildings reflecting their spatial and temporal diversity as well as their complexity based on a large-scale residential survey in China, and (3)more » a stochastic sampling process to represent all apartments and occupants in the district. The stochastic method was applied to a case study using the Designer's Simulation Toolkit (DeST) to simulate the cooling loads of a residential district in Wuhan, China. The simulation results agreed well with the measured data based on five performance metrics representing the aggregated cooling consumption, the peak cooling loads, the spatial load distribution, the temporal load distribution and the load profiles. Two prevalent simulation methods were also employed to simulate the district cooling loads. Here, the results showed that oversimplified assumptions about occupant behavior could lead to significant overestimation of the peak cooling load and the total cooling loads in the district. Future work will aim to simplify the workflow and data requirements of the stochastic method for its application, and to explore its use in predicting district heating loads and in commercial or mixed-use districts.« less

Selected-node stochastic simulation algorithm

NASA Astrophysics Data System (ADS)

Duso, Lorenzo; Zechner, Christoph

2018-04-01

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

Nonlinear stochastic interacting dynamics and complexity of financial gasket fractal-like lattice percolation

NASA Astrophysics Data System (ADS)

Zhang, Wei; Wang, Jun

2018-05-01

A novel nonlinear stochastic interacting price dynamics is proposed and investigated by the bond percolation on Sierpinski gasket fractal-like lattice, aim to make a new approach to reproduce and study the complexity dynamics of real security markets. Fractal-like lattices correspond to finite graphs with vertices and edges, which are similar to fractals, and Sierpinski gasket is a well-known example of fractals. Fractional ordinal array entropy and fractional ordinal array complexity are introduced to analyze the complexity behaviors of financial signals. To deeper comprehend the fluctuation characteristics of the stochastic price evolution, the complexity analysis of random logarithmic returns and volatility are preformed, including power-law distribution, fractional sample entropy and fractional ordinal array complexity. For further verifying the rationality and validity of the developed stochastic price evolution, the actual security market dataset are also studied with the same statistical methods for comparison. The empirical results show that this stochastic price dynamics can reconstruct complexity behaviors of the actual security markets to some extent.

Patchwork sampling of stochastic differential equations

NASA Astrophysics Data System (ADS)

Kürsten, Rüdiger; Behn, Ulrich

2016-03-01

We propose a method to sample stationary properties of solutions of stochastic differential equations, which is accurate and efficient if there are rarely visited regions or rare transitions between distinct regions of the state space. The method is based on a complete, nonoverlapping partition of the state space into patches on which the stochastic process is ergodic. On each of these patches we run simulations of the process strictly truncated to the corresponding patch, which allows effective simulations also in rarely visited regions. The correct weight for each patch is obtained by counting the attempted transitions between all different patches. The results are patchworked to cover the whole state space. We extend the concept of truncated Markov chains which is originally formulated for processes which obey detailed balance to processes not fulfilling detailed balance. The method is illustrated by three examples, describing the one-dimensional diffusion of an overdamped particle in a double-well potential, a system of many globally coupled overdamped particles in double-well potentials subject to additive Gaussian white noise, and the overdamped motion of a particle on the circle in a periodic potential subject to a deterministic drift and additive noise. In an appendix we explain how other well-known Markov chain Monte Carlo algorithms can be related to truncated Markov chains.

A Subspace Semi-Definite programming-based Underestimation (SSDU) method for stochastic global optimization in protein docking*

PubMed Central

Nan, Feng; Moghadasi, Mohammad; Vakili, Pirooz; Vajda, Sandor; Kozakov, Dima; Ch. Paschalidis, Ioannis

2015-01-01

We propose a new stochastic global optimization method targeting protein docking problems. The method is based on finding a general convex polynomial underestimator to the binding energy function in a permissive subspace that possesses a funnel-like structure. We use Principal Component Analysis (PCA) to determine such permissive subspaces. The problem of finding the general convex polynomial underestimator is reduced into the problem of ensuring that a certain polynomial is a Sum-of-Squares (SOS), which can be done via semi-definite programming. The underestimator is then used to bias sampling of the energy function in order to recover a deep minimum. We show that the proposed method significantly improves the quality of docked conformations compared to existing methods. PMID:25914440

Stochastic hyperfine interactions modeling library-Version 2

NASA Astrophysics Data System (ADS)

Zacate, Matthew O.; Evenson, William E.

2016-02-01

The stochastic hyperfine interactions modeling library (SHIML) provides a set of routines to assist in the development and application of stochastic models of hyperfine interactions. The library provides routines written in the C programming language that (1) read a text description of a model for fluctuating hyperfine fields, (2) set up the Blume matrix, upon which the evolution operator of the system depends, and (3) find the eigenvalues and eigenvectors of the Blume matrix so that theoretical spectra of experimental techniques that measure hyperfine interactions can be calculated. The optimized vector and matrix operations of the BLAS and LAPACK libraries are utilized. The original version of SHIML constructed and solved Blume matrices for methods that measure hyperfine interactions of nuclear probes in a single spin state. Version 2 provides additional support for methods that measure interactions on two different spin states such as Mössbauer spectroscopy and nuclear resonant scattering of synchrotron radiation. Example codes are provided to illustrate the use of SHIML to (1) generate perturbed angular correlation spectra for the special case of polycrystalline samples when anisotropy terms of higher order than A22 can be neglected and (2) generate Mössbauer spectra for polycrystalline samples for pure dipole or pure quadrupole transitions.

GPU-based stochastic-gradient optimization for non-rigid medical image registration in time-critical applications

NASA Astrophysics Data System (ADS)

Bhosale, Parag; Staring, Marius; Al-Ars, Zaid; Berendsen, Floris F.

2018-03-01

Currently, non-rigid image registration algorithms are too computationally intensive to use in time-critical applications. Existing implementations that focus on speed typically address this by either parallelization on GPU-hardware, or by introducing methodically novel techniques into CPU-oriented algorithms. Stochastic gradient descent (SGD) optimization and variations thereof have proven to drastically reduce the computational burden for CPU-based image registration, but have not been successfully applied in GPU hardware due to its stochastic nature. This paper proposes 1) NiftyRegSGD, a SGD optimization for the GPU-based image registration tool NiftyReg, 2) random chunk sampler, a new random sampling strategy that better utilizes the memory bandwidth of GPU hardware. Experiments have been performed on 3D lung CT data of 19 patients, which compared NiftyRegSGD (with and without random chunk sampler) with CPU-based elastix Fast Adaptive SGD (FASGD) and NiftyReg. The registration runtime was 21.5s, 4.4s and 2.8s for elastix-FASGD, NiftyRegSGD without, and NiftyRegSGD with random chunk sampling, respectively, while similar accuracy was obtained. Our method is publicly available at https://github.com/SuperElastix/NiftyRegSGD.

Identification of hydraulic conductivity structure in sand and gravel aquifers: Cape Cod data set

USGS Publications Warehouse

Eggleston, J.R.; Rojstaczer, S.A.; Peirce, J.J.

1996-01-01

This study evaluates commonly used geostatistical methods to assess reproduction of hydraulic conductivity (K) structure and sensitivity under limiting amounts of data. Extensive conductivity measurements from the Cape Cod sand and gravel aquifer are used to evaluate two geostatistical estimation methods, conditional mean as an estimate and ordinary kriging, and two stochastic simulation methods, simulated annealing and sequential Gaussian simulation. Our results indicate that for relatively homogeneous sand and gravel aquifers such as the Cape Cod aquifer, neither estimation methods nor stochastic simulation methods give highly accurate point predictions of hydraulic conductivity despite the high density of collected data. Although the stochastic simulation methods yielded higher errors than the estimation methods, the stochastic simulation methods yielded better reproduction of the measured In (K) distribution and better reproduction of local contrasts in In (K). The inability of kriging to reproduce high In (K) values, as reaffirmed by this study, provides a strong instigation for choosing stochastic simulation methods to generate conductivity fields when performing fine-scale contaminant transport modeling. Results also indicate that estimation error is relatively insensitive to the number of hydraulic conductivity measurements so long as more than a threshold number of data are used to condition the realizations. This threshold occurs for the Cape Cod site when there are approximately three conductivity measurements per integral volume. The lack of improvement with additional data suggests that although fine-scale hydraulic conductivity structure is evident in the variogram, it is not accurately reproduced by geostatistical estimation methods. If the Cape Cod aquifer spatial conductivity characteristics are indicative of other sand and gravel deposits, then the results on predictive error versus data collection obtained here have significant practical consequences for site characterization. Heavily sampled sand and gravel aquifers, such as Cape Cod and Borden, may have large amounts of redundant data, while in more common real world settings, our results suggest that denser data collection will likely improve understanding of permeability structure.

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

PubMed

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

2009-09-01

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

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

PubMed

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

2011-03-15

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

Pattern recognition of estradiol, testosterone and dihydrotestosterone in children's saliva samples using stochastic microsensors

NASA Astrophysics Data System (ADS)

Staden, Raluca-Ioana Stefan-Van; Gugoaşă, Livia Alexandra; Calenic, Bogdan; Legler, Juliette

2014-07-01

Stochastic microsensors based on diamond paste and three types of electroactive materials (maltodextrin (MD), α-cyclodextrin (α-CD) and 5,10,15,20-tetraphenyl-21H,23H porphyrin (P)) were developed for the assay of estradiol (E2), testosterone (T2) and dihydrotestosterone (DHT) in children's saliva. The main advantage of utilization of such tools is the possibility to identify and quantify all three hormones within minutes in small volumes of childen's saliva. The limits of quantification obtained for DHT, T2, and E2 (1 fmol/L for DHT, 1 pmol/L for T2, and 66 fmol/L for E2) determined using the proposed tools allows the utilization of these new methods with high reliability for the screening of saliva samples from children. This new method proposed for the assay of the three hormones overcomes the limitations (regarding limits of determination) of ELISA method which is the standard method used in clinical laboratories for the assay of DHT, T2, and E2 in saliva samples. The main feature of its utilization for children's saliva is to identify earlier problems related to early puberty and obesity.

Selection of polynomial chaos bases via Bayesian model uncertainty methods with applications to sparse approximation of PDEs with stochastic inputs

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

Karagiannis, Georgios, E-mail: georgios.karagiannis@pnnl.gov; Lin, Guang, E-mail: guang.lin@pnnl.gov

2014-02-15

Generalized polynomial chaos (gPC) expansions allow us to represent the solution of a stochastic system using a series of polynomial chaos basis functions. The number of gPC terms increases dramatically as the dimension of the random input variables increases. When the number of the gPC terms is larger than that of the available samples, a scenario that often occurs when the corresponding deterministic solver is computationally expensive, evaluation of the gPC expansion can be inaccurate due to over-fitting. We propose a fully Bayesian approach that allows for global recovery of the stochastic solutions, in both spatial and random domains, bymore » coupling Bayesian model uncertainty and regularization regression methods. It allows the evaluation of the PC coefficients on a grid of spatial points, via (1) the Bayesian model average (BMA) or (2) the median probability model, and their construction as spatial functions on the spatial domain via spline interpolation. The former accounts for the model uncertainty and provides Bayes-optimal predictions; while the latter provides a sparse representation of the stochastic solutions by evaluating the expansion on a subset of dominating gPC bases. Moreover, the proposed methods quantify the importance of the gPC bases in the probabilistic sense through inclusion probabilities. We design a Markov chain Monte Carlo (MCMC) sampler that evaluates all the unknown quantities without the need of ad-hoc techniques. The proposed methods are suitable for, but not restricted to, problems whose stochastic solutions are sparse in the stochastic space with respect to the gPC bases while the deterministic solver involved is expensive. We demonstrate the accuracy and performance of the proposed methods and make comparisons with other approaches on solving elliptic SPDEs with 1-, 14- and 40-random dimensions.« less

A hierarchical exact accelerated stochastic simulation algorithm

NASA Astrophysics Data System (ADS)

Orendorff, David; Mjolsness, Eric

2012-12-01

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

Global sensitivity analysis in stochastic simulators of uncertain reaction networks.

PubMed

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

2016-12-28

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

Global sensitivity analysis in stochastic simulators of uncertain reaction networks

DOE PAGES

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

2016-12-23

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

Global sensitivity analysis in stochastic simulators of uncertain reaction networks

NASA Astrophysics Data System (ADS)

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

2016-12-01

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

Evaluation and recommendation of sensitivity analysis methods for application to Stochastic Human Exposure and Dose Simulation models.

PubMed

Mokhtari, Amirhossein; Christopher Frey, H; Zheng, Junyu

2006-11-01

Sensitivity analyses of exposure or risk models can help identify the most significant factors to aid in risk management or to prioritize additional research to reduce uncertainty in the estimates. However, sensitivity analysis is challenged by non-linearity, interactions between inputs, and multiple days or time scales. Selected sensitivity analysis methods are evaluated with respect to their applicability to human exposure models with such features using a testbed. The testbed is a simplified version of a US Environmental Protection Agency's Stochastic Human Exposure and Dose Simulation (SHEDS) model. The methods evaluated include the Pearson and Spearman correlation, sample and rank regression, analysis of variance, Fourier amplitude sensitivity test (FAST), and Sobol's method. The first five methods are known as "sampling-based" techniques, wheras the latter two methods are known as "variance-based" techniques. The main objective of the test cases was to identify the main and total contributions of individual inputs to the output variance. Sobol's method and FAST directly quantified these measures of sensitivity. Results show that sensitivity of an input typically changed when evaluated under different time scales (e.g., daily versus monthly). All methods provided similar insights regarding less important inputs; however, Sobol's method and FAST provided more robust insights with respect to sensitivity of important inputs compared to the sampling-based techniques. Thus, the sampling-based methods can be used in a screening step to identify unimportant inputs, followed by application of more computationally intensive refined methods to a smaller set of inputs. The implications of time variation in sensitivity results for risk management are briefly discussed.

Geotechnical parameter spatial distribution stochastic analysis based on multi-precision information assimilation

NASA Astrophysics Data System (ADS)

Wang, C.; Rubin, Y.

2014-12-01

Spatial distribution of important geotechnical parameter named compression modulus Es contributes considerably to the understanding of the underlying geological processes and the adequate assessment of the Es mechanics effects for differential settlement of large continuous structure foundation. These analyses should be derived using an assimilating approach that combines in-situ static cone penetration test (CPT) with borehole experiments. To achieve such a task, the Es distribution of stratum of silty clay in region A of China Expo Center (Shanghai) is studied using the Bayesian-maximum entropy method. This method integrates rigorously and efficiently multi-precision of different geotechnical investigations and sources of uncertainty. Single CPT samplings were modeled as a rational probability density curve by maximum entropy theory. Spatial prior multivariate probability density function (PDF) and likelihood PDF of the CPT positions were built by borehole experiments and the potential value of the prediction point, then, preceding numerical integration on the CPT probability density curves, the posterior probability density curve of the prediction point would be calculated by the Bayesian reverse interpolation framework. The results were compared between Gaussian Sequential Stochastic Simulation and Bayesian methods. The differences were also discussed between single CPT samplings of normal distribution and simulated probability density curve based on maximum entropy theory. It is shown that the study of Es spatial distributions can be improved by properly incorporating CPT sampling variation into interpolation process, whereas more informative estimations are generated by considering CPT Uncertainty for the estimation points. Calculation illustrates the significance of stochastic Es characterization in a stratum, and identifies limitations associated with inadequate geostatistical interpolation techniques. This characterization results will provide a multi-precision information assimilation method of other geotechnical parameters.

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

NASA Technical Reports Server (NTRS)

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

2004-01-01

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

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.

A model and variance reduction method for computing statistical outputs of stochastic elliptic partial differential equations

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

Vidal-Codina, F., E-mail: fvidal@mit.edu; Nguyen, N.C., E-mail: cuongng@mit.edu; Giles, M.B., E-mail: mike.giles@maths.ox.ac.uk

We present a model and variance reduction method for the fast and reliable computation of statistical outputs of stochastic elliptic partial differential equations. Our method consists of three main ingredients: (1) the hybridizable discontinuous Galerkin (HDG) discretization of elliptic partial differential equations (PDEs), which allows us to obtain high-order accurate solutions of the governing PDE; (2) the reduced basis method for a new HDG discretization of the underlying PDE to enable real-time solution of the parameterized PDE in the presence of stochastic parameters; and (3) a multilevel variance reduction method that exploits the statistical correlation among the different reduced basismore » approximations and the high-fidelity HDG discretization to accelerate the convergence of the Monte Carlo simulations. The multilevel variance reduction method provides efficient computation of the statistical outputs by shifting most of the computational burden from the high-fidelity HDG approximation to the reduced basis approximations. Furthermore, we develop a posteriori error estimates for our approximations of the statistical outputs. Based on these error estimates, we propose an algorithm for optimally choosing both the dimensions of the reduced basis approximations and the sizes of Monte Carlo samples to achieve a given error tolerance. We provide numerical examples to demonstrate the performance of the proposed method.« less

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

Functional Wigner representation of quantum dynamics of Bose-Einstein condensate

NASA Astrophysics Data System (ADS)

Opanchuk, B.; Drummond, P. D.

2013-04-01

We develop a method of simulating the full quantum field dynamics of multi-mode multi-component Bose-Einstein condensates in a trap. We use the truncated Wigner representation to obtain a probabilistic theory that can be sampled. This method produces c-number stochastic equations which may be solved using conventional stochastic methods. The technique is valid for large mode occupation numbers. We give a detailed derivation of methods of functional Wigner representation appropriate for quantum fields. Our approach describes spatial evolution of spinor components and properly accounts for nonlinear losses. Such techniques are applicable to calculating the leading quantum corrections, including effects such as quantum squeezing, entanglement, EPR correlations, and interactions with engineered nonlinear reservoirs. By using a consistent expansion in the inverse density, we are able to explain an inconsistency in the nonlinear loss equations found by earlier authors.

Probabilistic Structural Analysis Methods (PSAM) for Select Space Propulsion System Components

NASA Technical Reports Server (NTRS)

1999-01-01

Probabilistic Structural Analysis Methods (PSAM) are described for the probabilistic structural analysis of engine components for current and future space propulsion systems. Components for these systems are subjected to stochastic thermomechanical launch loads. Uncertainties or randomness also occurs in material properties, structural geometry, and boundary conditions. Material property stochasticity, such as in modulus of elasticity or yield strength, exists in every structure and is a consequence of variations in material composition and manufacturing processes. Procedures are outlined for computing the probabilistic structural response or reliability of the structural components. The response variables include static or dynamic deflections, strains, and stresses at one or several locations, natural frequencies, fatigue or creep life, etc. Sample cases illustrates how the PSAM methods and codes simulate input uncertainties and compute probabilistic response or reliability using a finite element model with probabilistic methods.

Conformational sampling with stochastic proximity embedding and self-organizing superimposition: establishing reasonable parameters for their practical use.

PubMed

Tresadern, Gary; Agrafiotis, Dimitris K

2009-12-01

Stochastic proximity embedding (SPE) and self-organizing superimposition (SOS) are two recently introduced methods for conformational sampling that have shown great promise in several application domains. Our previous validation studies aimed at exploring the limits of these methods and have involved rather exhaustive conformational searches producing a large number of conformations. However, from a practical point of view, such searches have become the exception rather than the norm. The increasing popularity of virtual screening has created a need for 3D conformational search methods that produce meaningful answers in a relatively short period of time and work effectively on a large scale. In this work, we examine the performance of these algorithms and the effects of different parameter settings at varying levels of sampling. Our goal is to identify search protocols that can produce a diverse set of chemically sensible conformations and have a reasonable probability of sampling biologically active space within a small number of trials. Our results suggest that both SPE and SOS are extremely competitive in this regard and produce very satisfactory results with as few as 500 conformations per molecule. The results improve even further when the raw conformations are minimized with a molecular mechanics force field to remove minor imperfections and any residual strain. These findings provide additional evidence that these methods are suitable for many everyday modeling tasks, both high- and low-throughput.

Bayesian inference for dynamic transcriptional regulation; the Hes1 system as a case study.

PubMed

Heron, Elizabeth A; Finkenstädt, Bärbel; Rand, David A

2007-10-01

In this study, we address the problem of estimating the parameters of regulatory networks and provide the first application of Markov chain Monte Carlo (MCMC) methods to experimental data. As a case study, we consider a stochastic model of the Hes1 system expressed in terms of stochastic differential equations (SDEs) to which rigorous likelihood methods of inference can be applied. When fitting continuous-time stochastic models to discretely observed time series the lengths of the sampling intervals are important, and much of our study addresses the problem when the data are sparse. We estimate the parameters of an autoregulatory network providing results both for simulated and real experimental data from the Hes1 system. We develop an estimation algorithm using MCMC techniques which are flexible enough to allow for the imputation of latent data on a finer time scale and the presence of prior information about parameters which may be informed from other experiments as well as additional measurement error.

Simulated fissioning of uranium and testing of the fission-track dating method

USGS Publications Warehouse

McGee, V.E.; Johnson, N.M.; Naeser, C.W.

1985-01-01

A computer program (FTD-SIM) faithfully simulates the fissioning of 238U with time and 235U with neutron dose. The simulation is based on first principles of physics where the fissioning of 238U with the flux of time is described by Ns = ??f 238Ut and the fissioning of 235U with the fluence of neutrons is described by Ni = ??235U??. The Poisson law is used to set the stochastic variation of fissioning within the uranium population. The life history of a given crystal can thus be traced under an infinite variety of age and irradiation conditions. A single dating attempt or up to 500 dating attempts on a given crystal population can be simulated by specifying the age of the crystal population, the size and variation in the areas to be counted, the amount and distribution of uranium, the neutron dose to be used and its variation, and the desired ratio of 238U to 235U. A variety of probability distributions can be applied to uranium and counting-area. The Price and Walker age equation is used to estimate age. The output of FTD-SIM includes the tabulated results of each individual dating attempt (sample) on demand and/or the summary statistics and histograms for multiple dating attempts (samples) including the sampling age. An analysis of the results from FTD-SIM shows that: (1) The external detector method is intrinsically more precise than the population method. (2) For the external detector method a correlation between spontaneous track count, Ns, and induced track count, Ni, results when the population of grains has a stochastic uranium content and/or when the counting areas between grains are stochastic. For the population method no correlation can exist. (3) In the external detector method the sampling distribution of age is independent of the number of grains counted. In the population method the sampling distribution of age is highly dependent on the number of grains counted. (4) Grains with zero-track counts, either in Ns or Ni, are in integral part of fissioning theory and under certain circumstances must be included in any estimate of age. (5) In estimating standard error of age the standard error of Ns and Ni and ?? must be accurately estimated and propagated through the age equation. Several statistical models are presently available to do so. ?? 1985.

Structural Reliability Using Probability Density Estimation Methods Within NESSUS

NASA Technical Reports Server (NTRS)

Chamis, Chrisos C. (Technical Monitor); Godines, Cody Ric

2003-01-01

A reliability analysis studies a mathematical model of a physical system taking into account uncertainties of design variables and common results are estimations of a response density, which also implies estimations of its parameters. Some common density parameters include the mean value, the standard deviation, and specific percentile(s) of the response, which are measures of central tendency, variation, and probability regions, respectively. Reliability analyses are important since the results can lead to different designs by calculating the probability of observing safe responses in each of the proposed designs. All of this is done at the expense of added computational time as compared to a single deterministic analysis which will result in one value of the response out of many that make up the density of the response. Sampling methods, such as monte carlo (MC) and latin hypercube sampling (LHS), can be used to perform reliability analyses and can compute nonlinear response density parameters even if the response is dependent on many random variables. Hence, both methods are very robust; however, they are computationally expensive to use in the estimation of the response density parameters. Both methods are 2 of 13 stochastic methods that are contained within the Numerical Evaluation of Stochastic Structures Under Stress (NESSUS) program. NESSUS is a probabilistic finite element analysis (FEA) program that was developed through funding from NASA Glenn Research Center (GRC). It has the additional capability of being linked to other analysis programs; therefore, probabilistic fluid dynamics, fracture mechanics, and heat transfer are only a few of what is possible with this software. The LHS method is the newest addition to the stochastic methods within NESSUS. Part of this work was to enhance NESSUS with the LHS method. The new LHS module is complete, has been successfully integrated with NESSUS, and been used to study four different test cases that have been proposed by the Society of Automotive Engineers (SAE). The test cases compare different probabilistic methods within NESSUS because it is important that a user can have confidence that estimates of stochastic parameters of a response will be within an acceptable error limit. For each response, the mean, standard deviation, and 0.99 percentile, are repeatedly estimated which allows confidence statements to be made for each parameter estimated, and for each method. Thus, the ability of several stochastic methods to efficiently and accurately estimate density parameters is compared using four valid test cases. While all of the reliability methods used performed quite well, for the new LHS module within NESSUS it was found that it had a lower estimation error than MC when they were used to estimate the mean, standard deviation, and 0.99 percentile of the four different stochastic responses. Also, LHS required a smaller amount of calculations to obtain low error answers with a high amount of confidence than MC. It can therefore be stated that NESSUS is an important reliability tool that has a variety of sound probabilistic methods a user can employ and the newest LHS module is a valuable new enhancement of the program.

A Hybrid Monte Carlo importance sampling of rare events in Turbulence and in Turbulent Models

NASA Astrophysics Data System (ADS)

Margazoglou, Georgios; Biferale, Luca; Grauer, Rainer; Jansen, Karl; Mesterhazy, David; Rosenow, Tillmann; Tripiccione, Raffaele

2017-11-01

Extreme and rare events is a challenging topic in the field of turbulence. Trying to investigate those instances through the use of traditional numerical tools turns to be a notorious task, as they fail to systematically sample the fluctuations around them. On the other hand, we propose that an importance sampling Monte Carlo method can selectively highlight extreme events in remote areas of the phase space and induce their occurrence. We present a brand new computational approach, based on the path integral formulation of stochastic dynamics, and employ an accelerated Hybrid Monte Carlo (HMC) algorithm for this purpose. Through the paradigm of stochastic one-dimensional Burgers' equation, subjected to a random noise that is white-in-time and power-law correlated in Fourier space, we will prove our concept and benchmark our results with standard CFD methods. Furthermore, we will present our first results of constrained sampling around saddle-point instanton configurations (optimal fluctuations). The research leading to these results has received funding from the EU Horizon 2020 research and innovation programme under Grant Agreement No. 642069, and from the EU Seventh Framework Programme (FP7/2007-2013) under ERC Grant Agreement No. 339032.

Stochastic differential equation (SDE) model of opening gold share price of bursa saham malaysia

NASA Astrophysics Data System (ADS)

Hussin, F. N.; Rahman, H. A.; Bahar, A.

2017-09-01

Black and Scholes option pricing model is one of the most recognized stochastic differential equation model in mathematical finance. Two parameter estimation methods have been utilized for the Geometric Brownian model (GBM); historical and discrete method. The historical method is a statistical method which uses the property of independence and normality logarithmic return, giving out the simplest parameter estimation. Meanwhile, discrete method considers the function of density of transition from the process of diffusion normal log which has been derived from maximum likelihood method. These two methods are used to find the parameter estimates samples of Malaysians Gold Share Price data such as: Financial Times and Stock Exchange (FTSE) Bursa Malaysia Emas, and Financial Times and Stock Exchange (FTSE) Bursa Malaysia Emas Shariah. Modelling of gold share price is essential since fluctuation of gold affects worldwide economy nowadays, including Malaysia. It is found that discrete method gives the best parameter estimates than historical method due to the smallest Root Mean Square Error (RMSE) value.

Relative frequencies of constrained events in stochastic processes: An analytical approach.

PubMed

Rusconi, S; Akhmatskaya, E; Sokolovski, D; Ballard, N; de la Cal, J C

2015-10-01

The stochastic simulation algorithm (SSA) and the corresponding Monte Carlo (MC) method are among the most common approaches for studying stochastic processes. They relies on knowledge of interevent probability density functions (PDFs) and on information about dependencies between all possible events. Analytical representations of a PDF are difficult to specify in advance, in many real life applications. Knowing the shapes of PDFs, and using experimental data, different optimization schemes can be applied in order to evaluate probability density functions and, therefore, the properties of the studied system. Such methods, however, are computationally demanding, and often not feasible. We show that, in the case where experimentally accessed properties are directly related to the frequencies of events involved, it may be possible to replace the heavy Monte Carlo core of optimization schemes with an analytical solution. Such a replacement not only provides a more accurate estimation of the properties of the process, but also reduces the simulation time by a factor of order of the sample size (at least ≈10(4)). The proposed analytical approach is valid for any choice of PDF. The accuracy, computational efficiency, and advantages of the method over MC procedures are demonstrated in the exactly solvable case and in the evaluation of branching fractions in controlled radical polymerization (CRP) of acrylic monomers. This polymerization can be modeled by a constrained stochastic process. Constrained systems are quite common, and this makes the method useful for various applications.

Identification of stochastic interactions in nonlinear models of structural mechanics

NASA Astrophysics Data System (ADS)

Kala, Zdeněk

2017-07-01

In the paper, the polynomial approximation is presented by which the Sobol sensitivity analysis can be evaluated with all sensitivity indices. The nonlinear FEM model is approximated. The input area is mapped using simulations runs of Latin Hypercube Sampling method. The domain of the approximation polynomial is chosen so that it were possible to apply large number of simulation runs of Latin Hypercube Sampling method. The method presented also makes possible to evaluate higher-order sensitivity indices, which could not be identified in case of nonlinear FEM.

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

NASA Technical Reports Server (NTRS)

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

2003-01-01

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

Statistical scaling of geometric characteristics in stochastically generated pore microstructures

DOE PAGES

Hyman, Jeffrey D.; Guadagnini, Alberto; Winter, C. Larrabee

2015-05-21

In this study, we analyze the statistical scaling of structural attributes of virtual porous microstructures that are stochastically generated by thresholding Gaussian random fields. Characterization of the extent at which randomly generated pore spaces can be considered as representative of a particular rock sample depends on the metrics employed to compare the virtual sample against its physical counterpart. Typically, comparisons against features and/patterns of geometric observables, e.g., porosity and specific surface area, flow-related macroscopic parameters, e.g., permeability, or autocorrelation functions are used to assess the representativeness of a virtual sample, and thereby the quality of the generation method. Here, wemore » rely on manifestations of statistical scaling of geometric observables which were recently observed in real millimeter scale rock samples [13] as additional relevant metrics by which to characterize a virtual sample. We explore the statistical scaling of two geometric observables, namely porosity (Φ) and specific surface area (SSA), of porous microstructures generated using the method of Smolarkiewicz and Winter [42] and Hyman and Winter [22]. Our results suggest that the method can produce virtual pore space samples displaying the symptoms of statistical scaling observed in real rock samples. Order q sample structure functions (statistical moments of absolute increments) of Φ and SSA scale as a power of the separation distance (lag) over a range of lags, and extended self-similarity (linear relationship between log structure functions of successive orders) appears to be an intrinsic property of the generated media. The width of the range of lags where power-law scaling is observed and the Hurst coefficient associated with the variables we consider can be controlled by the generation parameters of the method.« less

Efficient Simulation of Tropical Cyclone Pathways with Stochastic Perturbations

NASA Astrophysics Data System (ADS)

Webber, R.; Plotkin, D. A.; Abbot, D. S.; Weare, J.

2017-12-01

Global Climate Models (GCMs) are known to statistically underpredict intense tropical cyclones (TCs) because they fail to capture the rapid intensification and high wind speeds characteristic of the most destructive TCs. Stochastic parametrization schemes have the potential to improve the accuracy of GCMs. However, current analysis of these schemes through direct sampling is limited by the computational expense of simulating a rare weather event at fine spatial gridding. The present work introduces a stochastically perturbed parametrization tendency (SPPT) scheme to increase simulated intensity of TCs. We adapt the Weighted Ensemble algorithm to simulate the distribution of TCs at a fraction of the computational effort required in direct sampling. We illustrate the efficiency of the SPPT scheme by comparing simulations at different spatial resolutions and stochastic parameter regimes. Stochastic parametrization and rare event sampling strategies have great potential to improve TC prediction and aid understanding of tropical cyclogenesis. Since rising sea surface temperatures are postulated to increase the intensity of TCs, these strategies can also improve predictions about climate change-related weather patterns. The rare event sampling strategies used in the current work are not only a novel tool for studying TCs, but they may also be applied to sampling any range of extreme weather events.

Accounting for parameter uncertainty in the definition of parametric distributions used to describe individual patient variation in health economic models.

PubMed

Degeling, Koen; IJzerman, Maarten J; Koopman, Miriam; Koffijberg, Hendrik

2017-12-15

Parametric distributions based on individual patient data can be used to represent both stochastic and parameter uncertainty. Although general guidance is available on how parameter uncertainty should be accounted for in probabilistic sensitivity analysis, there is no comprehensive guidance on reflecting parameter uncertainty in the (correlated) parameters of distributions used to represent stochastic uncertainty in patient-level models. This study aims to provide this guidance by proposing appropriate methods and illustrating the impact of this uncertainty on modeling outcomes. Two approaches, 1) using non-parametric bootstrapping and 2) using multivariate Normal distributions, were applied in a simulation and case study. The approaches were compared based on point-estimates and distributions of time-to-event and health economic outcomes. To assess sample size impact on the uncertainty in these outcomes, sample size was varied in the simulation study and subgroup analyses were performed for the case-study. Accounting for parameter uncertainty in distributions that reflect stochastic uncertainty substantially increased the uncertainty surrounding health economic outcomes, illustrated by larger confidence ellipses surrounding the cost-effectiveness point-estimates and different cost-effectiveness acceptability curves. Although both approaches performed similar for larger sample sizes (i.e. n = 500), the second approach was more sensitive to extreme values for small sample sizes (i.e. n = 25), yielding infeasible modeling outcomes. Modelers should be aware that parameter uncertainty in distributions used to describe stochastic uncertainty needs to be reflected in probabilistic sensitivity analysis, as it could substantially impact the total amount of uncertainty surrounding health economic outcomes. If feasible, the bootstrap approach is recommended to account for this uncertainty.

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

PubMed

Ebert, M

1997-12-01

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

Randomly Sampled-Data Control Systems. Ph.D. Thesis

NASA Technical Reports Server (NTRS)

Han, Kuoruey

1990-01-01

The purpose is to solve the Linear Quadratic Regulator (LQR) problem with random time sampling. Such a sampling scheme may arise from imperfect instrumentation as in the case of sampling jitter. It can also model the stochastic information exchange among decentralized controllers to name just a few. A practical suboptimal controller is proposed with the nice property of mean square stability. The proposed controller is suboptimal in the sense that the control structure is limited to be linear. Because of i. i. d. assumption, this does not seem unreasonable. Once the control structure is fixed, the stochastic discrete optimal control problem is transformed into an equivalent deterministic optimal control problem with dynamics described by the matrix difference equation. The N-horizon control problem is solved using the Lagrange's multiplier method. The infinite horizon control problem is formulated as a classical minimization problem. Assuming existence of solution to the minimization problem, the total system is shown to be mean square stable under certain observability conditions. Computer simulations are performed to illustrate these conditions.

Stochastic evaluation of annual micropollutant loads and their uncertainties in separate storm sewers.

PubMed

Hannouche, Ali; Chebbo, Ghassan; Joannis, Claude; Gasperi, Johnny; Gromaire, Marie-Christine; Moilleron, Régis; Barraud, Sylvie; Ruban, Véronique

2017-12-01

This article describes a stochastic method to calculate the annual pollutant loads and its application over several years at the outlet of three catchments drained by separate storm sewers. A stochastic methodology using Monte Carlo simulations is proposed for assessing annual pollutant load, as well as the associated uncertainties, from a few event sampling campaigns and/or continuous turbidity measurements (representative of the total suspended solids concentration (TSS)). Indeed, in the latter case, the proposed method takes into account the correlation between pollutants and TSS. The developed method was applied to data acquired within the French research project "INOGEV" (innovations for a sustainable management of urban water) at the outlet of three urban catchments drained by separate storm sewers. Ten or so event sampling campaigns for a large range of pollutants (46 pollutants and 2 conventional water quality parameters: TSS and total organic carbon (TOC)) are combined with hundreds of rainfall events for which, at least one among three continuously monitored parameters (rainfall intensity, flow rate, and turbidity) is available. Results obtained for the three catchments show that the annual pollutant loads can be estimated with uncertainties ranging from 10 to 60%, and the added value of turbidity monitoring for lowering the uncertainty is demonstrated. A low inter-annual and inter-site variability of pollutant loads, for many of studied pollutants, is observed with respect to the estimated uncertainties, and can be explained mainly by annual precipitation.

Functional Wigner representation of quantum dynamics of Bose-Einstein condensate

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

Opanchuk, B.; Drummond, P. D.

2013-04-15

We develop a method of simulating the full quantum field dynamics of multi-mode multi-component Bose-Einstein condensates in a trap. We use the truncated Wigner representation to obtain a probabilistic theory that can be sampled. This method produces c-number stochastic equations which may be solved using conventional stochastic methods. The technique is valid for large mode occupation numbers. We give a detailed derivation of methods of functional Wigner representation appropriate for quantum fields. Our approach describes spatial evolution of spinor components and properly accounts for nonlinear losses. Such techniques are applicable to calculating the leading quantum corrections, including effects such asmore » quantum squeezing, entanglement, EPR correlations, and interactions with engineered nonlinear reservoirs. By using a consistent expansion in the inverse density, we are able to explain an inconsistency in the nonlinear loss equations found by earlier authors.« less

A Monte Carlo simulation based inverse propagation method for stochastic model updating

NASA Astrophysics Data System (ADS)

Bao, Nuo; Wang, Chunjie

2015-08-01

This paper presents an efficient stochastic model updating method based on statistical theory. Significant parameters have been selected implementing the F-test evaluation and design of experiments, and then the incomplete fourth-order polynomial response surface model (RSM) has been developed. Exploiting of the RSM combined with Monte Carlo simulation (MCS), reduces the calculation amount and the rapid random sampling becomes possible. The inverse uncertainty propagation is given by the equally weighted sum of mean and covariance matrix objective functions. The mean and covariance of parameters are estimated synchronously by minimizing the weighted objective function through hybrid of particle-swarm and Nelder-Mead simplex optimization method, thus the better correlation between simulation and test is achieved. Numerical examples of a three degree-of-freedom mass-spring system under different conditions and GARTEUR assembly structure validated the feasibility and effectiveness of the proposed method.

Improved diffusion Monte Carlo propagators for bosonic systems using Itô calculus

NASA Astrophysics Data System (ADS)

Hâkansson, P.; Mella, M.; Bressanini, Dario; Morosi, Gabriele; Patrone, Marta

2006-11-01

The construction of importance sampled diffusion Monte Carlo (DMC) schemes accurate to second order in the time step is discussed. A central aspect in obtaining efficient second order schemes is the numerical solution of the stochastic differential equation (SDE) associated with the Fokker-Plank equation responsible for the importance sampling procedure. In this work, stochastic predictor-corrector schemes solving the SDE and consistent with Itô calculus are used in DMC simulations of helium clusters. These schemes are numerically compared with alternative algorithms obtained by splitting the Fokker-Plank operator, an approach that we analyze using the analytical tools provided by Itô calculus. The numerical results show that predictor-corrector methods are indeed accurate to second order in the time step and that they present a smaller time step bias and a better efficiency than second order split-operator derived schemes when computing ensemble averages for bosonic systems. The possible extension of the predictor-corrector methods to higher orders is also discussed.

Pointwise nonparametric maximum likelihood estimator of stochastically ordered survivor functions

PubMed Central

Park, Yongseok; Taylor, Jeremy M. G.; Kalbfleisch, John D.

2012-01-01

In this paper, we consider estimation of survivor functions from groups of observations with right-censored data when the groups are subject to a stochastic ordering constraint. Many methods and algorithms have been proposed to estimate distribution functions under such restrictions, but none have completely satisfactory properties when the observations are censored. We propose a pointwise constrained nonparametric maximum likelihood estimator, which is defined at each time t by the estimates of the survivor functions subject to constraints applied at time t only. We also propose an efficient method to obtain the estimator. The estimator of each constrained survivor function is shown to be nonincreasing in t, and its consistency and asymptotic distribution are established. A simulation study suggests better small and large sample properties than for alternative estimators. An example using prostate cancer data illustrates the method. PMID:23843661

Stochastic porous media modeling and high-resolution schemes for numerical simulation of subsurface immiscible fluid flow transport

NASA Astrophysics Data System (ADS)

Brantson, Eric Thompson; Ju, Binshan; Wu, Dan; Gyan, Patricia Semwaah

2018-04-01

This paper proposes stochastic petroleum porous media modeling for immiscible fluid flow simulation using Dykstra-Parson coefficient (V DP) and autocorrelation lengths to generate 2D stochastic permeability values which were also used to generate porosity fields through a linear interpolation technique based on Carman-Kozeny equation. The proposed method of permeability field generation in this study was compared to turning bands method (TBM) and uniform sampling randomization method (USRM). On the other hand, many studies have also reported that, upstream mobility weighting schemes, commonly used in conventional numerical reservoir simulators do not accurately capture immiscible displacement shocks and discontinuities through stochastically generated porous media. This can be attributed to high level of numerical smearing in first-order schemes, oftentimes misinterpreted as subsurface geological features. Therefore, this work employs high-resolution schemes of SUPERBEE flux limiter, weighted essentially non-oscillatory scheme (WENO), and monotone upstream-centered schemes for conservation laws (MUSCL) to accurately capture immiscible fluid flow transport in stochastic porous media. The high-order schemes results match well with Buckley Leverett (BL) analytical solution without any non-oscillatory solutions. The governing fluid flow equations were solved numerically using simultaneous solution (SS) technique, sequential solution (SEQ) technique and iterative implicit pressure and explicit saturation (IMPES) technique which produce acceptable numerical stability and convergence rate. A comparative and numerical examples study of flow transport through the proposed method, TBM and USRM permeability fields revealed detailed subsurface instabilities with their corresponding ultimate recovery factors. Also, the impact of autocorrelation lengths on immiscible fluid flow transport were analyzed and quantified. A finite number of lines used in the TBM resulted into visual artifact banding phenomenon unlike the proposed method and USRM. In all, the proposed permeability and porosity fields generation coupled with the numerical simulator developed will aid in developing efficient mobility control schemes to improve on poor volumetric sweep efficiency in porous media.

