Discrete stochastic processes and applications
Collet, Jean-François
2018-01-01
This unique text for beginning graduate students gives a self-contained introduction to the mathematical properties of stochastics and presents their applications to Markov processes, coding theory, population dynamics, and search engine design. The book is ideal for a newly designed course in an introduction to probability and information theory. Prerequisites include working knowledge of linear algebra, calculus, and probability theory. The first part of the text focuses on the rigorous theory of Markov processes on countable spaces (Markov chains) and provides the basis to developing solid probabilistic intuition without the need for a course in measure theory. The approach taken is gradual beginning with the case of discrete time and moving on to that of continuous time. The second part of this text is more applied; its core introduces various uses of convexity in probability and presents a nice treatment of entropy.
Stochastic transport processes in discrete biological systems
Frehland, Eckart
1982-01-01
These notes are in part based on a course for advanced students in the applications of stochastic processes held in 1978 at the University of Konstanz. These notes contain the results of re cent studies on the stochastic description of ion transport through biological membranes. In particular, they serve as an introduction to an unified theory of fluctuations in complex biological transport systems. We emphasize that the subject of this volume is not to introduce the mathematics of stochastic processes but to present a field of theoretical biophysics in which stochastic methods are important. In the last years the study of membrane noise has become an important method in biophysics. Valuable information on the ion transport mechanisms in membranes can be obtained from noise analysis. A number of different processes such as the opening and closing of ion channels have been shown to be sources of the measured current or voltage fluctuations. Bio logical 'transport systems can be complex. For example, the tr...
Discrete stochastic processes and optimal filtering
Bertein, Jean-Claude
2012-01-01
Optimal filtering applied to stationary and non-stationary signals provides the most efficient means of dealing with problems arising from the extraction of noise signals. Moreover, it is a fundamental feature in a range of applications, such as in navigation in aerospace and aeronautics, filter processing in the telecommunications industry, etc. This book provides a comprehensive overview of this area, discussing random and Gaussian vectors, outlining the results necessary for the creation of Wiener and adaptive filters used for stationary signals, as well as examining Kalman filters which ar
Parzen, Emanuel
1962-01-01
Well-written and accessible, this classic introduction to stochastic processes and related mathematics is appropriate for advanced undergraduate students of mathematics with a knowledge of calculus and continuous probability theory. The treatment offers examples of the wide variety of empirical phenomena for which stochastic processes provide mathematical models, and it develops the methods of probability model-building.Chapter 1 presents precise definitions of the notions of a random variable and a stochastic process and introduces the Wiener and Poisson processes. Subsequent chapters examine
Stochastic Kuramoto oscillators with discrete phase states
Jörg, David J.
2017-09-01
We present a generalization of the Kuramoto phase oscillator model in which phases advance in discrete phase increments through Poisson processes, rendering both intrinsic oscillations and coupling inherently stochastic. We study the effects of phase discretization on the synchronization and precision properties of the coupled system both analytically and numerically. Remarkably, many key observables such as the steady-state synchrony and the quality of oscillations show distinct extrema while converging to the classical Kuramoto model in the limit of a continuous phase. The phase-discretized model provides a general framework for coupled oscillations in a Markov chain setting.
Stochastic Kuramoto oscillators with discrete phase states.
Jörg, David J
2017-09-01
We present a generalization of the Kuramoto phase oscillator model in which phases advance in discrete phase increments through Poisson processes, rendering both intrinsic oscillations and coupling inherently stochastic. We study the effects of phase discretization on the synchronization and precision properties of the coupled system both analytically and numerically. Remarkably, many key observables such as the steady-state synchrony and the quality of oscillations show distinct extrema while converging to the classical Kuramoto model in the limit of a continuous phase. The phase-discretized model provides a general framework for coupled oscillations in a Markov chain setting.
Discrete stochastic analogs of Erlang epidemic models.
Getz, Wayne M; Dougherty, Eric R
2018-12-01
Erlang differential equation models of epidemic processes provide more realistic disease-class transition dynamics from susceptible (S) to exposed (E) to infectious (I) and removed (R) categories than the ubiquitous SEIR model. The latter is itself is at one end of the spectrum of Erlang SE[Formula: see text]I[Formula: see text]R models with [Formula: see text] concatenated E compartments and [Formula: see text] concatenated I compartments. Discrete-time models, however, are computationally much simpler to simulate and fit to epidemic outbreak data than continuous-time differential equations, and are also much more readily extended to include demographic and other types of stochasticity. Here we formulate discrete-time deterministic analogs of the Erlang models, and their stochastic extension, based on a time-to-go distributional principle. Depending on which distributions are used (e.g. discretized Erlang, Gamma, Beta, or Uniform distributions), we demonstrate that our formulation represents both a discretization of Erlang epidemic models and generalizations thereof. We consider the challenges of fitting SE[Formula: see text]I[Formula: see text]R models and our discrete-time analog to data (the recent outbreak of Ebola in Liberia). We demonstrate that the latter performs much better than the former; although confining fits to strict SEIR formulations reduces the numerical challenges, but sacrifices best-fit likelihood scores by at least 7%.