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.

A comparison between Gauss-Newton and Markov chain Monte Carlo basedmethods for inverting spectral induced polarization data for Cole-Coleparameters

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

Chen, Jinsong; Kemna, Andreas; Hubbard, Susan S.

2008-05-15

We develop a Bayesian model to invert spectral induced polarization (SIP) data for Cole-Cole parameters using Markov chain Monte Carlo (MCMC) sampling methods. We compare the performance of the MCMC based stochastic method with an iterative Gauss-Newton based deterministic method for Cole-Cole parameter estimation through inversion of synthetic and laboratory SIP data. The Gauss-Newton based method can provide an optimal solution for given objective functions under constraints, but the obtained optimal solution generally depends on the choice of initial values and the estimated uncertainty information is often inaccurate or insufficient. In contrast, the MCMC based inversion method provides extensive globalmore » information on unknown parameters, such as the marginal probability distribution functions, from which we can obtain better estimates and tighter uncertainty bounds of the parameters than with the deterministic method. Additionally, the results obtained with the MCMC method are independent of the choice of initial values. Because the MCMC based method does not explicitly offer single optimal solution for given objective functions, the deterministic and stochastic methods can complement each other. For example, the stochastic method can first be used to obtain the means of the unknown parameters by starting from an arbitrary set of initial values and the deterministic method can then be initiated using the means as starting values to obtain the optimal estimates of the Cole-Cole parameters.« less

A stochastic method for computing hadronic matrix elements

DOE PAGES

Alexandrou, Constantia; Constantinou, Martha; Dinter, Simon; ...

2014-01-24

In this study, we present a stochastic method for the calculation of baryon 3-point functions which is an alternative to the typically used sequential method offering more versatility. We analyze the scaling of the error of the stochastically evaluated 3-point function with the lattice volume and find a favorable signal to noise ratio suggesting that the stochastic method can be extended to large volumes providing an efficient approach to compute hadronic matrix elements and form factors.

Three Dimensional Time Dependent Stochastic Method for Cosmic-ray Modulation

NASA Astrophysics Data System (ADS)

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

2009-12-01

A proper understanding of the different behavior of intensities of galactic cosmic rays in different solar cycle phases requires solving the modulation equation with time dependence. We present a detailed description of our newly developed stochastic approach for cosmic ray modulation which we believe is the first attempt to solve the time dependent Parker equation in 3D evolving from our 3D steady state stochastic approach, which has been benchmarked extensively by using the finite difference method. Our 3D stochastic method is different from other stochastic approaches in literature (Ball et al 2005, Miyake et al 2005, and Florinski 2008) in several ways. For example, we employ spherical coordinates which makes the code much more efficient by reducing coordinate transformations. What's more, our stochastic differential equations are different from others because our map from Parker's original equation to the Fokker-Planck equation extends the method used by Jokipii and Levy 1977 while others don't although all 3D stochastic methods are essentially based on Ito formula. The advantage of the stochastic approach is that it also gives the probability information of travel times and path lengths of cosmic rays besides the intensities. We show that excellent agreement exists between solutions obtained by our steady state stochastic method and by the traditional finite difference method. We also show time dependent solutions for an idealized heliosphere which has a Parker magnetic field, a planar current sheet, and a simple initial condition.

Goal-oriented sensitivity analysis for lattice kinetic Monte Carlo simulations

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

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

2014-03-28

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

Detecting bacteria and Determining Their Susceptibility to Antibiotics by Stochastic Confinement in Nanoliter Droplets using Plug-Based Microfluidics

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

Boedicker, J.; Li, L; Kline, T

2008-01-01

This article describes plug-based microfluidic technology that enables rapid detection and drug susceptibility screening of bacteria in samples, including complex biological matrices, without pre-incubation. Unlike conventional bacterial culture and detection methods, which rely on incubation of a sample to increase the concentration of bacteria to detectable levels, this method confines individual bacteria into droplets nanoliters in volume. When single cells are confined into plugs of small volume such that the loading is less than one bacterium per plug, the detection time is proportional to plug volume. Confinement increases cell density and allows released molecules to accumulate around the cell, eliminatingmore » the pre-incubation step and reducing the time required to detect the bacteria. We refer to this approach as stochastic confinement. Using the microfluidic hybrid method, this technology was used to determine the antibiogram - or chart of antibiotic sensitivity - of methicillin-resistant Staphylococcus aureus (MRSA) to many antibiotics in a single experiment and to measure the minimal inhibitory concentration (MIC) of the drug cefoxitin (CFX) against this strain. In addition, this technology was used to distinguish between sensitive and resistant strains of S. aureus in samples of human blood plasma. High-throughput microfluidic techniques combined with single-cell measurements also enable multiple tests to be performed simultaneously on a single sample containing bacteria. This technology may provide a method of rapid and effective patient-specific treatment of bacterial infections and could be extended to a variety of applications that require multiple functional tests of bacterial samples on reduced timescales.« less

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.

Biochemical simulations: stochastic, approximate stochastic and hybrid approaches.

PubMed

Pahle, Jürgen

2009-01-01

Computer simulations have become an invaluable tool to study the sometimes counterintuitive temporal dynamics of (bio-)chemical systems. In particular, stochastic simulation methods have attracted increasing interest recently. In contrast to the well-known deterministic approach based on ordinary differential equations, they can capture effects that occur due to the underlying discreteness of the systems and random fluctuations in molecular numbers. Numerous stochastic, approximate stochastic and hybrid simulation methods have been proposed in the literature. In this article, they are systematically reviewed in order to guide the researcher and help her find the appropriate method for a specific problem.

Biochemical simulations: stochastic, approximate stochastic and hybrid approaches

PubMed Central

2009-01-01

Computer simulations have become an invaluable tool to study the sometimes counterintuitive temporal dynamics of (bio-)chemical systems. In particular, stochastic simulation methods have attracted increasing interest recently. In contrast to the well-known deterministic approach based on ordinary differential equations, they can capture effects that occur due to the underlying discreteness of the systems and random fluctuations in molecular numbers. Numerous stochastic, approximate stochastic and hybrid simulation methods have been proposed in the literature. In this article, they are systematically reviewed in order to guide the researcher and help her find the appropriate method for a specific problem. PMID:19151097

Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student’s t-distribution*

PubMed Central

Leão, William L.; Chen, Ming-Hui

2017-01-01

A stochastic volatility-in-mean model with correlated errors using the generalized hyperbolic skew Student-t (GHST) distribution provides a robust alternative to the parameter estimation for daily stock returns in the absence of normality. An efficient Markov chain Monte Carlo (MCMC) sampling algorithm is developed for parameter estimation. The deviance information, the Bayesian predictive information and the log-predictive score criterion are used to assess the fit of the proposed model. The proposed method is applied to an analysis of the daily stock return data from the Standard & Poor’s 500 index (S&P 500). The empirical results reveal that the stochastic volatility-in-mean model with correlated errors and GH-ST distribution leads to a significant improvement in the goodness-of-fit for the S&P 500 index returns dataset over the usual normal model. PMID:29333210

Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's t-distribution.

PubMed

Leão, William L; Abanto-Valle, Carlos A; Chen, Ming-Hui

2017-01-01

A stochastic volatility-in-mean model with correlated errors using the generalized hyperbolic skew Student-t (GHST) distribution provides a robust alternative to the parameter estimation for daily stock returns in the absence of normality. An efficient Markov chain Monte Carlo (MCMC) sampling algorithm is developed for parameter estimation. The deviance information, the Bayesian predictive information and the log-predictive score criterion are used to assess the fit of the proposed model. The proposed method is applied to an analysis of the daily stock return data from the Standard & Poor's 500 index (S&P 500). The empirical results reveal that the stochastic volatility-in-mean model with correlated errors and GH-ST distribution leads to a significant improvement in the goodness-of-fit for the S&P 500 index returns dataset over the usual normal model.

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

DTIC Science & Technology

2016-10-17

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

Particle Filtering Methods for Incorporating Intelligence Updates

DTIC Science & Technology

2017-03-01

methodology for incorporating intelligence updates into a stochastic model for target tracking. Due to the non -parametric assumptions of the PF...samples are taken with replacement from the remaining non -zero weighted particles at each iteration. With this methodology , a zero-weighted particle is...incorporation of information updates. A common method for incorporating information updates is Kalman filtering. However, given the probable nonlinear and non

Subrandom methods for multidimensional nonuniform sampling.

PubMed

Worley, Bradley

2016-08-01

Methods of nonuniform sampling that utilize pseudorandom number sequences to select points from a weighted Nyquist grid are commonplace in biomolecular NMR studies, due to the beneficial incoherence introduced by pseudorandom sampling. However, these methods require the specification of a non-arbitrary seed number in order to initialize a pseudorandom number generator. Because the performance of pseudorandom sampling schedules can substantially vary based on seed number, this can complicate the task of routine data collection. Approaches such as jittered sampling and stochastic gap sampling are effective at reducing random seed dependence of nonuniform sampling schedules, but still require the specification of a seed number. This work formalizes the use of subrandom number sequences in nonuniform sampling as a means of seed-independent sampling, and compares the performance of three subrandom methods to their pseudorandom counterparts using commonly applied schedule performance metrics. Reconstruction results using experimental datasets are also provided to validate claims made using these performance metrics. Copyright © 2016 Elsevier Inc. All rights reserved.

Scalable hierarchical PDE sampler for generating spatially correlated random fields using nonmatching meshes: Scalable hierarchical PDE sampler using nonmatching meshes

DOE PAGES

Osborn, Sarah; Zulian, Patrick; Benson, Thomas; ...

2018-01-30

This work describes a domain embedding technique between two nonmatching meshes used for generating realizations of spatially correlated random fields with applications to large-scale sampling-based uncertainty quantification. The goal is to apply the multilevel Monte Carlo (MLMC) method for the quantification of output uncertainties of PDEs with random input coefficients on general and unstructured computational domains. We propose a highly scalable, hierarchical sampling method to generate realizations of a Gaussian random field on a given unstructured mesh by solving a reaction–diffusion PDE with a stochastic right-hand side. The stochastic PDE is discretized using the mixed finite element method on anmore » embedded domain with a structured mesh, and then, the solution is projected onto the unstructured mesh. This work describes implementation details on how to efficiently transfer data from the structured and unstructured meshes at coarse levels, assuming that this can be done efficiently on the finest level. We investigate the efficiency and parallel scalability of the technique for the scalable generation of Gaussian random fields in three dimensions. An application of the MLMC method is presented for quantifying uncertainties of subsurface flow problems. Here, we demonstrate the scalability of the sampling method with nonmatching mesh embedding, coupled with a parallel forward model problem solver, for large-scale 3D MLMC simulations with up to 1.9·109 unknowns.« less

Scalable hierarchical PDE sampler for generating spatially correlated random fields using nonmatching meshes: Scalable hierarchical PDE sampler using nonmatching meshes

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

Osborn, Sarah; Zulian, Patrick; Benson, Thomas

This work describes a domain embedding technique between two nonmatching meshes used for generating realizations of spatially correlated random fields with applications to large-scale sampling-based uncertainty quantification. The goal is to apply the multilevel Monte Carlo (MLMC) method for the quantification of output uncertainties of PDEs with random input coefficients on general and unstructured computational domains. We propose a highly scalable, hierarchical sampling method to generate realizations of a Gaussian random field on a given unstructured mesh by solving a reaction–diffusion PDE with a stochastic right-hand side. The stochastic PDE is discretized using the mixed finite element method on anmore » embedded domain with a structured mesh, and then, the solution is projected onto the unstructured mesh. This work describes implementation details on how to efficiently transfer data from the structured and unstructured meshes at coarse levels, assuming that this can be done efficiently on the finest level. We investigate the efficiency and parallel scalability of the technique for the scalable generation of Gaussian random fields in three dimensions. An application of the MLMC method is presented for quantifying uncertainties of subsurface flow problems. Here, we demonstrate the scalability of the sampling method with nonmatching mesh embedding, coupled with a parallel forward model problem solver, for large-scale 3D MLMC simulations with up to 1.9·109 unknowns.« less

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

Analysis of stability for stochastic delay integro-differential equations.

PubMed

Zhang, Yu; Li, Longsuo

2018-01-01

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

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

NASA Astrophysics Data System (ADS)

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

2017-12-01

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

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

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

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

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

Bertholon, François; Harant, Olivier; Bourlon, Bertrand

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

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

Tackling the conformational sampling of larger flexible compounds and macrocycles in pharmacology and drug discovery.

PubMed

Chen, I-Jen; Foloppe, Nicolas

2013-12-15

Computational conformational sampling underpins much of molecular modeling and design in pharmaceutical work. The sampling of smaller drug-like compounds has been an active area of research. However, few studies have tested in details the sampling of larger more flexible compounds, which are also relevant to drug discovery, including therapeutic peptides, macrocycles, and inhibitors of protein-protein interactions. Here, we investigate extensively mainstream conformational sampling methods on three carefully curated compound sets, namely the 'Drug-like', larger 'Flexible', and 'Macrocycle' compounds. These test molecules are chemically diverse with reliable X-ray protein-bound bioactive structures. The compared sampling methods include Stochastic Search and the recent LowModeMD from MOE, all the low-mode based approaches from MacroModel, and MD/LLMOD recently developed for macrocycles. In addition to default settings, key parameters of the sampling protocols were explored. The performance of the computational protocols was assessed via (i) the reproduction of the X-ray bioactive structures, (ii) the size, coverage and diversity of the output conformational ensembles, (iii) the compactness/extendedness of the conformers, and (iv) the ability to locate the global energy minimum. The influence of the stochastic nature of the searches on the results was also examined. Much better results were obtained by adopting search parameters enhanced over the default settings, while maintaining computational tractability. In MOE, the recent LowModeMD emerged as the method of choice. Mixed torsional/low-mode from MacroModel performed as well as LowModeMD, and MD/LLMOD performed well for macrocycles. The low-mode based approaches yielded very encouraging results with the flexible and macrocycle sets. Thus, one can productively tackle the computational conformational search of larger flexible compounds for drug discovery, including macrocycles. Copyright © 2013 Elsevier Ltd. All rights reserved.

Determination of Detection Limits and Quantitation Limits for Compounds in a Database of GC/MS by FUMI Theory

PubMed Central

Nakashima, Shinya; Hayashi, Yuzuru

2016-01-01

The aim of this paper is to propose a stochastic method for estimating the detection limits (DLs) and quantitation limits (QLs) of compounds registered in a database of a GC/MS system and prove its validity with experiments. The approach described in ISO 11843 Part 7 is adopted here as an estimation means of DL and QL, and the decafluorotriphenylphosphine (DFTPP) tuning and retention time locking are carried out for adjusting the system. Coupled with the data obtained from the system adjustment experiments, the information (noise and signal of chromatograms and calibration curves) stored in the database is used for the stochastic estimation, dispensing with the repetition measurements. Of sixty-six pesticides, the DL values obtained by the ISO method were compared with those from the statistical approach and the correlation between them was observed to be excellent with the correlation coefficient of 0.865. The accuracy of the method proposed was also examined and concluded to be satisfactory as well. The samples used are commercial products of pesticides mixtures and the uncertainty from sample preparation processes is not taken into account. PMID:27162706

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.

Geometric quadratic stochastic operator on countable infinite set

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

Ganikhodjaev, Nasir; Hamzah, Nur Zatul Akmar

2015-02-03

In this paper we construct the family of Geometric quadratic stochastic operators defined on the countable sample space of nonnegative integers and investigate their trajectory behavior. Such operators can be reinterpreted in terms of of evolutionary operator of free population. We show that Geometric quadratic stochastic operators are regular transformations.

Image analysis methods for assessing levels of image plane nonuniformity and stochastic noise in a magnetic resonance image of a homogeneous phantom.

PubMed

Magnusson, P; Olsson, L E

2000-08-01

Magnetic response image plane nonuniformity and stochastic noise are properties that greatly influence the outcome of quantitative magnetic resonance imaging (MRI) evaluations such as gel dosimetry measurements using MRI. To study these properties, robust and accurate image analysis methods are required. New nonuniformity level assessment methods were designed, since previous methods were found to be insufficiently robust and accurate. The new and previously reported nonuniformity level assessment methods were analyzed with respect to, for example, insensitivity to stochastic noise; and previously reported stochastic noise level assessment methods with respect to insensitivity to nonuniformity. Using the same image data, different methods were found to assess significantly different levels of nonuniformity. Nonuniformity levels obtained using methods that count pixels in an intensity interval, and obtained using methods that use only intensity values, were found not to be comparable. The latter were found preferable, since they assess the quantity intrinsically sought. A new method which calculates a deviation image, with every pixel representing the deviation from a reference intensity, was least sensitive to stochastic noise. Furthermore, unlike any other analyzed method, it includes all intensity variations across the phantom area and allows for studies of nonuniformity shapes. This new method was designed for accurate studies of nonuniformities in gel dosimetry measurements, but could also be used with benefit in quality assurance and acceptance testing of MRI, scintillation camera, and computer tomography systems. The stochastic noise level was found to be greatly method dependent. Two methods were found to be insensitive to nonuniformity and also simple to use in practice. One method assesses the stochastic noise level as the average of the levels at five different positions within the phantom area, and the other assesses the stochastic noise in a region outside the phantom area.

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

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

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

2016-07-01

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

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

DOE PAGES

Sousedík, Bedřich; Elman, Howard C.

2016-04-12

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

Effect of randomness on multi-frequency aeroelastic responses resolved by Unsteady Adaptive Stochastic Finite Elements

NASA Astrophysics Data System (ADS)

Witteveen, Jeroen A. S.; Bijl, Hester

2009-10-01

The Unsteady Adaptive Stochastic Finite Elements (UASFE) method resolves the effect of randomness in numerical simulations of single-mode aeroelastic responses with a constant accuracy in time for a constant number of samples. In this paper, the UASFE framework is extended to multi-frequency responses and continuous structures by employing a wavelet decomposition pre-processing step to decompose the sampled multi-frequency signals into single-frequency components. The effect of the randomness on the multi-frequency response is then obtained by summing the results of the UASFE interpolation at constant phase for the different frequency components. Results for multi-frequency responses and continuous structures show a three orders of magnitude reduction of computational costs compared to crude Monte Carlo simulations in a harmonically forced oscillator, a flutter panel problem, and the three-dimensional transonic AGARD 445.6 wing aeroelastic benchmark subject to random fields and random parameters with various probability distributions.

Numerical methods for the weakly compressible Generalized Langevin Model in Eulerian reference frame

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

Azarnykh, Dmitrii, E-mail: d.azarnykh@tum.de; Litvinov, Sergey; Adams, Nikolaus A.

2016-06-01

A well established approach for the computation of turbulent flow without resolving all turbulent flow scales is to solve a filtered or averaged set of equations, and to model non-resolved scales by closures derived from transported probability density functions (PDF) for velocity fluctuations. Effective numerical methods for PDF transport employ the equivalence between the Fokker–Planck equation for the PDF and a Generalized Langevin Model (GLM), and compute the PDF by transporting a set of sampling particles by GLM (Pope (1985) [1]). The natural representation of GLM is a system of stochastic differential equations in a Lagrangian reference frame, typically solvedmore » by particle methods. A representation in a Eulerian reference frame, however, has the potential to significantly reduce computational effort and to allow for the seamless integration into a Eulerian-frame numerical flow solver. GLM in a Eulerian frame (GLMEF) formally corresponds to the nonlinear fluctuating hydrodynamic equations derived by Nakamura and Yoshimori (2009) [12]. Unlike the more common Landau–Lifshitz Navier–Stokes (LLNS) equations these equations are derived from the underdamped Langevin equation and are not based on a local equilibrium assumption. Similarly to LLNS equations the numerical solution of GLMEF requires special considerations. In this paper we investigate different numerical approaches to solving GLMEF with respect to the correct representation of stochastic properties of the solution. We find that a discretely conservative staggered finite-difference scheme, adapted from a scheme originally proposed for turbulent incompressible flow, in conjunction with a strongly stable (for non-stochastic PDE) Runge–Kutta method performs better for GLMEF than schemes adopted from those proposed previously for the LLNS. We show that equilibrium stochastic fluctuations are correctly reproduced.« less

Deterministic multidimensional nonuniform gap sampling.

PubMed

Worley, Bradley; Powers, Robert

2015-12-01

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

A comparative study of Conroy and Monte Carlo methods applied to multiple quadratures and multiple scattering

NASA Technical Reports Server (NTRS)

Deepak, A.; Fluellen, A.

1978-01-01

An efficient numerical method of multiple quadratures, the Conroy method, is applied to the problem of computing multiple scattering contributions in the radiative transfer through realistic planetary atmospheres. A brief error analysis of the method is given and comparisons are drawn with the more familiar Monte Carlo method. Both methods are stochastic problem-solving models of a physical or mathematical process and utilize the sampling scheme for points distributed over a definite region. In the Monte Carlo scheme the sample points are distributed randomly over the integration region. In the Conroy method, the sample points are distributed systematically, such that the point distribution forms a unique, closed, symmetrical pattern which effectively fills the region of the multidimensional integration. The methods are illustrated by two simple examples: one, of multidimensional integration involving two independent variables, and the other, of computing the second order scattering contribution to the sky radiance.

Kinetic Network Study of the Diversity and Temperature Dependence of Trp-Cage Folding Pathways: Combining Transition Path Theory with Stochastic Simulations

PubMed Central

Zheng, Weihua; Gallicchio, Emilio; Deng, Nanjie; Andrec, Michael; Levy, Ronald M.

2011-01-01

We present a new approach to study a multitude of folding pathways and different folding mechanisms for the 20-residue mini-protein Trp-Cage using the combined power of replica exchange molecular dynamics (REMD) simulations for conformational sampling, Transition Path Theory (TPT) for constructing folding pathways and stochastic simulations for sampling the pathways in a high dimensional structure space. REMD simulations of Trp-Cage with 16 replicas at temperatures between 270K and 566K are carried out with an all-atom force field (OPLSAA) and an implicit solvent model (AGBNP). The conformations sampled from all temperatures are collected. They form a discretized state space that can be used to model the folding process. The equilibrium population for each state at a target temperature can be calculated using the Weighted-Histogram-Analysis Method (WHAM). By connecting states with similar structures and creating edges satisfying detailed balance conditions, we construct a kinetic network that preserves the equilibrium population distribution of the state space. After defining the folded and unfolded macrostates, committor probabilities (Pfold) are calculated by solving a set of linear equations for each node in the network and pathways are extracted together with their fluxes using the TPT algorithm. By clustering the pathways into folding “tubes”, a more physically meaningful picture of the diversity of folding routes emerges. Stochastic simulations are carried out on the network and a procedure is developed to project sampled trajectories onto the folding tubes. The fluxes through the folding tubes calculated from the stochastic trajectories are in good agreement with the corresponding values obtained from the TPT analysis. The temperature dependence of the ensemble of Trp-Cage folding pathways is investigated. Above the folding temperature, a large number of diverse folding pathways with comparable fluxes flood the energy landscape. At low temperature, however, the folding transition is dominated by only a few localized pathways. PMID:21254767

Kinetic network study of the diversity and temperature dependence of Trp-Cage folding pathways: combining transition path theory with stochastic simulations.

PubMed

Zheng, Weihua; Gallicchio, Emilio; Deng, Nanjie; Andrec, Michael; Levy, Ronald M

2011-02-17

We present a new approach to study a multitude of folding pathways and different folding mechanisms for the 20-residue mini-protein Trp-Cage using the combined power of replica exchange molecular dynamics (REMD) simulations for conformational sampling, transition path theory (TPT) for constructing folding pathways, and stochastic simulations for sampling the pathways in a high dimensional structure space. REMD simulations of Trp-Cage with 16 replicas at temperatures between 270 and 566 K are carried out with an all-atom force field (OPLSAA) and an implicit solvent model (AGBNP). The conformations sampled from all temperatures are collected. They form a discretized state space that can be used to model the folding process. The equilibrium population for each state at a target temperature can be calculated using the weighted-histogram-analysis method (WHAM). By connecting states with similar structures and creating edges satisfying detailed balance conditions, we construct a kinetic network that preserves the equilibrium population distribution of the state space. After defining the folded and unfolded macrostates, committor probabilities (P(fold)) are calculated by solving a set of linear equations for each node in the network and pathways are extracted together with their fluxes using the TPT algorithm. By clustering the pathways into folding "tubes", a more physically meaningful picture of the diversity of folding routes emerges. Stochastic simulations are carried out on the network, and a procedure is developed to project sampled trajectories onto the folding tubes. The fluxes through the folding tubes calculated from the stochastic trajectories are in good agreement with the corresponding values obtained from the TPT analysis. The temperature dependence of the ensemble of Trp-Cage folding pathways is investigated. Above the folding temperature, a large number of diverse folding pathways with comparable fluxes flood the energy landscape. At low temperature, however, the folding transition is dominated by only a few localized pathways.

Fuji apple storage time rapid determination method using Vis/NIR spectroscopy.

PubMed

Liu, Fuqi; Tang, Xuxiang

2015-01-01

Fuji apple storage time rapid determination method using visible/near-infrared (Vis/NIR) spectroscopy was studied in this paper. Vis/NIR diffuse reflection spectroscopy responses to samples were measured for 6 days. Spectroscopy data were processed by stochastic resonance (SR). Principal component analysis (PCA) was utilized to analyze original spectroscopy data and SNR eigen value. Results demonstrated that PCA could not totally discriminate Fuji apples using original spectroscopy data. Signal-to-noise ratio (SNR) spectrum clearly classified all apple samples. PCA using SNR spectrum successfully discriminated apple samples. Therefore, Vis/NIR spectroscopy was effective for Fuji apple storage time rapid discrimination. The proposed method is also promising in condition safety control and management for food and environmental laboratories.

Fuji apple storage time rapid determination method using Vis/NIR spectroscopy

PubMed Central

Liu, Fuqi; Tang, Xuxiang

2015-01-01

Fuji apple storage time rapid determination method using visible/near-infrared (Vis/NIR) spectroscopy was studied in this paper. Vis/NIR diffuse reflection spectroscopy responses to samples were measured for 6 days. Spectroscopy data were processed by stochastic resonance (SR). Principal component analysis (PCA) was utilized to analyze original spectroscopy data and SNR eigen value. Results demonstrated that PCA could not totally discriminate Fuji apples using original spectroscopy data. Signal-to-noise ratio (SNR) spectrum clearly classified all apple samples. PCA using SNR spectrum successfully discriminated apple samples. Therefore, Vis/NIR spectroscopy was effective for Fuji apple storage time rapid discrimination. The proposed method is also promising in condition safety control and management for food and environmental laboratories. PMID:25874818

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

PubMed Central

Vigelius, Matthias; Meyer, Bernd

2012-01-01

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

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

Adaptively biased sequential importance sampling for rare events in reaction networks with comparison to exact solutions from finite buffer dCME method

PubMed Central

Cao, Youfang; Liang, Jie

2013-01-01

Critical events that occur rarely in biological processes are of great importance, but are challenging to study using Monte Carlo simulation. By introducing biases to reaction selection and reaction rates, weighted stochastic simulation algorithms based on importance sampling allow rare events to be sampled more effectively. However, existing methods do not address the important issue of barrier crossing, which often arises from multistable networks and systems with complex probability landscape. In addition, the proliferation of parameters and the associated computing cost pose significant problems. Here we introduce a general theoretical framework for obtaining optimized biases in sampling individual reactions for estimating probabilities of rare events. We further describe a practical algorithm called adaptively biased sequential importance sampling (ABSIS) method for efficient probability estimation. By adopting a look-ahead strategy and by enumerating short paths from the current state, we estimate the reaction-specific and state-specific forward and backward moving probabilities of the system, which are then used to bias reaction selections. The ABSIS algorithm can automatically detect barrier-crossing regions, and can adjust bias adaptively at different steps of the sampling process, with bias determined by the outcome of exhaustively generated short paths. In addition, there are only two bias parameters to be determined, regardless of the number of the reactions and the complexity of the network. We have applied the ABSIS method to four biochemical networks: the birth-death process, the reversible isomerization, the bistable Schlögl model, and the enzymatic futile cycle model. For comparison, we have also applied the finite buffer discrete chemical master equation (dCME) method recently developed to obtain exact numerical solutions of the underlying discrete chemical master equations of these problems. This allows us to assess sampling results objectively by comparing simulation results with true answers. Overall, ABSIS can accurately and efficiently estimate rare event probabilities for all examples, often with smaller variance than other importance sampling algorithms. The ABSIS method is general and can be applied to study rare events of other stochastic networks with complex probability landscape. PMID:23862966

Adaptively biased sequential importance sampling for rare events in reaction networks with comparison to exact solutions from finite buffer dCME method

NASA Astrophysics Data System (ADS)

Cao, Youfang; Liang, Jie

2013-07-01

Critical events that occur rarely in biological processes are of great importance, but are challenging to study using Monte Carlo simulation. By introducing biases to reaction selection and reaction rates, weighted stochastic simulation algorithms based on importance sampling allow rare events to be sampled more effectively. However, existing methods do not address the important issue of barrier crossing, which often arises from multistable networks and systems with complex probability landscape. In addition, the proliferation of parameters and the associated computing cost pose significant problems. Here we introduce a general theoretical framework for obtaining optimized biases in sampling individual reactions for estimating probabilities of rare events. We further describe a practical algorithm called adaptively biased sequential importance sampling (ABSIS) method for efficient probability estimation. By adopting a look-ahead strategy and by enumerating short paths from the current state, we estimate the reaction-specific and state-specific forward and backward moving probabilities of the system, which are then used to bias reaction selections. The ABSIS algorithm can automatically detect barrier-crossing regions, and can adjust bias adaptively at different steps of the sampling process, with bias determined by the outcome of exhaustively generated short paths. In addition, there are only two bias parameters to be determined, regardless of the number of the reactions and the complexity of the network. We have applied the ABSIS method to four biochemical networks: the birth-death process, the reversible isomerization, the bistable Schlögl model, and the enzymatic futile cycle model. For comparison, we have also applied the finite buffer discrete chemical master equation (dCME) method recently developed to obtain exact numerical solutions of the underlying discrete chemical master equations of these problems. This allows us to assess sampling results objectively by comparing simulation results with true answers. Overall, ABSIS can accurately and efficiently estimate rare event probabilities for all examples, often with smaller variance than other importance sampling algorithms. The ABSIS method is general and can be applied to study rare events of other stochastic networks with complex probability landscape.

Adaptively biased sequential importance sampling for rare events in reaction networks with comparison to exact solutions from finite buffer dCME method.

PubMed

Cao, Youfang; Liang, Jie

2013-07-14

Critical events that occur rarely in biological processes are of great importance, but are challenging to study using Monte Carlo simulation. By introducing biases to reaction selection and reaction rates, weighted stochastic simulation algorithms based on importance sampling allow rare events to be sampled more effectively. However, existing methods do not address the important issue of barrier crossing, which often arises from multistable networks and systems with complex probability landscape. In addition, the proliferation of parameters and the associated computing cost pose significant problems. Here we introduce a general theoretical framework for obtaining optimized biases in sampling individual reactions for estimating probabilities of rare events. We further describe a practical algorithm called adaptively biased sequential importance sampling (ABSIS) method for efficient probability estimation. By adopting a look-ahead strategy and by enumerating short paths from the current state, we estimate the reaction-specific and state-specific forward and backward moving probabilities of the system, which are then used to bias reaction selections. The ABSIS algorithm can automatically detect barrier-crossing regions, and can adjust bias adaptively at different steps of the sampling process, with bias determined by the outcome of exhaustively generated short paths. In addition, there are only two bias parameters to be determined, regardless of the number of the reactions and the complexity of the network. We have applied the ABSIS method to four biochemical networks: the birth-death process, the reversible isomerization, the bistable Schlögl model, and the enzymatic futile cycle model. For comparison, we have also applied the finite buffer discrete chemical master equation (dCME) method recently developed to obtain exact numerical solutions of the underlying discrete chemical master equations of these problems. This allows us to assess sampling results objectively by comparing simulation results with true answers. Overall, ABSIS can accurately and efficiently estimate rare event probabilities for all examples, often with smaller variance than other importance sampling algorithms. The ABSIS method is general and can be applied to study rare events of other stochastic networks with complex probability landscape.

Problems of Mathematical Finance by Stochastic Control Methods

NASA Astrophysics Data System (ADS)

Stettner, Łukasz

The purpose of this paper is to present main ideas of mathematics of finance using the stochastic control methods. There is an interplay between stochastic control and mathematics of finance. On the one hand stochastic control is a powerful tool to study financial problems. On the other hand financial applications have stimulated development in several research subareas of stochastic control in the last two decades. We start with pricing of financial derivatives and modeling of asset prices, studying the conditions for the absence of arbitrage. Then we consider pricing of defaultable contingent claims. Investments in bonds lead us to the term structure modeling problems. Special attention is devoted to historical static portfolio analysis called Markowitz theory. We also briefly sketch dynamic portfolio problems using viscosity solutions to Hamilton-Jacobi-Bellman equation, martingale-convex analysis method or stochastic maximum principle together with backward stochastic differential equation. Finally, long time portfolio analysis for both risk neutral and risk sensitive functionals is introduced.

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

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

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

2014-08-01

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

Stochastic, adaptive sampling of information by microvilli in fly photoreceptors.

PubMed

Song, Zhuoyi; Postma, Marten; Billings, Stephen A; Coca, Daniel; Hardie, Roger C; Juusola, Mikko

2012-08-07

In fly photoreceptors, light is focused onto a photosensitive waveguide, the rhabdomere, consisting of tens of thousands of microvilli. Each microvillus is capable of generating elementary responses, quantum bumps, in response to single photons using a stochastically operating phototransduction cascade. Whereas much is known about the cascade reactions, less is known about how the concerted action of the microvilli population encodes light changes into neural information and how the ultrastructure and biochemical machinery of photoreceptors of flies and other insects evolved in relation to the information sampling and processing they perform. We generated biophysically realistic fly photoreceptor models, which accurately simulate the encoding of visual information. By comparing stochastic simulations with single cell recordings from Drosophila photoreceptors, we show how adaptive sampling by 30,000 microvilli captures the temporal structure of natural contrast changes. Following each bump, individual microvilli are rendered briefly (~100-200 ms) refractory, thereby reducing quantum efficiency with increasing intensity. The refractory period opposes saturation, dynamically and stochastically adjusting availability of microvilli (bump production rate: sample rate), whereas intracellular calcium and voltage adapt bump amplitude and waveform (sample size). These adapting sampling principles result in robust encoding of natural light changes, which both approximates perceptual contrast constancy and enhances novel events under different light conditions, and predict information processing across a range of species with different visual ecologies. These results clarify why fly photoreceptors are structured the way they are and function as they do, linking sensory information to sensory evolution and revealing benefits of stochasticity for neural information processing. Copyright © 2012 Elsevier Ltd. All rights reserved.

Stochastic, Adaptive Sampling of Information by Microvilli in Fly Photoreceptors

PubMed Central

Song, Zhuoyi; Postma, Marten; Billings, Stephen A.; Coca, Daniel; Hardie, Roger C.; Juusola, Mikko

2012-01-01

Summary Background In fly photoreceptors, light is focused onto a photosensitive waveguide, the rhabdomere, consisting of tens of thousands of microvilli. Each microvillus is capable of generating elementary responses, quantum bumps, in response to single photons using a stochastically operating phototransduction cascade. Whereas much is known about the cascade reactions, less is known about how the concerted action of the microvilli population encodes light changes into neural information and how the ultrastructure and biochemical machinery of photoreceptors of flies and other insects evolved in relation to the information sampling and processing they perform. Results We generated biophysically realistic fly photoreceptor models, which accurately simulate the encoding of visual information. By comparing stochastic simulations with single cell recordings from Drosophila photoreceptors, we show how adaptive sampling by 30,000 microvilli captures the temporal structure of natural contrast changes. Following each bump, individual microvilli are rendered briefly (∼100–200 ms) refractory, thereby reducing quantum efficiency with increasing intensity. The refractory period opposes saturation, dynamically and stochastically adjusting availability of microvilli (bump production rate: sample rate), whereas intracellular calcium and voltage adapt bump amplitude and waveform (sample size). These adapting sampling principles result in robust encoding of natural light changes, which both approximates perceptual contrast constancy and enhances novel events under different light conditions, and predict information processing across a range of species with different visual ecologies. Conclusions These results clarify why fly photoreceptors are structured the way they are and function as they do, linking sensory information to sensory evolution and revealing benefits of stochasticity for neural information processing. PMID:22704990

Driven-dissipative quantum Monte Carlo method for open quantum systems

NASA Astrophysics Data System (ADS)

Nagy, Alexandra; Savona, Vincenzo

2018-05-01

We develop a real-time full configuration-interaction quantum Monte Carlo approach to model driven-dissipative open quantum systems with Markovian system-bath coupling. The method enables stochastic sampling of the Liouville-von Neumann time evolution of the density matrix thanks to a massively parallel algorithm, thus providing estimates of observables on the nonequilibrium steady state. We present the underlying theory and introduce an initiator technique and importance sampling to reduce the statistical error. Finally, we demonstrate the efficiency of our approach by applying it to the driven-dissipative two-dimensional X Y Z spin-1/2 model on a lattice.

Doubly stochastic radial basis function methods

NASA Astrophysics Data System (ADS)

Yang, Fenglian; Yan, Liang; Ling, Leevan

2018-06-01

We propose a doubly stochastic radial basis function (DSRBF) method for function recoveries. Instead of a constant, we treat the RBF shape parameters as stochastic variables whose distribution were determined by a stochastic leave-one-out cross validation (LOOCV) estimation. A careful operation count is provided in order to determine the ranges of all the parameters in our methods. The overhead cost for setting up the proposed DSRBF method is O (n2) for function recovery problems with n basis. Numerical experiments confirm that the proposed method not only outperforms constant shape parameter formulation (in terms of accuracy with comparable computational cost) but also the optimal LOOCV formulation (in terms of both accuracy and computational cost).

Stochastic Synapses Enable Efficient Brain-Inspired Learning Machines.

PubMed

Neftci, Emre O; Pedroni, Bruno U; Joshi, Siddharth; Al-Shedivat, Maruan; Cauwenberghs, Gert

2016-01-01

Recent studies have shown that synaptic unreliability is a robust and sufficient mechanism for inducing the stochasticity observed in cortex. Here, we introduce Synaptic Sampling Machines (S2Ms), a class of neural network models that uses synaptic stochasticity as a means to Monte Carlo sampling and unsupervised learning. Similar to the original formulation of Boltzmann machines, these models can be viewed as a stochastic counterpart of Hopfield networks, but where stochasticity is induced by a random mask over the connections. Synaptic stochasticity plays the dual role of an efficient mechanism for sampling, and a regularizer during learning akin to DropConnect. A local synaptic plasticity rule implementing an event-driven form of contrastive divergence enables the learning of generative models in an on-line fashion. S2Ms perform equally well using discrete-timed artificial units (as in Hopfield networks) or continuous-timed leaky integrate and fire neurons. The learned representations are remarkably sparse and robust to reductions in bit precision and synapse pruning: removal of more than 75% of the weakest connections followed by cursory re-learning causes a negligible performance loss on benchmark classification tasks. The spiking neuron-based S2Ms outperform existing spike-based unsupervised learners, while potentially offering substantial advantages in terms of power and complexity, and are thus promising models for on-line learning in brain-inspired hardware.

Stochastic Synapses Enable Efficient Brain-Inspired Learning Machines

PubMed Central

Neftci, Emre O.; Pedroni, Bruno U.; Joshi, Siddharth; Al-Shedivat, Maruan; Cauwenberghs, Gert

2016-01-01

Recent studies have shown that synaptic unreliability is a robust and sufficient mechanism for inducing the stochasticity observed in cortex. Here, we introduce Synaptic Sampling Machines (S2Ms), a class of neural network models that uses synaptic stochasticity as a means to Monte Carlo sampling and unsupervised learning. Similar to the original formulation of Boltzmann machines, these models can be viewed as a stochastic counterpart of Hopfield networks, but where stochasticity is induced by a random mask over the connections. Synaptic stochasticity plays the dual role of an efficient mechanism for sampling, and a regularizer during learning akin to DropConnect. A local synaptic plasticity rule implementing an event-driven form of contrastive divergence enables the learning of generative models in an on-line fashion. S2Ms perform equally well using discrete-timed artificial units (as in Hopfield networks) or continuous-timed leaky integrate and fire neurons. The learned representations are remarkably sparse and robust to reductions in bit precision and synapse pruning: removal of more than 75% of the weakest connections followed by cursory re-learning causes a negligible performance loss on benchmark classification tasks. The spiking neuron-based S2Ms outperform existing spike-based unsupervised learners, while potentially offering substantial advantages in terms of power and complexity, and are thus promising models for on-line learning in brain-inspired hardware. PMID:27445650

Monte Carlo simulation of air sampling methods for the measurement of radon decay products.

PubMed

Sima, Octavian; Luca, Aurelian; Sahagia, Maria

2017-08-01

A stochastic model of the processes involved in the measurement of the activity of the 222 Rn decay products was developed. The distributions of the relevant factors, including air sampling and radionuclide collection, are propagated using Monte Carlo simulation to the final distribution of the measurement results. The uncertainties of the 222 Rn decay products concentrations in the air are realistically evaluated. Copyright © 2017 Elsevier Ltd. All rights reserved.

Estimation of stochastic volatility with long memory for index prices of FTSE Bursa Malaysia KLCI

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

Chen, Kho Chia; Kane, Ibrahim Lawal; Rahman, Haliza Abd

In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a long memory process. This paper considers the structural break of data in order to determine true long memory time series data. Unlike usual short memory models for log volatility, the fractional Ornstein-Uhlenbeck process is neither a Markovian process nor can it be easily transformed into a Markovian process. This makes the likelihood evaluation and parametermore » estimation for the long memory stochastic volatility (LMSV) model challenging tasks. The drift and volatility parameters of the fractional Ornstein-Unlenbeck model are estimated separately using the least square estimator (lse) and quadratic generalized variations (qgv) method respectively. Finally, the empirical distribution of unobserved volatility is estimated using the particle filtering with sequential important sampling-resampling (SIR) method. The mean square error (MSE) between the estimated and empirical volatility indicates that the performance of the model towards the index prices of FTSE Bursa Malaysia KLCI is fairly well.« less

Estimation of stochastic volatility with long memory for index prices of FTSE Bursa Malaysia KLCI

NASA Astrophysics Data System (ADS)

Chen, Kho Chia; Bahar, Arifah; Kane, Ibrahim Lawal; Ting, Chee-Ming; Rahman, Haliza Abd

2015-02-01

In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a long memory process. This paper considers the structural break of data in order to determine true long memory time series data. Unlike usual short memory models for log volatility, the fractional Ornstein-Uhlenbeck process is neither a Markovian process nor can it be easily transformed into a Markovian process. This makes the likelihood evaluation and parameter estimation for the long memory stochastic volatility (LMSV) model challenging tasks. The drift and volatility parameters of the fractional Ornstein-Unlenbeck model are estimated separately using the least square estimator (lse) and quadratic generalized variations (qgv) method respectively. Finally, the empirical distribution of unobserved volatility is estimated using the particle filtering with sequential important sampling-resampling (SIR) method. The mean square error (MSE) between the estimated and empirical volatility indicates that the performance of the model towards the index prices of FTSE Bursa Malaysia KLCI is fairly well.

Optimization of contrast resolution by genetic algorithm in ultrasound tissue harmonic imaging.

PubMed

Ménigot, Sébastien; Girault, Jean-Marc

2016-09-01

The development of ultrasound imaging techniques such as pulse inversion has improved tissue harmonic imaging. Nevertheless, no recommendation has been made to date for the design of the waveform transmitted through the medium being explored. Our aim was therefore to find automatically the optimal "imaging" wave which maximized the contrast resolution without a priori information. To overcome assumption regarding the waveform, a genetic algorithm investigated the medium thanks to the transmission of stochastic "explorer" waves. Moreover, these stochastic signals could be constrained by the type of generator available (bipolar or arbitrary). To implement it, we changed the current pulse inversion imaging system by including feedback. Thus the method optimized the contrast resolution by adaptively selecting the samples of the excitation. In simulation, we benchmarked the contrast effectiveness of the best found transmitted stochastic commands and the usual fixed-frequency command. The optimization method converged quickly after around 300 iterations in the same optimal area. These results were confirmed experimentally. In the experimental case, the contrast resolution measured on a radiofrequency line could be improved by 6% with a bipolar generator and it could still increase by 15% with an arbitrary waveform generator. Copyright © 2016 Elsevier B.V. All rights reserved.

Stochastic system identification in structural dynamics

USGS Publications Warehouse

Safak, Erdal

1988-01-01

Recently, new identification methods have been developed by using the concept of optimal-recursive filtering and stochastic approximation. These methods, known as stochastic identification, are based on the statistical properties of the signal and noise, and do not require the assumptions of current methods. The criterion for stochastic system identification is that the difference between the recorded output and the output from the identified system (i.e., the residual of the identification) should be equal to white noise. In this paper, first a brief review of the theory is given. Then, an application of the method is presented by using ambient vibration data from a nine-story building.

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.

Tsunamis: stochastic models of occurrence and generation mechanisms

USGS Publications Warehouse

Geist, Eric L.; Oglesby, David D.

2014-01-01

The devastating consequences of the 2004 Indian Ocean and 2011 Japan tsunamis have led to increased research into many different aspects of the tsunami phenomenon. In this entry, we review research related to the observed complexity and uncertainty associated with tsunami generation, propagation, and occurrence described and analyzed using a variety of stochastic methods. In each case, seismogenic tsunamis are primarily considered. Stochastic models are developed from the physical theories that govern tsunami evolution combined with empirical models fitted to seismic and tsunami observations, as well as tsunami catalogs. These stochastic methods are key to providing probabilistic forecasts and hazard assessments for tsunamis. The stochastic methods described here are similar to those described for earthquakes (Vere-Jones 2013) and volcanoes (Bebbington 2013) in this encyclopedia.

2–stage stochastic Runge–Kutta for stochastic delay differential equations

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

Rosli, Norhayati; Jusoh Awang, Rahimah; Bahar, Arifah

2015-05-15

This paper proposes a newly developed one-step derivative-free method, that is 2-stage stochastic Runge-Kutta (SRK2) to approximate the solution of stochastic delay differential equations (SDDEs) with a constant time lag, r > 0. General formulation of stochastic Runge-Kutta for SDDEs is introduced and Stratonovich Taylor series expansion for numerical solution of SRK2 is presented. Local truncation error of SRK2 is measured by comparing the Stratonovich Taylor expansion of the exact solution with the computed solution. Numerical experiment is performed to assure the validity of the method in simulating the strong solution of SDDEs.

Stochastic sampling effects in STR typing: Implications for analysis and interpretation.

PubMed

Timken, Mark D; Klein, Sonja B; Buoncristiani, Martin R

2014-07-01

The analysis and interpretation of forensic STR typing results can become more complicated when reduced template amounts are used for PCR amplification due to increased stochastic effects. These effects are typically observed as reduced heterozygous peak-height balance and increased frequency of undetected alleles (allelic "dropout"). To investigate the origins of these effects, a study was performed using the AmpFlSTR(®) Identifiler Plus(®) and MiniFiler(®) kits to amplify replicates from a dilution series of NIST Human DNA Quantitation Standard (SRM(®) 2372A). The resulting amplicons were resolved and detected on two different genetic analyzer platforms, the Applied Biosystems 3130xL and 3500 analyzers. Results from our study show that the four different STR/genetic analyzer combinations exhibited very similar peak-height ratio statistics when normalized for the amount of template DNA in the PCR. Peak-height ratio statistics were successfully modeled using the Poisson distribution to simulate pre-PCR stochastic sampling of the alleles, confirming earlier explanations that sampling is the primary source for peak-height imbalance in reduced template dilutions. In addition, template-based pre-PCR sampling simulations also successfully predicted allelic dropout frequencies, as modeled by logistic regression methods, for the low-template DNA dilutions. We discuss the possibility that an accurately quantified DNA template might be used to characterize the linear signal response for data collected using different STR kits or genetic analyzer platforms, so as to provide a standardized approach for comparing results obtained from different STR/CE combinations and to aid in validation studies. Copyright © 2014 Elsevier Ireland Ltd. All rights reserved.

Stochastic and deterministic models for agricultural production networks.

PubMed

Bai, P; Banks, H T; Dediu, S; Govan, A Y; Last, M; Lloyd, A L; Nguyen, H K; Olufsen, M S; Rempala, G; Slenning, B D

2007-07-01

An approach to modeling the impact of disturbances in an agricultural production network is presented. A stochastic model and its approximate deterministic model for averages over sample paths of the stochastic system are developed. Simulations, sensitivity and generalized sensitivity analyses are given. Finally, it is shown how diseases may be introduced into the network and corresponding simulations are discussed.

Development and validation of a stochastic model for potential growth of Listeria monocytogenes in naturally contaminated lightly preserved seafood.

PubMed

Mejlholm, Ole; Bøknæs, Niels; Dalgaard, Paw

2015-02-01

A new stochastic model for the simultaneous growth of Listeria monocytogenes and lactic acid bacteria (LAB) was developed and validated on data from naturally contaminated samples of cold-smoked Greenland halibut (CSGH) and cold-smoked salmon (CSS). During industrial processing these samples were added acetic and/or lactic acids. The stochastic model was developed from an existing deterministic model including the effect of 12 environmental parameters and microbial interaction (O. Mejlholm and P. Dalgaard, Food Microbiology, submitted for publication). Observed maximum population density (MPD) values of L. monocytogenes in naturally contaminated samples of CSGH and CSS were accurately predicted by the stochastic model based on measured variability in product characteristics and storage conditions. Results comparable to those from the stochastic model were obtained, when product characteristics of the least and most preserved sample of CSGH and CSS were used as input for the existing deterministic model. For both modelling approaches, it was shown that lag time and the effect of microbial interaction needs to be included to accurately predict MPD values of L. monocytogenes. Addition of organic acids to CSGH and CSS was confirmed as a suitable mitigation strategy against the risk of growth by L. monocytogenes as both types of products were in compliance with the EU regulation on ready-to-eat foods. Copyright © 2014 Elsevier Ltd. All rights reserved.

Conceptual Issues in Quantifying Unusualness and Conceiving Stochastic Experiments: Insights from Students' Experiences in Designing Sampling Simulations

ERIC Educational Resources Information Center

Saldanha, Luis

2016-01-01

This article reports on a classroom teaching experiment that engaged a group of high school students in designing sampling simulations within a computer microworld. The simulation-design activities aimed to foster students' abilities to conceive of contextual situations as stochastic experiments, and to engage them with the logic of hypothesis…

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

NASA Technical Reports Server (NTRS)

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

1993-01-01

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

Inversion of Robin coefficient by a spectral stochastic finite element approach

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

Jin Bangti; Zou Jun

2008-03-01

This paper investigates a variational approach to the nonlinear stochastic inverse problem of probabilistically calibrating the Robin coefficient from boundary measurements for the steady-state heat conduction. The problem is formulated into an optimization problem, and mathematical properties relevant to its numerical computations are investigated. The spectral stochastic finite element method using polynomial chaos is utilized for the discretization of the optimization problem, and its convergence is analyzed. The nonlinear conjugate gradient method is derived for the optimization system. Numerical results for several two-dimensional problems are presented to illustrate the accuracy and efficiency of the stochastic finite element method.

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

PubMed

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

2017-03-21

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

Stochasticity and stereotypy in the Ciona notochord.

PubMed

Carlson, Maia; Reeves, Wendy; Veeman, Michael

2015-01-15

Fate mapping with single cell resolution has typically been confined to embryos with completely stereotyped development. The lineages giving rise to the 40 cells of the Ciona notochord are invariant, but the intercalation of those cells into a single-file column is not. Here we use genetic labeling methods to fate map the Ciona notochord with both high resolution and large sample sizes. We find that the ordering of notochord cells into a single column is not random, but instead shows a distinctive signature characteristic of mediolaterally-biased intercalation. We find that patterns of cell intercalation in the notochord are somewhat stochastic but far more stereotyped than previously believed. Cell behaviors vary by lineage, with the secondary notochord lineage being much more constrained than the primary lineage. Within the primary lineage, patterns of intercalation reflect the geometry of the intercalating tissue. We identify the latest point at which notochord morphogenesis is largely stereotyped, which is shortly before the onset of mediolateral intercalation and immediately after the final cell divisions in the primary lineage. These divisions are consistently oriented along the AP axis. Our results indicate that the interplay between stereotyped and stochastic cell behaviors in morphogenesis can only be assessed by fate mapping experiments that have both cellular resolution and large sample sizes. Copyright © 2014 Elsevier Inc. All rights reserved.

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

PubMed Central

Vestergaard, Christian L.; Génois, Mathieu

2015-01-01

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

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

PubMed

Vestergaard, Christian L; Génois, Mathieu

2015-10-01

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

Stochasticity and Stereotypy in the Ciona Notochord

PubMed Central

Carlson, Maia; Reeves, Wendy; Veeman, Michael

2015-01-01

Fate mapping with single cell resolution has typically been confined to embryos with completely stereotyped development. The lineages giving rise to the 40 cells of the Ciona notochord are invariant, but the intercalation of those cells into a single-file column is not. Here we use genetic labeling methods to fate map the Ciona notochord with both high resolution and large sample sizes. We find that the ordering of notochord cells into a single column is not random, but instead shows a distinctive signature characteristic of mediolaterally-biased intercalation. We find that patterns of cell intercalation in the notochord are somewhat stochastic but far more stereotyped than previously believed. Cell behaviors vary by lineage, with the secondary notochord lineage being much more constrained than the primary lineage. Within the primary lineage, patterns of intercalation reflect the geometry of the intercalating tissue. We identify the latest point at which notochord morphogenesis is largely stereotyped, which is shortly before the onset of mediolateral intercalation and immediately after the final cell divisions in the primary lineage. These divisions are consistently oriented along the AP axis. Our results indicate that the interplay between stereotyped and stochastic cell behaviors in morphogenesis can only be assessed by fate mapping experiments that have both cellular resolution and large sample sizes. PMID:25459659

Connecting massive galaxies to dark matter haloes in BOSS - I. Is galaxy colour a stochastic process in high-mass haloes?

NASA Astrophysics Data System (ADS)

Saito, Shun; Leauthaud, Alexie; Hearin, Andrew P.; Bundy, Kevin; Zentner, Andrew R.; Behroozi, Peter S.; Reid, Beth A.; Sinha, Manodeep; Coupon, Jean; Tinker, Jeremy L.; White, Martin; Schneider, Donald P.

2016-08-01

We use subhalo abundance matching (SHAM) to model the stellar mass function (SMF) and clustering of the Baryon Oscillation Spectroscopic Survey (BOSS) `CMASS' sample at z ˜ 0.5. We introduce a novel method which accounts for the stellar mass incompleteness of CMASS as a function of redshift, and produce CMASS mock catalogues which include selection effects, reproduce the overall SMF, the projected two-point correlation function wp, the CMASS dn/dz, and are made publicly available. We study the effects of assembly bias above collapse mass in the context of `age matching' and show that these effects are markedly different compared to the ones explored by Hearin et al. at lower stellar masses. We construct two models, one in which galaxy colour is stochastic (`AbM' model) as well as a model which contains assembly bias effects (`AgM' model). By confronting the redshift dependent clustering of CMASS with the predictions from our model, we argue that that galaxy colours are not a stochastic process in high-mass haloes. Our results suggest that the colours of galaxies in high-mass haloes are determined by other halo properties besides halo peak velocity and that assembly bias effects play an important role in determining the clustering properties of this sample.

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

Wu, Fuke, E-mail: wufuke@mail.hust.edu.cn; Tian, Tianhai, E-mail: tianhai.tian@sci.monash.edu.au; Rawlings, James B., E-mail: james.rawlings@wisc.edu

The frequently used reduction technique is based on the chemical master equation for stochastic chemical kinetics with two-time scales, which yields the modified stochastic simulation algorithm (SSA). For the chemical reaction processes involving a large number of molecular species and reactions, the collection of slow reactions may still include a large number of molecular species and reactions. Consequently, the SSA is still computationally expensive. Because the chemical Langevin equations (CLEs) can effectively work for a large number of molecular species and reactions, this paper develops a reduction method based on the CLE by the stochastic averaging principle developed in themore » work of Khasminskii and Yin [SIAM J. Appl. Math. 56, 1766–1793 (1996); ibid. 56, 1794–1819 (1996)] to average out the fast-reacting variables. This reduction method leads to a limit averaging system, which is an approximation of the slow reactions. Because in the stochastic chemical kinetics, the CLE is seen as the approximation of the SSA, the limit averaging system can be treated as the approximation of the slow reactions. As an application, we examine the reduction of computation complexity for the gene regulatory networks with two-time scales driven by intrinsic noise. For linear and nonlinear protein production functions, the simulations show that the sample average (expectation) of the limit averaging system is close to that of the slow-reaction process based on the SSA. It demonstrates that the limit averaging system is an efficient approximation of the slow-reaction process in the sense of the weak convergence.« less

Star Cluster Properties in Two LEGUS Galaxies Computed with Stochastic Stellar Population Synthesis Models

NASA Astrophysics Data System (ADS)

Krumholz, Mark R.; Adamo, Angela; Fumagalli, Michele; Wofford, Aida; Calzetti, Daniela; Lee, Janice C.; Whitmore, Bradley C.; Bright, Stacey N.; Grasha, Kathryn; Gouliermis, Dimitrios A.; Kim, Hwihyun; Nair, Preethi; Ryon, Jenna E.; Smith, Linda J.; Thilker, David; Ubeda, Leonardo; Zackrisson, Erik

2015-10-01

We investigate a novel Bayesian analysis method, based on the Stochastically Lighting Up Galaxies (slug) code, to derive the masses, ages, and extinctions of star clusters from integrated light photometry. Unlike many analysis methods, slug correctly accounts for incomplete initial mass function (IMF) sampling, and returns full posterior probability distributions rather than simply probability maxima. We apply our technique to 621 visually confirmed clusters in two nearby galaxies, NGC 628 and NGC 7793, that are part of the Legacy Extragalactic UV Survey (LEGUS). LEGUS provides Hubble Space Telescope photometry in the NUV, U, B, V, and I bands. We analyze the sensitivity of the derived cluster properties to choices of prior probability distribution, evolutionary tracks, IMF, metallicity, treatment of nebular emission, and extinction curve. We find that slug's results for individual clusters are insensitive to most of these choices, but that the posterior probability distributions we derive are often quite broad, and sometimes multi-peaked and quite sensitive to the choice of priors. In contrast, the properties of the cluster population as a whole are relatively robust against all of these choices. We also compare our results from slug to those derived with a conventional non-stochastic fitting code, Yggdrasil. We show that slug's stochastic models are generally a better fit to the observations than the deterministic ones used by Yggdrasil. However, the overall properties of the cluster populations recovered by both codes are qualitatively similar.

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.

Stochastic derivative-free optimization using a trust region framework

DOE PAGES

Larson, Jeffrey; Billups, Stephen C.

2016-02-17

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

Learning process mapping heuristics under stochastic sampling overheads

NASA Technical Reports Server (NTRS)

Ieumwananonthachai, Arthur; Wah, Benjamin W.

1991-01-01

A statistical method was developed previously for improving process mapping heuristics. The method systematically explores the space of possible heuristics under a specified time constraint. Its goal is to get the best possible heuristics while trading between the solution quality of the process mapping heuristics and their execution time. The statistical selection method is extended to take into consideration the variations in the amount of time used to evaluate heuristics on a problem instance. The improvement in performance is presented using the more realistic assumption along with some methods that alleviate the additional complexity.

Stochastic rainfall synthesis for urban applications using different regionalization methods

NASA Astrophysics Data System (ADS)

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

2017-12-01

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

A two-level stochastic collocation method for semilinear elliptic equations with random coefficients

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

Chen, Luoping; Zheng, Bin; Lin, Guang

In this work, we propose a novel two-level discretization for solving semilinear elliptic equations with random coefficients. Motivated by the two-grid method for deterministic partial differential equations (PDEs) introduced by Xu, our two-level stochastic collocation method utilizes a two-grid finite element discretization in the physical space and a two-level collocation method in the random domain. In particular, we solve semilinear equations on a coarse meshmore » $$\\mathcal{T}_H$$ with a low level stochastic collocation (corresponding to the polynomial space $$\\mathcal{P}_{P}$$) and solve linearized equations on a fine mesh $$\\mathcal{T}_h$$ using high level stochastic collocation (corresponding to the polynomial space $$\\mathcal{P}_p$$). We prove that the approximated solution obtained from this method achieves the same order of accuracy as that from solving the original semilinear problem directly by stochastic collocation method with $$\\mathcal{T}_h$$ and $$\\mathcal{P}_p$$. The two-level method is computationally more efficient, especially for nonlinear problems with high random dimensions. Numerical experiments are also provided to verify the theoretical results.« less

Rapid sampling of stochastic displacements in Brownian dynamics simulations

NASA Astrophysics Data System (ADS)

Fiore, Andrew M.; Balboa Usabiaga, Florencio; Donev, Aleksandar; Swan, James W.

2017-03-01

We present a new method for sampling stochastic displacements in Brownian Dynamics (BD) simulations of colloidal scale particles. The method relies on a new formulation for Ewald summation of the Rotne-Prager-Yamakawa (RPY) tensor, which guarantees that the real-space and wave-space contributions to the tensor are independently symmetric and positive-definite for all possible particle configurations. Brownian displacements are drawn from a superposition of two independent samples: a wave-space (far-field or long-ranged) contribution, computed using techniques from fluctuating hydrodynamics and non-uniform fast Fourier transforms; and a real-space (near-field or short-ranged) correction, computed using a Krylov subspace method. The combined computational complexity of drawing these two independent samples scales linearly with the number of particles. The proposed method circumvents the super-linear scaling exhibited by all known iterative sampling methods applied directly to the RPY tensor that results from the power law growth of the condition number of tensor with the number of particles. For geometrically dense microstructures (fractal dimension equal three), the performance is independent of volume fraction, while for tenuous microstructures (fractal dimension less than three), such as gels and polymer solutions, the performance improves with decreasing volume fraction. This is in stark contrast with other related linear-scaling methods such as the force coupling method and the fluctuating immersed boundary method, for which performance degrades with decreasing volume fraction. Calculations for hard sphere dispersions and colloidal gels are illustrated and used to explore the role of microstructure on performance of the algorithm. In practice, the logarithmic part of the predicted scaling is not observed and the algorithm scales linearly for up to 4 ×106 particles, obtaining speed ups of over an order of magnitude over existing iterative methods, and making the cost of computing Brownian displacements comparable to the cost of computing deterministic displacements in BD simulations. A high-performance implementation employing non-uniform fast Fourier transforms implemented on graphics processing units and integrated with the software package HOOMD-blue is used for benchmarking.

Using Genotype Abundance to Improve Phylogenetic Inference

PubMed Central

Mesin, Luka; Victora, Gabriel D; Minin, Vladimir N; Matsen, Frederick A

2018-01-01

Abstract Modern biological techniques enable very dense genetic sampling of unfolding evolutionary histories, and thus frequently sample some genotypes multiple times. This motivates strategies to incorporate genotype abundance information in phylogenetic inference. In this article, we synthesize a stochastic process model with standard sequence-based phylogenetic optimality, and show that tree estimation is substantially improved by doing so. Our method is validated with extensive simulations and an experimental single-cell lineage tracing study of germinal center B cell receptor affinity maturation. PMID:29474671

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

PubMed

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

2007-05-24

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

Improving material identification by combining x-ray and neutron tomography

NASA Astrophysics Data System (ADS)

LaManna, Jacob M.; Hussey, Daniel S.; Baltic, Eli; Jacobson, David L.

2017-09-01

X-rays and neutrons provide complementary non-destructive probes for the analysis of structure and chemical composition of materials. Contrast differences between the modes arise due to the differences in interaction with matter. Due to the high sensitivity to hydrogen, neutrons excel at separating liquid water or hydrogenous phases from the underlying structure while X-rays resolve the solid structure. Many samples of interest, such as fluid flow in porous materials or curing concrete, are stochastic or slowly changing with time which makes analysis of sequential imaging with X-rays and neutrons difficult as the sample may change between scans. To alleviate this issue, NIST has developed a system for simultaneous X-ray and neutron tomography by orienting a 90 keVpeak micro-focus X-ray tube orthogonally to a thermal neutron beam. This system allows for non-destructive, multimodal tomography of dynamic or stochastic samples while penetrating through sample environment equipment such as pressure and flow vessels. Current efforts are underway to develop methods for 2D histogram based segmentation of reconstructed volumes. By leveraging the contrast differences between X-rays and neutrons, greater histogram peak separation can occur in 2D vs 1D enabling improved material identification.

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

NASA Astrophysics Data System (ADS)

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

2018-03-01

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

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

PubMed

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

2010-02-21

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

Stochastic simulation in systems biology

PubMed Central

Székely, Tamás; Burrage, Kevin

2014-01-01

Natural systems are, almost by definition, heterogeneous: this can be either a boon or an obstacle to be overcome, depending on the situation. Traditionally, when constructing mathematical models of these systems, heterogeneity has typically been ignored, despite its critical role. However, in recent years, stochastic computational methods have become commonplace in science. They are able to appropriately account for heterogeneity; indeed, they are based around the premise that systems inherently contain at least one source of heterogeneity (namely, intrinsic heterogeneity). In this mini-review, we give a brief introduction to theoretical modelling and simulation in systems biology and discuss the three different sources of heterogeneity in natural systems. Our main topic is an overview of stochastic simulation methods in systems biology. There are many different types of stochastic methods. We focus on one group that has become especially popular in systems biology, biochemistry, chemistry and physics. These discrete-state stochastic methods do not follow individuals over time; rather they track only total populations. They also assume that the volume of interest is spatially homogeneous. We give an overview of these methods, with a discussion of the advantages and disadvantages of each, and suggest when each is more appropriate to use. We also include references to software implementations of them, so that beginners can quickly start using stochastic methods for practical problems of interest. PMID:25505503

BACKWARD ESTIMATION OF STOCHASTIC PROCESSES WITH FAILURE EVENTS AS TIME ORIGINS1

PubMed Central

Gary Chan, Kwun Chuen; Wang, Mei-Cheng

2011-01-01

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

Aboveground and belowground arthropods experience different relative influences of stochastic versus deterministic community assembly processes following disturbance

PubMed Central

Martinez, Alexander S.; Faist, Akasha M.

2016-01-01

Background Understanding patterns of biodiversity is a longstanding challenge in ecology. Similar to other biotic groups, arthropod community structure can be shaped by deterministic and stochastic processes, with limited understanding of what moderates the relative influence of these processes. Disturbances have been noted to alter the relative influence of deterministic and stochastic processes on community assembly in various study systems, implicating ecological disturbances as a potential moderator of these forces. Methods Using a disturbance gradient along a 5-year chronosequence of insect-induced tree mortality in a subalpine forest of the southern Rocky Mountains, Colorado, USA, we examined changes in community structure and relative influences of deterministic and stochastic processes in the assembly of aboveground (surface and litter-active species) and belowground (species active in organic and mineral soil layers) arthropod communities. Arthropods were sampled for all years of the chronosequence via pitfall traps (aboveground community) and modified Winkler funnels (belowground community) and sorted to morphospecies. Community structure of both communities were assessed via comparisons of morphospecies abundance, diversity, and composition. Assembly processes were inferred from a mixture of linear models and matrix correlations testing for community associations with environmental properties, and from null-deviation models comparing observed vs. expected levels of species turnover (Beta diversity) among samples. Results Tree mortality altered community structure in both aboveground and belowground arthropod communities, but null models suggested that aboveground communities experienced greater relative influences of deterministic processes, while the relative influence of stochastic processes increased for belowground communities. Additionally, Mantel tests and linear regression models revealed significant associations between the aboveground arthropod communities and vegetation and soil properties, but no significant association among belowground arthropod communities and environmental factors. Discussion Our results suggest context-dependent influences of stochastic and deterministic community assembly processes across different fractions of a spatially co-occurring ground-dwelling arthropod community following disturbance. This variation in assembly may be linked to contrasting ecological strategies and dispersal rates within above- and below-ground communities. Our findings add to a growing body of evidence indicating concurrent influences of stochastic and deterministic processes in community assembly, and highlight the need to consider potential variation across different fractions of biotic communities when testing community ecology theory and considering conservation strategies. PMID:27761333

Constrained approximation of effective generators for multiscale stochastic reaction networks and application to conditioned path sampling

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

Cotter, Simon L., E-mail: simon.cotter@manchester.ac.uk

2016-10-15

Efficient analysis and simulation of multiscale stochastic systems of chemical kinetics is an ongoing area for research, and is the source of many theoretical and computational challenges. In this paper, we present a significant improvement to the constrained approach, which is a method for computing effective dynamics of slowly changing quantities in these systems, but which does not rely on the quasi-steady-state assumption (QSSA). The QSSA can cause errors in the estimation of effective dynamics for systems where the difference in timescales between the “fast” and “slow” variables is not so pronounced. This new application of the constrained approach allowsmore » us to compute the effective generator of the slow variables, without the need for expensive stochastic simulations. This is achieved by finding the null space of the generator of the constrained system. For complex systems where this is not possible, or where the constrained subsystem is itself multiscale, the constrained approach can then be applied iteratively. This results in breaking the problem down into finding the solutions to many small eigenvalue problems, which can be efficiently solved using standard methods. Since this methodology does not rely on the quasi steady-state assumption, the effective dynamics that are approximated are highly accurate, and in the case of systems with only monomolecular reactions, are exact. We will demonstrate this with some numerics, and also use the effective generators to sample paths of the slow variables which are conditioned on their endpoints, a task which would be computationally intractable for the generator of the full system.« less

Moderate deviations-based importance sampling for stochastic recursive equations

DOE PAGES

Dupuis, Paul; Johnson, Dane

2017-11-17

Abstract Subsolutions to the Hamilton–Jacobi–Bellman equation associated with a moderate deviations approximation are used to design importance sampling changes of measure for stochastic recursive equations. Analogous to what has been done for large deviations subsolution-based importance sampling, these schemes are shown to be asymptotically optimal under the moderate deviations scaling. We present various implementations and numerical results to contrast their performance, and also discuss the circumstances under which a moderate deviation scaling might be appropriate.

Moderate deviations-based importance sampling for stochastic recursive equations

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

Dupuis, Paul; Johnson, Dane

Abstract Subsolutions to the Hamilton–Jacobi–Bellman equation associated with a moderate deviations approximation are used to design importance sampling changes of measure for stochastic recursive equations. Analogous to what has been done for large deviations subsolution-based importance sampling, these schemes are shown to be asymptotically optimal under the moderate deviations scaling. We present various implementations and numerical results to contrast their performance, and also discuss the circumstances under which a moderate deviation scaling might be appropriate.

Boosting association rule mining in large datasets via Gibbs sampling.

PubMed

Qian, Guoqi; Rao, Calyampudi Radhakrishna; Sun, Xiaoying; Wu, Yuehua

2016-05-03

Current algorithms for association rule mining from transaction data are mostly deterministic and enumerative. They can be computationally intractable even for mining a dataset containing just a few hundred transaction items, if no action is taken to constrain the search space. In this paper, we develop a Gibbs-sampling-induced stochastic search procedure to randomly sample association rules from the itemset space, and perform rule mining from the reduced transaction dataset generated by the sample. Also a general rule importance measure is proposed to direct the stochastic search so that, as a result of the randomly generated association rules constituting an ergodic Markov chain, the overall most important rules in the itemset space can be uncovered from the reduced dataset with probability 1 in the limit. In the simulation study and a real genomic data example, we show how to boost association rule mining by an integrated use of the stochastic search and the Apriori algorithm.

Stochastic sensing through covalent interactions

DOEpatents

Bayley, Hagan; Shin, Seong-Ho; Luchian, Tudor; Cheley, Stephen

2013-03-26

A system and method for stochastic sensing in which the analyte covalently bonds to the sensor element or an adaptor element. If such bonding is irreversible, the bond may be broken by a chemical reagent. The sensor element may be a protein, such as the engineered P.sub.SH type or .alpha.HL protein pore. The analyte may be any reactive analyte, including chemical weapons, environmental toxins and pharmaceuticals. The analyte covalently bonds to the sensor element to produce a detectable signal. Possible signals include change in electrical current, change in force, and change in fluorescence. Detection of the signal allows identification of the analyte and determination of its concentration in a sample solution. Multiple analytes present in the same solution may be detected.

Convolutionless Nakajima-Zwanzig equations for stochastic analysis in nonlinear dynamical systems.

PubMed

Venturi, D; Karniadakis, G E

2014-06-08

Determining the statistical properties of stochastic nonlinear systems is of major interest across many disciplines. Currently, there are no general efficient methods to deal with this challenging problem that involves high dimensionality, low regularity and random frequencies. We propose a framework for stochastic analysis in nonlinear dynamical systems based on goal-oriented probability density function (PDF) methods. The key idea stems from techniques of irreversible statistical mechanics, and it relies on deriving evolution equations for the PDF of quantities of interest, e.g. functionals of the solution to systems of stochastic ordinary and partial differential equations. Such quantities could be low-dimensional objects in infinite dimensional phase spaces. We develop the goal-oriented PDF method in the context of the time-convolutionless Nakajima-Zwanzig-Mori formalism. We address the question of approximation of reduced-order density equations by multi-level coarse graining, perturbation series and operator cumulant resummation. Numerical examples are presented for stochastic resonance and stochastic advection-reaction problems.

Convolutionless Nakajima–Zwanzig equations for stochastic analysis in nonlinear dynamical systems

PubMed Central

Venturi, D.; Karniadakis, G. E.

2014-01-01

Determining the statistical properties of stochastic nonlinear systems is of major interest across many disciplines. Currently, there are no general efficient methods to deal with this challenging problem that involves high dimensionality, low regularity and random frequencies. We propose a framework for stochastic analysis in nonlinear dynamical systems based on goal-oriented probability density function (PDF) methods. The key idea stems from techniques of irreversible statistical mechanics, and it relies on deriving evolution equations for the PDF of quantities of interest, e.g. functionals of the solution to systems of stochastic ordinary and partial differential equations. Such quantities could be low-dimensional objects in infinite dimensional phase spaces. We develop the goal-oriented PDF method in the context of the time-convolutionless Nakajima–Zwanzig–Mori formalism. We address the question of approximation of reduced-order density equations by multi-level coarse graining, perturbation series and operator cumulant resummation. Numerical examples are presented for stochastic resonance and stochastic advection–reaction problems. PMID:24910519

Scalable approximate policies for Markov decision process models of hospital elective admissions.

PubMed

Zhu, George; Lizotte, Dan; Hoey, Jesse

2014-05-01

To demonstrate the feasibility of using stochastic simulation methods for the solution of a large-scale Markov decision process model of on-line patient admissions scheduling. The problem of admissions scheduling is modeled as a Markov decision process in which the states represent numbers of patients using each of a number of resources. We investigate current state-of-the-art real time planning methods to compute solutions to this Markov decision process. Due to the complexity of the model, traditional model-based planners are limited in scalability since they require an explicit enumeration of the model dynamics. To overcome this challenge, we apply sample-based planners along with efficient simulation techniques that given an initial start state, generate an action on-demand while avoiding portions of the model that are irrelevant to the start state. We also propose a novel variant of a popular sample-based planner that is particularly well suited to the elective admissions problem. Results show that the stochastic simulation methods allow for the problem size to be scaled by a factor of almost 10 in the action space, and exponentially in the state space. We have demonstrated our approach on a problem with 81 actions, four specialities and four treatment patterns, and shown that we can generate solutions that are near-optimal in about 100s. Sample-based planners are a viable alternative to state-based planners for large Markov decision process models of elective admissions scheduling. Copyright © 2014 Elsevier B.V. All rights reserved.

Discrete stochastic simulation methods for chemically reacting systems.

PubMed

Cao, Yang; Samuels, David C

2009-01-01

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

The relationship between purely stochastic sampling error and the number of technical replicates used to estimate concentration at an extreme dilution

USDA-ARS?s Scientific Manuscript database

For any analytical system the population mean (mu) number of entities (e.g., cells or molecules) per tested volume, surface area, or mass also defines the population standard deviation (sigma = square root of mu ). For a preponderance of analytical methods, sigma is very small relative to mu due to...

Multiple-time-stepping generalized hybrid Monte Carlo methods

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

Escribano, Bruno, E-mail: bescribano@bcamath.org; Akhmatskaya, Elena; IKERBASQUE, Basque Foundation for Science, E-48013 Bilbao

2015-01-01

Performance of the generalized shadow hybrid Monte Carlo (GSHMC) method [1], which proved to be superior in sampling efficiency over its predecessors [2–4], molecular dynamics and hybrid Monte Carlo, can be further improved by combining it with multi-time-stepping (MTS) and mollification of slow forces. We demonstrate that the comparatively simple modifications of the method not only lead to better performance of GSHMC itself but also allow for beating the best performed methods, which use the similar force splitting schemes. In addition we show that the same ideas can be successfully applied to the conventional generalized hybrid Monte Carlo method (GHMC).more » The resulting methods, MTS-GHMC and MTS-GSHMC, provide accurate reproduction of thermodynamic and dynamical properties, exact temperature control during simulation and computational robustness and efficiency. MTS-GHMC uses a generalized momentum update to achieve weak stochastic stabilization to the molecular dynamics (MD) integrator. MTS-GSHMC adds the use of a shadow (modified) Hamiltonian to filter the MD trajectories in the HMC scheme. We introduce a new shadow Hamiltonian formulation adapted to force-splitting methods. The use of such Hamiltonians improves the acceptance rate of trajectories and has a strong impact on the sampling efficiency of the method. Both methods were implemented in the open-source MD package ProtoMol and were tested on a water and a protein systems. Results were compared to those obtained using a Langevin Molly (LM) method [5] on the same systems. The test results demonstrate the superiority of the new methods over LM in terms of stability, accuracy and sampling efficiency. This suggests that putting the MTS approach in the framework of hybrid Monte Carlo and using the natural stochasticity offered by the generalized hybrid Monte Carlo lead to improving stability of MTS and allow for achieving larger step sizes in the simulation of complex systems.« less

Stochastic symplectic and multi-symplectic methods for nonlinear Schrödinger equation with white noise dispersion

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

Cui, Jianbo, E-mail: jianbocui@lsec.cc.ac.cn; Hong, Jialin, E-mail: hjl@lsec.cc.ac.cn; Liu, Zhihui, E-mail: liuzhihui@lsec.cc.ac.cn

We indicate that the nonlinear Schrödinger equation with white noise dispersion possesses stochastic symplectic and multi-symplectic structures. Based on these structures, we propose the stochastic symplectic and multi-symplectic methods, which preserve the continuous and discrete charge conservation laws, respectively. Moreover, we show that the proposed methods are convergent with temporal order one in probability. Numerical experiments are presented to verify our theoretical results.

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

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

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

2014-12-10

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

Parameter inference in small world network disease models with approximate Bayesian Computational methods

NASA Astrophysics Data System (ADS)

Walker, David M.; Allingham, David; Lee, Heung Wing Joseph; Small, Michael

2010-02-01

Small world network models have been effective in capturing the variable behaviour of reported case data of the SARS coronavirus outbreak in Hong Kong during 2003. Simulations of these models have previously been realized using informed “guesses” of the proposed model parameters and tested for consistency with the reported data by surrogate analysis. In this paper we attempt to provide statistically rigorous parameter distributions using Approximate Bayesian Computation sampling methods. We find that such sampling schemes are a useful framework for fitting parameters of stochastic small world network models where simulation of the system is straightforward but expressing a likelihood is cumbersome.

Wang-Landau method for calculating Rényi entropies in finite-temperature quantum Monte Carlo simulations.

PubMed

Inglis, Stephen; Melko, Roger G

2013-01-01

We implement a Wang-Landau sampling technique in quantum Monte Carlo (QMC) simulations for the purpose of calculating the Rényi entanglement entropies and associated mutual information. The algorithm converges an estimate for an analog to the density of states for stochastic series expansion QMC, allowing a direct calculation of Rényi entropies without explicit thermodynamic integration. We benchmark results for the mutual information on two-dimensional (2D) isotropic and anisotropic Heisenberg models, a 2D transverse field Ising model, and a three-dimensional Heisenberg model, confirming a critical scaling of the mutual information in cases with a finite-temperature transition. We discuss the benefits and limitations of broad sampling techniques compared to standard importance sampling methods.

Efficient Stochastic Rendering of Static and Animated Volumes Using Visibility Sweeps.

PubMed

von Radziewsky, Philipp; Kroes, Thomas; Eisemann, Martin; Eisemann, Elmar

2017-09-01

Stochastically solving the rendering integral (particularly visibility) is the de-facto standard for physically-based light transport but it is computationally expensive, especially when displaying heterogeneous volumetric data. In this work, we present efficient techniques to speed-up the rendering process via a novel visibility-estimation method in concert with an unbiased importance sampling (involving environmental lighting and visibility inside the volume), filtering, and update techniques for both static and animated scenes. Our major contributions include a progressive estimate of partial occlusions based on a fast sweeping-plane algorithm. These occlusions are stored in an octahedral representation, which can be conveniently transformed into a quadtree-based hierarchy suited for a joint importance sampling. Further, we propose sweep-space filtering, which suppresses the occurrence of fireflies and investigate different update schemes for animated scenes. Our technique is unbiased, requires little precomputation, is highly parallelizable, and is applicable to a various volume data sets, dynamic transfer functions, animated volumes and changing environmental lighting.

Permanence and asymptotic behaviors of stochastic predator-prey system with Markovian switching and Lévy noise

NASA Astrophysics Data System (ADS)

Wang, Sheng; Wang, Linshan; Wei, Tengda

2018-04-01

This paper concerns the dynamics of a stochastic predator-prey system with Markovian switching and Lévy noise. First, the existence and uniqueness of global positive solution to the system is proved. Then, by combining stochastic analytical techniques with M-matrix analysis, sufficient conditions of stochastic permanence and extinction are obtained. Furthermore, for the stochastic permanence case, by means of four constants related to the stationary probability distribution of the Markov chain and the parameters of the subsystems, both the superior limit and the inferior limit of the average in time of the sample path of the solution are estimated. Finally, our conclusions are illustrated through an example.