Borodin, Andrei N
2017-01-01
This book provides a rigorous yet accessible introduction to the theory of stochastic processes. A significant part of the book is devoted to the classic theory of stochastic processes. In turn, it also presents proofs of well-known results, sometimes together with new approaches. Moreover, the book explores topics not previously covered elsewhere, such as distributions of functionals of diffusions stopped at different random times, the Brownian local time, diffusions with jumps, and an invariance principle for random walks and local times. Supported by carefully selected material, the book showcases a wealth of examples that demonstrate how to solve concrete problems by applying theoretical results. It addresses a broad range of applications, focusing on concrete computational techniques rather than on abstract theory. The content presented here is largely self-contained, making it suitable for researchers and graduate students alike.
Fayolle, G; Fayolle, Guy; Furtlehner, Cyril
2006-01-01
This report is the foreword of a series of stochastic deformations of curves. Problems are set in terms of exclusion processes, the ultimate goal being to derive hydrodynamic limits for these systems after proper scalings. In this study, solely the basic texts system on the torus is analyzed. The usual sequence of empirical measures, converges in probability to a deterministic measure, which is the unique weak solution of a Cauchy problem. The method presents some new features, letting hope for extensions to higher dimension. It relies on the analysis of a family of parabolic differential operators, involving variational calculus. Namely, the variables are the values of functions at given points, their number being possibly infinite.
Phenomenological and ratio bifurcations of a class of discrete time stochastic processes
Diks, C.G.H.; Wagener, F.O.O.
2011-01-01
Zeeman proposed a classification of stochastic dynamical systems based on the Morse classification of their invariant probability densities; the associated bifurcations are the ‘phenomenological bifurcations’ of L. Arnold. The classification is however not invariant under diffeomorphisms of the
Multivariate Discrete First Order Stochastic Dominance
Tarp, Finn; Østerdal, Lars Peter
This paper characterizes the principle of first order stochastic dominance in a multivariate discrete setting. We show that a distribution f first order stochastic dominates distribution g if and only if f can be obtained from g by iteratively shifting density from one outcome to another...
Stochastic processes in cell biology
Bressloff, Paul C
2014-01-01
This book develops the theory of continuous and discrete stochastic processes within the context of cell biology. A wide range of biological topics are covered including normal and anomalous diffusion in complex cellular environments, stochastic ion channels and excitable systems, stochastic calcium signaling, molecular motors, intracellular transport, signal transduction, bacterial chemotaxis, robustness in gene networks, genetic switches and oscillators, cell polarization, polymerization, cellular length control, and branching processes. The book also provides a pedagogical introduction to the theory of stochastic process – Fokker Planck equations, stochastic differential equations, master equations and jump Markov processes, diffusion approximations and the system size expansion, first passage time problems, stochastic hybrid systems, reaction-diffusion equations, exclusion processes, WKB methods, martingales and branching processes, stochastic calculus, and numerical methods. This text is primarily...
Essentials of stochastic processes
Durrett, Richard
2016-01-01
Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatm...
On discrete stochastic processes with long-lasting time dependence in the variance
Queirós, S. M. D.
2008-11-01
In this manuscript, we analytically and numerically study statistical properties of an heteroskedastic process based on the celebrated ARCH generator of random variables whose variance is defined by a memory of qm-exponencial, form (eqm=1 x=ex). Specifically, we inspect the self-correlation function of squared random variables as well as the kurtosis. In addition, by numerical procedures, we infer the stationary probability density function of both of the heteroskedastic random variables and the variance, the multiscaling properties, the first-passage times distribution, and the dependence degree. Finally, we introduce an asymmetric variance version of the model that enables us to reproduce the so-called leverage effect in financial markets.
Stochastic analysis in discrete and continuous settings with normal martingales
Privault, Nicolas
2009-01-01
This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students and researchers having already received a basic training in probability. The simultaneous treatment of continuous and jump processes is done in the framework of normal martingales; that includes the Brownian motion and compensated Poisson processes as specific cases. In particular, the basic tools of stochastic analysis (chaos representation, gradient, divergence, integration by parts) are presented in this general setting. Applications are given to functional and deviation inequalities and mathematical finance.
Dimension Reduction and Discretization in Stochastic Problems by Regression Method
Ditlevsen, Ove Dalager
1996-01-01
The chapter mainly deals with dimension reduction and field discretizations based directly on the concept of linear regression. Several examples of interesting applications in stochastic mechanics are also given.Keywords: Random fields discretization, Linear regression, Stochastic interpolation, ...
Wang, Jun-Sheng; Yang, Guang-Hong
2017-07-25
This paper studies the optimal output-feedback control problem for unknown linear discrete-time systems with stochastic measurement and process noise. A dithered Bellman equation with the innovation covariance matrix is constructed via the expectation operator given in the form of a finite summation. On this basis, an output-feedback-based approximate dynamic programming method is developed, where the terms depending on the innovation covariance matrix are available with the aid of the innovation covariance matrix identified beforehand. Therefore, by iterating the Bellman equation, the resulting value function can converge to the optimal one in the presence of the aforementioned noise, and the nearly optimal control laws are delivered. To show the effectiveness and the advantages of the proposed approach, a simulation example and a velocity control experiment on a dc machine are employed.