Portfolio Optimization with Stochastic Dividends and Stochastic Volatility

ERIC Educational Resources Information Center

Varga, Katherine Yvonne

2015-01-01

We consider an optimal investment-consumption portfolio optimization model in which an investor receives stochastic dividends. As a first problem, we allow the drift of stock price to be a bounded function. Next, we consider a stochastic volatility model. In each problem, we use the dynamic programming method to derive the Hamilton-Jacobi-Bellman…

Systematic parameter inference in stochastic mesoscopic modeling

NASA Astrophysics Data System (ADS)

Lei, Huan; Yang, Xiu; Li, Zhen; Karniadakis, George Em

2017-02-01

We propose a method to efficiently determine the optimal coarse-grained force field in mesoscopic stochastic simulations of Newtonian fluid and polymer melt systems modeled by dissipative particle dynamics (DPD) and energy conserving dissipative particle dynamics (eDPD). The response surfaces of various target properties (viscosity, diffusivity, pressure, etc.) with respect to model parameters are constructed based on the generalized polynomial chaos (gPC) expansion using simulation results on sampling points (e.g., individual parameter sets). To alleviate the computational cost to evaluate the target properties, we employ the compressive sensing method to compute the coefficients of the dominant gPC terms given the prior knowledge that the coefficients are "sparse". The proposed method shows comparable accuracy with the standard probabilistic collocation method (PCM) while it imposes a much weaker restriction on the number of the simulation samples especially for systems with high dimensional parametric space. Fully access to the response surfaces within the confidence range enables us to infer the optimal force parameters given the desirable values of target properties at the macroscopic scale. Moreover, it enables us to investigate the intrinsic relationship between the model parameters, identify possible degeneracies in the parameter space, and optimize the model by eliminating model redundancies. The proposed method provides an efficient alternative approach for constructing mesoscopic models by inferring model parameters to recover target properties of the physics systems (e.g., from experimental measurements), where those force field parameters and formulation cannot be derived from the microscopic level in a straight forward way.

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

NASA Astrophysics Data System (ADS)

Liu, Zhangjun; Liu, Zenghui

2018-06-01

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

Quantitative radiomics: impact of stochastic effects on textural feature analysis implies the need for standards

PubMed Central

Nyflot, Matthew J.; Yang, Fei; Byrd, Darrin; Bowen, Stephen R.; Sandison, George A.; Kinahan, Paul E.

2015-01-01

Abstract. Image heterogeneity metrics such as textural features are an active area of research for evaluating clinical outcomes with positron emission tomography (PET) imaging and other modalities. However, the effects of stochastic image acquisition noise on these metrics are poorly understood. We performed a simulation study by generating 50 statistically independent PET images of the NEMA IQ phantom with realistic noise and resolution properties. Heterogeneity metrics based on gray-level intensity histograms, co-occurrence matrices, neighborhood difference matrices, and zone size matrices were evaluated within regions of interest surrounding the lesions. The impact of stochastic variability was evaluated with percent difference from the mean of the 50 realizations, coefficient of variation and estimated sample size for clinical trials. Additionally, sensitivity studies were performed to simulate the effects of patient size and image reconstruction method on the quantitative performance of these metrics. Complex trends in variability were revealed as a function of textural feature, lesion size, patient size, and reconstruction parameters. In conclusion, the sensitivity of PET textural features to normal stochastic image variation and imaging parameters can be large and is feature-dependent. Standards are needed to ensure that prospective studies that incorporate textural features are properly designed to measure true effects that may impact clinical outcomes. PMID:26251842

Quantitative radiomics: impact of stochastic effects on textural feature analysis implies the need for standards.

PubMed

Nyflot, Matthew J; Yang, Fei; Byrd, Darrin; Bowen, Stephen R; Sandison, George A; Kinahan, Paul E

2015-10-01

Image heterogeneity metrics such as textural features are an active area of research for evaluating clinical outcomes with positron emission tomography (PET) imaging and other modalities. However, the effects of stochastic image acquisition noise on these metrics are poorly understood. We performed a simulation study by generating 50 statistically independent PET images of the NEMA IQ phantom with realistic noise and resolution properties. Heterogeneity metrics based on gray-level intensity histograms, co-occurrence matrices, neighborhood difference matrices, and zone size matrices were evaluated within regions of interest surrounding the lesions. The impact of stochastic variability was evaluated with percent difference from the mean of the 50 realizations, coefficient of variation and estimated sample size for clinical trials. Additionally, sensitivity studies were performed to simulate the effects of patient size and image reconstruction method on the quantitative performance of these metrics. Complex trends in variability were revealed as a function of textural feature, lesion size, patient size, and reconstruction parameters. In conclusion, the sensitivity of PET textural features to normal stochastic image variation and imaging parameters can be large and is feature-dependent. Standards are needed to ensure that prospective studies that incorporate textural features are properly designed to measure true effects that may impact clinical outcomes.

Designing Feature and Data Parallel Stochastic Coordinate Descent Method forMatrix and Tensor Factorization

DTIC Science & Technology

2016-05-11

AFRL-AFOSR-JP-TR-2016-0046 Designing Feature and Data Parallel Stochastic Coordinate Descent Method for Matrix and Tensor Factorization U Kang Korea...maintaining the data needed, and completing and reviewing the collection of information. Send comments regarding this burden estimate or   any other aspect...Designing Feature and Data Parallel Stochastic Coordinate Descent Method for Matrix and Tensor Factorization 5a.  CONTRACT NUMBER 5b.  GRANT NUMBER FA2386

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.

A manifold independent approach to understanding transport in stochastic dynamical systems

NASA Astrophysics Data System (ADS)

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

2002-12-01

We develop a new collection of tools aimed at studying stochastically perturbed dynamical systems. Specifically, in the setting of bi-stability, that is a two-attractor system, it has previously been numerically observed that a small noise volume is sufficient to destroy would be zero-noise case barriers in the phase space (pseudo-barriers), thus creating a pre-heteroclinic tangency chaos-like behavior. The stochastic dynamical system has a corresponding Frobenius-Perron operator with a stochastic kernel, which describes how densities of initial conditions move under the noisy map. Thus in studying the action of the Frobenius-Perron operator, we learn about the transport of the map; we have employed a Galerkin-Ulam-like method to project the Frobenius-Perron operator onto a discrete basis set of characteristic functions to highlight this action localized in specified regions of the phase space. Graph theoretic methods allow us to re-order the resulting finite dimensional Markov operator approximation so as to highlight the regions of the original phase space which are particularly active pseudo-barriers of the stochastic dynamics. Our toolbox allows us to find: (1) regions of high activity of transport, (2) flux across pseudo-barriers, and also (3) expected time of escape from pseudo-basins. Some of these quantities are also possible via the manifold dependent stochastic Melnikov method, but Melnikov only applies to a very special class of models for which the unperturbed homoclinic orbit is available. Our methods are unique in that they can essentially be considered as a “black-box” of tools which can be applied to a wide range of stochastic dynamical systems in the absence of a priori knowledge of manifold structures. We use here a model of childhood diseases to showcase our methods. Our tools will allow us to make specific observations of: (1) loss of reducibility between basins with increasing noise, (2) identification in the phase space of active regions of stochastic transport, (3) stochastic flux which essentially completes the heteroclinic tangle.

An improved target velocity sampling algorithm for free gas elastic scattering

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

Romano, Paul K.; Walsh, Jonathan A.

We present an improved algorithm for sampling the target velocity when simulating elastic scattering in a Monte Carlo neutron transport code that correctly accounts for the energy dependence of the scattering cross section. The algorithm samples the relative velocity directly, thereby avoiding a potentially inefficient rejection step based on the ratio of cross sections. Here, we have shown that this algorithm requires only one rejection step, whereas other methods of similar accuracy require two rejection steps. The method was verified against stochastic and deterministic reference results for upscattering percentages in 238U. Simulations of a light water reactor pin cell problemmore » demonstrate that using this algorithm results in a 3% or less penalty in performance when compared with an approximate method that is used in most production Monte Carlo codes« less

An improved target velocity sampling algorithm for free gas elastic scattering

DOE PAGES

Romano, Paul K.; Walsh, Jonathan A.

2018-02-03

We present an improved algorithm for sampling the target velocity when simulating elastic scattering in a Monte Carlo neutron transport code that correctly accounts for the energy dependence of the scattering cross section. The algorithm samples the relative velocity directly, thereby avoiding a potentially inefficient rejection step based on the ratio of cross sections. Here, we have shown that this algorithm requires only one rejection step, whereas other methods of similar accuracy require two rejection steps. The method was verified against stochastic and deterministic reference results for upscattering percentages in 238U. Simulations of a light water reactor pin cell problemmore » demonstrate that using this algorithm results in a 3% or less penalty in performance when compared with an approximate method that is used in most production Monte Carlo codes« less

Compressible cavitation with stochastic field method

NASA Astrophysics Data System (ADS)

Class, Andreas; Dumond, Julien

2012-11-01

Non-linear phenomena can often be well described using probability density functions (pdf) and pdf transport models. Traditionally the simulation of pdf transport requires Monte-Carlo codes based on Lagrange particles or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic field method solving pdf transport based on Euler fields has been proposed which eliminates the necessity to mix Euler and Lagrange techniques or prescribed pdf assumptions. In the present work, part of the PhD Design and analysis of a Passive Outflow Reducer relying on cavitation, a first application of the stochastic field method to multi-phase flow and in particular to cavitating flow is presented. The application considered is a nozzle subjected to high velocity flow so that sheet cavitation is observed near the nozzle surface in the divergent section. It is demonstrated that the stochastic field formulation captures the wide range of pdf shapes present at different locations. The method is compatible with finite-volume codes where all existing physical models available for Lagrange techniques, presumed pdf or binning methods can be easily extended to the stochastic field formulation.

Stochastic reconstructions of spectral functions: Application to lattice QCD

NASA Astrophysics Data System (ADS)

Ding, H.-T.; Kaczmarek, O.; Mukherjee, Swagato; Ohno, H.; Shu, H.-T.

2018-05-01

We present a detailed study of the applications of two stochastic approaches, stochastic optimization method (SOM) and stochastic analytical inference (SAI), to extract spectral functions from Euclidean correlation functions. SOM has the advantage that it does not require prior information. On the other hand, SAI is a more generalized method based on Bayesian inference. Under mean field approximation SAI reduces to the often-used maximum entropy method (MEM) and for a specific choice of the prior SAI becomes equivalent to SOM. To test the applicability of these two stochastic methods to lattice QCD, firstly, we apply these methods to various reasonably chosen model correlation functions and present detailed comparisons of the reconstructed spectral functions obtained from SOM, SAI and MEM. Next, we present similar studies for charmonia correlation functions obtained from lattice QCD computations using clover-improved Wilson fermions on large, fine, isotropic lattices at 0.75 and 1.5 Tc, Tc being the deconfinement transition temperature of a pure gluon plasma. We find that SAI and SOM give consistent results to MEM at these two temperatures.

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.

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.

Comparison of stochastic optimization methods for all-atom folding of the Trp-Cage protein.

PubMed

Schug, Alexander; Herges, Thomas; Verma, Abhinav; Lee, Kyu Hwan; Wenzel, Wolfgang

2005-12-09

The performances of three different stochastic optimization methods for all-atom protein structure prediction are investigated and compared. We use the recently developed all-atom free-energy force field (PFF01), which was demonstrated to correctly predict the native conformation of several proteins as the global optimum of the free energy surface. The trp-cage protein (PDB-code 1L2Y) is folded with the stochastic tunneling method, a modified parallel tempering method, and the basin-hopping technique. All the methods correctly identify the native conformation, and their relative efficiency is discussed.

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.

Stochastic Estimation via Polynomial Chaos

DTIC Science & Technology

2015-10-01

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

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

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

Zhang, Qichun; Zhou, Jinglin; Wang, Hong

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

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

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

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

2010-11-01

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

Feasibility of Stochastic Voltage/VAr Optimization Considering Renewable Energy Resources for Smart Grid

NASA Astrophysics Data System (ADS)

Momoh, James A.; Salkuti, Surender Reddy

2016-06-01

This paper proposes a stochastic optimization technique for solving the Voltage/VAr control problem including the load demand and Renewable Energy Resources (RERs) variation. The RERs often take along some inputs like stochastic behavior. One of the important challenges i. e., Voltage/VAr control is a prime source for handling power system complexity and reliability, hence it is the fundamental requirement for all the utility companies. There is a need for the robust and efficient Voltage/VAr optimization technique to meet the peak demand and reduction of system losses. The voltages beyond the limit may damage costly sub-station devices and equipments at consumer end as well. Especially, the RERs introduces more disturbances and some of the RERs are not even capable enough to meet the VAr demand. Therefore, there is a strong need for the Voltage/VAr control in RERs environment. This paper aims at the development of optimal scheme for Voltage/VAr control involving RERs. In this paper, Latin Hypercube Sampling (LHS) method is used to cover full range of variables by maximally satisfying the marginal distribution. Here, backward scenario reduction technique is used to reduce the number of scenarios effectively and maximally retain the fitting accuracy of samples. The developed optimization scheme is tested on IEEE 24 bus Reliability Test System (RTS) considering the load demand and RERs variation.

Latin hypercube sampling and geostatistical modeling of spatial uncertainty in a spatially explicit forest landscape model simulation

Treesearch

Chonggang Xu; Hong S. He; Yuanman Hu; Yu Chang; Xiuzhen Li; Rencang Bu

2005-01-01

Geostatistical stochastic simulation is always combined with Monte Carlo method to quantify the uncertainty in spatial model simulations. However, due to the relatively long running time of spatially explicit forest models as a result of their complexity, it is always infeasible to generate hundreds or thousands of Monte Carlo simulations. Thus, it is of great...

Constant-pH molecular dynamics using stochastic titration

NASA Astrophysics Data System (ADS)

Baptista, António M.; Teixeira, Vitor H.; Soares, Cláudio M.

2002-09-01

A new method is proposed for performing constant-pH molecular dynamics (MD) simulations, that is, MD simulations where pH is one of the external thermodynamic parameters, like the temperature or the pressure. The protonation state of each titrable site in the solute is allowed to change during a molecular mechanics (MM) MD simulation, the new states being obtained from a combination of continuum electrostatics (CE) calculations and Monte Carlo (MC) simulation of protonation equilibrium. The coupling between the MM/MD and CE/MC algorithms is done in a way that ensures a proper Markov chain, sampling from the intended semigrand canonical distribution. This stochastic titration method is applied to succinic acid, aimed at illustrating the method and examining the choice of its adjustable parameters. The complete titration of succinic acid, using constant-pH MD simulations at different pH values, gives a clear picture of the coupling between the trans/gauche isomerization and the protonation process, making it possible to reconcile some apparently contradictory results of previous studies. The present constant-pH MD method is shown to require a moderate increase of computational cost when compared to the usual MD method.

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

NASA Astrophysics Data System (ADS)

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

2018-07-01

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

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

DTIC Science & Technology

2010-08-01

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

Stochastic Simulation of Biomolecular Networks in Dynamic Environments

PubMed Central

Voliotis, Margaritis; Thomas, Philipp; Grima, Ramon; Bowsher, Clive G.

2016-01-01

Simulation of biomolecular networks is now indispensable for studying biological systems, from small reaction networks to large ensembles of cells. Here we present a novel approach for stochastic simulation of networks embedded in the dynamic environment of the cell and its surroundings. We thus sample trajectories of the stochastic process described by the chemical master equation with time-varying propensities. A comparative analysis shows that existing approaches can either fail dramatically, or else can impose impractical computational burdens due to numerical integration of reaction propensities, especially when cell ensembles are studied. Here we introduce the Extrande method which, given a simulated time course of dynamic network inputs, provides a conditionally exact and several orders-of-magnitude faster simulation solution. The new approach makes it feasible to demonstrate—using decision-making by a large population of quorum sensing bacteria—that robustness to fluctuations from upstream signaling places strong constraints on the design of networks determining cell fate. Our approach has the potential to significantly advance both understanding of molecular systems biology and design of synthetic circuits. PMID:27248512

Radiation Transport in Random Media With Large Fluctuations

NASA Astrophysics Data System (ADS)

Olson, Aaron; Prinja, Anil; Franke, Brian

2017-09-01

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

SASS: A symmetry adapted stochastic search algorithm exploiting site symmetry

NASA Astrophysics Data System (ADS)

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

2007-03-01

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

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

PubMed

Marquez-Lago, Tatiana T; Burrage, Kevin

2007-09-14

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

Fast and Efficient Stochastic Optimization for Analytic Continuation

DOE PAGES

Bao, Feng; Zhang, Guannan; Webster, Clayton G; ...

2016-09-28

In this analytic continuation of imaginary-time quantum Monte Carlo data to extract real-frequency spectra remains a key problem in connecting theory with experiment. Here we present a fast and efficient stochastic optimization method (FESOM) as a more accessible variant of the stochastic optimization method introduced by Mishchenko et al. [Phys. Rev. B 62, 6317 (2000)], and we benchmark the resulting spectra with those obtained by the standard maximum entropy method for three representative test cases, including data taken from studies of the two-dimensional Hubbard model. Genearally, we find that our FESOM approach yields spectra similar to the maximum entropy results.more » In particular, while the maximum entropy method yields superior results when the quality of the data is strong, we find that FESOM is able to resolve fine structure with more detail when the quality of the data is poor. In addition, because of its stochastic nature, the method provides detailed information on the frequency-dependent uncertainty of the resulting spectra, while the maximum entropy method does so only for the spectral weight integrated over a finite frequency region. Therefore, we believe that this variant of the stochastic optimization approach provides a viable alternative to the routinely used maximum entropy method, especially for data of poor quality.« less

Optical EVPA rotations in blazars: testing a stochastic variability model with RoboPol data

NASA Astrophysics Data System (ADS)

Kiehlmann, S.; Blinov, D.; Pearson, T. J.; Liodakis, I.

2017-12-01

We identify rotations of the polarization angle in a sample of blazars observed for three seasons with the RoboPol instrument. A simplistic stochastic variability model is tested against this sample of rotation events. The model is capable of producing samples of rotations with parameters similar to the observed ones, but fails to reproduce the polarization fraction at the same time. Even though we can neither accept nor conclusively reject the model, we point out various aspects of the observations that are fully consistent with a random walk process.

New insights into time series analysis. II - Non-correlated observations

NASA Astrophysics Data System (ADS)

Ferreira Lopes, C. E.; Cross, N. J. G.

2017-08-01

Context. Statistical parameters are used to draw conclusions in a vast number of fields such as finance, weather, industrial, and science. These parameters are also used to identify variability patterns on photometric data to select non-stochastic variations that are indicative of astrophysical effects. New, more efficient, selection methods are mandatory to analyze the huge amount of astronomical data. Aims: We seek to improve the current methods used to select non-stochastic variations on non-correlated data. Methods: We used standard and new data-mining parameters to analyze non-correlated data to find the best way to discriminate between stochastic and non-stochastic variations. A new approach that includes a modified Strateva function was performed to select non-stochastic variations. Monte Carlo simulations and public time-domain data were used to estimate its accuracy and performance. Results: We introduce 16 modified statistical parameters covering different features of statistical distribution such as average, dispersion, and shape parameters. Many dispersion and shape parameters are unbound parameters, I.e. equations that do not require the calculation of average. Unbound parameters are computed with single loop and hence decreasing running time. Moreover, the majority of these parameters have lower errors than previous parameters, which is mainly observed for distributions with few measurements. A set of non-correlated variability indices, sample size corrections, and a new noise model along with tests of different apertures and cut-offs on the data (BAS approach) are introduced. The number of mis-selections are reduced by about 520% using a single waveband and 1200% combining all wavebands. On the other hand, the even-mean also improves the correlated indices introduced in Paper I. The mis-selection rate is reduced by about 18% if the even-mean is used instead of the mean to compute the correlated indices in the WFCAM database. Even-statistics allows us to improve the effectiveness of both correlated and non-correlated indices. Conclusions: The selection of non-stochastic variations is improved by non-correlated indices. The even-averages provide a better estimation of mean and median for almost all statistical distributions analyzed. The correlated variability indices, which are proposed in the first paper of this series, are also improved if the even-mean is used. The even-parameters will also be useful for classifying light curves in the last step of this project. We consider that the first step of this project, where we set new techniques and methods that provide a huge improvement on the efficiency of selection of variable stars, is now complete. Many of these techniques may be useful for a large number of fields. Next, we will commence a new step of this project regarding the analysis of period search methods.

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

PubMed

Ennis, Erin J; Foley, Joe P

2016-07-15

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

Isolation and Characterization of Precise Dye/Dendrimer Ratios

PubMed Central

Dougherty, Casey A.; Furgal, Joseph C.; van Dongen, Mallory A.; Goodson, Theodore; Banaszak Holl, Mark M.; Manono, Janet; DiMaggio, Stassi

2014-01-01

Fluorescent dyes are commonly conjugated to nanomaterials for imaging applications using stochastic synthesis conditions that result in a Poisson distribution of dye/particle ratios and therefore a broad range of photophysical and biodistribution properties. We report the isolation and characterization of generation 5 poly(amidoamine) (G5 PAMAM) dendrimer samples containing 1, 2, 3, and 4 fluorescein (FC) or 6-carboxytetramethylrhodamine succinimidyl ester (TAMRA) dyes per polymer particle. For the fluorescein case, this was achieved by stochastically functionalizing dendrimer with a cyclooctyne `click' ligand, separation into sample containing precisely defined `click' ligand/particle ratios using reverse-phase high performance liquid chromatography (rp-HPLC), followed by reaction with excess azide-functionalized fluorescein dye. For the TAMRA samples, stochastically functionalized dendrimer was directly separated into precise dye/particle ratios using rp-HPLC. These materials were characterized using 1H and 19F NMR, rp-HPLC, UV-Vis and fluorescence spectroscopy, lifetime measurements, and MALDI. PMID:24604830

Reactive Monte Carlo sampling with an ab initio potential

NASA Astrophysics Data System (ADS)

Leiding, Jeff; Coe, Joshua D.

2016-05-01

We present the first application of reactive Monte Carlo in a first-principles context. The algorithm samples in a modified NVT ensemble in which the volume, temperature, and total number of atoms of a given type are held fixed, but molecular composition is allowed to evolve through stochastic variation of chemical connectivity. We discuss general features of the method, as well as techniques needed to enhance the efficiency of Boltzmann sampling. Finally, we compare the results of simulation of NH3 to those of ab initio molecular dynamics (AIMD). We find that there are regions of state space for which RxMC sampling is much more efficient than AIMD due to the "rare-event" character of chemical reactions.

Fluctuating hyperfine interactions: an updated computational implementation

NASA Astrophysics Data System (ADS)

Zacate, M. O.; Evenson, W. E.

2015-04-01

The stochastic hyperfine interactions modeling library (SHIML) is a set of routines written in the C programming language designed to assist in the analysis of stochastic models of hyperfine interactions. The routines read a text-file description of the model, set up the Blume matrix, upon which the evolution operator of the quantum mechanical system depends, and calculate the eigenvalues and eigenvectors of the Blume matrix, from which theoretical spectra of experimental techniques can be calculated. The original version of SHIML constructs Blume matrices applicable for methods that measure hyperfine interactions with only a single nuclear spin state. In this paper, we report an extension of the library to provide support for methods such as Mössbauer spectroscopy and nuclear resonant scattering of synchrotron radiation, which are sensitive to interactions with two nuclear spin states. Examples will be presented that illustrate the use of this extension of SHIML to generate Mössbauer spectra for polycrystalline samples under a number of fluctuating hyperfine field models.

Analysis of degree of nonlinearity and stochastic nature of HRV signal during meditation using delay vector variance method.

PubMed

Reddy, L Ram Gopal; Kuntamalla, Srinivas

2011-01-01

Heart rate variability analysis is fast gaining acceptance as a potential non-invasive means of autonomic nervous system assessment in research as well as clinical domains. In this study, a new nonlinear analysis method is used to detect the degree of nonlinearity and stochastic nature of heart rate variability signals during two forms of meditation (Chi and Kundalini). The data obtained from an online and widely used public database (i.e., MIT/BIH physionet database), is used in this study. The method used is the delay vector variance (DVV) method, which is a unified method for detecting the presence of determinism and nonlinearity in a time series and is based upon the examination of local predictability of a signal. From the results it is clear that there is a significant change in the nonlinearity and stochastic nature of the signal before and during the meditation (p value > 0.01). During Chi meditation there is a increase in stochastic nature and decrease in nonlinear nature of the signal. There is a significant decrease in the degree of nonlinearity and stochastic nature during Kundalini meditation.

Characterization and reconstruction of 3D stochastic microstructures via supervised learning.

PubMed

Bostanabad, R; Chen, W; Apley, D W

2016-12-01

The need for computational characterization and reconstruction of volumetric maps of stochastic microstructures for understanding the role of material structure in the processing-structure-property chain has been highlighted in the literature. Recently, a promising characterization and reconstruction approach has been developed where the essential idea is to convert the digitized microstructure image into an appropriate training dataset to learn the stochastic nature of the morphology by fitting a supervised learning model to the dataset. This compact model can subsequently be used to efficiently reconstruct as many statistically equivalent microstructure samples as desired. The goal of this paper is to build upon the developed approach in three major directions by: (1) extending the approach to characterize 3D stochastic microstructures and efficiently reconstruct 3D samples, (2) improving the performance of the approach by incorporating user-defined predictors into the supervised learning model, and (3) addressing potential computational issues by introducing a reduced model which can perform as effectively as the full model. We test the extended approach on three examples and show that the spatial dependencies, as evaluated via various measures, are well preserved in the reconstructed samples. © 2016 The Authors Journal of Microscopy © 2016 Royal Microscopical Society.

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

Approximation and inference methods for stochastic biochemical kinetics—a tutorial review

NASA Astrophysics Data System (ADS)

Schnoerr, David; Sanguinetti, Guido; Grima, Ramon

2017-03-01

Stochastic fluctuations of molecule numbers are ubiquitous in biological systems. Important examples include gene expression and enzymatic processes in living cells. Such systems are typically modelled as chemical reaction networks whose dynamics are governed by the chemical master equation. Despite its simple structure, no analytic solutions to the chemical master equation are known for most systems. Moreover, stochastic simulations are computationally expensive, making systematic analysis and statistical inference a challenging task. Consequently, significant effort has been spent in recent decades on the development of efficient approximation and inference methods. This article gives an introduction to basic modelling concepts as well as an overview of state of the art methods. First, we motivate and introduce deterministic and stochastic methods for modelling chemical networks, and give an overview of simulation and exact solution methods. Next, we discuss several approximation methods, including the chemical Langevin equation, the system size expansion, moment closure approximations, time-scale separation approximations and hybrid methods. We discuss their various properties and review recent advances and remaining challenges for these methods. We present a comparison of several of these methods by means of a numerical case study and highlight some of their respective advantages and disadvantages. Finally, we discuss the problem of inference from experimental data in the Bayesian framework and review recent methods developed the literature. In summary, this review gives a self-contained introduction to modelling, approximations and inference methods for stochastic chemical kinetics.

The relationship between stochastic and deterministic quasi-steady state approximations.

PubMed

Kim, Jae Kyoung; Josić, Krešimir; Bennett, Matthew R

2015-11-23

The quasi steady-state approximation (QSSA) is frequently used to reduce deterministic models of biochemical networks. The resulting equations provide a simplified description of the network in terms of non-elementary reaction functions (e.g. Hill functions). Such deterministic reductions are frequently a basis for heuristic stochastic models in which non-elementary reaction functions are used to define reaction propensities. Despite their popularity, it remains unclear when such stochastic reductions are valid. It is frequently assumed that the stochastic reduction can be trusted whenever its deterministic counterpart is accurate. However, a number of recent examples show that this is not necessarily the case. Here we explain the origin of these discrepancies, and demonstrate a clear relationship between the accuracy of the deterministic and the stochastic QSSA for examples widely used in biological systems. With an analysis of a two-state promoter model, and numerical simulations for a variety of other models, we find that the stochastic QSSA is accurate whenever its deterministic counterpart provides an accurate approximation over a range of initial conditions which cover the likely fluctuations from the quasi steady-state (QSS). We conjecture that this relationship provides a simple and computationally inexpensive way to test the accuracy of reduced stochastic models using deterministic simulations. The stochastic QSSA is one of the most popular multi-scale stochastic simulation methods. While the use of QSSA, and the resulting non-elementary functions has been justified in the deterministic case, it is not clear when their stochastic counterparts are accurate. In this study, we show how the accuracy of the stochastic QSSA can be tested using their deterministic counterparts providing a concrete method to test when non-elementary rate functions can be used in stochastic simulations.

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.

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.

Analytical pricing formulas for hybrid variance swaps with regime-switching

NASA Astrophysics Data System (ADS)

Roslan, Teh Raihana Nazirah; Cao, Jiling; Zhang, Wenjun

2017-11-01

The problem of pricing discretely-sampled variance swaps under stochastic volatility, stochastic interest rate and regime-switching is being considered in this paper. An extension of the Heston stochastic volatility model structure is done by adding the Cox-Ingersoll-Ross (CIR) stochastic interest rate model. In addition, the parameters of the model are permitted to have transitions following a Markov chain process which is continuous and discoverable. This hybrid model can be used to illustrate certain macroeconomic conditions, for example the changing phases of business stages. The outcome of our regime-switching hybrid model is presented in terms of analytical pricing formulas for variance swaps.

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

NASA Technical Reports Server (NTRS)

Kramer, L. C.

1971-01-01

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

Decentralized Network Interdiction Games

DTIC Science & Technology

2015-12-31

approach is termed as the sample average approximation ( SAA ) method, and theories on the asymptotic convergence to the original problem’s optimal...used in the SAA method’s convergence. While we provided detailed proof of such convergence in [P3], a side benefit of the proof is that it weakens the...conditions required when applying the general SAA approach to the block-structured stochastic programming problem 17. As the conditions known in the

New Astrometric Limits on the Stochastic Gravitational Wave Background

NASA Astrophysics Data System (ADS)

Darling, Jeremiah K.; Truebenbach, Alexandra; Paine, Jennie

2018-06-01

We present new limits on the low frequency (f < 10-8 Hz) stochastic gravitational wave background using correlated extragalactic proper motions. The familiar methods for gravitational wave detection are ground- and space-based laser interferometry, pulsar timing, and polarization of the cosmic microwave background. Astrometry offers an additional path to gravitational wave detection because gravitational waves deflect the light rays of extragalactic objects, creating apparent proper motions in a quadrupolar (and higher order modes) pattern. Astrometry is sensitive to gravitational waves with frequencies between roughly 10-18 Hz and 10-8 Hz (between H0 and 1/3 yr-1), which overlaps and bridges the pulsar timing and CMB polarization regimes. We present the methods and results of two complementary approaches to astrometric gravitational wave detection: (1) a small ~500-object radio interferometric sample with low per-source proper motion uncertainty but large intrinsic proper motions caused by radio jets, and (2) a thousand-fold larger sample with large per-source uncertainties that has small intrinsic proper motions (Gaia active galactic nuclei). Both approaches produce limits on ΩGW, the energy density of gravitational waves as a fraction of the cosmological critical energy density.The authors acknowledge support from the NSF grant AST-1411605 and the NASA grant 14-ATP14-0086.

Stochastic surface walking reaction sampling for resolving heterogeneous catalytic reaction network: A revisit to the mechanism of water-gas shift reaction on Cu

NASA Astrophysics Data System (ADS)

Zhang, Xiao-Jie; Shang, Cheng; Liu, Zhi-Pan

2017-10-01

Heterogeneous catalytic reactions on surface and interfaces are renowned for ample intermediate adsorbates and complex reaction networks. The common practice to reveal the reaction mechanism is via theoretical computation, which locates all likely transition states based on the pre-guessed reaction mechanism. Here we develop a new theoretical method, namely, stochastic surface walking (SSW)-Cat method, to resolve the lowest energy reaction pathway of heterogeneous catalytic reactions, which combines our recently developed SSW global structure optimization and SSW reaction sampling. The SSW-Cat is automated and massively parallel, taking a rough reaction pattern as input to guide reaction search. We present the detailed algorithm, discuss the key features, and demonstrate the efficiency in a model catalytic reaction, water-gas shift reaction on Cu(111) (CO + H2O → CO2 + H2). The SSW-Cat simulation shows that water dissociation is the rate-determining step and formic acid (HCOOH) is the kinetically favorable product, instead of the observed final products, CO2 and H2. It implies that CO2 and H2 are secondary products from further decomposition of HCOOH at high temperatures. Being a general purpose tool for reaction prediction, the SSW-Cat may be utilized for rational catalyst design via large-scale computations.

Variance reduction for Fokker–Planck based particle Monte Carlo schemes

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

Gorji, M. Hossein, E-mail: gorjih@ifd.mavt.ethz.ch; Andric, Nemanja; Jenny, Patrick

Recently, Fokker–Planck based particle Monte Carlo schemes have been proposed and evaluated for simulations of rarefied gas flows [1–3]. In this paper, the variance reduction for particle Monte Carlo simulations based on the Fokker–Planck model is considered. First, deviational based schemes were derived and reviewed, and it is shown that these deviational methods are not appropriate for practical Fokker–Planck based rarefied gas flow simulations. This is due to the fact that the deviational schemes considered in this study lead either to instabilities in the case of two-weight methods or to large statistical errors if the direct sampling method is applied.more » Motivated by this conclusion, we developed a novel scheme based on correlated stochastic processes. The main idea here is to synthesize an additional stochastic process with a known solution, which is simultaneously solved together with the main one. By correlating the two processes, the statistical errors can dramatically be reduced; especially for low Mach numbers. To assess the methods, homogeneous relaxation, planar Couette and lid-driven cavity flows were considered. For these test cases, it could be demonstrated that variance reduction based on parallel processes is very robust and effective.« less

Preferential sampling and Bayesian geostatistics: Statistical modeling and examples.

PubMed

Cecconi, Lorenzo; Grisotto, Laura; Catelan, Dolores; Lagazio, Corrado; Berrocal, Veronica; Biggeri, Annibale

2016-08-01

Preferential sampling refers to any situation in which the spatial process and the sampling locations are not stochastically independent. In this paper, we present two examples of geostatistical analysis in which the usual assumption of stochastic independence between the point process and the measurement process is violated. To account for preferential sampling, we specify a flexible and general Bayesian geostatistical model that includes a shared spatial random component. We apply the proposed model to two different case studies that allow us to highlight three different modeling and inferential aspects of geostatistical modeling under preferential sampling: (1) continuous or finite spatial sampling frame; (2) underlying causal model and relevant covariates; and (3) inferential goals related to mean prediction surface or prediction uncertainty. © The Author(s) 2016.

Study on the threshold of a stochastic SIR epidemic model and its extensions

NASA Astrophysics Data System (ADS)

Zhao, Dianli

2016-09-01

This paper provides a simple but effective method for estimating the threshold of a class of the stochastic epidemic models by use of the nonnegative semimartingale convergence theorem. Firstly, the threshold R0SIR is obtained for the stochastic SIR model with a saturated incidence rate, whose value is below 1 or above 1 will completely determine the disease to go extinct or prevail for any size of the white noise. Besides, when R0SIR > 1 , the system is proved to be convergent in time mean. Then, the threshold of the stochastic SIVS models with or without saturated incidence rate are also established by the same method. Comparing with the previously-known literatures, the related results are improved, and the method is simpler than before.

The response analysis of fractional-order stochastic system via generalized cell mapping method.

PubMed

Wang, Liang; Xue, Lili; Sun, Chunyan; Yue, Xiaole; Xu, Wei

2018-01-01

This paper is concerned with the response of a fractional-order stochastic system. The short memory principle is introduced to ensure that the response of the system is a Markov process. The generalized cell mapping method is applied to display the global dynamics of the noise-free system, such as attractors, basins of attraction, basin boundary, saddle, and invariant manifolds. The stochastic generalized cell mapping method is employed to obtain the evolutionary process of probability density functions of the response. The fractional-order ϕ 6 oscillator and the fractional-order smooth and discontinuous oscillator are taken as examples to give the implementations of our strategies. Studies have shown that the evolutionary direction of the probability density function of the fractional-order stochastic system is consistent with the unstable manifold. The effectiveness of the method is confirmed using Monte Carlo results.

Synthetic Sediments and Stochastic Groundwater Hydrology

NASA Astrophysics Data System (ADS)

Wilson, J. L.

2002-12-01

For over twenty years the groundwater community has pursued the somewhat elusive goal of describing the effects of aquifer heterogeneity on subsurface flow and chemical transport. While small perturbation stochastic moment methods have significantly advanced theoretical understanding, why is it that stochastic applications use instead simulations of flow and transport through multiple realizations of synthetic geology? Allan Gutjahr was a principle proponent of the Fast Fourier Transform method for the synthetic generation of aquifer properties and recently explored new, more geologically sound, synthetic methods based on multi-scale Markov random fields. Focusing on sedimentary aquifers, how has the state-of-the-art of synthetic generation changed and what new developments can be expected, for example, to deal with issues like conceptual model uncertainty, the differences between measurement and modeling scales, and subgrid scale variability? What will it take to get stochastic methods, whether based on moments, multiple realizations, or some other approach, into widespread application?

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

Rosales-Zarate, Laura E. C.; Drummond, P. D.

We calculate the quantum Renyi entropy in a phase-space representation for either fermions or bosons. This can also be used to calculate purity and fidelity, or the entanglement between two systems. We show that it is possible to calculate the entropy from sampled phase-space distributions in normally ordered representations, although this is not possible for all quantum states. We give an example of the use of this method in an exactly soluble thermal case. The quantum entropy cannot be calculated at all using sampling methods in classical symmetric (Wigner) or antinormally ordered (Husimi) phase spaces, due to inner-product divergences. Themore » preferred method is to use generalized Gaussian phase-space methods, which utilize a distribution over stochastic Green's functions. We illustrate this approach by calculating the reduced entropy and entanglement of bosonic or fermionic modes coupled to a time-evolving, non-Markovian reservoir.« less

Systematic parameter inference in stochastic mesoscopic modeling

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

Lei, Huan; Yang, Xiu; Li, Zhen

2017-02-01

We propose a method to efficiently determine the optimal coarse-grained force field in mesoscopic stochastic simulations of Newtonian fluid and polymer melt systems modeled by dissipative particle dynamics (DPD) and energy conserving dissipative particle dynamics (eDPD). The response surfaces of various target properties (viscosity, diffusivity, pressure, etc.) with respect to model parameters are constructed based on the generalized polynomial chaos (gPC) expansion using simulation results on sampling points (e.g., individual parameter sets). To alleviate the computational cost to evaluate the target properties, we employ the compressive sensing method to compute the coefficients of the dominant gPC terms given the priormore » knowledge that the coefficients are “sparse”. The proposed method shows comparable accuracy with the standard probabilistic collocation method (PCM) while it imposes a much weaker restriction on the number of the simulation samples especially for systems with high dimensional parametric space. Fully access to the response surfaces within the confidence range enables us to infer the optimal force parameters given the desirable values of target properties at the macroscopic scale. Moreover, it enables us to investigate the intrinsic relationship between the model parameters, identify possible degeneracies in the parameter space, and optimize the model by eliminating model redundancies. The proposed method provides an efficient alternative approach for constructing mesoscopic models by inferring model parameters to recover target properties of the physics systems (e.g., from experimental measurements), where those force field parameters and formulation cannot be derived from the microscopic level in a straight forward way.« less

Stochastic chaos induced by diffusion processes with identical spectral density but different probability density functions.

PubMed

Lei, Youming; Zheng, Fan

2016-12-01

Stochastic chaos induced by diffusion processes, with identical spectral density but different probability density functions (PDFs), is investigated in selected lightly damped Hamiltonian systems. The threshold amplitude of diffusion processes for the onset of chaos is derived by using the stochastic Melnikov method together with a mean-square criterion. Two quasi-Hamiltonian systems, namely, a damped single pendulum and damped Duffing oscillator perturbed by stochastic excitations, are used as illustrative examples. Four different cases of stochastic processes are taking as the driving excitations. It is shown that in such two systems the spectral density of diffusion processes completely determines the threshold amplitude for chaos, regardless of the shape of their PDFs, Gaussian or otherwise. Furthermore, the mean top Lyapunov exponent is employed to verify analytical results. The results obtained by numerical simulations are in accordance with the analytical results. This demonstrates that the stochastic Melnikov method is effective in predicting the onset of chaos in the quasi-Hamiltonian systems.

A stochastic method for stand-alone photovoltaic system sizing

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

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

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

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

PubMed

Giebel, S; Rainer, M

2010-01-01

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

Analysis of a novel stochastic SIRS epidemic model with two different saturated incidence rates

NASA Astrophysics Data System (ADS)

Chang, Zhengbo; Meng, Xinzhu; Lu, Xiao

2017-04-01

This paper presents a stochastic SIRS epidemic model with two different nonlinear incidence rates and double epidemic asymmetrical hypothesis, and we devote to develop a mathematical method to obtain the threshold of the stochastic epidemic model. We firstly investigate the boundness and extinction of the stochastic system. Furthermore, we use Ito's formula, the comparison theorem and some new inequalities techniques of stochastic differential systems to discuss persistence in mean of two diseases on three cases. The results indicate that stochastic fluctuations can suppress the disease outbreak. Finally, numerical simulations about different noise disturbance coefficients are carried out to illustrate the obtained theoretical results.

Stochastic models for inferring genetic regulation from microarray gene expression data.

PubMed

Tian, Tianhai

2010-03-01

Microarray expression profiles are inherently noisy and many different sources of variation exist in microarray experiments. It is still a significant challenge to develop stochastic models to realize noise in microarray expression profiles, which has profound influence on the reverse engineering of genetic regulation. Using the target genes of the tumour suppressor gene p53 as the test problem, we developed stochastic differential equation models and established the relationship between the noise strength of stochastic models and parameters of an error model for describing the distribution of the microarray measurements. Numerical results indicate that the simulated variance from stochastic models with a stochastic degradation process can be represented by a monomial in terms of the hybridization intensity and the order of the monomial depends on the type of stochastic process. The developed stochastic models with multiple stochastic processes generated simulations whose variance is consistent with the prediction of the error model. This work also established a general method to develop stochastic models from experimental information. 2009 Elsevier Ireland Ltd. All rights reserved.