Stochastic processes inference theory
Rao, Malempati M
2014-01-01
This is the revised and enlarged 2nd edition of the authors’ original text, which was intended to be a modest complement to Grenander's fundamental memoir on stochastic processes and related inference theory. The present volume gives a substantial account of regression analysis, both for stochastic processes and measures, and includes recent material on Ridge regression with some unexpected applications, for example in econometrics. The first three chapters can be used for a quarter or semester graduate course on inference on stochastic processes. The remaining chapters provide more advanced material on stochastic analysis suitable for graduate seminars and discussions, leading to dissertation or research work. In general, the book will be of interest to researchers in probability theory, mathematical statistics and electrical and information theory.
Improved stochastic approximation methods for discretized parabolic partial differential equations
Guiaş, Flavius
2016-12-01
We present improvements of the stochastic direct simulation method, a known numerical scheme based on Markov jump processes which is used for approximating solutions of ordinary differential equations. This scheme is suited especially for spatial discretizations of evolution partial differential equations (PDEs). By exploiting the full path simulation of the stochastic method, we use this first approximation as a predictor and construct improved approximations by Picard iterations, Runge-Kutta steps, or a combination. This has as consequence an increased order of convergence. We illustrate the features of the improved method at a standard benchmark problem, a reaction-diffusion equation modeling a combustion process in one space dimension (1D) and two space dimensions (2D).
Discrete stochastic charging of aggregate grains
Matthews, Lorin S.; Shotorban, Babak; Hyde, Truell W.
2018-05-01
Dust particles immersed in a plasma environment become charged through the collection of electrons and ions at random times, causing the dust charge to fluctuate about an equilibrium value. Small grains (with radii less than 1 μm) or grains in a tenuous plasma environment are sensitive to single additions of electrons or ions. Here we present a numerical model that allows examination of discrete stochastic charge fluctuations on the surface of aggregate grains and determines the effect of these fluctuations on the dynamics of grain aggregation. We show that the mean and standard deviation of charge on aggregate grains follow the same trends as those predicted for spheres having an equivalent radius, though aggregates exhibit larger variations from the predicted values. In some plasma environments, these charge fluctuations occur on timescales which are relevant for dynamics of aggregate growth. Coupled dynamics and charging models show that charge fluctuations tend to produce aggregates which are much more linear or filamentary than aggregates formed in an environment where the charge is stationary.
Mathematical statistics and stochastic processes
Bosq, Denis
2013-01-01
Generally, books on mathematical statistics are restricted to the case of independent identically distributed random variables. In this book however, both this case AND the case of dependent variables, i.e. statistics for discrete and continuous time processes, are studied. This second case is very important for today's practitioners.Mathematical Statistics and Stochastic Processes is based on decision theory and asymptotic statistics and contains up-to-date information on the relevant topics of theory of probability, estimation, confidence intervals, non-parametric statistics and rob
Aggregation patterns from nonlocal interactions: Discrete stochastic and continuum modeling
Hackett-Jones, Emily J.; Landman, Kerry A.; Fellner, Klemens
2012-01-01
both attractive and repulsive singularities. Currently, no existence theory for such potentials is available. We develop and compare two complementary solution methods, a continuous pseudoinverse method and a discrete stochastic lattice approach
Composite stochastic processes
Kampen, N.G. van
Certain problems in physics and chemistry lead to the definition of a class of stochastic processes. Although they are not Markovian they can be treated explicitly to some extent. In particular, the probability distribution for large times can be found. It is shown to obey a master equation. This
Research in Stochastic Processes.
1982-10-31
Office of Scientific Research Grant AFOSR F49620 82 C 0009 Period: 1 Noveber 1981 through 31 October 1982 Title: Research in Stochastic Processes Co...STA4ATIS CAMBANIS The work briefly described here was developed in connection with problems arising from and related to the statistical comunication
Bayesian inference for hybrid discrete-continuous stochastic kinetic models
Sherlock, Chris; Golightly, Andrew; Gillespie, Colin S
2014-01-01
We consider the problem of efficiently performing simulation and inference for stochastic kinetic models. Whilst it is possible to work directly with the resulting Markov jump process (MJP), computational cost can be prohibitive for networks of realistic size and complexity. In this paper, we consider an inference scheme based on a novel hybrid simulator that classifies reactions as either ‘fast’ or ‘slow’ with fast reactions evolving as a continuous Markov process whilst the remaining slow reaction occurrences are modelled through a MJP with time-dependent hazards. A linear noise approximation (LNA) of fast reaction dynamics is employed and slow reaction events are captured by exploiting the ability to solve the stochastic differential equation driving the LNA. This simulation procedure is used as a proposal mechanism inside a particle MCMC scheme, thus allowing Bayesian inference for the model parameters. We apply the scheme to a simple application and compare the output with an existing hybrid approach and also a scheme for performing inference for the underlying discrete stochastic model. (paper)
Optimization of stochastic discrete systems and control on complex networks computational networks
Lozovanu, Dmitrii
2014-01-01
This book presents the latest findings on stochastic dynamic programming models and on solving optimal control problems in networks. It includes the authors' new findings on determining the optimal solution of discrete optimal control problems in networks and on solving game variants of Markov decision problems in the context of computational networks. First, the book studies the finite state space of Markov processes and reviews the existing methods and algorithms for determining the main characteristics in Markov chains, before proposing new approaches based on dynamic programming and combinatorial methods. Chapter two is dedicated to infinite horizon stochastic discrete optimal control models and Markov decision problems with average and expected total discounted optimization criteria, while Chapter three develops a special game-theoretical approach to Markov decision processes and stochastic discrete optimal control problems. In closing, the book's final chapter is devoted to finite horizon stochastic con...
Stochastic conditional intensity processes
Bauwens, Luc; Hautsch, Nikolaus
2006-01-01
model allows for a wide range of (cross-)autocorrelation structures in multivariate point processes. The model is estimated by simulated maximum likelihood (SML) using the efficient importance sampling (EIS) technique. By modeling price intensities based on NYSE trading, we provide significant evidence......In this article, we introduce the so-called stochastic conditional intensity (SCI) model by extending Russell’s (1999) autoregressive conditional intensity (ACI) model by a latent common dynamic factor that jointly drives the individual intensity components. We show by simulations that the proposed...... for a joint latent factor and show that its inclusion allows for an improved and more parsimonious specification of the multivariate intensity process...
Stochastic Spectral Descent for Discrete Graphical Models
Carlson, David; Hsieh, Ya-Ping; Collins, Edo; Carin, Lawrence; Cevher, Volkan
2015-01-01
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 as 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.
Powering stochastic reliability models by discrete event simulation
Kozine, Igor; Wang, Xiaoyun
2012-01-01
it difficult to find a solution to the problem. The power of modern computers and recent developments in discrete-event simulation (DES) software enable to diminish some of the drawbacks of stochastic models. In this paper we describe the insights we have gained based on using both Markov and DES models...
Stochastic ℋ∞ Finite-Time Control of Discrete-Time Systems with Packet Loss
Yingqi Zhang
2012-01-01
Full Text Available This paper investigates the stochastic finite-time stabilization and ℋ∞ control problem for one family of linear discrete-time systems over networks with packet loss, parametric uncertainties, and time-varying norm-bounded disturbance. Firstly, the dynamic model description studied is given, which, if the packet dropout is assumed to be a discrete-time homogenous Markov process, the class of discrete-time linear systems with packet loss can be regarded as Markovian jump systems. Based on Lyapunov function approach, sufficient conditions are established for the resulting closed-loop discrete-time system with Markovian jumps to be stochastic ℋ∞ finite-time boundedness and then state feedback controllers are designed to guarantee stochastic ℋ∞ finite-time stabilization of the class of stochastic systems. The stochastic ℋ∞ finite-time boundedness criteria can be tackled in the form of linear matrix inequalities with a fixed parameter. As an auxiliary result, we also give sufficient conditions on the robust stochastic stabilization of the class of linear systems with packet loss. Finally, simulation examples are presented to illustrate the validity of the developed scheme.
Analysis of stochastic effects in Kaldor-type business cycle discrete model
Bashkirtseva, Irina; Ryashko, Lev; Sysolyatina, Anna
2016-07-01
We study nonlinear stochastic phenomena in the discrete Kaldor model of business cycles. A numerical parametric analysis of stochastically forced attractors (equilibria, closed invariant curves, discrete cycles) of this model is performed using the stochastic sensitivity functions technique. A spatial arrangement of random states in stochastic attractors is modeled by confidence domains. The phenomenon of noise-induced transitions ;chaos-order; is discussed.
Aggregation patterns from nonlocal interactions: Discrete stochastic and continuum modeling
Hackett-Jones, Emily J.
2012-04-17
Conservation equations governed by a nonlocal interaction potential generate aggregates from an initial uniform distribution of particles. We address the evolution and formation of these aggregating steady states when the interaction potential has both attractive and repulsive singularities. Currently, no existence theory for such potentials is available. We develop and compare two complementary solution methods, a continuous pseudoinverse method and a discrete stochastic lattice approach, and formally show a connection between the two. Interesting aggregation patterns involving multiple peaks for a simple doubly singular attractive-repulsive potential are determined. For a swarming Morse potential, characteristic slow-fast dynamics in the scaled inverse energy is observed in the evolution to steady state in both the continuous and discrete approaches. The discrete approach is found to be remarkably robust to modifications in movement rules, related to the potential function. The comparable evolution dynamics and steady states of the discrete model with the continuum model suggest that the discrete stochastic approach is a promising way of probing aggregation patterns arising from two- and three-dimensional nonlocal interaction conservation equations. © 2012 American Physical Society.
Error estimates for discretized quantum stochastic differential inclusions
Ayoola, E.O.
2001-09-01
This paper is concerned with the error estimates involved in the solution of a discrete approximation of a quantum stochastic differential inclusion (QSDI). Our main results rely on certain properties of the averaged modulus of continuity for multivalued sesquilinear forms associated with QSDI. We obtained results concerning the estimates of the Hausdorff distance between the set of solutions of the QSDI and the set of solutions of its discrete approximation. This extend the results of Dontchev and Farkhi concerning classical differential inclusions to the present noncommutative Quantum setting involving inclusions in certain locally convex space. (author)
Stochastic processes and quantum theory
Klauder, J.R.