Stochastic Nature in Cellular Processes

NASA Astrophysics Data System (ADS)

Liu, Bo; Liu, Sheng-Jun; Wang, Qi; Yan, Shi-Wei; Geng, Yi-Zhao; Sakata, Fumihiko; Gao, Xing-Fa

2011-11-01

The importance of stochasticity in cellular processes is increasingly recognized in both theoretical and experimental studies. General features of stochasticity in gene regulation and expression are briefly reviewed in this article, which include the main experimental phenomena, classification, quantization and regulation of noises. The correlation and transmission of noise in cascade networks are analyzed further and the stochastic simulation methods that can capture effects of intrinsic and extrinsic noise are described.

Dynamical Epidemic Suppression Using Stochastic Prediction and Control

DTIC Science & Technology

2004-10-28

initial probability density function (PDF), p: D C R2 -- R, is defined by the stochastic Frobenius - Perron For deterministic systems, normal methods of...induced chaos. To analyze the qualitative change, we apply the technique of the stochastic Frobenius - Perron operator [L. Billings et al., Phys. Rev. Lett...transition matrix describing the probability of transport from one region of phase space to another, which approximates the stochastic Frobenius - Perron

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

PubMed

Kadam, Shantanu; Vanka, Kumar

2013-02-15

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

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.

Adaptive Sampling using Support Vector Machines

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

D. Mandelli; C. Smith

2012-11-01

Reliability/safety analysis of stochastic dynamic systems (e.g., nuclear power plants, airplanes, chemical plants) is currently performed through a combination of Event-Tress and Fault-Trees. However, these conventional methods suffer from certain drawbacks: • Timing of events is not explicitly modeled • Ordering of events is preset by the analyst • The modeling of complex accident scenarios is driven by expert-judgment For these reasons, there is currently an increasing interest into the development of dynamic PRA methodologies since they can be used to address the deficiencies of conventional methods listed above.

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

NASA Astrophysics Data System (ADS)

Icardi, Matteo; Boccardo, Gianluca; Tempone, Raúl

2016-09-01

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

Stochastic Inversion of 2D Magnetotelluric Data

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

Chen, Jinsong

2010-07-01

The algorithm is developed to invert 2D magnetotelluric (MT) data based on sharp boundary parametrization using a Bayesian framework. Within the algorithm, we consider the locations and the resistivity of regions formed by the interfaces are as unknowns. We use a parallel, adaptive finite-element algorithm to forward simulate frequency-domain MT responses of 2D conductivity structure. Those unknown parameters are spatially correlated and are described by a geostatistical model. The joint posterior probability distribution function is explored by Markov Chain Monte Carlo (MCMC) sampling methods. The developed stochastic model is effective for estimating the interface locations and resistivity. Most importantly, itmore » provides details uncertainty information on each unknown parameter. Hardware requirements: PC, Supercomputer, Multi-platform, Workstation; Software requirements C and Fortan; Operation Systems/version is Linux/Unix or Windows« less

Solving the master equation without kinetic Monte Carlo: Tensor train approximations for a CO oxidation model

NASA Astrophysics Data System (ADS)

Gelß, Patrick; Matera, Sebastian; Schütte, Christof

2016-06-01

In multiscale modeling of heterogeneous catalytic processes, one crucial point is the solution of a Markovian master equation describing the stochastic reaction kinetics. Usually, this is too high-dimensional to be solved with standard numerical techniques and one has to rely on sampling approaches based on the kinetic Monte Carlo method. In this study we break the curse of dimensionality for the direct solution of the Markovian master equation by exploiting the Tensor Train Format for this purpose. The performance of the approach is demonstrated on a first principles based, reduced model for the CO oxidation on the RuO2(110) surface. We investigate the complexity for increasing system size and for various reaction conditions. The advantage over the stochastic simulation approach is illustrated by a problem with increased stiffness.

Modeling the evolution space of breakage fusion bridge cycles with a stochastic folding process.

PubMed

Greenman, C D; Cooke, S L; Marshall, J; Stratton, M R; Campbell, P J

2016-01-01

Breakage-fusion-bridge cycles in cancer arise when a broken segment of DNA is duplicated and an end from each copy joined together. This structure then 'unfolds' into a new piece of palindromic DNA. This is one mechanism responsible for the localised amplicons observed in cancer genome data. Here we study the evolution space of breakage-fusion-bridge structures in detail. We firstly consider discrete representations of this space with 2-d trees to demonstrate that there are [Formula: see text] qualitatively distinct evolutions involving [Formula: see text] breakage-fusion-bridge cycles. Secondly we consider the stochastic nature of the process to show these evolutions are not equally likely, and also describe how amplicons become localized. Finally we highlight these methods by inferring the evolution of breakage-fusion-bridge cycles with data from primary tissue cancer samples.

On the role of dimensionality and sample size for unstructured and structured covariance matrix estimation

NASA Technical Reports Server (NTRS)

Morgera, S. D.; Cooper, D. B.

1976-01-01

The experimental observation that a surprisingly small sample size vis-a-vis dimension is needed to achieve good signal-to-interference ratio (SIR) performance with an adaptive predetection filter is explained. The adaptive filter requires estimates as obtained by a recursive stochastic algorithm of the inverse of the filter input data covariance matrix. The SIR performance with sample size is compared for the situations where the covariance matrix estimates are of unstructured (generalized) form and of structured (finite Toeplitz) form; the latter case is consistent with weak stationarity of the input data stochastic process.

Hybrid approaches for multiple-species stochastic reaction–diffusion models

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

Spill, Fabian, E-mail: fspill@bu.edu; Department of Mechanical Engineering, Massachusetts Institute of Technology, 77 Massachusetts Avenue, Cambridge, MA 02139; Guerrero, Pilar

2015-10-15

Reaction–diffusion models are used to describe systems in fields as diverse as physics, chemistry, ecology and biology. The fundamental quantities in such models are individual entities such as atoms and molecules, bacteria, cells or animals, which move and/or react in a stochastic manner. If the number of entities is large, accounting for each individual is inefficient, and often partial differential equation (PDE) models are used in which the stochastic behaviour of individuals is replaced by a description of the averaged, or mean behaviour of the system. In some situations the number of individuals is large in certain regions and smallmore » in others. In such cases, a stochastic model may be inefficient in one region, and a PDE model inaccurate in another. To overcome this problem, we develop a scheme which couples a stochastic reaction–diffusion system in one part of the domain with its mean field analogue, i.e. a discretised PDE model, in the other part of the domain. The interface in between the two domains occupies exactly one lattice site and is chosen such that the mean field description is still accurate there. In this way errors due to the flux between the domains are small. Our scheme can account for multiple dynamic interfaces separating multiple stochastic and deterministic domains, and the coupling between the domains conserves the total number of particles. The method preserves stochastic features such as extinction not observable in the mean field description, and is significantly faster to simulate on a computer than the pure stochastic model. - Highlights: • A novel hybrid stochastic/deterministic reaction–diffusion simulation method is given. • Can massively speed up stochastic simulations while preserving stochastic effects. • Can handle multiple reacting species. • Can handle moving boundaries.« less

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.

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

PubMed

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

2018-06-22

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

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

NASA Astrophysics Data System (ADS)

Leube, Philipp; Geiges, Andreas; Nowak, Wolfgang

2010-05-01

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

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

NASA Astrophysics Data System (ADS)

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

2018-06-01

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

Identification of Stochastically Perturbed Autonomous Systems from Temporal Sequences of Probability Density Functions

NASA Astrophysics Data System (ADS)

Nie, Xiaokai; Luo, Jingjing; Coca, Daniel; Birkin, Mark; Chen, Jing

2018-03-01

The paper introduces a method for reconstructing one-dimensional iterated maps that are driven by an external control input and subjected to an additive stochastic perturbation, from sequences of probability density functions that are generated by the stochastic dynamical systems and observed experimentally.

Distributed Adaptive Neural Control for Stochastic Nonlinear Multiagent Systems.

PubMed

Wang, Fang; Chen, Bing; Lin, Chong; Li, Xuehua

2016-11-14

In this paper, a consensus tracking problem of nonlinear multiagent systems is investigated under a directed communication topology. All the followers are modeled by stochastic nonlinear systems in nonstrict feedback form, where nonlinearities and stochastic disturbance terms are totally unknown. Based on the structural characteristic of neural networks (in Lemma 4), a novel distributed adaptive neural control scheme is put forward. The raised control method not only effectively handles unknown nonlinearities in nonstrict feedback systems, but also copes with the interactions among agents and coupling terms. Based on the stochastic Lyapunov functional method, it is indicated that all the signals of the closed-loop system are bounded in probability and all followers' outputs are convergent to a neighborhood of the output of leader. At last, the efficiency of the control method is testified by a numerical example.

Impulsive control of stochastic systems with applications in chaos control, chaos synchronization, and neural networks.

PubMed

Li, Chunguang; Chen, Luonan; Aihara, Kazuyuki

2008-06-01

Real systems are often subject to both noise perturbations and impulsive effects. In this paper, we study the stability and stabilization of systems with both noise perturbations and impulsive effects. In other words, we generalize the impulsive control theory from the deterministic case to the stochastic case. The method is based on extending the comparison method to the stochastic case. The method presented in this paper is general and easy to apply. Theoretical results on both stability in the pth mean and stability with disturbance attenuation are derived. To show the effectiveness of the basic theory, we apply it to the impulsive control and synchronization of chaotic systems with noise perturbations, and to the stability of impulsive stochastic neural networks. Several numerical examples are also presented to verify the theoretical results.

A multistage stochastic programming model for a multi-period strategic expansion of biofuel supply chain under evolving uncertainties

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

Xie, Fei; Huang, Yongxi

Here, we develop a multistage, stochastic mixed-integer model to support biofuel supply chain expansion under evolving uncertainties. By utilizing the block-separable recourse property, we reformulate the multistage program in an equivalent two-stage program and solve it using an enhanced nested decomposition method with maximal non-dominated cuts. We conduct extensive numerical experiments and demonstrate the application of the model and algorithm in a case study based on the South Carolina settings. The value of multistage stochastic programming method is also explored by comparing the model solution with the counterparts of an expected value based deterministic model and a two-stage stochastic model.

A multistage stochastic programming model for a multi-period strategic expansion of biofuel supply chain under evolving uncertainties

DOE PAGES

Xie, Fei; Huang, Yongxi

2018-02-04

Here, we develop a multistage, stochastic mixed-integer model to support biofuel supply chain expansion under evolving uncertainties. By utilizing the block-separable recourse property, we reformulate the multistage program in an equivalent two-stage program and solve it using an enhanced nested decomposition method with maximal non-dominated cuts. We conduct extensive numerical experiments and demonstrate the application of the model and algorithm in a case study based on the South Carolina settings. The value of multistage stochastic programming method is also explored by comparing the model solution with the counterparts of an expected value based deterministic model and a two-stage stochastic model.

The Tool for Designing Engineering Systems Using a New Optimization Method Based on a Stochastic Process

NASA Astrophysics Data System (ADS)

Yoshida, Hiroaki; Yamaguchi, Katsuhito; Ishikawa, Yoshio

The conventional optimization methods were based on a deterministic approach, since their purpose is to find out an exact solution. However, these methods have initial condition dependence and risk of falling into local solution. In this paper, we propose a new optimization method based on a concept of path integral method used in quantum mechanics. The method obtains a solutions as an expected value (stochastic average) using a stochastic process. The advantages of this method are not to be affected by initial conditions and not to need techniques based on experiences. We applied the new optimization method to a design of the hang glider. In this problem, not only the hang glider design but also its flight trajectory were optimized. The numerical calculation results showed that the method has a sufficient performance.

q-Gaussian distributions and multiplicative stochastic processes for analysis of multiple financial time series

NASA Astrophysics Data System (ADS)

Sato, Aki-Hiro

2010-12-01

This study considers q-Gaussian distributions and stochastic differential equations with both multiplicative and additive noises. In the M-dimensional case a q-Gaussian distribution can be theoretically derived as a stationary probability distribution of the multiplicative stochastic differential equation with both mutually independent multiplicative and additive noises. By using the proposed stochastic differential equation a method to evaluate a default probability under a given risk buffer is proposed.

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

NASA Astrophysics Data System (ADS)

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

2017-09-01

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

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.

A stochastic visco-hyperelastic model of human placenta tissue for finite element crash simulations.

PubMed

Hu, Jingwen; Klinich, Kathleen D; Miller, Carl S; Rupp, Jonathan D; Nazmi, Giseli; Pearlman, Mark D; Schneider, Lawrence W

2011-03-01

Placental abruption is the most common cause of fetal deaths in motor-vehicle crashes, but studies on the mechanical properties of human placenta are rare. This study presents a new method of developing a stochastic visco-hyperelastic material model of human placenta tissue using a combination of uniaxial tensile testing, specimen-specific finite element (FE) modeling, and stochastic optimization techniques. In our previous study, uniaxial tensile tests of 21 placenta specimens have been performed using a strain rate of 12/s. In this study, additional uniaxial tensile tests were performed using strain rates of 1/s and 0.1/s on 25 placenta specimens. Response corridors for the three loading rates were developed based on the normalized data achieved by test reconstructions of each specimen using specimen-specific FE models. Material parameters of a visco-hyperelastic model and their associated standard deviations were tuned to match both the means and standard deviations of all three response corridors using a stochastic optimization method. The results show a very good agreement between the tested and simulated response corridors, indicating that stochastic analysis can improve estimation of variability in material model parameters. The proposed method can be applied to develop stochastic material models of other biological soft tissues.

[Gene method for inconsistent hydrological frequency calculation. I: Inheritance, variability and evolution principles of hydrological genes].

PubMed

Xie, Ping; Wu, Zi Yi; Zhao, Jiang Yan; Sang, Yan Fang; Chen, Jie

2018-04-01

A stochastic hydrological process is influenced by both stochastic and deterministic factors. A hydrological time series contains not only pure random components reflecting its inheri-tance characteristics, but also deterministic components reflecting variability characteristics, such as jump, trend, period, and stochastic dependence. As a result, the stochastic hydrological process presents complicated evolution phenomena and rules. To better understand these complicated phenomena and rules, this study described the inheritance and variability characteristics of an inconsistent hydrological series from two aspects: stochastic process simulation and time series analysis. In addition, several frequency analysis approaches for inconsistent time series were compared to reveal the main problems in inconsistency study. Then, we proposed a new concept of hydrological genes origined from biological genes to describe the inconsistent hydrolocal processes. The hydrologi-cal genes were constructed using moments methods, such as general moments, weight function moments, probability weight moments and L-moments. Meanwhile, the five components, including jump, trend, periodic, dependence and pure random components, of a stochastic hydrological process were defined as five hydrological bases. With this method, the inheritance and variability of inconsistent hydrological time series were synthetically considered and the inheritance, variability and evolution principles were fully described. Our study would contribute to reveal the inheritance, variability and evolution principles in probability distribution of hydrological elements.

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

NASA Astrophysics Data System (ADS)

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

2018-01-01

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

Optimal Computing Budget Allocation for Particle Swarm Optimization in Stochastic Optimization.

PubMed

Zhang, Si; Xu, Jie; Lee, Loo Hay; Chew, Ek Peng; Wong, Wai Peng; Chen, Chun-Hung

2017-04-01

Particle Swarm Optimization (PSO) is a popular metaheuristic for deterministic optimization. Originated in the interpretations of the movement of individuals in a bird flock or fish school, PSO introduces the concept of personal best and global best to simulate the pattern of searching for food by flocking and successfully translate the natural phenomena to the optimization of complex functions. Many real-life applications of PSO cope with stochastic problems. To solve a stochastic problem using PSO, a straightforward approach is to equally allocate computational effort among all particles and obtain the same number of samples of fitness values. This is not an efficient use of computational budget and leaves considerable room for improvement. This paper proposes a seamless integration of the concept of optimal computing budget allocation (OCBA) into PSO to improve the computational efficiency of PSO for stochastic optimization problems. We derive an asymptotically optimal allocation rule to intelligently determine the number of samples for all particles such that the PSO algorithm can efficiently select the personal best and global best when there is stochastic estimation noise in fitness values. We also propose an easy-to-implement sequential procedure. Numerical tests show that our new approach can obtain much better results using the same amount of computational effort.

Optimal Computing Budget Allocation for Particle Swarm Optimization in Stochastic Optimization

PubMed Central

Zhang, Si; Xu, Jie; Lee, Loo Hay; Chew, Ek Peng; Chen, Chun-Hung

2017-01-01

Particle Swarm Optimization (PSO) is a popular metaheuristic for deterministic optimization. Originated in the interpretations of the movement of individuals in a bird flock or fish school, PSO introduces the concept of personal best and global best to simulate the pattern of searching for food by flocking and successfully translate the natural phenomena to the optimization of complex functions. Many real-life applications of PSO cope with stochastic problems. To solve a stochastic problem using PSO, a straightforward approach is to equally allocate computational effort among all particles and obtain the same number of samples of fitness values. This is not an efficient use of computational budget and leaves considerable room for improvement. This paper proposes a seamless integration of the concept of optimal computing budget allocation (OCBA) into PSO to improve the computational efficiency of PSO for stochastic optimization problems. We derive an asymptotically optimal allocation rule to intelligently determine the number of samples for all particles such that the PSO algorithm can efficiently select the personal best and global best when there is stochastic estimation noise in fitness values. We also propose an easy-to-implement sequential procedure. Numerical tests show that our new approach can obtain much better results using the same amount of computational effort. PMID:29170617

Stochastic Community Assembly: Does It Matter in Microbial Ecology?

PubMed

Zhou, Jizhong; Ning, Daliang

2017-12-01

Understanding the mechanisms controlling community diversity, functions, succession, and biogeography is a central, but poorly understood, topic in ecology, particularly in microbial ecology. Although stochastic processes are believed to play nonnegligible roles in shaping community structure, their importance relative to deterministic processes is hotly debated. The importance of ecological stochasticity in shaping microbial community structure is far less appreciated. Some of the main reasons for such heavy debates are the difficulty in defining stochasticity and the diverse methods used for delineating stochasticity. Here, we provide a critical review and synthesis of data from the most recent studies on stochastic community assembly in microbial ecology. We then describe both stochastic and deterministic components embedded in various ecological processes, including selection, dispersal, diversification, and drift. We also describe different approaches for inferring stochasticity from observational diversity patterns and highlight experimental approaches for delineating ecological stochasticity in microbial communities. In addition, we highlight research challenges, gaps, and future directions for microbial community assembly research. Copyright © 2017 American Society for Microbiology.

A New Methodology for Open Pit Slope Design in Karst-Prone Ground Conditions Based on Integrated Stochastic-Limit Equilibrium Analysis

NASA Astrophysics Data System (ADS)

Zhang, Ke; Cao, Ping; Ma, Guowei; Fan, Wenchen; Meng, Jingjing; Li, Kaihui

2016-07-01

Using the Chengmenshan Copper Mine as a case study, a new methodology for open pit slope design in karst-prone ground conditions is presented based on integrated stochastic-limit equilibrium analysis. The numerical modeling and optimization design procedure contain a collection of drill core data, karst cave stochastic model generation, SLIDE simulation and bisection method optimization. Borehole investigations are performed, and the statistical result shows that the length of the karst cave fits a negative exponential distribution model, but the length of carbonatite does not exactly follow any standard distribution. The inverse transform method and acceptance-rejection method are used to reproduce the length of the karst cave and carbonatite, respectively. A code for karst cave stochastic model generation, named KCSMG, is developed. The stability of the rock slope with the karst cave stochastic model is analyzed by combining the KCSMG code and the SLIDE program. This approach is then applied to study the effect of the karst cave on the stability of the open pit slope, and a procedure to optimize the open pit slope angle is presented.

Gene regulatory networks: a coarse-grained, equation-free approach to multiscale computation.

PubMed

Erban, Radek; Kevrekidis, Ioannis G; Adalsteinsson, David; Elston, Timothy C

2006-02-28

We present computer-assisted methods for analyzing stochastic models of gene regulatory networks. The main idea that underlies this equation-free analysis is the design and execution of appropriately initialized short bursts of stochastic simulations; the results of these are processed to estimate coarse-grained quantities of interest, such as mesoscopic transport coefficients. In particular, using a simple model of a genetic toggle switch, we illustrate the computation of an effective free energy Phi and of a state-dependent effective diffusion coefficient D that characterize an unavailable effective Fokker-Planck equation. Additionally we illustrate the linking of equation-free techniques with continuation methods for performing a form of stochastic "bifurcation analysis"; estimation of mean switching times in the case of a bistable switch is also implemented in this equation-free context. The accuracy of our methods is tested by direct comparison with long-time stochastic simulations. This type of equation-free analysis appears to be a promising approach to computing features of the long-time, coarse-grained behavior of certain classes of complex stochastic models of gene regulatory networks, circumventing the need for long Monte Carlo simulations.

Intrinsic noise analyzer: a software package for the exploration of stochastic biochemical kinetics using the system size expansion.

PubMed

Thomas, Philipp; Matuschek, Hannes; Grima, Ramon

2012-01-01

The accepted stochastic descriptions of biochemical dynamics under well-mixed conditions are given by the Chemical Master Equation and the Stochastic Simulation Algorithm, which are equivalent. The latter is a Monte-Carlo method, which, despite enjoying broad availability in a large number of existing software packages, is computationally expensive due to the huge amounts of ensemble averaging required for obtaining accurate statistical information. The former is a set of coupled differential-difference equations for the probability of the system being in any one of the possible mesoscopic states; these equations are typically computationally intractable because of the inherently large state space. Here we introduce the software package intrinsic Noise Analyzer (iNA), which allows for systematic analysis of stochastic biochemical kinetics by means of van Kampen's system size expansion of the Chemical Master Equation. iNA is platform independent and supports the popular SBML format natively. The present implementation is the first to adopt a complementary approach that combines state-of-the-art analysis tools using the computer algebra system Ginac with traditional methods of stochastic simulation. iNA integrates two approximation methods based on the system size expansion, the Linear Noise Approximation and effective mesoscopic rate equations, which to-date have not been available to non-expert users, into an easy-to-use graphical user interface. In particular, the present methods allow for quick approximate analysis of time-dependent mean concentrations, variances, covariances and correlations coefficients, which typically outperforms stochastic simulations. These analytical tools are complemented by automated multi-core stochastic simulations with direct statistical evaluation and visualization. We showcase iNA's performance by using it to explore the stochastic properties of cooperative and non-cooperative enzyme kinetics and a gene network associated with circadian rhythms. The software iNA is freely available as executable binaries for Linux, MacOSX and Microsoft Windows, as well as the full source code under an open source license.

Intrinsic Noise Analyzer: A Software Package for the Exploration of Stochastic Biochemical Kinetics Using the System Size Expansion

PubMed Central

Grima, Ramon

2012-01-01

The accepted stochastic descriptions of biochemical dynamics under well-mixed conditions are given by the Chemical Master Equation and the Stochastic Simulation Algorithm, which are equivalent. The latter is a Monte-Carlo method, which, despite enjoying broad availability in a large number of existing software packages, is computationally expensive due to the huge amounts of ensemble averaging required for obtaining accurate statistical information. The former is a set of coupled differential-difference equations for the probability of the system being in any one of the possible mesoscopic states; these equations are typically computationally intractable because of the inherently large state space. Here we introduce the software package intrinsic Noise Analyzer (iNA), which allows for systematic analysis of stochastic biochemical kinetics by means of van Kampen’s system size expansion of the Chemical Master Equation. iNA is platform independent and supports the popular SBML format natively. The present implementation is the first to adopt a complementary approach that combines state-of-the-art analysis tools using the computer algebra system Ginac with traditional methods of stochastic simulation. iNA integrates two approximation methods based on the system size expansion, the Linear Noise Approximation and effective mesoscopic rate equations, which to-date have not been available to non-expert users, into an easy-to-use graphical user interface. In particular, the present methods allow for quick approximate analysis of time-dependent mean concentrations, variances, covariances and correlations coefficients, which typically outperforms stochastic simulations. These analytical tools are complemented by automated multi-core stochastic simulations with direct statistical evaluation and visualization. We showcase iNA’s performance by using it to explore the stochastic properties of cooperative and non-cooperative enzyme kinetics and a gene network associated with circadian rhythms. The software iNA is freely available as executable binaries for Linux, MacOSX and Microsoft Windows, as well as the full source code under an open source license. PMID:22723865

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

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

USGS Publications Warehouse

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

2003-01-01

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

Modeling and Properties of Nonlinear Stochastic Dynamical System of Continuous Culture

NASA Astrophysics Data System (ADS)

Wang, Lei; Feng, Enmin; Ye, Jianxiong; Xiu, Zhilong

The stochastic counterpart to the deterministic description of continuous fermentation with ordinary differential equation is investigated in the process of glycerol bio-dissimilation to 1,3-propanediol by Klebsiella pneumoniae. We briefly discuss the continuous fermentation process driven by three-dimensional Brownian motion and Lipschitz coefficients, which is suitable for the factual fermentation. Subsequently, we study the existence and uniqueness of solutions for the stochastic system as well as the boundedness of the Two-order Moment and the Markov property of the solution. Finally stochastic simulation is carried out under the Stochastic Euler-Maruyama method.

Sampled-data H∞ filtering for Markovian jump singularly perturbed systems with time-varying delay and missing measurements

NASA Astrophysics Data System (ADS)

Yan, Yifang; Yang, Chunyu; Ma, Xiaoping; Zhou, Linna

2018-02-01

In this paper, sampled-data H∞ filtering problem is considered for Markovian jump singularly perturbed systems with time-varying delay and missing measurements. The sampled-data system is represented by a time-delay system, and the missing measurement phenomenon is described by an independent Bernoulli random process. By constructing an ɛ-dependent stochastic Lyapunov-Krasovskii functional, delay-dependent sufficient conditions are derived such that the filter error system satisfies the prescribed H∞ performance for all possible missing measurements. Then, an H∞ filter design method is proposed in terms of linear matrix inequalities. Finally, numerical examples are given to illustrate the feasibility and advantages of the obtained results.

Stochastic nonlinear mixed effects: a metformin case study.

PubMed

Matzuka, Brett; Chittenden, Jason; Monteleone, Jonathan; Tran, Hien

2016-02-01

In nonlinear mixed effect (NLME) modeling, the intra-individual variability is a collection of errors due to assay sensitivity, dosing, sampling, as well as model misspecification. Utilizing stochastic differential equations (SDE) within the NLME framework allows the decoupling of the measurement errors from the model misspecification. This leads the SDE approach to be a novel tool for model refinement. Using Metformin clinical pharmacokinetic (PK) data, the process of model development through the use of SDEs in population PK modeling was done to study the dynamics of absorption rate. A base model was constructed and then refined by using the system noise terms of the SDEs to track model parameters and model misspecification. This provides the unique advantage of making no underlying assumptions about the structural model for the absorption process while quantifying insufficiencies in the current model. This article focuses on implementing the extended Kalman filter and unscented Kalman filter in an NLME framework for parameter estimation and model development, comparing the methodologies, and illustrating their challenges and utility. The Kalman filter algorithms were successfully implemented in NLME models using MATLAB with run time differences between the ODE and SDE methods comparable to the differences found by Kakhi for their stochastic deconvolution.

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.

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

NASA Astrophysics Data System (ADS)

Ganapathysubramanian, Baskar; Zabaras, Nicholas

2008-06-01

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

Backward-stochastic-differential-equation approach to modeling of gene expression

NASA Astrophysics Data System (ADS)

Shamarova, Evelina; Chertovskih, Roman; Ramos, Alexandre F.; Aguiar, Paulo

2017-03-01

In this article, we introduce a backward method to model stochastic gene expression and protein-level dynamics. The protein amount is regarded as a diffusion process and is described by a backward stochastic differential equation (BSDE). Unlike many other SDE techniques proposed in the literature, the BSDE method is backward in time; that is, instead of initial conditions it requires the specification of end-point ("final") conditions, in addition to the model parametrization. To validate our approach we employ Gillespie's stochastic simulation algorithm (SSA) to generate (forward) benchmark data, according to predefined gene network models. Numerical simulations show that the BSDE method is able to correctly infer the protein-level distributions that preceded a known final condition, obtained originally from the forward SSA. This makes the BSDE method a powerful systems biology tool for time-reversed simulations, allowing, for example, the assessment of the biological conditions (e.g., protein concentrations) that preceded an experimentally measured event of interest (e.g., mitosis, apoptosis, etc.).

Backward-stochastic-differential-equation approach to modeling of gene expression.

PubMed

Shamarova, Evelina; Chertovskih, Roman; Ramos, Alexandre F; Aguiar, Paulo

2017-03-01

In this article, we introduce a backward method to model stochastic gene expression and protein-level dynamics. The protein amount is regarded as a diffusion process and is described by a backward stochastic differential equation (BSDE). Unlike many other SDE techniques proposed in the literature, the BSDE method is backward in time; that is, instead of initial conditions it requires the specification of end-point ("final") conditions, in addition to the model parametrization. To validate our approach we employ Gillespie's stochastic simulation algorithm (SSA) to generate (forward) benchmark data, according to predefined gene network models. Numerical simulations show that the BSDE method is able to correctly infer the protein-level distributions that preceded a known final condition, obtained originally from the forward SSA. This makes the BSDE method a powerful systems biology tool for time-reversed simulations, allowing, for example, the assessment of the biological conditions (e.g., protein concentrations) that preceded an experimentally measured event of interest (e.g., mitosis, apoptosis, etc.).

Stochastic simulations on a model of circadian rhythm generation.

PubMed

Miura, Shigehiro; Shimokawa, Tetsuya; Nomura, Taishin

2008-01-01

Biological phenomena are often modeled by differential equations, where states of a model system are described by continuous real values. When we consider concentrations of molecules as dynamical variables for a set of biochemical reactions, we implicitly assume that numbers of the molecules are large enough so that their changes can be regarded as continuous and they are described deterministically. However, for a system with small numbers of molecules, changes in their numbers are apparently discrete and molecular noises become significant. In such cases, models with deterministic differential equations may be inappropriate, and the reactions must be described by stochastic equations. In this study, we focus a clock gene expression for a circadian rhythm generation, which is known as a system involving small numbers of molecules. Thus it is appropriate for the system to be modeled by stochastic equations and analyzed by methodologies of stochastic simulations. The interlocked feedback model proposed by Ueda et al. as a set of deterministic ordinary differential equations provides a basis of our analyses. We apply two stochastic simulation methods, namely Gillespie's direct method and the stochastic differential equation method also by Gillespie, to the interlocked feedback model. To this end, we first reformulated the original differential equations back to elementary chemical reactions. With those reactions, we simulate and analyze the dynamics of the model using two methods in order to compare them with the dynamics obtained from the original deterministic model and to characterize dynamics how they depend on the simulation methodologies.

Monte Carlo simulation of induction time and metastable zone width; stochastic or deterministic?

NASA Astrophysics Data System (ADS)

Kubota, Noriaki

2018-03-01

The induction time and metastable zone width (MSZW) measured for small samples (say 1 mL or less) both scatter widely. Thus, these two are observed as stochastic quantities. Whereas, for large samples (say 1000 mL or more), the induction time and MSZW are observed as deterministic quantities. The reason for such experimental differences is investigated with Monte Carlo simulation. In the simulation, the time (under isothermal condition) and supercooling (under polythermal condition) at which a first single crystal is detected are defined as the induction time t and the MSZW ΔT for small samples, respectively. The number of crystals just at the moment of t and ΔT is unity. A first crystal emerges at random due to the intrinsic nature of nucleation, accordingly t and ΔT become stochastic. For large samples, the time and supercooling at which the number density of crystals N/V reaches a detector sensitivity (N/V)det are defined as t and ΔT for isothermal and polythermal conditions, respectively. The points of t and ΔT are those of which a large number of crystals have accumulated. Consequently, t and ΔT become deterministic according to the law of large numbers. Whether t and ΔT may stochastic or deterministic in actual experiments should not be attributed to change in nucleation mechanisms in molecular level. It could be just a problem caused by differences in the experimental definition of t and ΔT.

The phenotypic equilibrium of cancer cells: From average-level stability to path-wise convergence.

PubMed

Niu, Yuanling; Wang, Yue; Zhou, Da

2015-12-07

The phenotypic equilibrium, i.e. heterogeneous population of cancer cells tending to a fixed equilibrium of phenotypic proportions, has received much attention in cancer biology very recently. In the previous literature, some theoretical models were used to predict the experimental phenomena of the phenotypic equilibrium, which were often explained by different concepts of stabilities of the models. Here we present a stochastic multi-phenotype branching model by integrating conventional cellular hierarchy with phenotypic plasticity mechanisms of cancer cells. Based on our model, it is shown that: (i) our model can serve as a framework to unify the previous models for the phenotypic equilibrium, and then harmonizes the different kinds of average-level stabilities proposed in these models; and (ii) path-wise convergence of our model provides a deeper understanding to the phenotypic equilibrium from stochastic point of view. That is, the emergence of the phenotypic equilibrium is rooted in the stochastic nature of (almost) every sample path, the average-level stability just follows from it by averaging stochastic samples. Copyright © 2015 Elsevier Ltd. All rights reserved.

Stochastic response and bifurcation of periodically driven nonlinear oscillators by the generalized cell mapping method

NASA Astrophysics Data System (ADS)

Han, Qun; Xu, Wei; Sun, Jian-Qiao

2016-09-01

The stochastic response of nonlinear oscillators under periodic and Gaussian white noise excitations is studied with the generalized cell mapping based on short-time Gaussian approximation (GCM/STGA) method. The solutions of the transition probability density functions over a small fraction of the period are constructed by the STGA scheme in order to construct the GCM over one complete period. Both the transient and steady-state probability density functions (PDFs) of a smooth and discontinuous (SD) oscillator are computed to illustrate the application of the method. The accuracy of the results is verified by direct Monte Carlo simulations. The transient responses show the evolution of the PDFs from being Gaussian to non-Gaussian. The effect of a chaotic saddle on the stochastic response is also studied. The stochastic P-bifurcation in terms of the steady-state PDFs occurs with the decrease of the smoothness parameter, which corresponds to the deterministic pitchfork bifurcation.

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.

Point-source stochastic-method simulations of ground motions for the PEER NGA-East Project

USGS Publications Warehouse

Boore, David

2015-01-01

Ground-motions for the PEER NGA-East project were simulated using a point-source stochastic method. The simulated motions are provided for distances between of 0 and 1200 km, M from 4 to 8, and 25 ground-motion intensity measures: peak ground velocity (PGV), peak ground acceleration (PGA), and 5%-damped pseudoabsolute response spectral acceleration (PSA) for 23 periods ranging from 0.01 s to 10.0 s. Tables of motions are provided for each of six attenuation models. The attenuation-model-dependent stress parameters used in the stochastic-method simulations were derived from inversion of PSA data from eight earthquakes in eastern North America.

Stochastic resonance investigation of object detection in images

NASA Astrophysics Data System (ADS)

Repperger, Daniel W.; Pinkus, Alan R.; Skipper, Julie A.; Schrider, Christina D.

2007-02-01

Object detection in images was conducted using a nonlinear means of improving signal to noise ratio termed "stochastic resonance" (SR). In a recent United States patent application, it was shown that arbitrarily large signal to noise ratio gains could be realized when a signal detection problem is cast within the context of a SR filter. Signal-to-noise ratio measures were investigated. For a binary object recognition task (friendly versus hostile), the method was implemented by perturbing the recognition algorithm and subsequently thresholding via a computer simulation. To fairly test the efficacy of the proposed algorithm, a unique database of images has been constructed by modifying two sample library objects by adjusting their brightness, contrast and relative size via commercial software to gradually compromise their saliency to identification. The key to the use of the SR method is to produce a small perturbation in the identification algorithm and then to threshold the results, thus improving the overall system's ability to discern objects. A background discussion of the SR method is presented. A standard test is proposed in which object identification algorithms could be fairly compared against each other with respect to their relative performance.

Optimal regulation in systems with stochastic time sampling

NASA Technical Reports Server (NTRS)

Montgomery, R. C.; Lee, P. S.

1980-01-01

An optimal control theory that accounts for stochastic variable time sampling in a distributed microprocessor based flight control system is presented. The theory is developed by using a linear process model for the airplane dynamics and the information distribution process is modeled as a variable time increment process where, at the time that information is supplied to the control effectors, the control effectors know the time of the next information update only in a stochastic sense. An optimal control problem is formulated and solved for the control law that minimizes the expected value of a quadratic cost function. The optimal cost obtained with a variable time increment Markov information update process where the control effectors know only the past information update intervals and the Markov transition mechanism is almost identical to that obtained with a known and uniform information update interval.

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 stability of stochastic complex networks with multi-weights based on graph theory

NASA Astrophysics Data System (ADS)

Zhang, Chunmei; Chen, Tianrui

2018-04-01

In this paper, a novel approach to exponential stability of stochastic complex networks with multi-weights is investigated by means of the graph-theoretical method. New sufficient conditions are provided to ascertain the moment exponential stability and almost surely exponential stability of stochastic complex networks with multiple weights. It is noted that our stability results are closely related with multi-weights and the intensity of stochastic disturbance. Numerical simulations are also presented to substantiate the theoretical results.

Gompertzian stochastic model with delay effect to cervical cancer growth

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

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

2015-02-03

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

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

NASA Astrophysics Data System (ADS)

Próchniewicz, Dominik; Szpunar, Ryszard

2015-04-01

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

Material discovery by combining stochastic surface walking global optimization with a neural network.

PubMed

Huang, Si-Da; Shang, Cheng; Zhang, Xiao-Jie; Liu, Zhi-Pan

2017-09-01

While the underlying potential energy surface (PES) determines the structure and other properties of a material, it has been frustrating to predict new materials from theory even with the advent of supercomputing facilities. The accuracy of the PES and the efficiency of PES sampling are two major bottlenecks, not least because of the great complexity of the material PES. This work introduces a "Global-to-Global" approach for material discovery by combining for the first time a global optimization method with neural network (NN) techniques. The novel global optimization method, named the stochastic surface walking (SSW) method, is carried out massively in parallel for generating a global training data set, the fitting of which by the atom-centered NN produces a multi-dimensional global PES; the subsequent SSW exploration of large systems with the analytical NN PES can provide key information on the thermodynamics and kinetics stability of unknown phases identified from global PESs. We describe in detail the current implementation of the SSW-NN method with particular focuses on the size of the global data set and the simultaneous energy/force/stress NN training procedure. An important functional material, TiO 2 , is utilized as an example to demonstrate the automated global data set generation, the improved NN training procedure and the application in material discovery. Two new TiO 2 porous crystal structures are identified, which have similar thermodynamics stability to the common TiO 2 rutile phase and the kinetics stability for one of them is further proved from SSW pathway sampling. As a general tool for material simulation, the SSW-NN method provides an efficient and predictive platform for large-scale computational material screening.

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).

Reconstruction of stochastic temporal networks through diffusive arrival times

NASA Astrophysics Data System (ADS)

Li, Xun; Li, Xiang

2017-06-01

Temporal networks have opened a new dimension in defining and quantification of complex interacting systems. Our ability to identify and reproduce time-resolved interaction patterns is, however, limited by the restricted access to empirical individual-level data. Here we propose an inverse modelling method based on first-arrival observations of the diffusion process taking place on temporal networks. We describe an efficient coordinate-ascent implementation for inferring stochastic temporal networks that builds in particular but not exclusively on the null model assumption of mutually independent interaction sequences at the dyadic level. The results of benchmark tests applied on both synthesized and empirical network data sets confirm the validity of our algorithm, showing the feasibility of statistically accurate inference of temporal networks only from moderate-sized samples of diffusion cascades. Our approach provides an effective and flexible scheme for the temporally augmented inverse problems of network reconstruction and has potential in a broad variety of applications.

Solving the master equation without kinetic Monte Carlo: Tensor train approximations for a CO oxidation model

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

Gelß, Patrick, E-mail: p.gelss@fu-berlin.de; Matera, Sebastian, E-mail: matera@math.fu-berlin.de; Schütte, Christof, E-mail: schuette@mi.fu-berlin.de

2016-06-01

In multiscale modeling of heterogeneous catalytic processes, one crucial point is the solution of a Markovian master equation describing the stochastic reaction kinetics. Usually, this is too high-dimensional to be solved with standard numerical techniques and one has to rely on sampling approaches based on the kinetic Monte Carlo method. In this study we break the curse of dimensionality for the direct solution of the Markovian master equation by exploiting the Tensor Train Format for this purpose. The performance of the approach is demonstrated on a first principles based, reduced model for the CO oxidation on the RuO{sub 2}(110) surface.more » We investigate the complexity for increasing system size and for various reaction conditions. The advantage over the stochastic simulation approach is illustrated by a problem with increased stiffness.« less

Stochastic DG Placement for Conservation Voltage Reduction Based on Multiple Replications Procedure

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

Wang, Zhaoyu; Chen, Bokan; Wang, Jianhui

2015-06-01

Conservation voltage reduction (CVR) and distributed-generation (DG) integration are popular strategies implemented by utilities to improve energy efficiency. This paper investigates the interactions between CVR and DG placement to minimize load consumption in distribution networks, while keeping the lowest voltage level within the predefined range. The optimal placement of DG units is formulated as a stochastic optimization problem considering the uncertainty of DG outputs and load consumptions. A sample average approximation algorithm-based technique is developed to solve the formulated problem effectively. A multiple replications procedure is developed to test the stability of the solution and calculate the confidence interval ofmore » the gap between the candidate solution and optimal solution. The proposed method has been applied to the IEEE 37-bus distribution test system with different scenarios. The numerical results indicate that the implementations of CVR and DG, if combined, can achieve significant energy savings.« less

Reconstruction of stochastic temporal networks through diffusive arrival times

PubMed Central

Li, Xun; Li, Xiang

2017-01-01

Temporal networks have opened a new dimension in defining and quantification of complex interacting systems. Our ability to identify and reproduce time-resolved interaction patterns is, however, limited by the restricted access to empirical individual-level data. Here we propose an inverse modelling method based on first-arrival observations of the diffusion process taking place on temporal networks. We describe an efficient coordinate-ascent implementation for inferring stochastic temporal networks that builds in particular but not exclusively on the null model assumption of mutually independent interaction sequences at the dyadic level. The results of benchmark tests applied on both synthesized and empirical network data sets confirm the validity of our algorithm, showing the feasibility of statistically accurate inference of temporal networks only from moderate-sized samples of diffusion cascades. Our approach provides an effective and flexible scheme for the temporally augmented inverse problems of network reconstruction and has potential in a broad variety of applications. PMID:28604687

Multiscale study for stochastic characterization of shale samples

NASA Astrophysics Data System (ADS)

Tahmasebi, Pejman; Javadpour, Farzam; Sahimi, Muhammad; Piri, Mohammad

2016-03-01

Characterization of shale reservoirs, which are typically of low permeability, is very difficult because of the presence of multiscale structures. While three-dimensional (3D) imaging can be an ultimate solution for revealing important complexities of such reservoirs, acquiring such images is costly and time consuming. On the other hand, high-quality 2D images, which are widely available, also reveal useful information about shales' pore connectivity and size. Most of the current modeling methods that are based on 2D images use limited and insufficient extracted information. One remedy to the shortcoming is direct use of qualitative images, a concept that we introduce in this paper. We demonstrate that higher-order statistics (as opposed to the traditional two-point statistics, such as variograms) are necessary for developing an accurate model of shales, and describe an efficient method for using 2D images that is capable of utilizing qualitative and physical information within an image and generating stochastic realizations of shales. We then further refine the model by describing and utilizing several techniques, including an iterative framework, for removing some possible artifacts and better pattern reproduction. Next, we introduce a new histogram-matching algorithm that accounts for concealed nanostructures in shale samples. We also present two new multiresolution and multiscale approaches for dealing with distinct pore structures that are common in shale reservoirs. In the multiresolution method, the original high-quality image is upscaled in a pyramid-like manner in order to achieve more accurate global and long-range structures. The multiscale approach integrates two images, each containing diverse pore networks - the nano- and microscale pores - using a high-resolution image representing small-scale pores and, at the same time, reconstructing large pores using a low-quality image. Eventually, the results are integrated to generate a 3D model. The methods are tested on two shale samples for which full 3D samples are available. The quantitative accuracy of the models is demonstrated by computing their morphological and flow properties and comparing them with those of the actual 3D images. The success of the method hinges upon the use of very different low- and high-resolution images.