1975-01-01
The author analyses a variety of stochastic processes, namely real time diffusion phenomena, which are analogues of imaginary time quantum theory and convariant imaginary time quantum field theory. He elaborates some standard properties involving probability measures and stochastic variables and considers a simple class of examples. Finally he develops the fact that certain stochastic theories actually exhibit divergences that simulate those of covariant quantum field theory and presents examples of both renormaizable and unrenormalizable behavior. (V.J.C.)
Multivariable controller for discrete stochastic amplitude-constrained systems
Hannu T. Toivonen
1983-04-01
Full Text Available A sub-optimal multivariable controller for discrete stochastic amplitude-constrained systems is presented. In the approach the regulator structure is restricted to the class of linear saturated feedback laws. The stationary covariances of the controlled system are evaluated by approximating the stationary probability distribution of the state by a gaussian distribution. An algorithm for minimizing a quadratic loss function is given, and examples are presented to illustrate the performance of the sub-optimal controller.
Parallel Stochastic discrete event simulation of calcium dynamics in neuron.
Ishlam Patoary, Mohammad Nazrul; Tropper, Carl; McDougal, Robert A; Zhongwei, Lin; Lytton, William W
2017-09-26
The intra-cellular calcium signaling pathways of a neuron depends on both biochemical reactions and diffusions. Some quasi-isolated compartments (e.g. spines) are so small and calcium concentrations are so low that one extra molecule diffusing in by chance can make a nontrivial difference in its concentration (percentage-wise). These rare events can affect dynamics discretely in such way that they cannot be evaluated by a deterministic simulation. Stochastic models of such a system provide a more detailed understanding of these systems than existing deterministic models because they capture their behavior at a molecular level. Our research focuses on the development of a high performance parallel discrete event simulation environment, Neuron Time Warp (NTW), which is intended for use in the parallel simulation of stochastic reaction-diffusion systems such as intra-calcium signaling. NTW is integrated with NEURON, a simulator which is widely used within the neuroscience community. We simulate two models, a calcium buffer and a calcium wave model. The calcium buffer model is employed in order to verify the correctness and performance of NTW by comparing it to a serial deterministic simulation in NEURON. We also derived a discrete event calcium wave model from a deterministic model using the stochastic IP3R structure.
A stochastic discrete optimization model for designing container terminal facilities
Zukhruf, Febri; Frazila, Russ Bona; Burhani, Jzolanda Tsavalista
2017-11-01
As uncertainty essentially affect the total transportation cost, it remains important in the container terminal that incorporates several modes and transshipments process. This paper then presents a stochastic discrete optimization model for designing the container terminal, which involves the decision of facilities improvement action. The container terminal operation model is constructed by accounting the variation of demand and facilities performance. In addition, for illustrating the conflicting issue that practically raises in the terminal operation, the model also takes into account the possible increment delay of facilities due to the increasing number of equipment, especially the container truck. Those variations expectantly reflect the uncertainty issue in the container terminal operation. A Monte Carlo simulation is invoked to propagate the variations by following the observed distribution. The problem is constructed within the framework of the combinatorial optimization problem for investigating the optimal decision of facilities improvement. A new variant of glow-worm swarm optimization (GSO) is thus proposed for solving the optimization, which is rarely explored in the transportation field. The model applicability is tested by considering the actual characteristics of the container terminal.
An introduction to stochastic processes with applications to biology
Allen, Linda J S
2010-01-01
An Introduction to Stochastic Processes with Applications to Biology, Second Edition presents the basic theory of stochastic processes necessary in understanding and applying stochastic methods to biological problems in areas such as population growth and extinction, drug kinetics, two-species competition and predation, the spread of epidemics, and the genetics of inbreeding. Because of their rich structure, the text focuses on discrete and continuous time Markov chains and continuous time and state Markov processes.New to the Second EditionA new chapter on stochastic differential equations th
Finite approximations in discrete-time stochastic control quantized models and asymptotic optimality
Saldi, Naci; Yüksel, Serdar
2018-01-01
In a unified form, this monograph presents fundamental results on the approximation of centralized and decentralized stochastic control problems, with uncountable state, measurement, and action spaces. It demonstrates how quantization provides a system-independent and constructive method for the reduction of a system with Borel spaces to one with finite state, measurement, and action spaces. In addition to this constructive view, the book considers both the information transmission approach for discretization of actions, and the computational approach for discretization of states and actions. Part I of the text discusses Markov decision processes and their finite-state or finite-action approximations, while Part II builds from there to finite approximations in decentralized stochastic control problems. This volume is perfect for researchers and graduate students interested in stochastic controls. With the tools presented, readers will be able to establish the convergence of approximation models to original mo...