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

PubMed

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

2015-05-01

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

Markov stochasticity coordinates

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

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

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

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.

Reflected stochastic differential equation models for constrained animal movement

USGS Publications Warehouse

Hanks, Ephraim M.; Johnson, Devin S.; Hooten, Mevin B.

2017-01-01

Movement for many animal species is constrained in space by barriers such as rivers, shorelines, or impassable cliffs. We develop an approach for modeling animal movement constrained in space by considering a class of constrained stochastic processes, reflected stochastic differential equations. Our approach generalizes existing methods for modeling unconstrained animal movement. We present methods for simulation and inference based on augmenting the constrained movement path with a latent unconstrained path and illustrate this augmentation with a simulation example and an analysis of telemetry data from a Steller sea lion (Eumatopias jubatus) in southeast Alaska.

Advanced Stochastic Collocation Methods for Polynomial Chaos in RAVEN

NASA Astrophysics Data System (ADS)

Talbot, Paul W.

As experiment complexity in fields such as nuclear engineering continually increases, so does the demand for robust computational methods to simulate them. In many simulations, input design parameters and intrinsic experiment properties are sources of uncertainty. Often small perturbations in uncertain parameters have significant impact on the experiment outcome. For instance, in nuclear fuel performance, small changes in fuel thermal conductivity can greatly affect maximum stress on the surrounding cladding. The difficulty quantifying input uncertainty impact in such systems has grown with the complexity of numerical models. Traditionally, uncertainty quantification has been approached using random sampling methods like Monte Carlo. For some models, the input parametric space and corresponding response output space is sufficiently explored with few low-cost calculations. For other models, it is computationally costly to obtain good understanding of the output space. To combat the expense of random sampling, this research explores the possibilities of using advanced methods in Stochastic Collocation for generalized Polynomial Chaos (SCgPC) as an alternative to traditional uncertainty quantification techniques such as Monte Carlo (MC) and Latin Hypercube Sampling (LHS) methods for applications in nuclear engineering. We consider traditional SCgPC construction strategies as well as truncated polynomial spaces using Total Degree and Hyperbolic Cross constructions. We also consider applying anisotropy (unequal treatment of different dimensions) to the polynomial space, and offer methods whereby optimal levels of anisotropy can be approximated. We contribute development to existing adaptive polynomial construction strategies. Finally, we consider High-Dimensional Model Reduction (HDMR) expansions, using SCgPC representations for the subspace terms, and contribute new adaptive methods to construct them. We apply these methods on a series of models of increasing complexity. We use analytic models of various levels of complexity, then demonstrate performance on two engineering-scale problems: a single-physics nuclear reactor neutronics problem, and a multiphysics fuel cell problem coupling fuels performance and neutronics. Lastly, we demonstrate sensitivity analysis for a time-dependent fuels performance problem. We demonstrate the application of all the algorithms in RAVEN, a production-level uncertainty quantification framework.

A new stochastic model considering satellite clock interpolation errors in precise point positioning

NASA Astrophysics Data System (ADS)

Wang, Shengli; Yang, Fanlin; Gao, Wang; Yan, Lizi; Ge, Yulong

2018-03-01

Precise clock products are typically interpolated based on the sampling interval of the observational data when they are used for in precise point positioning. However, due to the occurrence of white noise in atomic clocks, a residual component of such noise will inevitable reside within the observations when clock errors are interpolated, and such noise will affect the resolution of the positioning results. In this paper, which is based on a twenty-one-week analysis of the atomic clock noise characteristics of numerous satellites, a new stochastic observation model that considers satellite clock interpolation errors is proposed. First, the systematic error of each satellite in the IGR clock product was extracted using a wavelet de-noising method to obtain the empirical characteristics of atomic clock noise within each clock product. Then, based on those empirical characteristics, a stochastic observation model was structured that considered the satellite clock interpolation errors. Subsequently, the IGR and IGS clock products at different time intervals were used for experimental validation. A verification using 179 stations worldwide from the IGS showed that, compared with the conventional model, the convergence times using the stochastic model proposed in this study were respectively shortened by 4.8% and 4.0% when the IGR and IGS 300-s-interval clock products were used and by 19.1% and 19.4% when the 900-s-interval clock products were used. Furthermore, the disturbances during the initial phase of the calculation were also effectively improved.

An offline approach for output-only Bayesian identification of stochastic nonlinear systems using unscented Kalman filtering

NASA Astrophysics Data System (ADS)

Erazo, Kalil; Nagarajaiah, Satish

2017-06-01

In this paper an offline approach for output-only Bayesian identification of stochastic nonlinear systems is presented. The approach is based on a re-parameterization of the joint posterior distribution of the parameters that define a postulated state-space stochastic model class. In the re-parameterization the state predictive distribution is included, marginalized, and estimated recursively in a state estimation step using an unscented Kalman filter, bypassing state augmentation as required by existing online methods. In applications expectations of functions of the parameters are of interest, which requires the evaluation of potentially high-dimensional integrals; Markov chain Monte Carlo is adopted to sample the posterior distribution and estimate the expectations. The proposed approach is suitable for nonlinear systems subjected to non-stationary inputs whose realization is unknown, and that are modeled as stochastic processes. Numerical verification and experimental validation examples illustrate the effectiveness and advantages of the approach, including: (i) an increased numerical stability with respect to augmented-state unscented Kalman filtering, avoiding divergence of the estimates when the forcing input is unmeasured; (ii) the ability to handle arbitrary prior and posterior distributions. The experimental validation of the approach is conducted using data from a large-scale structure tested on a shake table. It is shown that the approach is robust to inherent modeling errors in the description of the system and forcing input, providing accurate prediction of the dynamic response when the excitation history is unknown.

Structural damage detection based on stochastic subspace identification and statistical pattern recognition: II. Experimental validation under varying temperature

NASA Astrophysics Data System (ADS)

Lin, Y. Q.; Ren, W. X.; Fang, S. E.

2011-11-01

Although most vibration-based damage detection methods can acquire satisfactory verification on analytical or numerical structures, most of them may encounter problems when applied to real-world structures under varying environments. The damage detection methods that directly extract damage features from the periodically sampled dynamic time history response measurements are desirable but relevant research and field application verification are still lacking. In this second part of a two-part paper, the robustness and performance of the statistics-based damage index using the forward innovation model by stochastic subspace identification of a vibrating structure proposed in the first part have been investigated against two prestressed reinforced concrete (RC) beams tested in the laboratory and a full-scale RC arch bridge tested in the field under varying environments. Experimental verification is focused on temperature effects. It is demonstrated that the proposed statistics-based damage index is insensitive to temperature variations but sensitive to the structural deterioration or state alteration. This makes it possible to detect the structural damage for the real-scale structures experiencing ambient excitations and varying environmental conditions.

Estimating size and scope economies in the Portuguese water sector using the Bayesian stochastic frontier analysis.

PubMed

Carvalho, Pedro; Marques, Rui Cunha

2016-02-15

This study aims to search for economies of size and scope in the Portuguese water sector applying Bayesian and classical statistics to make inference in stochastic frontier analysis (SFA). This study proves the usefulness and advantages of the application of Bayesian statistics for making inference in SFA over traditional SFA which just uses classical statistics. The resulting Bayesian methods allow overcoming some problems that arise in the application of the traditional SFA, such as the bias in small samples and skewness of residuals. In the present case study of the water sector in Portugal, these Bayesian methods provide more plausible and acceptable results. Based on the results obtained we found that there are important economies of output density, economies of size, economies of vertical integration and economies of scope in the Portuguese water sector, pointing out to the huge advantages in undertaking mergers by joining the retail and wholesale components and by joining the drinking water and wastewater services. Copyright © 2015 Elsevier B.V. All rights reserved.

Use of Bayesian Inference in Crystallographic Structure Refinement via Full Diffraction Profile Analysis

PubMed Central

Fancher, Chris M.; Han, Zhen; Levin, Igor; Page, Katharine; Reich, Brian J.; Smith, Ralph C.; Wilson, Alyson G.; Jones, Jacob L.

2016-01-01

A Bayesian inference method for refining crystallographic structures is presented. The distribution of model parameters is stochastically sampled using Markov chain Monte Carlo. Posterior probability distributions are constructed for all model parameters to properly quantify uncertainty by appropriately modeling the heteroskedasticity and correlation of the error structure. The proposed method is demonstrated by analyzing a National Institute of Standards and Technology silicon standard reference material. The results obtained by Bayesian inference are compared with those determined by Rietveld refinement. Posterior probability distributions of model parameters provide both estimates and uncertainties. The new method better estimates the true uncertainties in the model as compared to the Rietveld method. PMID:27550221

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

NASA Technical Reports Server (NTRS)

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

1999-01-01

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

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

PubMed

Kucza, Witold

2013-07-25

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

Stochastic Control and Numerical Methods with Applications to Communications. Game Theoretic/Subsolution to Importance Sampling for Rare Event Simulation

DTIC Science & Technology

2008-11-01

support to the value of the approach. 9. Scheduling and Control of Mobile Communications Networks with Randomly Time Varying Channels by Stability ...biological systems . Many examples arise in communications and queueing, due to the finite speed of signal transmission, the nonnegligible time required...without delays, the system state takes values in a subset of some finite -dimensional Euclidean space, and the control is a functional of the current

Newton's method for nonlinear stochastic wave equations driven by one-dimensional Brownian motion.

PubMed

Leszczynski, Henryk; Wrzosek, Monika

2017-02-01

We consider nonlinear stochastic wave equations driven by one-dimensional white noise with respect to time. The existence of solutions is proved by means of Picard iterations. Next we apply Newton's method. Moreover, a second-order convergence in a probabilistic sense is demonstrated.

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

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

St James, S; Bloch, C; Saini, J

Purpose: Proton pencil beam scanning is used clinically across the United States. There are no current guidelines on tolerances for daily QA specific to pencil beam scanning, specifically related to the individual spot properties (spot width). Using a stochastic method to determine tolerances has the potential to optimize tolerances on individual spots and decrease the number of false positive failures in daily QA. Individual and global spot tolerances were evaluated. Methods: As part of daily QA for proton pencil beam scanning, a field of 16 spots (corresponding to 8 energies) is measured using an array of ion chambers (Matrixx, IBA).more » Each individual spot is fit to two Gaussian functions (x,y). The spot width (σ) in × and y are recorded (32 parameters). Results from the daily QA were retrospectively analyzed for 100 days of data. The deviations of the spot widths were histogrammed and fit to a Gaussian function. The stochastic spot tolerance was taken to be the mean ± 3σ. Using these results, tolerances were developed and tested against known deviations in spot width. Results: The individual spot tolerances derived with the stochastic method decreased in 30/32 instances. Using the previous tolerances (± 20% width), the daily QA would have detected 0/20 days of the deviation. Using a tolerance of any 6 spots failing the stochastic tolerance, 18/20 days of the deviation would have been detected. Conclusion: Using a stochastic method we have been able to decrease daily tolerances on the spot widths for 30/32 spot widths measured. The stochastic tolerances can lead to detection of deviations that previously would have been picked up on monthly QA and missed by daily QA. This method could be easily extended for evaluation of other QA parameters in proton spot scanning.« less

Ensemble methods for stochastic networks with special reference to the biological clock of Neurospora crassa.

PubMed

Caranica, C; Al-Omari, A; Deng, Z; Griffith, J; Nilsen, R; Mao, L; Arnold, J; Schüttler, H-B

2018-01-01

A major challenge in systems biology is to infer the parameters of regulatory networks that operate in a noisy environment, such as in a single cell. In a stochastic regime it is hard to distinguish noise from the real signal and to infer the noise contribution to the dynamical behavior. When the genetic network displays oscillatory dynamics, it is even harder to infer the parameters that produce the oscillations. To address this issue we introduce a new estimation method built on a combination of stochastic simulations, mass action kinetics and ensemble network simulations in which we match the average periodogram and phase of the model to that of the data. The method is relatively fast (compared to Metropolis-Hastings Monte Carlo Methods), easy to parallelize, applicable to large oscillatory networks and large (~2000 cells) single cell expression data sets, and it quantifies the noise impact on the observed dynamics. Standard errors of estimated rate coefficients are typically two orders of magnitude smaller than the mean from single cell experiments with on the order of ~1000 cells. We also provide a method to assess the goodness of fit of the stochastic network using the Hilbert phase of single cells. An analysis of phase departures from the null model with no communication between cells is consistent with a hypothesis of Stochastic Resonance describing single cell oscillators. Stochastic Resonance provides a physical mechanism whereby intracellular noise plays a positive role in establishing oscillatory behavior, but may require model parameters, such as rate coefficients, that differ substantially from those extracted at the macroscopic level from measurements on populations of millions of communicating, synchronized cells.

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

NASA Astrophysics Data System (ADS)

McIntyre, Thomas J.; Zemp, Roger J.

2015-03-01

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

Stochastic volatility models and Kelvin waves

NASA Astrophysics Data System (ADS)

Lipton, Alex; Sepp, Artur

2008-08-01

We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.

A comparison of LOD and UT1-UTC forecasts by different combined prediction techniques

NASA Astrophysics Data System (ADS)

Kosek, W.; Kalarus, M.; Johnson, T. J.; Wooden, W. H.; McCarthy, D. D.; Popiński, W.

Stochastic prediction techniques including autocovariance, autoregressive, autoregressive moving average, and neural networks were applied to the UT1-UTC and Length of Day (LOD) International Earth Rotation and Reference Systems Servive (IERS) EOPC04 time series to evaluate the capabilities of each method. All known effects such as leap seconds and solid Earth zonal tides were first removed from the observed values of UT1-UTC and LOD. Two combination procedures were applied to predict the resulting LODR time series: 1) the combination of the least-squares (LS) extrapolation with a stochastic predition method, and 2) the combination of the discrete wavelet transform (DWT) filtering and a stochastic prediction method. The results of the combination of the LS extrapolation with different stochastic prediction techniques were compared with the results of the UT1-UTC prediction method currently used by the IERS Rapid Service/Prediction Centre (RS/PC). It was found that the prediction accuracy depends on the starting prediction epochs, and for the combined forecast methods, the mean prediction errors for 1 to about 70 days in the future are of the same order as those of the method used by the IERS RS/PC.

Modeling the lake eutrophication stochastic ecosystem and the research of its stability.

PubMed

Wang, Bo; Qi, Qianqian

2018-06-01

In the reality, the lake system will be disturbed by stochastic factors including the external and internal factors. By adding the additive noise and the multiplicative noise to the right-hand sides of the model equation, the additive stochastic model and the multiplicative stochastic model are established respectively in order to reduce model errors induced by the absence of some physical processes. For both the two kinds of stochastic ecosystems, the authors studied the bifurcation characteristics with the FPK equation and the Lyapunov exponent method based on the Stratonovich-Khasminiskii stochastic average principle. Results show that, for the additive stochastic model, when control parameter (i.e., nutrient loading rate) falls into the interval [0.388644, 0.66003825], there exists bistability for the ecosystem and the additive noise intensities cannot make the bifurcation point drift. In the region of the bistability, the external stochastic disturbance which is one of the main triggers causing the lake eutrophication, may make the ecosystem unstable and induce a transition. When control parameter (nutrient loading rate) falls into the interval (0,  0.388644) and (0.66003825,  1.0), there only exists a stable equilibrium state and the additive noise intensity could not change it. For the multiplicative stochastic model, there exists more complex bifurcation performance and the multiplicative ecosystem will be broken by the multiplicative noise. Also, the multiplicative noise could reduce the extent of the bistable region, ultimately, the bistable region vanishes for sufficiently large noise. What's more, both the nutrient loading rate and the multiplicative noise will make the ecosystem have a regime shift. On the other hand, for the two kinds of stochastic ecosystems, the authors also discussed the evolution of the ecological variable in detail by using the Four-stage Runge-Kutta method of strong order γ=1.5. The numerical method was found to be capable of effectively explaining the regime shift theory and agreed with the realistic analyze. These conclusions also confirms the two paths for the system to move from one stable state to another proposed by Beisner et al. [3], which may help understand the occurrence mechanism related to the lake eutrophication from the view point of the stochastic model and mathematical analysis. Copyright © 2018 Elsevier Inc. All rights reserved.

Multi-level methods and approximating distribution functions

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

Wilson, D., E-mail: daniel.wilson@dtc.ox.ac.uk; Baker, R. E.

2016-07-15

Biochemical reaction networks are often modelled using discrete-state, continuous-time Markov chains. System statistics of these Markov chains usually cannot be calculated analytically and therefore estimates must be generated via simulation techniques. There is a well documented class of simulation techniques known as exact stochastic simulation algorithms, an example of which is Gillespie’s direct method. These algorithms often come with high computational costs, therefore approximate stochastic simulation algorithms such as the tau-leap method are used. However, in order to minimise the bias in the estimates generated using them, a relatively small value of tau is needed, rendering the computational costs comparablemore » to Gillespie’s direct method. The multi-level Monte Carlo method (Anderson and Higham, Multiscale Model. Simul. 10:146–179, 2012) provides a reduction in computational costs whilst minimising or even eliminating the bias in the estimates of system statistics. This is achieved by first crudely approximating required statistics with many sample paths of low accuracy. Then correction terms are added until a required level of accuracy is reached. Recent literature has primarily focussed on implementing the multi-level method efficiently to estimate a single system statistic. However, it is clearly also of interest to be able to approximate entire probability distributions of species counts. We present two novel methods that combine known techniques for distribution reconstruction with the multi-level method. We demonstrate the potential of our methods using a number of examples.« less

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.

A stochastic hybrid systems based framework for modeling dependent failure processes

PubMed Central

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

2017-01-01

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

Stochastic-field cavitation model

NASA Astrophysics Data System (ADS)

Dumond, J.; Magagnato, F.; Class, A.

2013-07-01

Nonlinear phenomena can often be well described using probability density functions (pdf) and pdf transport models. Traditionally, the simulation of pdf transport requires Monte-Carlo codes based on Lagrangian "particles" or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic-field method solving pdf transport based on Eulerian fields has been proposed which eliminates the necessity to mix Eulerian and Lagrangian techniques or prescribed pdf assumptions. In the present work, for the first time the stochastic-field method is applied to multi-phase flow and, in particular, to cavitating flow. To validate the proposed stochastic-field cavitation model, two applications are considered. First, sheet cavitation is simulated in a Venturi-type nozzle. The second application is an innovative fluidic diode which exhibits coolant flashing. Agreement with experimental results is obtained for both applications with a fixed set of model constants. The stochastic-field cavitation model captures the wide range of pdf shapes present at different locations.

A cavitation model based on Eulerian stochastic fields

NASA Astrophysics Data System (ADS)

Magagnato, F.; Dumond, J.

2013-12-01

Non-linear phenomena can often be described using probability density functions (pdf) and pdf transport models. Traditionally the simulation of pdf transport requires Monte-Carlo codes based on Lagrangian "particles" or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic-field method solving pdf transport based on Eulerian fields has been proposed which eliminates the necessity to mix Eulerian and Lagrangian techniques or prescribed pdf assumptions. In the present work, for the first time the stochastic-field method is applied to multi-phase flow and in particular to cavitating flow. To validate the proposed stochastic-field cavitation model, two applications are considered. Firstly, sheet cavitation is simulated in a Venturi-type nozzle. The second application is an innovative fluidic diode which exhibits coolant flashing. Agreement with experimental results is obtained for both applications with a fixed set of model constants. The stochastic-field cavitation model captures the wide range of pdf shapes present at different locations.

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

PubMed

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

2017-01-01

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

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

NASA Astrophysics Data System (ADS)

Bashkirtseva, Irina; Ryashko, Lev; Slepukhina, Evdokia

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

Stochastic-field cavitation model

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

Dumond, J., E-mail: julien.dumond@areva.com; AREVA GmbH, Erlangen, Paul-Gossen-Strasse 100, D-91052 Erlangen; Magagnato, F.

2013-07-15

Nonlinear phenomena can often be well described using probability density functions (pdf) and pdf transport models. Traditionally, the simulation of pdf transport requires Monte-Carlo codes based on Lagrangian “particles” or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic-field method solving pdf transport based on Eulerian fields has been proposed which eliminates the necessity to mix Eulerian and Lagrangian techniques or prescribed pdf assumptions. In the present work, for the first time the stochastic-field method is applied to multi-phase flow and, in particular, to cavitating flow. To validate the proposed stochastic-fieldmore » cavitation model, two applications are considered. First, sheet cavitation is simulated in a Venturi-type nozzle. The second application is an innovative fluidic diode which exhibits coolant flashing. Agreement with experimental results is obtained for both applications with a fixed set of model constants. The stochastic-field cavitation model captures the wide range of pdf shapes present at different locations.« less

An improved Bayesian tensor regularization and sampling algorithm to track neuronal fiber pathways in the language circuit.

PubMed

Mishra, Arabinda; Anderson, Adam W; Wu, Xi; Gore, John C; Ding, Zhaohua

2010-08-01

The purpose of this work is to design a neuronal fiber tracking algorithm, which will be more suitable for reconstruction of fibers associated with functionally important regions in the human brain. The functional activations in the brain normally occur in the gray matter regions. Hence the fibers bordering these regions are weakly myelinated, resulting in poor performance of conventional tractography methods to trace the fiber links between them. A lower fractional anisotropy in this region makes it even difficult to track the fibers in the presence of noise. In this work, the authors focused on a stochastic approach to reconstruct these fiber pathways based on a Bayesian regularization framework. To estimate the true fiber direction (propagation vector), the a priori and conditional probability density functions are calculated in advance and are modeled as multivariate normal. The variance of the estimated tensor element vector is associated with the uncertainty due to noise and partial volume averaging (PVA). An adaptive and multiple sampling of the estimated tensor element vector, which is a function of the pre-estimated variance, overcomes the effect of noise and PVA in this work. The algorithm has been rigorously tested using a variety of synthetic data sets. The quantitative comparison of the results to standard algorithms motivated the authors to implement it for in vivo DTI data analysis. The algorithm has been implemented to delineate fibers in two major language pathways (Broca's to SMA and Broca's to Wernicke's) across 12 healthy subjects. Though the mean of standard deviation was marginally bigger than conventional (Euler's) approach [P. J. Basser et al., "In vivo fiber tractography using DT-MRI data," Magn. Reson. Med. 44(4), 625-632 (2000)], the number of extracted fibers in this approach was significantly higher. The authors also compared the performance of the proposed method to Lu's method [Y. Lu et al., "Improved fiber tractography with Bayesian tensor regularization," Neuroimage 31(3), 1061-1074 (2006)] and Friman's stochastic approach [O. Friman et al., "A Bayesian approach for stochastic white matter tractography," IEEE Trans. Med. Imaging 25(8), 965-978 (2006)]. Overall performance of the approach is found to be superior to above two methods, particularly when the signal-to-noise ratio was low. The authors observed that an adaptive sampling of the tensor element vectors, estimated as a function of the variance in a Bayesian framework, can effectively delineate neuronal fibers to analyze the structure-function relationship in human brain. The simulated and in vivo results are in good agreement with the theoretical aspects of the algorithm.

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.

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

PubMed

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

2014-08-15

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

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.

Stochastic modelling of intermittency.

PubMed

Stemler, Thomas; Werner, Johannes P; Benner, Hartmut; Just, Wolfram

2010-01-13

Recently, methods have been developed to model low-dimensional chaotic systems in terms of stochastic differential equations. We tested such methods in an electronic circuit experiment. We aimed to obtain reliable drift and diffusion coefficients even without a pronounced time-scale separation of the chaotic dynamics. By comparing the analytical solutions of the corresponding Fokker-Planck equation with experimental data, we show here that crisis-induced intermittency can be described in terms of a stochastic model which is dominated by state-space-dependent diffusion. Further on, we demonstrate and discuss some limits of these modelling approaches using numerical simulations. This enables us to state a criterion that can be used to decide whether a stochastic model will capture the essential features of a given time series. This journal is © 2010 The Royal Society

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

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

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

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

On two mathematical problems of canonical quantization. IV

NASA Astrophysics Data System (ADS)

Kirillov, A. I.

1992-11-01

A method for solving the problem of reconstructing a measure beginning with its logarithmic derivative is presented. The method completes that of solving the stochastic differential equation via Dirichlet forms proposed by S. Albeverio and M. Rockner. As a result one obtains the mathematical apparatus for the stochastic quantization. The apparatus is applied to prove the existence of the Feynman-Kac measure of the sine-Gordon and λφ2n/(1 + K2φ2n)-models. A synthesis of both mathematical problems of canonical quantization is obtained in the form of a second-order martingale problem for vacuum noise. It is shown that in stochastic mechanics the martingale problem is an analog of Newton's second law and enables us to find the Nelson's stochastic trajectories without determining the wave functions.

Acceleration of discrete stochastic biochemical simulation using GPGPU.

PubMed

Sumiyoshi, Kei; Hirata, Kazuki; Hiroi, Noriko; Funahashi, Akira

2015-01-01

For systems made up of a small number of molecules, such as a biochemical network in a single cell, a simulation requires a stochastic approach, instead of a deterministic approach. The stochastic simulation algorithm (SSA) simulates the stochastic behavior of a spatially homogeneous system. Since stochastic approaches produce different results each time they are used, multiple runs are required in order to obtain statistical results; this results in a large computational cost. We have implemented a parallel method for using SSA to simulate a stochastic model; the method uses a graphics processing unit (GPU), which enables multiple realizations at the same time, and thus reduces the computational time and cost. During the simulation, for the purpose of analysis, each time course is recorded at each time step. A straightforward implementation of this method on a GPU is about 16 times faster than a sequential simulation on a CPU with hybrid parallelization; each of the multiple simulations is run simultaneously, and the computational tasks within each simulation are parallelized. We also implemented an improvement to the memory access and reduced the memory footprint, in order to optimize the computations on the GPU. We also implemented an asynchronous data transfer scheme to accelerate the time course recording function. To analyze the acceleration of our implementation on various sizes of model, we performed SSA simulations on different model sizes and compared these computation times to those for sequential simulations with a CPU. When used with the improved time course recording function, our method was shown to accelerate the SSA simulation by a factor of up to 130.

Acceleration of discrete stochastic biochemical simulation using GPGPU

PubMed Central

Sumiyoshi, Kei; Hirata, Kazuki; Hiroi, Noriko; Funahashi, Akira

2015-01-01

For systems made up of a small number of molecules, such as a biochemical network in a single cell, a simulation requires a stochastic approach, instead of a deterministic approach. The stochastic simulation algorithm (SSA) simulates the stochastic behavior of a spatially homogeneous system. Since stochastic approaches produce different results each time they are used, multiple runs are required in order to obtain statistical results; this results in a large computational cost. We have implemented a parallel method for using SSA to simulate a stochastic model; the method uses a graphics processing unit (GPU), which enables multiple realizations at the same time, and thus reduces the computational time and cost. During the simulation, for the purpose of analysis, each time course is recorded at each time step. A straightforward implementation of this method on a GPU is about 16 times faster than a sequential simulation on a CPU with hybrid parallelization; each of the multiple simulations is run simultaneously, and the computational tasks within each simulation are parallelized. We also implemented an improvement to the memory access and reduced the memory footprint, in order to optimize the computations on the GPU. We also implemented an asynchronous data transfer scheme to accelerate the time course recording function. To analyze the acceleration of our implementation on various sizes of model, we performed SSA simulations on different model sizes and compared these computation times to those for sequential simulations with a CPU. When used with the improved time course recording function, our method was shown to accelerate the SSA simulation by a factor of up to 130. PMID:25762936

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.

Reactive Monte Carlo sampling with an ab initio potential

DOE PAGES

Leiding, Jeff; Coe, Joshua D.

2016-05-04

Here, we present the first application of reactive Monte Carlo in a first-principles context. The algorithm samples in a modified NVT ensemble in which the volume, temperature, and total number of atoms of a given type are held fixed, but molecular composition is allowed to evolve through stochastic variation of chemical connectivity. We also discuss general features of the method, as well as techniques needed to enhance the efficiency of Boltzmann sampling. Finally, we compare the results of simulation of NH 3 to those of ab initio molecular dynamics (AIMD). Furthermore, we find that there are regions of state spacemore » for which RxMC sampling is much more efficient than AIMD due to the “rare-event” character of chemical reactions.« less

Utilizing Big Data and Twitter to Discover Emergent Online Communities of Cannabis Users

PubMed Central

Baumgartner, Peter; Peiper, Nicholas

2017-01-01

Large shifts in medical, recreational, and illicit cannabis consumption in the United States have implications for personalizing treatment and prevention programs to a wide variety of populations. As such, considerable research has investigated clinical presentations of cannabis users in clinical and population-based samples. Studies leveraging big data, social media, and social network analysis have emerged as a promising mechanism to generate timely insights that can inform treatment and prevention research. This study extends a novel method called stochastic block modeling to derive communities of cannabis consumers as part of a complex social network on Twitter. A set of examples illustrate how this method can ascertain candidate samples of medical, recreational, and illicit cannabis users. Implications for research planning, intervention design, and public health surveillance are discussed. PMID:28615950

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

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

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

2014-06-15

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

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

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

NASA Astrophysics Data System (ADS)

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

2007-11-01

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

Use of randomised controlled trials for producing cost-effectiveness evidence: potential impact of design choices on sample size and study duration.

PubMed

Backhouse, Martin E

2002-01-01

A number of approaches to conducting economic evaluations could be adopted. However, some decision makers have a preference for wholly stochastic cost-effectiveness analyses, particularly if the sampled data are derived from randomised controlled trials (RCTs). Formal requirements for cost-effectiveness evidence have heightened concerns in the pharmaceutical industry that development costs and times might be increased if formal requirements increase the number, duration or costs of RCTs. Whether this proves to be the case or not will depend upon the timing, nature and extent of the cost-effectiveness evidence required. To illustrate how different requirements for wholly stochastic cost-effectiveness evidence could have a significant impact on two of the major determinants of new drug development costs and times, namely RCT sample size and study duration. Using data collected prospectively in a clinical evaluation, sample sizes were calculated for a number of hypothetical cost-effectiveness study design scenarios. The results were compared with a baseline clinical trial design. The sample sizes required for the cost-effectiveness study scenarios were mostly larger than those for the baseline clinical trial design. Circumstances can be such that a wholly stochastic cost-effectiveness analysis might not be a practical proposition even though its clinical counterpart is. In such situations, alternative research methodologies would be required. For wholly stochastic cost-effectiveness analyses, the importance of prior specification of the different components of study design is emphasised. However, it is doubtful whether all the information necessary for doing this will typically be available when product registration trials are being designed. Formal requirements for wholly stochastic cost-effectiveness evidence based on the standard frequentist paradigm have the potential to increase the size, duration and number of RCTs significantly and hence the costs and timelines associated with new product development. Moreover, it is possible to envisage situations where such an approach would be impossible to adopt. Clearly, further research is required into the issue of how to appraise the economic consequences of alternative economic evaluation research strategies.

Stochastic inference with spiking neurons in the high-conductance state

NASA Astrophysics Data System (ADS)

Petrovici, Mihai A.; Bill, Johannes; Bytschok, Ilja; Schemmel, Johannes; Meier, Karlheinz

2016-10-01

The highly variable dynamics of neocortical circuits observed in vivo have been hypothesized to represent a signature of ongoing stochastic inference but stand in apparent contrast to the deterministic response of neurons measured in vitro. Based on a propagation of the membrane autocorrelation across spike bursts, we provide an analytical derivation of the neural activation function that holds for a large parameter space, including the high-conductance state. On this basis, we show how an ensemble of leaky integrate-and-fire neurons with conductance-based synapses embedded in a spiking environment can attain the correct firing statistics for sampling from a well-defined target distribution. For recurrent networks, we examine convergence toward stationarity in computer simulations and demonstrate sample-based Bayesian inference in a mixed graphical model. This points to a new computational role of high-conductance states and establishes a rigorous link between deterministic neuron models and functional stochastic dynamics on the network level.

An information-theoretic approach to the modeling and analysis of whole-genome bisulfite sequencing data.

PubMed

Jenkinson, Garrett; Abante, Jordi; Feinberg, Andrew P; Goutsias, John

2018-03-07

DNA methylation is a stable form of epigenetic memory used by cells to control gene expression. Whole genome bisulfite sequencing (WGBS) has emerged as a gold-standard experimental technique for studying DNA methylation by producing high resolution genome-wide methylation profiles. Statistical modeling and analysis is employed to computationally extract and quantify information from these profiles in an effort to identify regions of the genome that demonstrate crucial or aberrant epigenetic behavior. However, the performance of most currently available methods for methylation analysis is hampered by their inability to directly account for statistical dependencies between neighboring methylation sites, thus ignoring significant information available in WGBS reads. We present a powerful information-theoretic approach for genome-wide modeling and analysis of WGBS data based on the 1D Ising model of statistical physics. This approach takes into account correlations in methylation by utilizing a joint probability model that encapsulates all information available in WGBS methylation reads and produces accurate results even when applied on single WGBS samples with low coverage. Using the Shannon entropy, our approach provides a rigorous quantification of methylation stochasticity in individual WGBS samples genome-wide. Furthermore, it utilizes the Jensen-Shannon distance to evaluate differences in methylation distributions between a test and a reference sample. Differential performance assessment using simulated and real human lung normal/cancer data demonstrate a clear superiority of our approach over DSS, a recently proposed method for WGBS data analysis. Critically, these results demonstrate that marginal methods become statistically invalid when correlations are present in the data. This contribution demonstrates clear benefits and the necessity of modeling joint probability distributions of methylation using the 1D Ising model of statistical physics and of quantifying methylation stochasticity using concepts from information theory. By employing this methodology, substantial improvement of DNA methylation analysis can be achieved by effectively taking into account the massive amount of statistical information available in WGBS data, which is largely ignored by existing methods.

Time Evolution of the Dynamical Variables of a Stochastic System.

ERIC Educational Resources Information Center

de la Pena, L.

1980-01-01

By using the method of moments, it is shown that several important and apparently unrelated theorems describing average properties of stochastic systems are in fact particular cases of a general law; this method is applied to generalize the virial theorem and the fluctuation-dissipation theorem to the time-dependent case. (Author/SK)

Intrusive Method for Uncertainty Quantification in a Multiphase Flow Solver

NASA Astrophysics Data System (ADS)

Turnquist, Brian; Owkes, Mark

2016-11-01

Uncertainty quantification (UQ) is a necessary, interesting, and often neglected aspect of fluid flow simulations. To determine the significance of uncertain initial and boundary conditions, a multiphase flow solver is being created which extends a single phase, intrusive, polynomial chaos scheme into multiphase flows. Reliably estimating the impact of input uncertainty on design criteria can help identify and minimize unwanted variability in critical areas, and has the potential to help advance knowledge in atomizing jets, jet engines, pharmaceuticals, and food processing. Use of an intrusive polynomial chaos method has been shown to significantly reduce computational cost over non-intrusive collocation methods such as Monte-Carlo. This method requires transforming the model equations into a weak form through substitution of stochastic (random) variables. Ultimately, the model deploys a stochastic Navier Stokes equation, a stochastic conservative level set approach including reinitialization, as well as stochastic normals and curvature. By implementing these approaches together in one framework, basic problems may be investigated which shed light on model expansion, uncertainty theory, and fluid flow in general. NSF Grant Number 1511325.

Stochastic hyperfine interactions modeling library

NASA Astrophysics Data System (ADS)

Zacate, Matthew O.; Evenson, William E.

2011-04-01

The stochastic hyperfine interactions modeling library (SHIML) provides a set of routines to assist in the development and application of stochastic models of hyperfine interactions. The library provides routines written in the C programming language that (1) read a text description of a model for fluctuating hyperfine fields, (2) set up the Blume matrix, upon which the evolution operator of the system depends, and (3) find the eigenvalues and eigenvectors of the Blume matrix so that theoretical spectra of experimental techniques that measure hyperfine interactions can be calculated. The optimized vector and matrix operations of the BLAS and LAPACK libraries are utilized; however, there was a need to develop supplementary code to find an orthonormal set of (left and right) eigenvectors of complex, non-Hermitian matrices. In addition, example code is provided to illustrate the use of SHIML to generate perturbed angular correlation spectra for the special case of polycrystalline samples when anisotropy terms of higher order than A can be neglected. Program summaryProgram title: SHIML Catalogue identifier: AEIF_v1_0 Program summary URL:http://cpc.cs.qub.ac.uk/summaries/AEIF_v1_0.html Program obtainable from: CPC Program Library, Queen's University, Belfast, N. Ireland Licensing provisions: GNU GPL 3 No. of lines in distributed program, including test data, etc.: 8224 No. of bytes in distributed program, including test data, etc.: 312 348 Distribution format: tar.gz Programming language: C Computer: Any Operating system: LINUX, OS X RAM: Varies Classification: 7.4 External routines: TAPP [1], BLAS [2], a C-interface to BLAS [3], and LAPACK [4] Nature of problem: In condensed matter systems, hyperfine methods such as nuclear magnetic resonance (NMR), Mössbauer effect (ME), muon spin rotation (μSR), and perturbed angular correlation spectroscopy (PAC) measure electronic and magnetic structure within Angstroms of nuclear probes through the hyperfine interaction. When interactions fluctuate at rates comparable to the time scale of a hyperfine method, there is a loss in signal coherence, and spectra are damped. The degree of damping can be used to determine fluctuation rates, provided that theoretical expressions for spectra can be derived for relevant physical models of the fluctuations. SHIML provides routines to help researchers quickly develop code to incorporate stochastic models of fluctuating hyperfine interactions in calculations of hyperfine spectra. Solution method: Calculations are based on the method for modeling stochastic hyperfine interactions for PAC by Winkler and Gerdau [5]. The method is extended to include other hyperfine methods following the work of Dattagupta [6]. The code provides routines for reading model information from text files, allowing researchers to develop new models quickly without the need to modify computer code for each new model to be considered. Restrictions: In the present version of the code, only methods that measure the hyperfine interaction on one probe spin state, such as PAC, μSR, and NMR, are supported. Running time: Varies

Stochastic coupled cluster theory: Efficient sampling of the coupled cluster expansion

NASA Astrophysics Data System (ADS)

Scott, Charles J. C.; Thom, Alex J. W.

2017-09-01

We consider the sampling of the coupled cluster expansion within stochastic coupled cluster theory. Observing the limitations of previous approaches due to the inherently non-linear behavior of a coupled cluster wavefunction representation, we propose new approaches based on an intuitive, well-defined condition for sampling weights and on sampling the expansion in cluster operators of different excitation levels. We term these modifications even and truncated selections, respectively. Utilising both approaches demonstrates dramatically improved calculation stability as well as reduced computational and memory costs. These modifications are particularly effective at higher truncation levels owing to the large number of terms within the cluster expansion that can be neglected, as demonstrated by the reduction of the number of terms to be sampled when truncating at triple excitations by 77% and hextuple excitations by 98%.

Characterization of the probabilistic traveling salesman problem.

PubMed

Bowler, Neill E; Fink, Thomas M A; Ball, Robin C

2003-09-01

We show that stochastic annealing can be successfully applied to gain new results on the probabilistic traveling salesman problem. The probabilistic "traveling salesman" must decide on an a priori order in which to visit n cities (randomly distributed over a unit square) before learning that some cities can be omitted. We find the optimized average length of the pruned tour follows E(L(pruned))=sqrt[np](0.872-0.105p)f(np), where p is the probability of a city needing to be visited, and f(np)-->1 as np--> infinity. The average length of the a priori tour (before omitting any cities) is found to follow E(L(a priori))=sqrt[n/p]beta(p), where beta(p)=1/[1.25-0.82 ln(p)] is measured for 0.05< or =p< or =0.6. Scaling arguments and indirect measurements suggest that beta(p) tends towards a constant for p<0.03. Our stochastic annealing algorithm is based on limited sampling of the pruned tour lengths, exploiting the sampling error to provide the analog of thermal fluctuations in simulated (thermal) annealing. The method has general application to the optimization of functions whose cost to evaluate rises with the precision required.