Stochastic processes an introduction
Jones, Peter Watts
2009-01-01
Some Background on ProbabilityIntroduction Probability Conditional probability and independence Discrete random variables Continuous random variables Mean and variance Some standard discrete probability distributions Some standard continuous probability distributions Generating functions Conditional expectationSome Gambling ProblemsGambler's ruin Probability of ruin Some numerical simulations Duration of the game Some variations of gambler's ruinRandom WalksIntroduction Unrestricted random walks The probability distribution after n steps First returns of the symmetric random walkMarkov ChainsS
An introduction to probability and stochastic processes
Melsa, James L
2013-01-01
Geared toward college seniors and first-year graduate students, this text is designed for a one-semester course in probability and stochastic processes. Topics covered in detail include probability theory, random variables and their functions, stochastic processes, linear system response to stochastic processes, Gaussian and Markov processes, and stochastic differential equations. 1973 edition.
Applied probability and stochastic processes
Sumita, Ushio
1999-01-01
Applied Probability and Stochastic Processes is an edited work written in honor of Julien Keilson. This volume has attracted a host of scholars in applied probability, who have made major contributions to the field, and have written survey and state-of-the-art papers on a variety of applied probability topics, including, but not limited to: perturbation method, time reversible Markov chains, Poisson processes, Brownian techniques, Bayesian probability, optimal quality control, Markov decision processes, random matrices, queueing theory and a variety of applications of stochastic processes. The book has a mixture of theoretical, algorithmic, and application chapters providing examples of the cutting-edge work that Professor Keilson has done or influenced over the course of his highly-productive and energetic career in applied probability and stochastic processes. The book will be of interest to academic researchers, students, and industrial practitioners who seek to use the mathematics of applied probability i...
Probability, Statistics, and Stochastic Processes
Olofsson, Peter
2011-01-01
A mathematical and intuitive approach to probability, statistics, and stochastic processes This textbook provides a unique, balanced approach to probability, statistics, and stochastic processes. Readers gain a solid foundation in all three fields that serves as a stepping stone to more advanced investigations into each area. This text combines a rigorous, calculus-based development of theory with a more intuitive approach that appeals to readers' sense of reason and logic, an approach developed through the author's many years of classroom experience. The text begins with three chapters that d
Sliding mode control-based linear functional observers for discrete-time stochastic systems
Singh, Satnesh; Janardhanan, Sivaramakrishnan
2017-11-01
Sliding mode control (SMC) is one of the most popular techniques to stabilise linear discrete-time stochastic systems. However, application of SMC becomes difficult when the system states are not available for feedback. This paper presents a new approach to design a SMC-based functional observer for discrete-time stochastic systems. The functional observer is based on the Kronecker product approach. Existence conditions and stability analysis of the proposed observer are given. The control input is estimated by a novel linear functional observer. This approach leads to a non-switching type of control, thereby eliminating the fundamental cause of chatter. Furthermore, the functional observer is designed in such a way that the effect of process and measurement noise is minimised. Simulation example is given to illustrate and validate the proposed design method.
The dynamics of stochastic processes
Basse-O'Connor, Andreas
In the present thesis the dynamics of stochastic processes is studied with a special attention to the semimartingale property. This is mainly motivated by the fact that semimartingales provide the class of the processes for which it is possible to define a reasonable stochastic calculus due...... to the Bichteler-Dellacherie Theorem. The semimartingale property of Gaussian processes is characterized in terms of their covariance function, spectral measure and spectral representation. In addition, representation and expansion of filtration results are provided as well. Special attention is given to moving...... average processes, and when the driving process is a Lévy or a chaos process the semimartingale property is characterized in the filtration spanned by the driving process and in the natural filtration when the latter is a Brownian motion. To obtain some of the above results an integrability of seminorm...
Distance covariance for stochastic processes
Matsui, Muneya; Mikosch, Thomas Valentin; Samorodnitsky, Gennady
2017-01-01
The distance covariance of two random vectors is a measure of their dependence. The empirical distance covariance and correlation can be used as statistical tools for testing whether two random vectors are independent. We propose an analog of the distance covariance for two stochastic processes...
Fourier analysis and stochastic processes
Brémaud, Pierre
2014-01-01
This work is unique as it provides a uniform treatment of the Fourier theories of functions (Fourier transforms and series, z-transforms), finite measures (characteristic functions, convergence in distribution), and stochastic processes (including arma series and point processes). It emphasises the links between these three themes. The chapter on the Fourier theory of point processes and signals structured by point processes is a novel addition to the literature on Fourier analysis of stochastic processes. It also connects the theory with recent lines of research such as biological spike signals and ultrawide-band communications. Although the treatment is mathematically rigorous, the convivial style makes the book accessible to a large audience. In particular, it will be interesting to anyone working in electrical engineering and communications, biology (point process signals) and econometrics (arma models). A careful review of the prerequisites (integration and probability theory in the appendix, Hilbert spa...
Introduction to stochastic processes
Cinlar, Erhan
2013-01-01
Clear presentation employs methods that recognize computer-related aspects of theory. Topics include expectations and independence, Bernoulli processes and sums of independent random variables, Markov chains, renewal theory, more. 1975 edition.
Parametric inference for discretely sampled stochastic differential equations
Sørensen, Michael
A review is given of parametric estimation methods for discretely sampled mul- tivariate diffusion processes. The main focus is on estimating functions and asymp- totic results. Maximum likelihood estimation is briefly considered, but the emphasis is on computationally less demanding martingale...
Dynamical and hamiltonian dilations of stochastic processes
Baumgartner, B.; Gruemm, H.-R.
1982-01-01
This is a study of the problem, which stochastic processes could arise from dynamical systems by loss of information. The notions of ''dilation'' and ''approximate dilation'' of a stochastic process are introduced to give exact definitions of this particular relationship. It is shown that every generalized stochastic process is approximately dilatable by a sequence of dynamical systems, but for stochastic processes in full generality one needs nets. (Author)
Stochastic processes and filtering theory
Jazwinski, Andrew H
1970-01-01
This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well.Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probab
Verification of Stochastic Process Calculi
Skrypnyuk, Nataliya
algorithms for constructing bisimulation relations, computing (overapproximations of) sets of reachable states and computing the expected time reachability, the last for a linear fragment of IMC. In all the cases we have the complexities of algorithms which are low polynomial in the size of the syntactic....... In support of this claim we have developed analysis methods that belong to a particular type of Static Analysis { Data Flow / Pathway Analysis. These methods have previously been applied to a number of non-stochastic process calculi. In this thesis we are lifting them to the stochastic calculus...... of Interactive Markov Chains (IMC). We have devised the Pathway Analysis of IMC that is not only correct in the sense of overapproximating all possible behaviour scenarios, as is usual for Static Analysis methods, but is also precise. This gives us the possibility to explicitly decide on the trade-o between...
Stochastic processes, slaves and supersymmetry
Drummond, I T; Horgan, R R
2012-01-01
We extend the work of Tănase-Nicola and Kurchan on the structure of diffusion processes and the associated supersymmetry algebra by examining the responses of a simple statistical system to external disturbances of various kinds. We consider both the stochastic differential equations (SDEs) for the process and the associated diffusion equation. The influence of the disturbances can be understood by augmenting the original SDE with an equation for slave variables. The evolution of the slave variables describes the behaviour of line elements carried along in the stochastic flow. These line elements, together with the associated surface and volume elements constructed from them, provide the basis of the supersymmetry properties of the theory. For ease of visualization, and in order to emphasize a helpful electromagnetic analogy, we work in three dimensions. The results are all generalizable to higher dimensions and can be specialized to one and two dimensions. The electromagnetic analogy is a useful starting point for calculating asymptotic results at low temperature that can be compared with direct numerical evaluations. We also examine the problems that arise in a direct numerical simulation of the stochastic equation together with the slave equations. We pay special attention to the dependence of the slave variable statistics on temperature. We identify in specific models the critical temperature below which the slave variable distribution ceases to have a variance and consider the effect on estimates of susceptibilities. (paper)
On Stochastic Finite-Time Control of Discrete-Time Fuzzy Systems with Packet Dropout
Yingqi Zhang
2012-01-01
Full Text Available This paper is concerned with the stochastic finite-time stability and stochastic finite-time boundedness problems for one family of fuzzy discrete-time systems over networks with packet dropout, parametric uncertainties, and time-varying norm-bounded disturbance. Firstly, we present the dynamic model description studied, in which the discrete-time fuzzy T-S systems with packet loss can be described by one class of fuzzy Markovian jump systems. Then, the concepts of stochastic finite-time stability and stochastic finite-time boundedness and problem formulation are given. Based on Lyapunov function approach, sufficient conditions on stochastic finite-time stability and stochastic finite-time boundedness are established for the resulting closed-loop fuzzy discrete-time system with Markovian jumps, and state-feedback controllers are designed to ensure stochastic finite-time stability and stochastic finite-time boundedness of the class of fuzzy systems. The stochastic finite-time stability and stochastic finite-time boundedness criteria can be tackled in the form of linear matrix inequalities with a fixed parameter. As an auxiliary result, we also give sufficient conditions on the stochastic stability of the class of fuzzy T-S systems with packet loss. Finally, two illustrative examples are presented to show the validity of the developed methodology.
Probability, Statistics, and Stochastic Processes
Olofsson, Peter
2012-01-01
This book provides a unique and balanced approach to probability, statistics, and stochastic processes. Readers gain a solid foundation in all three fields that serves as a stepping stone to more advanced investigations into each area. The Second Edition features new coverage of analysis of variance (ANOVA), consistency and efficiency of estimators, asymptotic theory for maximum likelihood estimators, empirical distribution function and the Kolmogorov-Smirnov test, general linear models, multiple comparisons, Markov chain Monte Carlo (MCMC), Brownian motion, martingales, and
Hopf Bifurcation Analysis for a Stochastic Discrete-Time Hyperchaotic System
Jie Ran
2015-01-01
Full Text Available The dynamics of a discrete-time hyperchaotic system and the amplitude control of Hopf bifurcation for a stochastic discrete-time hyperchaotic system are investigated in this paper. Numerical simulations are presented to exhibit the complex dynamical behaviors in the discrete-time hyperchaotic system. Furthermore, the stochastic discrete-time hyperchaotic system with random parameters is transformed into its equivalent deterministic system with the orthogonal polynomial theory of discrete random function. In addition, the dynamical features of the discrete-time hyperchaotic system with random disturbances are obtained through its equivalent deterministic system. By using the Hopf bifurcation conditions of the deterministic discrete-time system, the specific conditions for the existence of Hopf bifurcation in the equivalent deterministic system are derived. And the amplitude control with random intensity is discussed in detail. Finally, the feasibility of the control method is demonstrated by numerical simulations.