Debates - Stochastic subsurface hydrology from theory to practice: Introduction

NASA Astrophysics Data System (ADS)

Rajaram, Harihar

2016-12-01

This paper introduces the papers in the "Debates - Stochastic Subsurface Hydrology from Theory to Practice" series. Beginning in the 1970s, the field of stochastic subsurface hydrology has been an active field of research, with over 3500 journal publications, of which over 850 have appeared in Water Resources Research. We are fortunate to have insightful contributions from four groups of distinguished authors who discuss the reasons why the advanced research framework established in stochastic subsurface hydrology has not impacted the practice of groundwater flow and transport modeling and design significantly. There is reasonable consensus that a community effort aimed at developing "toolboxes" for applications of stochastic methods will make them more accessible and encourage practical applications.

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

PubMed

Albert, Jaroslav

2016-01-01

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

Itô-SDE MCMC method for Bayesian characterization of errors associated with data limitations in stochastic expansion methods for uncertainty quantification

NASA Astrophysics Data System (ADS)

Arnst, M.; Abello Álvarez, B.; Ponthot, J.-P.; Boman, R.

2017-11-01

This paper is concerned with the characterization and the propagation of errors associated with data limitations in polynomial-chaos-based stochastic methods for uncertainty quantification. Such an issue can arise in uncertainty quantification when only a limited amount of data is available. When the available information does not suffice to accurately determine the probability distributions that must be assigned to the uncertain variables, the Bayesian method for assigning these probability distributions becomes attractive because it allows the stochastic model to account explicitly for insufficiency of the available information. In previous work, such applications of the Bayesian method had already been implemented by using the Metropolis-Hastings and Gibbs Markov Chain Monte Carlo (MCMC) methods. In this paper, we present an alternative implementation, which uses an alternative MCMC method built around an Itô stochastic differential equation (SDE) that is ergodic for the Bayesian posterior. We draw together from the mathematics literature a number of formal properties of this Itô SDE that lend support to its use in the implementation of the Bayesian method, and we describe its discretization, including the choice of the free parameters, by using the implicit Euler method. We demonstrate the proposed methodology on a problem of uncertainty quantification in a complex nonlinear engineering application relevant to metal forming.

Inferring HIV Escape Rates from Multi-Locus Genotype Data

DOE PAGES

Kessinger, Taylor A.; Perelson, Alan S.; Neher, Richard A.

2013-09-03

Cytotoxic T-lymphocytes (CTLs) recognize viral protein fragments displayed by major histocompatibility complex molecules on the surface of virally infected cells and generate an anti-viral response that can kill the infected cells. Virus variants whose protein fragments are not efficiently presented on infected cells or whose fragments are presented but not recognized by CTLs therefore have a competitive advantage and spread rapidly through the population. We present a method that allows a more robust estimation of these escape rates from serially sampled sequence data. The proposed method accounts for competition between multiple escapes by explicitly modeling the accumulation of escape mutationsmore » and the stochastic effects of rare multiple mutants. Applying our method to serially sampled HIV sequence data, we estimate rates of HIV escape that are substantially larger than those previously reported. The method can be extended to complex escapes that require compensatory mutations. We expect our method to be applicable in other contexts such as cancer evolution where time series data is also available.« less

Stochastic Spectral Descent for Discrete Graphical Models

DOE PAGES

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

2015-12-14

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

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

SMERFS: Stochastic Markov Evaluation of Random Fields on the Sphere

NASA Astrophysics Data System (ADS)

Creasey, Peter; Lang, Annika

2018-04-01

SMERFS (Stochastic Markov Evaluation of Random Fields on the Sphere) creates large realizations of random fields on the sphere. It uses a fast algorithm based on Markov properties and fast Fourier Transforms in 1d that generates samples on an n X n grid in O(n2 log n) and efficiently derives the necessary conditional covariance matrices.

Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

2018-06-01

The realized stochastic volatility model has been introduced to estimate more accurate volatility by using both daily returns and realized volatility. The main advantage of the model is that no special bias-correction factor for the realized volatility is required a priori. Instead, the model introduces a bias-correction parameter responsible for the bias hidden in realized volatility. We empirically investigate the bias-correction parameter for realized volatilities calculated at various sampling frequencies for six stocks on the Tokyo Stock Exchange, and then show that the dynamic behavior of the bias-correction parameter as a function of sampling frequency is qualitatively similar to that of the Hansen-Lunde bias-correction factor although their values are substantially different. Under the stochastic diffusion assumption of the return dynamics, we investigate the accuracy of estimated volatilities by examining the standardized returns. We find that while the moments of the standardized returns from low-frequency realized volatilities are consistent with the expectation from the Gaussian variables, the deviation from the expectation becomes considerably large at high frequencies. This indicates that the realized stochastic volatility model itself cannot completely remove bias at high frequencies.

Ground motion simulation for the 23 August 2011, Mineral, Virginia earthquake using physics-based and stochastic broadband methods

USGS Publications Warehouse

Sun, Xiaodan; Hartzell, Stephen; Rezaeian, Sanaz

2015-01-01

Three broadband simulation methods are used to generate synthetic ground motions for the 2011 Mineral, Virginia, earthquake and compare with observed motions. The methods include a physics‐based model by Hartzell et al. (1999, 2005), a stochastic source‐based model by Boore (2009), and a stochastic site‐based model by Rezaeian and Der Kiureghian (2010, 2012). The ground‐motion dataset consists of 40 stations within 600 km of the epicenter. Several metrics are used to validate the simulations: (1) overall bias of response spectra and Fourier spectra (from 0.1 to 10 Hz); (2) spatial distribution of residuals for GMRotI50 peak ground acceleration (PGA), peak ground velocity, and pseudospectral acceleration (PSA) at various periods; (3) comparison with ground‐motion prediction equations (GMPEs) for the eastern United States. Our results show that (1) the physics‐based model provides satisfactory overall bias from 0.1 to 10 Hz and produces more realistic synthetic waveforms; (2) the stochastic site‐based model also yields more realistic synthetic waveforms and performs superiorly for frequencies greater than about 1 Hz; (3) the stochastic source‐based model has larger bias at lower frequencies (<0.5  Hz) and cannot reproduce the varying frequency content in the time domain. The spatial distribution of GMRotI50 residuals shows that there is no obvious pattern with distance in the simulation bias, but there is some azimuthal variability. The comparison between synthetics and GMPEs shows similar fall‐off with distance for all three models, comparable PGA and PSA amplitudes for the physics‐based and stochastic site‐based models, and systematic lower amplitudes for the stochastic source‐based model at lower frequencies (<0.5  Hz).

Multi-fidelity stochastic collocation method for computation of statistical moments

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

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

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

Advanced Dynamically Adaptive Algorithms for Stochastic Simulations on Extreme Scales

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

Xiu, Dongbin

2017-03-03

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

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...

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

NASA Astrophysics Data System (ADS)

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

2014-03-01

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

A continuum dislocation dynamics framework for plasticity of polycrystalline materials

NASA Astrophysics Data System (ADS)

Askari, Hesam Aldin

The objective of this research is to investigate the mechanical response of polycrystals in different settings to identify the mechanisms that give rise to specific response observed in the deformation process. Particularly the large deformation of magnesium alloys and yield properties of copper in small scales are investigated. We develop a continuum dislocation dynamics framework based on dislocation mechanisms and interaction laws and implement this formulation in a viscoplastic self-consistent scheme to obtain the mechanical response in a polycrystalline system. The versatility of this method allows various applications in the study of problems involving large deformation, study of microstructure and its evolution, superplasticity, study of size effect in polycrystals and stochastic plasticity. The findings from the numerical solution are compared to the experimental results to validate the simulation results. We apply this framework to study the deformation mechanisms in magnesium alloys at moderate to fast strain rates and room temperature to 450 °C. Experiments for the same range of strain rates and temperatures were carried out to obtain the mechanical and material properties, and to compare with the numerical results. The numerical approach for magnesium is divided into four main steps; 1) room temperature unidirectional loading 2) high temperature deformation without grain boundary sliding 3) high temperature with grain boundary sliding mechanism 4) room temperature cyclic loading. We demonstrate the capability of our modeling approach in prediction of mechanical properties and texture evolution and discuss the improvement obtained by using the continuum dislocation dynamics method. The framework was also applied to nano-sized copper polycrystals to study the yield properties at small scales and address the observed yield scatter. By combining our developed method with a Monte Carlo simulation approach, the stochastic plasticity at small length scales was studied and the sources of the uncertainty in the polycrystalline structure are discussed. Our results suggest that the stochastic response is mainly because of a) stochastic plasticity due to dislocation substructure inside crystals and b) the microstructure of the polycrystalline material. The extent of the uncertainty is correlated to the "effective cell length" in the sampling procedure whether using simulations and experimental approach.

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

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

Ganapathysubramanian, Baskar; Zabaras, Nicholas

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

Stochastic model stationarization by eliminating the periodic term and its effect on time series prediction

NASA Astrophysics Data System (ADS)

Moeeni, Hamid; Bonakdari, Hossein; Fatemi, Seyed Ehsan

2017-04-01

Because time series stationarization has a key role in stochastic modeling results, three methods are analyzed in this study. The methods are seasonal differencing, seasonal standardization and spectral analysis to eliminate the periodic effect on time series stationarity. First, six time series including 4 streamflow series and 2 water temperature series are stationarized. The stochastic term for these series obtained with ARIMA is subsequently modeled. For the analysis, 9228 models are introduced. It is observed that seasonal standardization and spectral analysis eliminate the periodic term completely, while seasonal differencing maintains seasonal correlation structures. The obtained results indicate that all three methods present acceptable performance overall. However, model accuracy in monthly streamflow prediction is higher with seasonal differencing than with the other two methods. Another advantage of seasonal differencing over the other methods is that the monthly streamflow is never estimated as negative. Standardization is the best method for predicting monthly water temperature although it is quite similar to seasonal differencing, while spectral analysis performed the weakest in all cases. It is concluded that for each monthly seasonal series, seasonal differencing is the best stationarization method in terms of periodic effect elimination. Moreover, the monthly water temperature is predicted with more accuracy than monthly streamflow. The criteria of the average stochastic term divided by the amplitude of the periodic term obtained for monthly streamflow and monthly water temperature were 0.19 and 0.30, 0.21 and 0.13, and 0.07 and 0.04 respectively. As a result, the periodic term is more dominant than the stochastic term for water temperature in the monthly water temperature series compared to streamflow series.

Navier-Stokes Dynamics by a Discrete Boltzmann Model

NASA Technical Reports Server (NTRS)

Rubinstein, Robet

2010-01-01

This work investigates the possibility of particle-based algorithms for the Navier-Stokes equations and higher order continuum approximations of the Boltzmann equation; such algorithms would generalize the well-known Pullin scheme for the Euler equations. One such method is proposed in the context of a discrete velocity model of the Boltzmann equation. Preliminary results on shock structure are consistent with the expectation that the shock should be much broader than the near discontinuity predicted by the Pullin scheme, yet narrower than the prediction of the Boltzmann equation. We discuss the extension of this essentially deterministic method to a stochastic particle method that, like DSMC, samples the distribution function rather than resolving it completely.

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

PubMed

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

2007-01-01

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

Stochastic theory of size exclusion chromatography by the characteristic function approach.

PubMed

Dondi, Francesco; Cavazzini, Alberto; Remelli, Maurizio; Felinger, Attila; Martin, Michel

2002-01-18

A general stochastic theory of size exclusion chromatography (SEC) able to account for size dependence on both pore ingress and egress processes, moving zone dispersion and pore size distribution, was developed. The relationship between stochastic-chromatographic and batch equilibrium conditions are discussed and the fundamental role of the 'ergodic' hypothesis in establishing a link between them is emphasized. SEC models are solved by means of the characteristic function method and chromatographic parameters like plate height, peak skewness and excess are derived. The peak shapes are obtained by numerical inversion of the characteristic function under the most general conditions of the exploited models. Separate size effects on pore ingress and pore egress processes are investigated and their effects on both retention selectivity and efficiency are clearly shown. The peak splitting phenomenon and peak tailing due to incomplete sample sorption near to the exclusion limit is discussed. An SEC model for columns with two types of pores is discussed and several effects on retention selectivity and efficiency coming from pore size differences and their relative abundance are singled out. The relevance of moving zone dispersion on separation is investigated. The present approach proves to be general and able to account for more complex SEC conditions such as continuous pore size distributions and mixed retention mechanism.

Solving Constraint Satisfaction Problems with Networks of Spiking Neurons

PubMed Central

Jonke, Zeno; Habenschuss, Stefan; Maass, Wolfgang

2016-01-01

Network of neurons in the brain apply—unlike processors in our current generation of computer hardware—an event-based processing strategy, where short pulses (spikes) are emitted sparsely by neurons to signal the occurrence of an event at a particular point in time. Such spike-based computations promise to be substantially more power-efficient than traditional clocked processing schemes. However, it turns out to be surprisingly difficult to design networks of spiking neurons that can solve difficult computational problems on the level of single spikes, rather than rates of spikes. We present here a new method for designing networks of spiking neurons via an energy function. Furthermore, we show how the energy function of a network of stochastically firing neurons can be shaped in a transparent manner by composing the networks of simple stereotypical network motifs. We show that this design approach enables networks of spiking neurons to produce approximate solutions to difficult (NP-hard) constraint satisfaction problems from the domains of planning/optimization and verification/logical inference. The resulting networks employ noise as a computational resource. Nevertheless, the timing of spikes plays an essential role in their computations. Furthermore, networks of spiking neurons carry out for the Traveling Salesman Problem a more efficient stochastic search for good solutions compared with stochastic artificial neural networks (Boltzmann machines) and Gibbs sampling. PMID:27065785

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

PubMed Central

Zimmer, Christoph

2016-01-01

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

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.

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

NASA Astrophysics Data System (ADS)

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

2017-01-01

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

Recursively constructing analytic expressions for equilibrium distributions of stochastic biochemical reaction networks.

PubMed

Meng, X Flora; Baetica, Ania-Ariadna; Singhal, Vipul; Murray, Richard M

2017-05-01

Noise is often indispensable to key cellular activities, such as gene expression, necessitating the use of stochastic models to capture its dynamics. The chemical master equation (CME) is a commonly used stochastic model of Kolmogorov forward equations that describe how the probability distribution of a chemically reacting system varies with time. Finding analytic solutions to the CME can have benefits, such as expediting simulations of multiscale biochemical reaction networks and aiding the design of distributional responses. However, analytic solutions are rarely known. A recent method of computing analytic stationary solutions relies on gluing simple state spaces together recursively at one or two states. We explore the capabilities of this method and introduce algorithms to derive analytic stationary solutions to the CME. We first formally characterize state spaces that can be constructed by performing single-state gluing of paths, cycles or both sequentially. We then study stochastic biochemical reaction networks that consist of reversible, elementary reactions with two-dimensional state spaces. We also discuss extending the method to infinite state spaces and designing the stationary behaviour of stochastic biochemical reaction networks. Finally, we illustrate the aforementioned ideas using examples that include two interconnected transcriptional components and biochemical reactions with two-dimensional state spaces. © 2017 The Author(s).

Recursively constructing analytic expressions for equilibrium distributions of stochastic biochemical reaction networks

PubMed Central

Baetica, Ania-Ariadna; Singhal, Vipul; Murray, Richard M.

2017-01-01

Noise is often indispensable to key cellular activities, such as gene expression, necessitating the use of stochastic models to capture its dynamics. The chemical master equation (CME) is a commonly used stochastic model of Kolmogorov forward equations that describe how the probability distribution of a chemically reacting system varies with time. Finding analytic solutions to the CME can have benefits, such as expediting simulations of multiscale biochemical reaction networks and aiding the design of distributional responses. However, analytic solutions are rarely known. A recent method of computing analytic stationary solutions relies on gluing simple state spaces together recursively at one or two states. We explore the capabilities of this method and introduce algorithms to derive analytic stationary solutions to the CME. We first formally characterize state spaces that can be constructed by performing single-state gluing of paths, cycles or both sequentially. We then study stochastic biochemical reaction networks that consist of reversible, elementary reactions with two-dimensional state spaces. We also discuss extending the method to infinite state spaces and designing the stationary behaviour of stochastic biochemical reaction networks. Finally, we illustrate the aforementioned ideas using examples that include two interconnected transcriptional components and biochemical reactions with two-dimensional state spaces. PMID:28566513

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

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

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

2015-12-15

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

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

PubMed

Zimmer, Christoph

2015-11-01

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

A framework for discrete stochastic simulation on 3D moving boundary domains

DOE PAGES

Drawert, Brian; Hellander, Stefan; Trogdon, Michael; ...

2016-11-14

We have developed a method for modeling spatial stochastic biochemical reactions in complex, three-dimensional, and time-dependent domains using the reaction-diffusion master equation formalism. In particular, we look to address the fully coupled problems that arise in systems biology where the shape and mechanical properties of a cell are determined by the state of the biochemistry and vice versa. To validate our method and characterize the error involved, we compare our results for a carefully constructed test problem to those of a microscale implementation. Finally, we demonstrate the effectiveness of our method by simulating a model of polarization and shmoo formationmore » during the mating of yeast. The method is generally applicable to problems in systems biology where biochemistry and mechanics are coupled, and spatial stochastic effects are critical.« less

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

Pavlou, A. T.; Betzler, B. R.; Burke, T. P.

Uncertainties in the composition and fabrication of fuel compacts for the Fort St. Vrain (FSV) high temperature gas reactor have been studied by performing eigenvalue sensitivity studies that represent the key uncertainties for the FSV neutronic analysis. The uncertainties for the TRISO fuel kernels were addressed by developing a suite of models for an 'average' FSV fuel compact that models the fuel as (1) a mixture of two different TRISO fuel particles representing fissile and fertile kernels, (2) a mixture of four different TRISO fuel particles representing small and large fissile kernels and small and large fertile kernels and (3)more » a stochastic mixture of the four types of fuel particles where every kernel has its diameter sampled from a continuous probability density function. All of the discrete diameter and continuous diameter fuel models were constrained to have the same fuel loadings and packing fractions. For the non-stochastic discrete diameter cases, the MCNP compact model arranged the TRISO fuel particles on a hexagonal honeycomb lattice. This lattice-based fuel compact was compared to a stochastic compact where the locations (and kernel diameters for the continuous diameter cases) of the fuel particles were randomly sampled. Partial core configurations were modeled by stacking compacts into fuel columns containing graphite. The differences in eigenvalues between the lattice-based and stochastic models were small but the runtime of the lattice-based fuel model was roughly 20 times shorter than with the stochastic-based fuel model. (authors)« less

Stochastic Evolution of Augmented Born-Infeld Equations

NASA Astrophysics Data System (ADS)

Holm, Darryl D.

2018-06-01

This paper compares the results of applying a recently developed method of stochastic uncertainty quantification designed for fluid dynamics to the Born-Infeld model of nonlinear electromagnetism. The similarities in the results are striking. Namely, the introduction of Stratonovich cylindrical noise into each of their Hamiltonian formulations introduces stochastic Lie transport into their dynamics in the same form for both theories. Moreover, the resulting stochastic partial differential equations retain their unperturbed form, except for an additional term representing induced Lie transport by the set of divergence-free vector fields associated with the spatial correlations of the cylindrical noise. The explanation for this remarkable similarity lies in the method of construction of the Hamiltonian for the Stratonovich stochastic contribution to the motion in both cases, which is done via pairing spatial correlation eigenvectors for cylindrical noise with the momentum map for the deterministic motion. This momentum map is responsible for the well-known analogy between hydrodynamics and electromagnetism. The momentum map for the Maxwell and Born-Infeld theories of electromagnetism treated here is the 1-form density known as the Poynting vector. Two appendices treat the Hamiltonian structures underlying these results.

An inexact mixed risk-aversion two-stage stochastic programming model for water resources management under uncertainty.

PubMed

Li, W; Wang, B; Xie, Y L; Huang, G H; Liu, L

2015-02-01

Uncertainties exist in the water resources system, while traditional two-stage stochastic programming is risk-neutral and compares the random variables (e.g., total benefit) to identify the best decisions. To deal with the risk issues, a risk-aversion inexact two-stage stochastic programming model is developed for water resources management under uncertainty. The model was a hybrid methodology of interval-parameter programming, conditional value-at-risk measure, and a general two-stage stochastic programming framework. The method extends on the traditional two-stage stochastic programming method by enabling uncertainties presented as probability density functions and discrete intervals to be effectively incorporated within the optimization framework. It could not only provide information on the benefits of the allocation plan to the decision makers but also measure the extreme expected loss on the second-stage penalty cost. The developed model was applied to a hypothetical case of water resources management. Results showed that that could help managers generate feasible and balanced risk-aversion allocation plans, and analyze the trade-offs between system stability and economy.

Generalization of uncertainty relation for quantum and stochastic systems

NASA Astrophysics Data System (ADS)

Koide, T.; Kodama, T.

2018-06-01

The generalized uncertainty relation applicable to quantum and stochastic systems is derived within the stochastic variational method. This relation not only reproduces the well-known inequality in quantum mechanics but also is applicable to the Gross-Pitaevskii equation and the Navier-Stokes-Fourier equation, showing that the finite minimum uncertainty between the position and the momentum is not an inherent property of quantum mechanics but a common feature of stochastic systems. We further discuss the possible implication of the present study in discussing the application of the hydrodynamic picture to microscopic systems, like relativistic heavy-ion collisions.

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.

Stochasticity in staged models of epidemics: quantifying the dynamics of whooping cough

PubMed Central

Black, Andrew J.; McKane, Alan J.

2010-01-01

Although many stochastic models can accurately capture the qualitative epidemic patterns of many childhood diseases, there is still considerable discussion concerning the basic mechanisms generating these patterns; much of this stems from the use of deterministic models to try to understand stochastic simulations. We argue that a systematic method of analysing models of the spread of childhood diseases is required in order to consistently separate out the effects of demographic stochasticity, external forcing and modelling choices. Such a technique is provided by formulating the models as master equations and using the van Kampen system-size expansion to provide analytical expressions for quantities of interest. We apply this method to the susceptible–exposed–infected–recovered (SEIR) model with distributed exposed and infectious periods and calculate the form that stochastic oscillations take on in terms of the model parameters. With the use of a suitable approximation, we apply the formalism to analyse a model of whooping cough which includes seasonal forcing. This allows us to more accurately interpret the results of simulations and to make a more quantitative assessment of the predictions of the model. We show that the observed dynamics are a result of a macroscopic limit cycle induced by the external forcing and resonant stochastic oscillations about this cycle. PMID:20164086

Research in Stochastic Processes

DTIC Science & Technology

1988-08-31

stationary sequence, Stochastic Proc. Appl. 29, 1988, 155-169 T. Hsing, J. Husler and M.R. Leadbetter, On the exceedance point process for a stationary...Nandagopalan, On exceedance point processes for "regular" sample functions, Proc. Volume, Oberxolfach Conf. on Extreme Value Theory, J. Husler and R. Reiss...exceedance point processes for stationary sequences under mild oscillation restrictions, Apr. 88. Obermotfach Conf. on Extremal Value Theory. Ed. J. HUsler

Sequence Learning with Stochastic Feedback in a Cross-Cultural Sample of Boys in the Autistic Spectrum

ERIC Educational Resources Information Center

Hentschel, Maren; Lange-Kuttner, Christiane; Averbeck, Bruno B.

2016-01-01

The study investigated sequence learning from stochastic feedback in boys with Autistic Spectrum Disorder (ASD) and typically developed (TD) boys. We asked boys with ASD from Nigeria and the UK as well as age- and gender-matched controls (also males only) to deduce a sequence of four left and right button presses, LLRR, RRLL, LRLR, RLRL, LRRL and…

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.

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.

Stochastic joint inversion of hydrogeophysical data for salt tracer test monitoring and hydraulic conductivity imaging

NASA Astrophysics Data System (ADS)

Jardani, A.; Revil, A.; Dupont, J. P.

2013-02-01

The assessment of hydraulic conductivity of heterogeneous aquifers is a difficult task using traditional hydrogeological methods (e.g., steady state or transient pumping tests) due to their low spatial resolution. Geophysical measurements performed at the ground surface and in boreholes provide additional information for increasing the resolution and accuracy of the inverted hydraulic conductivity field. We used a stochastic joint inversion of Direct Current (DC) resistivity and self-potential (SP) data plus in situ measurement of the salinity in a downstream well during a synthetic salt tracer experiment to reconstruct the hydraulic conductivity field between two wells. The pilot point parameterization was used to avoid over-parameterization of the inverse problem. Bounds on the model parameters were used to promote a consistent Markov chain Monte Carlo sampling of the model parameters. To evaluate the effectiveness of the joint inversion process, we compared eight cases in which the geophysical data are coupled or not to the in situ sampling of the salinity to map the hydraulic conductivity. We first tested the effectiveness of the inversion of each type of data alone (concentration sampling, self-potential, and DC resistivity), and then we combined the data two by two. We finally combined all the data together to show the value of each type of geophysical data in the joint inversion process because of their different sensitivity map. We also investigated a case in which the data were contaminated with noise and the variogram unknown and inverted stochastically. The results of the inversion revealed that incorporating the self-potential data improves the estimate of hydraulic conductivity field especially when the self-potential data were combined to the salt concentration measurement in the second well or to the time-lapse cross-well electrical resistivity data. Various tests were also performed to quantify the uncertainty in the inverted hydraulic conductivity field.

A design tool for direct and non-stochastic calculations of near-field radiative transfer in complex structures: The NF-RT-FDTD algorithm

NASA Astrophysics Data System (ADS)

Didari, Azadeh; Pinar Mengüç, M.

2017-08-01

Advances in nanotechnology and nanophotonics are inextricably linked with the need for reliable computational algorithms to be adapted as design tools for the development of new concepts in energy harvesting, radiative cooling, nanolithography and nano-scale manufacturing, among others. In this paper, we provide an outline for such a computational tool, named NF-RT-FDTD, to determine the near-field radiative transfer between structured surfaces using Finite Difference Time Domain method. NF-RT-FDTD is a direct and non-stochastic algorithm, which accounts for the statistical nature of the thermal radiation and is easily applicable to any arbitrary geometry at thermal equilibrium. We present a review of the fundamental relations for far- and near-field radiative transfer between different geometries with nano-scale surface and volumetric features and gaps, and then we discuss the details of the NF-RT-FDTD formulation, its application to sample geometries and outline its future expansion to more complex geometries. In addition, we briefly discuss some of the recent numerical works for direct and indirect calculations of near-field thermal radiation transfer, including Scattering Matrix method, Finite Difference Time Domain method (FDTD), Wiener Chaos Expansion, Fluctuating Surface Current (FSC), Fluctuating Volume Current (FVC) and Thermal Discrete Dipole Approximations (TDDA).

Phthalocyanine-BODIPY dye: synthesis, characterization, and utilization for pattern recognition of CYFRA 21-1 in whole blood samples.

PubMed

Stefan-van Staden, Raluca-Ioana; Comnea-Stancu, Ionela Raluca; Yanık, Hülya; Göksel, Meltem; Alexandru, Anghel; Durmuş, Mahmut

2017-10-01

Phthalocyanine-BODIPY dye (BODIPY = boron dipyrromethene) was synthesized, fully characterized, and used for molecular recognition of CYFRA 21-1, a lung cancer biomarker, from whole blood samples. Thin films of three magnesium oxides ((MgO) n , where n = 8, 9, or 10)) were deposited on a paper substrate, and they were immersed in a solution of phthalocyanine-BODIPY dye (1.17 × 10 -3  mol/L) for the design of stochastic sensors. Limits of determination of picograms per milliliter magnitude order were recorded for the proposed stochastic sensors. CYFRA 21-1 was reliably identified and determined with recoveries higher than 95% and RSD lower than 1% in whole blood samples.

Optimal control strategy for an impulsive stochastic competition system with time delays and jumps

NASA Astrophysics Data System (ADS)

Liu, Lidan; Meng, Xinzhu; Zhang, Tonghua

2017-07-01

Driven by both white and jump noises, a stochastic delayed model with two competitive species in a polluted environment is proposed and investigated. By using the comparison theorem of stochastic differential equations and limit superior theory, sufficient conditions for persistence in mean and extinction of two species are established. In addition, we obtain that the system is asymptotically stable in distribution by using ergodic method. Furthermore, the optimal harvesting effort and the maximum of expectation of sustainable yield (ESY) are derived from Hessian matrix method and optimal harvesting theory of differential equations. Finally, some numerical simulations are provided to illustrate the theoretical results.

Method of sound synthesis

DOEpatents

Miner, Nadine E.; Caudell, Thomas P.

2004-06-08

A sound synthesis method for modeling and synthesizing dynamic, parameterized sounds. The sound synthesis method yields perceptually convincing sounds and provides flexibility through model parameterization. By manipulating model parameters, a variety of related, but perceptually different sounds can be generated. The result is subtle changes in sounds, in addition to synthesis of a variety of sounds, all from a small set of models. The sound models can change dynamically according to changes in the simulation environment. The method is applicable to both stochastic (impulse-based) and non-stochastic (pitched) sounds.

Stochastic simulation of reaction-diffusion systems: A fluctuating-hydrodynamics approach

NASA Astrophysics Data System (ADS)

Kim, Changho; Nonaka, Andy; Bell, John B.; Garcia, Alejandro L.; Donev, Aleksandar

2017-03-01

We develop numerical methods for stochastic reaction-diffusion systems based on approaches used for fluctuating hydrodynamics (FHD). For hydrodynamic systems, the FHD formulation is formally described by stochastic partial differential equations (SPDEs). In the reaction-diffusion systems we consider, our model becomes similar to the reaction-diffusion master equation (RDME) description when our SPDEs are spatially discretized and reactions are modeled as a source term having Poisson fluctuations. However, unlike the RDME, which becomes prohibitively expensive for an increasing number of molecules, our FHD-based description naturally extends from the regime where fluctuations are strong, i.e., each mesoscopic cell has few (reactive) molecules, to regimes with moderate or weak fluctuations, and ultimately to the deterministic limit. By treating diffusion implicitly, we avoid the severe restriction on time step size that limits all methods based on explicit treatments of diffusion and construct numerical methods that are more efficient than RDME methods, without compromising accuracy. Guided by an analysis of the accuracy of the distribution of steady-state fluctuations for the linearized reaction-diffusion model, we construct several two-stage (predictor-corrector) schemes, where diffusion is treated using a stochastic Crank-Nicolson method, and reactions are handled by the stochastic simulation algorithm of Gillespie or a weakly second-order tau leaping method. We find that an implicit midpoint tau leaping scheme attains second-order weak accuracy in the linearized setting and gives an accurate and stable structure factor for a time step size of an order of magnitude larger than the hopping time scale of diffusing molecules. We study the numerical accuracy of our methods for the Schlögl reaction-diffusion model both in and out of thermodynamic equilibrium. We demonstrate and quantify the importance of thermodynamic fluctuations to the formation of a two-dimensional Turing-like pattern and examine the effect of fluctuations on three-dimensional chemical front propagation. By comparing stochastic simulations to deterministic reaction-diffusion simulations, we show that fluctuations accelerate pattern formation in spatially homogeneous systems and lead to a qualitatively different disordered pattern behind a traveling wave.

Stochastic simulation of reaction-diffusion systems: A fluctuating-hydrodynamics approach

DOE PAGES

Kim, Changho; Nonaka, Andy; Bell, John B.; ...

2017-03-24

Here, we develop numerical methods for stochastic reaction-diffusion systems based on approaches used for fluctuating hydrodynamics (FHD). For hydrodynamic systems, the FHD formulation is formally described by stochastic partial differential equations (SPDEs). In the reaction-diffusion systems we consider, our model becomes similar to the reaction-diffusion master equation (RDME) description when our SPDEs are spatially discretized and reactions are modeled as a source term having Poisson fluctuations. However, unlike the RDME, which becomes prohibitively expensive for an increasing number of molecules, our FHD-based description naturally extends from the regime where fluctuations are strong, i.e., each mesoscopic cell has few (reactive) molecules,more » to regimes with moderate or weak fluctuations, and ultimately to the deterministic limit. By treating diffusion implicitly, we avoid the severe restriction on time step size that limits all methods based on explicit treatments of diffusion and construct numerical methods that are more efficient than RDME methods, without compromising accuracy. Guided by an analysis of the accuracy of the distribution of steady-state fluctuations for the linearized reaction-diffusion model, we construct several two-stage (predictor-corrector) schemes, where diffusion is treated using a stochastic Crank-Nicolson method, and reactions are handled by the stochastic simulation algorithm of Gillespie or a weakly second-order tau leaping method. We find that an implicit midpoint tau leaping scheme attains second-order weak accuracy in the linearized setting and gives an accurate and stable structure factor for a time step size of an order of magnitude larger than the hopping time scale of diffusing molecules. We study the numerical accuracy of our methods for the Schlögl reaction-diffusion model both in and out of thermodynamic equilibrium. We demonstrate and quantify the importance of thermodynamic fluctuations to the formation of a two-dimensional Turing-like pattern and examine the effect of fluctuations on three-dimensional chemical front propagation. Furthermore, by comparing stochastic simulations to deterministic reaction-diffusion simulations, we show that fluctuations accelerate pattern formation in spatially homogeneous systems and lead to a qualitatively different disordered pattern behind a traveling wave.« less

Generalized Likelihood Uncertainty Estimation (GLUE) Using Multi-Optimization Algorithm as Sampling Method

NASA Astrophysics Data System (ADS)

Wang, Z.

2015-12-01

For decades, distributed and lumped hydrological models have furthered our understanding of hydrological system. The development of hydrological simulation in large scale and high precision elaborated the spatial descriptions and hydrological behaviors. Meanwhile, the new trend is also followed by the increment of model complexity and number of parameters, which brings new challenges of uncertainty quantification. Generalized Likelihood Uncertainty Estimation (GLUE) has been widely used in uncertainty analysis for hydrological models referring to Monte Carlo method coupled with Bayesian estimation. However, the stochastic sampling method of prior parameters adopted by GLUE appears inefficient, especially in high dimensional parameter space. The heuristic optimization algorithms utilizing iterative evolution show better convergence speed and optimality-searching performance. In light of the features of heuristic optimization algorithms, this study adopted genetic algorithm, differential evolution, shuffled complex evolving algorithm to search the parameter space and obtain the parameter sets of large likelihoods. Based on the multi-algorithm sampling, hydrological model uncertainty analysis is conducted by the typical GLUE framework. To demonstrate the superiority of the new method, two hydrological models of different complexity are examined. The results shows the adaptive method tends to be efficient in sampling and effective in uncertainty analysis, providing an alternative path for uncertainty quantilization.

Simulating biological processes: stochastic physics from whole cells to colonies.

PubMed

Earnest, Tyler M; Cole, John A; Luthey-Schulten, Zaida

2018-05-01

The last few decades have revealed the living cell to be a crowded spatially heterogeneous space teeming with biomolecules whose concentrations and activities are governed by intrinsically random forces. It is from this randomness, however, that a vast array of precisely timed and intricately coordinated biological functions emerge that give rise to the complex forms and behaviors we see in the biosphere around us. This seemingly paradoxical nature of life has drawn the interest of an increasing number of physicists, and recent years have seen stochastic modeling grow into a major subdiscipline within biological physics. Here we review some of the major advances that have shaped our understanding of stochasticity in biology. We begin with some historical context, outlining a string of important experimental results that motivated the development of stochastic modeling. We then embark upon a fairly rigorous treatment of the simulation methods that are currently available for the treatment of stochastic biological models, with an eye toward comparing and contrasting their realms of applicability, and the care that must be taken when parameterizing them. Following that, we describe how stochasticity impacts several key biological functions, including transcription, translation, ribosome biogenesis, chromosome replication, and metabolism, before considering how the functions may be coupled into a comprehensive model of a 'minimal cell'. Finally, we close with our expectation for the future of the field, focusing on how mesoscopic stochastic methods may be augmented with atomic-scale molecular modeling approaches in order to understand life across a range of length and time scales.

Simulating biological processes: stochastic physics from whole cells to colonies

NASA Astrophysics Data System (ADS)

Earnest, Tyler M.; Cole, John A.; Luthey-Schulten, Zaida

2018-05-01

The last few decades have revealed the living cell to be a crowded spatially heterogeneous space teeming with biomolecules whose concentrations and activities are governed by intrinsically random forces. It is from this randomness, however, that a vast array of precisely timed and intricately coordinated biological functions emerge that give rise to the complex forms and behaviors we see in the biosphere around us. This seemingly paradoxical nature of life has drawn the interest of an increasing number of physicists, and recent years have seen stochastic modeling grow into a major subdiscipline within biological physics. Here we review some of the major advances that have shaped our understanding of stochasticity in biology. We begin with some historical context, outlining a string of important experimental results that motivated the development of stochastic modeling. We then embark upon a fairly rigorous treatment of the simulation methods that are currently available for the treatment of stochastic biological models, with an eye toward comparing and contrasting their realms of applicability, and the care that must be taken when parameterizing them. Following that, we describe how stochasticity impacts several key biological functions, including transcription, translation, ribosome biogenesis, chromosome replication, and metabolism, before considering how the functions may be coupled into a comprehensive model of a ‘minimal cell’. Finally, we close with our expectation for the future of the field, focusing on how mesoscopic stochastic methods may be augmented with atomic-scale molecular modeling approaches in order to understand life across a range of length and time scales.

Impact of AGN and nebular emission on the estimation of stellar properties of galaxies

NASA Astrophysics Data System (ADS)

Cardoso, Leandro Saul Machado

The aim of this PhD thesis is to apply tools from stochastic modeling to wind power, speed and direction data, in order to reproduce their empirically observed statistical features. In particular, the wind energy conversion process is modeled as a Langevin process, which allows to describe its dynamics with only two coefficients, namely the drift and the diffusion coefficients. Both coefficients can be directly derived from collected time-series and this so-called Langevin method has proved to be successful in several cases. However, the application to empirical data subjected to measurement noise sources in general and the case of wind turbines in particular poses several challenges and this thesis proposes methods to tackle them. To apply the Langevin method it is necessary to have data that is both stationary and Markovian, which is typically not the case. Moreover, the available time-series are often short and have missing data points, which affects the estimation of the coefficients. This thesis proposes a new methodology to overcome these issues by modeling the original data with a Markov chain prior to the Langevin analysis. The latter is then performed on data synthesized from the Markov chain model of wind data. Moreover, it is shown that the Langevin method can be applied to low sample rate wind data, namely 10-minute average data. The method is then extended in two different directions. First, to tackle non-stationary data sets. Wind data often exhibits daily patterns due to the solar cycle and this thesis proposes a method to consider these daily patterns in the analysis of the timeseries. For that, a cyclic Markov model is developed for the data synthesis step and subsequently, for each time of the day, a separate Langevin analysis of the wind energy conversion system is performed. Second, to resolve the dynamical stochastic process in the case it is spoiled by measurement noise. When working with measurement data a challenge can be posed by the quality of the data in itself. Often measurement devices add noise to the time-series that is different from the intrinsic noise of the underlying stochastic process and can even be time-correlated. This spoiled data, analyzed with the Langevin method leads to distorted drift and diffusion coefficients. This thesis proposes a direct, parameter-free way to extract the Langevin coefficients as well as the parameters of the measurement noise from spoiled data. Put in a more general context, the method allows to disentangle two superposed independent stochastic processes. Finally, since a characteristic of wind energy that motivates this stochastic modeling framework is the fluctuating nature of wind itself, several issues raise when it comes to reserve commitment or bidding on the liberalized energy market. This thesis proposes a measure to quantify the risk-returnratio that is associated to wind power production conditioned to a wind park state. The proposed state of the wind park takes into account data from all wind turbines constituting the park and also their correlations at different time lags. None

K-Minimax Stochastic Programming Problems

NASA Astrophysics Data System (ADS)

Nedeva, C.

2007-10-01

The purpose of this paper is a discussion of a numerical procedure based on the simplex method for stochastic optimization problems with partially known distribution functions. The convergence of this procedure is proved by the condition on dual problems.

Stochastic industrial source detection using lower cost methods

EPA Science Inventory

Hazardous air pollutants (HAPs) can be emitted from a variety of sources in industrial facilities, energy production, and commercial operations. Stochastic industrial sources (SISs) represent a subcategory of emissions from fugitive leaks, variable area sources, malfunctioning p...

Stochastic Optimization for an Analytical Model of Saltwater Intrusion in Coastal Aquifers

PubMed Central

Stratis, Paris N.; Karatzas, George P.; Papadopoulou, Elena P.; Zakynthinaki, Maria S.; Saridakis, Yiannis G.

2016-01-01

The present study implements a stochastic optimization technique to optimally manage freshwater pumping from coastal aquifers. Our simulations utilize the well-known sharp interface model for saltwater intrusion in coastal aquifers together with its known analytical solution. The objective is to maximize the total volume of freshwater pumped by the wells from the aquifer while, at the same time, protecting the aquifer from saltwater intrusion. In the direction of dealing with this problem in real time, the ALOPEX stochastic optimization method is used, to optimize the pumping rates of the wells, coupled with a penalty-based strategy that keeps the saltwater front at a safe distance from the wells. Several numerical optimization results, that simulate a known real aquifer case, are presented. The results explore the computational performance of the chosen stochastic optimization method as well as its abilities to manage freshwater pumping in real aquifer environments. PMID:27689362

Stationary responses of a Rayleigh viscoelastic system with zero barrier impacts under external random excitation.

PubMed

Wang, Deli; Xu, Wei; Zhao, Xiangrong

2016-03-01

This paper aims to deal with the stationary responses of a Rayleigh viscoelastic system with zero barrier impacts under external random excitation. First, the original stochastic viscoelastic system is converted to an equivalent stochastic system without viscoelastic terms by approximately adding the equivalent stiffness and damping. Relying on the means of non-smooth transformation of state variables, the above system is replaced by a new system without an impact term. Then, the stationary probability density functions of the system are observed analytically through stochastic averaging method. By considering the effects of the biquadratic nonlinear damping coefficient and the noise intensity on the system responses, the effectiveness of the theoretical method is tested by comparing the analytical results with those generated from Monte Carlo simulations. Additionally, it does deserve attention that some system parameters can induce the occurrence of stochastic P-bifurcation.

Stochastic 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.

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

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

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

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

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.

Chemically intuited, large-scale screening of MOFs by machine learning techniques

NASA Astrophysics Data System (ADS)

Borboudakis, Giorgos; Stergiannakos, Taxiarchis; Frysali, Maria; Klontzas, Emmanuel; Tsamardinos, Ioannis; Froudakis, George E.

2017-10-01

A novel computational methodology for large-scale screening of MOFs is applied to gas storage with the use of machine learning technologies. This approach is a promising trade-off between the accuracy of ab initio methods and the speed of classical approaches, strategically combined with chemical intuition. The results demonstrate that the chemical properties of MOFs are indeed predictable (stochastically, not deterministically) using machine learning methods and automated analysis protocols, with the accuracy of predictions increasing with sample size. Our initial results indicate that this methodology is promising to apply not only to gas storage in MOFs but in many other material science projects.

A general moment expansion method for stochastic kinetic models

NASA Astrophysics Data System (ADS)

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

2013-05-01

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

Stochastic simulation by image quilting of process-based geological models

NASA Astrophysics Data System (ADS)

Hoffimann, Júlio; Scheidt, Céline; Barfod, Adrian; Caers, Jef

2017-09-01

Process-based modeling offers a way to represent realistic geological heterogeneity in subsurface models. The main limitation lies in conditioning such models to data. Multiple-point geostatistics can use these process-based models as training images and address the data conditioning problem. In this work, we further develop image quilting as a method for 3D stochastic simulation capable of mimicking the realism of process-based geological models with minimal modeling effort (i.e. parameter tuning) and at the same time condition them to a variety of data. In particular, we develop a new probabilistic data aggregation method for image quilting that bypasses traditional ad-hoc weighting of auxiliary variables. In addition, we propose a novel criterion for template design in image quilting that generalizes the entropy plot for continuous training images. The criterion is based on the new concept of voxel reuse-a stochastic and quilting-aware function of the training image. We compare our proposed method with other established simulation methods on a set of process-based training images of varying complexity, including a real-case example of stochastic simulation of the buried-valley groundwater system in Denmark.

Perturbation expansions of stochastic wavefunctions for open quantum systems

NASA Astrophysics Data System (ADS)

Ke, Yaling; Zhao, Yi

2017-11-01

Based on the stochastic unravelling of the reduced density operator in the Feynman path integral formalism for an open quantum system in touch with harmonic environments, a new non-Markovian stochastic Schrödinger equation (NMSSE) has been established that allows for the systematic perturbation expansion in the system-bath coupling to arbitrary order. This NMSSE can be transformed in a facile manner into the other two NMSSEs, i.e., non-Markovian quantum state diffusion and time-dependent wavepacket diffusion method. Benchmarked by numerically exact results, we have conducted a comparative study of the proposed method in its lowest order approximation, with perturbative quantum master equations in the symmetric spin-boson model and the realistic Fenna-Matthews-Olson complex. It is found that our method outperforms the second-order time-convolutionless quantum master equation in the whole parameter regime and even far better than the fourth-order in the slow bath and high temperature cases. Besides, the method is applicable on an equal footing for any kind of spectral density function and is expected to be a powerful tool to explore the quantum dynamics of large-scale systems, benefiting from the wavefunction framework and the time-local appearance within a single stochastic trajectory.

Adaptive Importance Sampling for Control and Inference

NASA Astrophysics Data System (ADS)

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

2016-03-01

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

Efficient simulation of intrinsic, extrinsic and external noise in biochemical systems

PubMed Central

Pischel, Dennis; Sundmacher, Kai; Flassig, Robert J.

2017-01-01

Abstract Motivation: Biological cells operate in a noisy regime influenced by intrinsic, extrinsic and external noise, which leads to large differences of individual cell states. Stochastic effects must be taken into account to characterize biochemical kinetics accurately. Since the exact solution of the chemical master equation, which governs the underlying stochastic process, cannot be derived for most biochemical systems, approximate methods are used to obtain a solution. Results: In this study, a method to efficiently simulate the various sources of noise simultaneously is proposed and benchmarked on several examples. The method relies on the combination of the sigma point approach to describe extrinsic and external variability and the τ-leaping algorithm to account for the stochasticity due to probabilistic reactions. The comparison of our method to extensive Monte Carlo calculations demonstrates an immense computational advantage while losing an acceptable amount of accuracy. Additionally, the application to parameter optimization problems in stochastic biochemical reaction networks is shown, which is rarely applied due to its huge computational burden. To give further insight, a MATLAB script is provided including the proposed method applied to a simple toy example of gene expression. Availability and implementation: MATLAB code is available at Bioinformatics online. Contact: flassig@mpi-magdeburg.mpg.de Supplementary information: Supplementary data are available at Bioinformatics online. PMID:28881987

Optimization under variability and uncertainty: a case study for NOx emissions control for a gasification system.

PubMed

Chen, Jianjun; Frey, H Christopher

2004-12-15

Methods for optimization of process technologies considering the distinction between variability and uncertainty are developed and applied to case studies of NOx control for Integrated Gasification Combined Cycle systems. Existing methods of stochastic optimization (SO) and stochastic programming (SP) are demonstrated. A comparison of SO and SP results provides the value of collecting additional information to reduce uncertainty. For example, an expected annual benefit of 240,000 dollars is estimated if uncertainty can be reduced before a final design is chosen. SO and SP are typically applied to uncertainty. However, when applied to variability, the benefit of dynamic process control is obtained. For example, an annual savings of 1 million dollars could be achieved if the system is adjusted to changes in process conditions. When variability and uncertainty are treated distinctively, a coupled stochastic optimization and programming method and a two-dimensional stochastic programming method are demonstrated via a case study. For the case study, the mean annual benefit of dynamic process control is estimated to be 700,000 dollars, with a 95% confidence range of 500,000 dollars to 940,000 dollars. These methods are expected to be of greatest utility for problems involving a large commitment of resources, for which small differences in designs can produce large cost savings.

Path durations for use in the stochastic‐method simulation of ground motions

USGS Publications Warehouse

Boore, David M.; Thompson, Eric M.

2014-01-01

The stochastic method of ground‐motion simulation assumes that the energy in a target spectrum is spread over a duration DT. DT is generally decomposed into the duration due to source effects (DS) and to path effects (DP). For the most commonly used source, seismological theory directly relates DS to the source corner frequency, accounting for the magnitude scaling of DT. In contrast, DP is related to propagation effects that are more difficult to represent by analytic equations based on the physics of the process. We are primarily motivated to revisit DT because the function currently employed by many implementations of the stochastic method for active tectonic regions underpredicts observed durations, leading to an overprediction of ground motions for a given target spectrum. Further, there is some inconsistency in the literature regarding which empirical duration corresponds to DT. Thus, we begin by clarifying the relationship between empirical durations and DT as used in the first author’s implementation of the stochastic method, and then we develop a new DP relationship. The new DP function gives significantly longer durations than in the previous DP function, but the relative contribution of DP to DT still diminishes with increasing magnitude. Thus, this correction is more important for small events or subfaults of larger events modeled with the stochastic finite‐fault method.

Inverse Modeling Using Markov Chain Monte Carlo Aided by Adaptive Stochastic Collocation Method with Transformation

NASA Astrophysics Data System (ADS)

Zhang, D.; Liao, Q.

2016-12-01

The Bayesian inference provides a convenient framework to solve statistical inverse problems. In this method, the parameters to be identified are treated as random variables. The prior knowledge, the system nonlinearity, and the measurement errors can be directly incorporated in the posterior probability density function (PDF) of the parameters. The Markov chain Monte Carlo (MCMC) method is a powerful tool to generate samples from the posterior PDF. However, since the MCMC usually requires thousands or even millions of forward simulations, it can be a computationally intensive endeavor, particularly when faced with large-scale flow and transport models. To address this issue, we construct a surrogate system for the model responses in the form of polynomials by the stochastic collocation method. In addition, we employ interpolation based on the nested sparse grids and takes into account the different importance of the parameters, under the condition of high random dimensions in the stochastic space. Furthermore, in case of low regularity such as discontinuous or unsmooth relation between the input parameters and the output responses, we introduce an additional transform process to improve the accuracy of the surrogate model. Once we build the surrogate system, we may evaluate the likelihood with very little computational cost. We analyzed the convergence rate of the forward solution and the surrogate posterior by Kullback-Leibler divergence, which quantifies the difference between probability distributions. The fast convergence of the forward solution implies fast convergence of the surrogate posterior to the true posterior. We also tested the proposed algorithm on water-flooding two-phase flow reservoir examples. The posterior PDF calculated from a very long chain with direct forward simulation is assumed to be accurate. The posterior PDF calculated using the surrogate model is in reasonable agreement with the reference, revealing a great improvement in terms of computational efficiency.

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

PubMed

Zimmer, Christoph

2016-01-01

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

Stochastic Methods for Aircraft Design

NASA Technical Reports Server (NTRS)

Pelz, Richard B.; Ogot, Madara

1998-01-01

The global stochastic optimization method, simulated annealing (SA), was adapted and applied to various problems in aircraft design. The research was aimed at overcoming the problem of finding an optimal design in a space with multiple minima and roughness ubiquitous to numerically generated nonlinear objective functions. SA was modified to reduce the number of objective function evaluations for an optimal design, historically the main criticism of stochastic methods. SA was applied to many CFD/MDO problems including: low sonic-boom bodies, minimum drag on supersonic fore-bodies, minimum drag on supersonic aeroelastic fore-bodies, minimum drag on HSCT aeroelastic wings, FLOPS preliminary design code, another preliminary aircraft design study with vortex lattice aerodynamics, HSR complete aircraft aerodynamics. In every case, SA provided a simple, robust and reliable optimization method which found optimal designs in order 100 objective function evaluations. Perhaps most importantly, from this academic/industrial project, technology has been successfully transferred; this method is the method of choice for optimization problems at Northrop Grumman.

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.

The stochastic dynamics of intermittent porescale particle motion

NASA Astrophysics Data System (ADS)

Dentz, Marco; Morales, Veronica; Puyguiraud, Alexandre; Gouze, Philippe; Willmann, Matthias; Holzner, Markus

2017-04-01

Numerical and experimental data for porescale particle dynamics show intermittent patterns in Lagrangian velocities and accelerations, which manifest in long time intervals of low and short durations of high velocities [1, 2]. This phenomenon is due to the spatial persistence of particle velocities on characteristic heterogeneity length scales. In order to systematically quantify these behaviors and extract the stochastic dynamics of particle motion, we focus on the analysis of Lagrangian velocities sampled equidistantly along trajectories [3]. This method removes the intermittency observed under isochrone sampling. The space-Lagrangian velocity series can be quantified by a Markov process that is continuous in distance along streamline. It is fully parameterized in terms of the flux-weighted Eulerian velocity PDF and the characteristic pore-length. The resulting stochastic particle motion describes a continuous time random walk (CTRW). This approach allows for the process based interpretation of experimental and numerical porescale velocity, acceleration and displacement data. It provides a framework for the characterization and upscaling of particle transport and dispersion from the pore to the Darcy-scale based on the medium geometry and Eulerian flow attributes. [1] P. De Anna, T. Le Borgne, M. Dentz, A.M. Tartakovsky, D. Bolster, and P. Davy, "Flow intermittency, dispersion, and correlated continuous time random walks in porous media," Phys. Rev. Lett. 110, 184502 (2013). [2] M. Holzner, V. L. Morales, M. Willmann, and M. Dentz, "Intermittent Lagrangian velocities and accelerations in three- dimensional porous medium flow," Phys. Rev. E 92, 013015 (2015). [3] M. Dentz, P. K. Kang, A. Comolli, T. Le Borgne, and D. R. Lester, "Continuous time random walks for the evolution of Lagrangian velocities," Phys. Rev. Fluids (2016).

Longitudinal analysis of bioaccumulative contaminants in freshwater fishes

USGS Publications Warehouse

Sun, Jielun; Kim, Y.; Schmitt, C.J.

2003-01-01

The National Contaminant Biomonitoring Program (NCBP) was initiated in 1967 as a component of the National Pesticide Monitoring program. It consists of periodic collection of freshwater fish and other samples and the analysis of the concentrations of persistent environmental contaminants in these samples. For the analysis, the common approach has been to apply the mixed two-way ANOVA model to combined data. A main disadvantage of this method is that it cannot give a detailed temporal trend of the concentrations since the data are grouped. In this paper, we present an alternative approach that performs a longitudinal analysis of the information using random effects models. In the new approach, no grouping is needed and the data are treated as samples from continuous stochastic processes, which seems more appropriate than ANOVA for the problem.

Incorporation of stochastic engineering models as prior information in Bayesian medical device trials.

PubMed

Haddad, Tarek; Himes, Adam; Thompson, Laura; Irony, Telba; Nair, Rajesh

2017-01-01

Evaluation of medical devices via clinical trial is often a necessary step in the process of bringing a new product to market. In recent years, device manufacturers are increasingly using stochastic engineering models during the product development process. These models have the capability to simulate virtual patient outcomes. This article presents a novel method based on the power prior for augmenting a clinical trial using virtual patient data. To properly inform clinical evaluation, the virtual patient model must simulate the clinical outcome of interest, incorporating patient variability, as well as the uncertainty in the engineering model and in its input parameters. The number of virtual patients is controlled by a discount function which uses the similarity between modeled and observed data. This method is illustrated by a case study of cardiac lead fracture. Different discount functions are used to cover a wide range of scenarios in which the type I error rates and power vary for the same number of enrolled patients. Incorporation of engineering models as prior knowledge in a Bayesian clinical trial design can provide benefits of decreased sample size and trial length while still controlling type I error rate and power.

Stochastic modeling of experimental chaotic time series.

PubMed

Stemler, Thomas; Werner, Johannes P; Benner, Hartmut; Just, Wolfram

2007-01-26

Methods developed recently to obtain stochastic models of low-dimensional chaotic systems are tested in electronic circuit experiments. We demonstrate that reliable drift and diffusion coefficients can be obtained even when no excessive time scale separation occurs. Crisis induced intermittent motion can be described in terms of a stochastic model showing tunneling which is dominated by state space dependent diffusion. Analytical solutions of the corresponding Fokker-Planck equation are in excellent agreement with experimental data.

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

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

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

2014-03-15

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

Idempotent Methods for Continuous Time Nonlinear Stochastic Control

DTIC Science & Technology

2012-09-13

AND ADDRESS(ES) dba AND ADDRESS(ES) 8. PERFORMING ORGANIZATION REPORT NUMBER Stochastech Corporation dba Tempest Technologies 8939 S...Stochastic Control Problems Ben G. Fitzpatrick Tempest Technologies 8939 S. Sepulveda Boulevard, Suite 506 Los Angeles, CA 90045 Sponsored by

Application of stochastic methods for wind speed forecasting and wind turbines design at the area of Thessaly, Greece

NASA Astrophysics Data System (ADS)

Dimitriadis, Panayiotis; Lazaros, Lappas; Daskalou, Olympia; Filippidou, Ariadni; Giannakou, Marianna; Gkova, Eleni; Ioannidis, Romanos; Polydera, Angeliki; Polymerou, Eleni; Psarrou, Eleftheria; Vyrini, Alexandra; Papalexiou, Simon; Koutsoyiannis, Demetris

2015-04-01

Several methods exist for estimating the statistical properties of wind speed, most of them being deterministic or probabilistic, disregarding though its long-term behaviour. Here, we focus on the stochastic nature of wind. After analyzing several historical timeseries at the area of interest (AoI) in Thessaly (Greece), we show that a Hurst-Kolmogorov (HK) behaviour is apparent. Thus, disregarding the latter could lead to unrealistic predictions and wind load situations, causing some impact on the energy production and management. Moreover, we construct a stochastic model capable of preserving the HK behaviour and we produce synthetic timeseries using a Monte-Carlo approach to estimate the future wind loads in the AoI. Finally, we identify the appropriate types of wind turbines for the AoI (based on the IEC 61400 standards) and propose several industrial solutions. 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.

Multiscale Hy3S: hybrid stochastic simulation for supercomputers.

PubMed

Salis, Howard; Sotiropoulos, Vassilios; Kaznessis, Yiannis N

2006-02-24

Stochastic simulation has become a useful tool to both study natural biological systems and design new synthetic ones. By capturing the intrinsic molecular fluctuations of "small" systems, these simulations produce a more accurate picture of single cell dynamics, including interesting phenomena missed by deterministic methods, such as noise-induced oscillations and transitions between stable states. However, the computational cost of the original stochastic simulation algorithm can be high, motivating the use of hybrid stochastic methods. Hybrid stochastic methods partition the system into multiple subsets and describe each subset as a different representation, such as a jump Markov, Poisson, continuous Markov, or deterministic process. By applying valid approximations and self-consistently merging disparate descriptions, a method can be considerably faster, while retaining accuracy. In this paper, we describe Hy3S, a collection of multiscale simulation programs. Building on our previous work on developing novel hybrid stochastic algorithms, we have created the Hy3S software package to enable scientists and engineers to both study and design extremely large well-mixed biological systems with many thousands of reactions and chemical species. We have added adaptive stochastic numerical integrators to permit the robust simulation of dynamically stiff biological systems. In addition, Hy3S has many useful features, including embarrassingly parallelized simulations with MPI; special discrete events, such as transcriptional and translation elongation and cell division; mid-simulation perturbations in both the number of molecules of species and reaction kinetic parameters; combinatorial variation of both initial conditions and kinetic parameters to enable sensitivity analysis; use of NetCDF optimized binary format to quickly read and write large datasets; and a simple graphical user interface, written in Matlab, to help users create biological systems and analyze data. We demonstrate the accuracy and efficiency of Hy3S with examples, including a large-scale system benchmark and a complex bistable biochemical network with positive feedback. The software itself is open-sourced under the GPL license and is modular, allowing users to modify it for their own purposes. Hy3S is a powerful suite of simulation programs for simulating the stochastic dynamics of networks of biochemical reactions. Its first public version enables computational biologists to more efficiently investigate the dynamics of realistic biological systems.

Dynamically Hedging Oil and Currency Futures Using Receding Horizontal Control and Stochastic Programming

NASA Astrophysics Data System (ADS)

Cottrell, Paul Edward

There is a lack of research in the area of hedging future contracts, especially in illiquid or very volatile market conditions. It is important to understand the volatility of the oil and currency markets because reduced fluctuations in these markets could lead to better hedging performance. This study compared different hedging methods by using a hedging error metric, supplementing the Receding Horizontal Control and Stochastic Programming (RHCSP) method by utilizing the London Interbank Offered Rate with the Levy process. The RHCSP hedging method was investigated to determine if improved hedging error was accomplished compared to the Black-Scholes, Leland, and Whalley and Wilmott methods when applied on simulated, oil, and currency futures markets. A modified RHCSP method was also investigated to determine if this method could significantly reduce hedging error under extreme market illiquidity conditions when applied on simulated, oil, and currency futures markets. This quantitative study used chaos theory and emergence for its theoretical foundation. An experimental research method was utilized for this study with a sample size of 506 hedging errors pertaining to historical and simulation data. The historical data were from January 1, 2005 through December 31, 2012. The modified RHCSP method was found to significantly reduce hedging error for the oil and currency market futures by the use of a 2-way ANOVA with a t test and post hoc Tukey test. This study promotes positive social change by identifying better risk controls for investment portfolios and illustrating how to benefit from high volatility in markets. Economists, professional investment managers, and independent investors could benefit from the findings of this study.

Study on Stationarity of Random Load Spectrum Based on the Special Road

NASA Astrophysics Data System (ADS)

Yan, Huawen; Zhang, Weigong; Wang, Dong

2017-09-01

In the special road quality assessment method, there is a method using a wheel force sensor, the essence of this method is collecting the load spectrum of the car to reflect the quality of road. According to the definition of stochastic process, it is easy to find that the load spectrum is a stochastic process. However, the analysis method and application range of different random processes are very different, especially in engineering practice, which will directly affect the design and development of the experiment. Therefore, determining the type of a random process has important practical significance. Based on the analysis of the digital characteristics of road load spectrum, this paper determines that the road load spectrum in this experiment belongs to a stationary stochastic process, paving the way for the follow-up modeling and feature extraction of the special road.

Comparison between satellite and instrumental solar irradiance data at the city of Athens, Greece

NASA Astrophysics Data System (ADS)

Markonis, Yannis; Dimoulas, Thanos; Atalioti, Athina; Konstantinou, Charalampos; Kontini, Anna; Pipini, Magdalini-Io; Skarlatou, Eleni; Sarantopoulos, Vasilis; Tzouka, Katerina; Papalexiou, Simon; Koutsoyiannis, Demetris

2015-04-01

In this study, we examine and compare the statistical properties of satellite and instrumental solar irradiance data at the capital of Greece, Athens. Our aim is to determine whether satellite data are sufficient for the requirements of solar energy modelling applications. To this end we estimate the corresponding probability density functions, the auto-correlation functions and the parameters of some fitted simple stochastic models. We also investigate the effect of sample size to the variance in the temporal interpolation of daily time series. Finally, as an alternative, we examine if temperature can be used as a better predictor for the daily irradiance non-seasonal component instead of the satellite data. 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.

Robust Bayesian Analysis of Heavy-tailed Stochastic Volatility Models using Scale Mixtures of Normal Distributions

PubMed Central

Abanto-Valle, C. A.; Bandyopadhyay, D.; Lachos, V. H.; Enriquez, I.

2009-01-01

A Bayesian analysis of stochastic volatility (SV) models using the class of symmetric scale mixtures of normal (SMN) distributions is considered. In the face of non-normality, this provides an appealing robust alternative to the routine use of the normal distribution. Specific distributions examined include the normal, student-t, slash and the variance gamma distributions. Using a Bayesian paradigm, an efficient Markov chain Monte Carlo (MCMC) algorithm is introduced for parameter estimation. Moreover, the mixing parameters obtained as a by-product of the scale mixture representation can be used to identify outliers. The methods developed are applied to analyze daily stock returns data on S&P500 index. Bayesian model selection criteria as well as out-of- sample forecasting results reveal that the SV models based on heavy-tailed SMN distributions provide significant improvement in model fit as well as prediction to the S&P500 index data over the usual normal model. PMID:20730043

Returns and determinants of technical efficiency in small-scale Malabari goat production units in Kerala, India.

PubMed

Alex, Rani; Kunniyoor Cheemani, Raghavan; Thomas, Naicy

2013-11-01

A stochastic frontier production function was employed to measure technical efficiency and its determinants in smallholder Malabari goat production units in Kerala, India. Data were obtained from 100 goat farmers in northern Kerala, selected using multistage random sampling. The parameters of the stochastic frontier production function were estimated using the maximum likelihood method. Cost and return analysis showed that the major expenditure was feed and fodder, and veterinary expenses were secondary. The chief returns were the sale of live animals, milk and manure. Individual farm technical efficiency ranged from 0.34 to 0.97 with a mean of 0.88. The study found herd size (number of animal units) and centre (locality of farm) significantly affected technical efficiency, but sex of farmer, education, land size and family size did not. Technical efficiency decreased as herd size increased; half the units with five or more adult animals had technical efficiency below 60 %.

Quantum dynamics simulations in an ultraslow bath using hierarchy of stochastic Schrödinger equations

NASA Astrophysics Data System (ADS)

Ke, Yaling; Zhao, Yi

2018-04-01

The hierarchy of stochastic Schrödinger equation, previously developed under the unpolarised initial bath states, is extended in this paper for open quantum dynamics under polarised initial bath conditions. The method is proved to be a powerful tool in investigating quantum dynamics exposed to an ultraslow Ohmic bath, as in this case the hierarchical truncation level and the random sampling number can be kept at a relatively small extent. By systematically increasing the system-bath coupling strength, the symmetric Ohmic spin-boson dynamics is investigated at finite temperature, with a very small cut-off frequency. It is confirmed that the slow bath makes the system dynamics extremely sensitive to the initial bath conditions. The localisation tendency is stronger in the polarised initial bath conditions. Besides, the oscillatory coherent dynamics persists even when the system-bath coupling is very strong, in correspondence with what is found recently in the deep sub-Ohmic bath, where also the low-frequency modes dominate.

Stochastic detection of enantiomers.

PubMed

Kang, Xiao-Feng; Cheley, Stephen; Guan, Xiyun; Bayley, Hagan

2006-08-23

The rapid quantification of the enantiomers of small chiral molecules is very important, notably in pharmacology. Here, we show that the enantiomers of drug molecules can be distinguished by stochastic sensing, a single-molecule detection technique. The sensing element is an engineered alpha-hemolysin protein pore, fitted with a beta-cyclodextrin adapter. By using the approach, the enantiomeric composition of samples of ibuprofen and thalidomide can be determined in less than 1 s.

Stochastic search in structural optimization - Genetic algorithms and simulated annealing

NASA Technical Reports Server (NTRS)

Hajela, Prabhat

1993-01-01

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

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.

Probabilistic Inference in General Graphical Models through Sampling in Stochastic Networks of Spiking Neurons

PubMed Central

Pecevski, Dejan; Buesing, Lars; Maass, Wolfgang

2011-01-01

An important open problem of computational neuroscience is the generic organization of computations in networks of neurons in the brain. We show here through rigorous theoretical analysis that inherent stochastic features of spiking neurons, in combination with simple nonlinear computational operations in specific network motifs and dendritic arbors, enable networks of spiking neurons to carry out probabilistic inference through sampling in general graphical models. In particular, it enables them to carry out probabilistic inference in Bayesian networks with converging arrows (“explaining away”) and with undirected loops, that occur in many real-world tasks. Ubiquitous stochastic features of networks of spiking neurons, such as trial-to-trial variability and spontaneous activity, are necessary ingredients of the underlying computational organization. We demonstrate through computer simulations that this approach can be scaled up to neural emulations of probabilistic inference in fairly large graphical models, yielding some of the most complex computations that have been carried out so far in networks of spiking neurons. PMID:22219717

A stochastic hybrid model for pricing forward-start variance swaps

NASA Astrophysics Data System (ADS)

Roslan, Teh Raihana Nazirah

2017-11-01

Recently, market players have been exposed to the astounding increase in the trading volume of variance swaps. In this paper, the forward-start nature of a variance swap is being inspected, where hybridizations of equity and interest rate models are used to evaluate the price of discretely-sampled forward-start variance swaps. The Heston stochastic volatility model is being extended to incorporate the dynamics of the Cox-Ingersoll-Ross (CIR) stochastic interest rate model. This is essential since previous studies on variance swaps were mainly focusing on instantaneous-start variance swaps without considering the interest rate effects. This hybrid model produces an efficient semi-closed form pricing formula through the development of forward characteristic functions. The performance of this formula is investigated via simulations to demonstrate how the formula performs for different sampling times and against the real market scenario. Comparison done with the Monte Carlo simulation which was set as our main reference point reveals that our pricing formula gains almost the same precision in a shorter execution time.

Stochastic quantization of (λϕ4)d scalar theory: Generalized Langevin equation with memory kernel

NASA Astrophysics Data System (ADS)

Menezes, G.; Svaiter, N. F.

2007-02-01

The method of stochastic quantization for a scalar field theory is reviewed. A brief survey for the case of self-interacting scalar field, implementing the stochastic perturbation theory up to the one-loop level, is presented. Then, it is introduced a colored random noise in the Einstein's relations, a common prescription employed by one of the stochastic regularizations, to control the ultraviolet divergences of the theory. This formalism is extended to the case where a Langevin equation with a memory kernel is used. It is shown that, maintaining the Einstein's relations with a colored noise, there is convergence to a non-regularized theory.

Stochastic growth logistic model with aftereffect for batch fermentation process

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

Rosli, Norhayati; Ayoubi, Tawfiqullah; Bahar, Arifah

2014-06-19

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

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

DOE PAGES

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

2016-04-02

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

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.

Stochastic growth logistic model with aftereffect for batch fermentation process

NASA Astrophysics Data System (ADS)

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

2014-06-01

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

Two Stochastic Phases of Tick-wise Price Fluctuation and the Price Prediction Generator

NASA Astrophysics Data System (ADS)

Tanaka-Yamawaki, Mieko; Tokuoka, Seiji

2007-07-01

We report in this paper the existence of two different stochastic phases in the tick-wise price fluctuations. Based on this observation, we improve our old method of developing the evolutional strategy to predict the direction of the tick-wise price movements. We obtain a stable predictive power even in the region where the old method had a difficulty.

Large Deviations for Stochastic Models of Two-Dimensional Second Grade Fluids

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

Zhai, Jianliang, E-mail: zhaijl@ustc.edu.cn; Zhang, Tusheng, E-mail: Tusheng.Zhang@manchester.ac.uk

2017-06-15

In this paper, we establish a large deviation principle for stochastic models of incompressible second grade fluids. The weak convergence method introduced by Budhiraja and Dupuis (Probab Math Statist 20:39–61, 2000) plays an important role.

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.

MONALISA for stochastic simulations of Petri net models of biochemical systems.

PubMed

Balazki, Pavel; Lindauer, Klaus; Einloft, Jens; Ackermann, Jörg; Koch, Ina

2015-07-10

The concept of Petri nets (PN) is widely used in systems biology and allows modeling of complex biochemical systems like metabolic systems, signal transduction pathways, and gene expression networks. In particular, PN allows the topological analysis based on structural properties, which is important and useful when quantitative (kinetic) data are incomplete or unknown. Knowing the kinetic parameters, the simulation of time evolution of such models can help to study the dynamic behavior of the underlying system. If the number of involved entities (molecules) is low, a stochastic simulation should be preferred against the classical deterministic approach of solving ordinary differential equations. The Stochastic Simulation Algorithm (SSA) is a common method for such simulations. The combination of the qualitative and semi-quantitative PN modeling and stochastic analysis techniques provides a valuable approach in the field of systems biology. Here, we describe the implementation of stochastic analysis in a PN environment. We extended MONALISA - an open-source software for creation, visualization and analysis of PN - by several stochastic simulation methods. The simulation module offers four simulation modes, among them the stochastic mode with constant firing rates and Gillespie's algorithm as exact and approximate versions. The simulator is operated by a user-friendly graphical interface and accepts input data such as concentrations and reaction rate constants that are common parameters in the biological context. The key features of the simulation module are visualization of simulation, interactive plotting, export of results into a text file, mathematical expressions for describing simulation parameters, and up to 500 parallel simulations of the same parameter sets. To illustrate the method we discuss a model for insulin receptor recycling as case study. We present a software that combines the modeling power of Petri nets with stochastic simulation of dynamic processes in a user-friendly environment supported by an intuitive graphical interface. The program offers a valuable alternative to modeling, using ordinary differential equations, especially when simulating single-cell experiments with low molecule counts. The ability to use mathematical expressions provides an additional flexibility in describing the simulation parameters. The open-source distribution allows further extensions by third-party developers. The software is cross-platform and is licensed under the Artistic License 2.0.

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

PubMed

Strehl, Robert; Ilie, Silvana

2015-12-21

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

Reconstruction of pulse noisy images via stochastic resonance

PubMed Central

Han, Jing; Liu, Hongjun; Sun, Qibing; Huang, Nan

2015-01-01

We investigate a practical technology for reconstructing nanosecond pulse noisy images via stochastic resonance, which is based on the modulation instability. A theoretical model of this method for optical pulse signal is built to effectively recover the pulse image. The nanosecond noise-hidden images grow at the expense of noise during the stochastic resonance process in a photorefractive medium. The properties of output images are mainly determined by the input signal-to-noise intensity ratio, the applied voltage across the medium, and the correlation length of noise background. A high cross-correlation gain is obtained by optimizing these parameters. This provides a potential method for detecting low-level or hidden pulse images in various imaging applications. PMID:26067911

The viability of ADVANTG deterministic method for synthetic radiography generation

NASA Astrophysics Data System (ADS)

Bingham, Andrew; Lee, Hyoung K.

2018-07-01

Fast simulation techniques to generate synthetic radiographic images of high resolution are helpful when new radiation imaging systems are designed. However, the standard stochastic approach requires lengthy run time with poorer statistics at higher resolution. The investigation of the viability of a deterministic approach to synthetic radiography image generation was explored. The aim was to analyze a computational time decrease over the stochastic method. ADVANTG was compared to MCNP in multiple scenarios including a small radiography system prototype, to simulate high resolution radiography images. By using ADVANTG deterministic code to simulate radiography images the computational time was found to decrease 10 to 13 times compared to the MCNP stochastic approach while retaining image quality.

Discovering network behind infectious disease outbreak

NASA Astrophysics Data System (ADS)

Maeno, Yoshiharu

2010-11-01

Stochasticity and spatial heterogeneity are of great interest recently in studying the spread of an infectious disease. The presented method solves an inverse problem to discover the effectively decisive topology of a heterogeneous network and reveal the transmission parameters which govern the stochastic spreads over the network from a dataset on an infectious disease outbreak in the early growth phase. Populations in a combination of epidemiological compartment models and a meta-population network model are described by stochastic differential equations. Probability density functions are derived from the equations and used for the maximal likelihood estimation of the topology and parameters. The method is tested with computationally synthesized datasets and the WHO dataset on the SARS outbreak.

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

NASA Astrophysics Data System (ADS)

Marzen, Sarah E.; Crutchfield, James P.

2017-10-01

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

Desynchronization of stochastically synchronized chemical oscillators

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

Snari, Razan; Tinsley, Mark R., E-mail: mark.tinsley@mail.wvu.edu, E-mail: kshowalt@wvu.edu; Faramarzi, Sadegh

Experimental and theoretical studies are presented on the design of perturbations that enhance desynchronization in populations of oscillators that are synchronized by periodic entrainment. A phase reduction approach is used to determine optimal perturbation timing based upon experimentally measured phase response curves. The effectiveness of the perturbation waveforms is tested experimentally in populations of periodically and stochastically synchronized chemical oscillators. The relevance of the approach to therapeutic methods for disrupting phase coherence in groups of stochastically synchronized neuronal oscillators is discussed.

The exponential behavior and stabilizability of the stochastic magnetohydrodynamic equations

NASA Astrophysics Data System (ADS)

Wang, Huaqiao

2018-06-01

This paper studies the two-dimensional stochastic magnetohydrodynamic equations which are used to describe the turbulent flows in magnetohydrodynamics. The exponential behavior and the exponential mean square stability of the weak solutions are proved by the application of energy method. Furthermore, we establish the pathwise exponential stability by using the exponential mean square stability. When the stochastic perturbations satisfy certain additional hypotheses, we can also obtain pathwise exponential stability results without using the mean square stability.

Sampling the isothermal-isobaric ensemble by Langevin dynamics

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

Gao, Xingyu; Institute of Applied Physics and Computational Mathematics, Fenghao East Road 2, Beijing 100094; CAEP Software Center for High Performance Numerical Simulation, Huayuan Road 6, Beijing 100088

2016-03-28

We present a new method of conducting fully flexible-cell molecular dynamics simulation in isothermal-isobaric ensemble based on Langevin equations of motion. The stochastic coupling to all particle and cell degrees of freedoms is introduced in a correct way, in the sense that the stationary configurational distribution is proved to be consistent with that of the isothermal-isobaric ensemble. In order to apply the proposed method in computer simulations, a second order symmetric numerical integration scheme is developed by Trotter’s splitting of the single-step propagator. Moreover, a practical guide of choosing working parameters is suggested for user specified thermo- and baro-coupling timemore » scales. The method and software implementation are carefully validated by a numerical example.« less

Stochastic phase segregation on surfaces

PubMed Central

Gera, Prerna

2017-01-01

Phase separation and coarsening is a phenomenon commonly seen in binary physical and chemical systems that occur in nature. Often, thermal fluctuations, modelled as stochastic noise, are present in the system and the phase segregation process occurs on a surface. In this work, the segregation process is modelled via the Cahn–Hilliard–Cook model, which is a fourth-order parabolic stochastic system. Coarsening is analysed on two sample surfaces: a unit sphere and a dumbbell. On both surfaces, a statistical analysis of the growth rate is performed, and the influence of noise level and mobility is also investigated. For the spherical interface, it is also shown that a lognormal distribution fits the growth rate well. PMID:28878994

Nanostructured materials detect epidermal growth factor receptor, neuron specific enolase and carcinoembryonic antigen

NASA Astrophysics Data System (ADS)

Stefan-van Staden, Raluca-Ioana; Comnea-Stancu, Ionela Raluca; Surdu-Bob, Carmen Cristina; Badulescu, Marius

2015-09-01

New nanostructured materials based on thin films of Cu and Ni deposited on textile material (veil), as well as gold nanostructured microspheres were used for the design of new stochastic sensors. The stochastic sensors were able to detect simultaneously a panel of biomarkers comprising epidermal growth factor receptor, neuron specific enolase, and carcinoembryonic antigen from whole blood samples with high reliabilities - recovery tests higher than 97.00%, with a RSD (%) lower than 0.1%. The stochastic sensors had shown high sensitivities and low determination levels for the detection of the proposed panel of biomarkers making early detection of lung cancer possible by fast screening of whole blood.

Stochastic control and the second law of thermodynamics

NASA Technical Reports Server (NTRS)

Brockett, R. W.; Willems, J. C.

1979-01-01

The second law of thermodynamics is studied from the point of view of stochastic control theory. We find that the feedback control laws which are of interest are those which depend only on average values, and not on sample path behavior. We are lead to a criterion which, when satisfied, permits one to assign a temperature to a stochastic system in such a way as to have Carnot cycles be the optimal trajectories of optimal control problems. Entropy is also defined and we are able to prove an equipartition of energy theorem using this definition of temperature. Our formulation allows one to treat irreversibility in a quite natural and completely precise way.

Accelerated Sensitivity Analysis in High-Dimensional Stochastic Reaction Networks

PubMed Central

Arampatzis, Georgios; Katsoulakis, Markos A.; Pantazis, Yannis

2015-01-01

Existing sensitivity analysis approaches are not able to handle efficiently stochastic reaction networks with a large number of parameters and species, which are typical in the modeling and simulation of complex biochemical phenomena. In this paper, a two-step strategy for parametric sensitivity analysis for such systems is proposed, exploiting advantages and synergies between two recently proposed sensitivity analysis methodologies for stochastic dynamics. The first method performs sensitivity analysis of the stochastic dynamics by means of the Fisher Information Matrix on the underlying distribution of the trajectories; the second method is a reduced-variance, finite-difference, gradient-type sensitivity approach relying on stochastic coupling techniques for variance reduction. Here we demonstrate that these two methods can be combined and deployed together by means of a new sensitivity bound which incorporates the variance of the quantity of interest as well as the Fisher Information Matrix estimated from the first method. The first step of the proposed strategy labels sensitivities using the bound and screens out the insensitive parameters in a controlled manner. In the second step of the proposed strategy, a finite-difference method is applied only for the sensitivity estimation of the (potentially) sensitive parameters that have not been screened out in the first step. Results on an epidermal growth factor network with fifty parameters and on a protein homeostasis with eighty parameters demonstrate that the proposed strategy is able to quickly discover and discard the insensitive parameters and in the remaining potentially sensitive parameters it accurately estimates the sensitivities. The new sensitivity strategy can be several times faster than current state-of-the-art approaches that test all parameters, especially in “sloppy” systems. In particular, the computational acceleration is quantified by the ratio between the total number of parameters over the number of the sensitive parameters. PMID:26161544

Dual-mode nested search method for categorical uncertain multi-objective optimization

NASA Astrophysics Data System (ADS)

Tang, Long; Wang, Hu

2016-10-01

Categorical multi-objective optimization is an important issue involved in many matching design problems. Non-numerical variables and their uncertainty are the major challenges of such optimizations. Therefore, this article proposes a dual-mode nested search (DMNS) method. In the outer layer, kriging metamodels are established using standard regular simplex mapping (SRSM) from categorical candidates to numerical values. Assisted by the metamodels, a k-cluster-based intelligent sampling strategy is developed to search Pareto frontier points. The inner layer uses an interval number method to model the uncertainty of categorical candidates. To improve the efficiency, a multi-feature convergent optimization via most-promising-area stochastic search (MFCOMPASS) is proposed to determine the bounds of objectives. Finally, typical numerical examples are employed to demonstrate the effectiveness of the proposed DMNS method.

Modeling and Computation of Transboundary Industrial Pollution with Emission Permits Trading by Stochastic Differential Game

PubMed Central

2015-01-01

Transboundary industrial pollution requires international actions to control its formation and effects. In this paper, we present a stochastic differential game to model the transboundary industrial pollution problems with emission permits trading. More generally, the process of emission permits price is assumed to be stochastic and to follow a geometric Brownian motion (GBM). We make use of stochastic optimal control theory to derive the system of Hamilton-Jacobi-Bellman (HJB) equations satisfied by the value functions for the cooperative and the noncooperative games, respectively, and then propose a so-called fitted finite volume method to solve it. The efficiency and the usefulness of this method are illustrated by the numerical experiments. The two regions’ cooperative and noncooperative optimal emission paths, which maximize the regions’ discounted streams of the net revenues, together with the value functions, are obtained. Additionally, we can also obtain the threshold conditions for the two regions to decide whether they cooperate or not in different cases. The effects of parameters in the established model on the results have been also examined. All the results demonstrate that the stochastic emission permits prices can motivate the players to make more flexible strategic decisions in the games. PMID:26402322