Generation and monitoring of a discrete stable random process
Hopcraft, K I; Matthews, J O
2002-01-01
A discrete stochastic process with stationary power law distribution is obtained from a death-multiple immigration population model. Emigrations from the population form a random series of events which are monitored by a counting process with finite-dynamic range and response time. It is shown that the power law behaviour of the population is manifested in the intermittent behaviour of the series of events. (letter to the editor)
Ambit processes and stochastic partial differential equations
Barndorff-Nielsen, Ole; Benth, Fred Espen; Veraart, Almut
Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection betwe...... ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Lévy noise analysis....
Discretization of Stationary Solutions of Stochastic Systems Driven by Fractional Brownian Motion
Garrido-Atienza, Maria J.; Kloeden, Peter E.; Neuenkirch, Andreas
2009-01-01
In this article we study the behavior of dissipative systems with additive fractional noise of any Hurst parameter. Under a one-sided dissipative Lipschitz condition on the drift the continuous stochastic system is shown to have a unique stationary solution, which pathwise attracts all other solutions. The same holds for the discretized stochastic system, if the drift-implicit Euler method is used for the discretization. Moreover, the unique stationary solution of the drift-implicit Euler scheme converges to the unique stationary solution of the original system as the stepsize of the discretization decreases
Wen-Jer Chang
2014-01-01
Full Text Available For nonlinear discrete-time stochastic systems, a fuzzy controller design methodology is developed in this paper subject to state variance constraint and passivity constraint. According to fuzzy model based control technique, the nonlinear discrete-time stochastic systems considered in this paper are represented by the discrete-time Takagi-Sugeno fuzzy models with multiplicative noise. Employing Lyapunov stability theory, upper bound covariance control theory, and passivity theory, some sufficient conditions are derived to find parallel distributed compensation based fuzzy controllers. In order to solve these sufficient conditions, an iterative linear matrix inequality algorithm is applied based on the linear matrix inequality technique. Finally, the fuzzy stabilization problem for nonlinear discrete ship steering stochastic systems is investigated in the numerical example to illustrate the feasibility and validity of proposed fuzzy controller design method.
Parallel discrete-event simulation of FCFS stochastic queueing networks
Nicol, David M.
1988-01-01
Physical systems are inherently parallel. Intuition suggests that simulations of these systems may be amenable to parallel execution. The parallel execution of a discrete-event simulation requires careful synchronization of processes in order to ensure the execution's correctness; this synchronization can degrade performance. Largely negative results were recently reported in a study which used a well-known synchronization method on queueing network simulations. Discussed here is a synchronization method (appointments), which has proven itself to be effective on simulations of FCFS queueing networks. The key concept behind appointments is the provision of lookahead. Lookahead is a prediction on a processor's future behavior, based on an analysis of the processor's simulation state. It is shown how lookahead can be computed for FCFS queueing network simulations, give performance data that demonstrates the method's effectiveness under moderate to heavy loads, and discuss performance tradeoffs between the quality of lookahead, and the cost of computing lookahead.
Markov Decision Processes Discrete Stochastic Dynamic Programming
Puterman, Martin L
2005-01-01
The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. "This text is unique in bringing together so many results hitherto found only in part in other texts and papers. . . . The text is fairly self-contained, inclusive of some basic mathematical results needed, and provides a rich diet
American option pricing with stochastic volatility processes
Ping LI
2017-12-01
Full Text Available In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are analyzed and discussed. In view of the fact that there is no analytical American option pricing formula, through the space discretization parameters, the stochastic partial differential equation satisfied by American options with Heston stochastic volatility is transformed into the corresponding differential equations, and then using high order compact finite difference method, numerical solutions are obtained for the option price. The numerical experiments are carried out to verify the theoretical results and simulation. The two kinds of optimal exercise boundaries under the conditions of the constant volatility and the stochastic volatility are compared, and the results show that the optimal exercise boundary also has stochastic volatility. Under the setting of parameters, the behavior and the nature of volatility are analyzed, the volatility curve is simulated, the calculation results of high order compact difference method are compared, and the numerical option solution is obtained, so that the method is verified. The research result provides reference for solving the problems of option pricing under stochastic volatility such as multiple underlying asset option pricing and barrier option pricing.
Statistical inference for stochastic processes
Basawa, Ishwar V; Prakasa Rao, B. L. S
1980-01-01
The aim of this monograph is to attempt to reduce the gap between theory and applications in the area of stochastic modelling, by directing the interest of future researchers to the inference aspects...
Space-time-modulated stochastic processes
Giona, Massimiliano
2017-10-01
Starting from the physical problem associated with the Lorentzian transformation of a Poisson-Kac process in inertial frames, the concept of space-time-modulated stochastic processes is introduced for processes possessing finite propagation velocity. This class of stochastic processes provides a two-way coupling between the stochastic perturbation acting on a physical observable and the evolution of the physical observable itself, which in turn influences the statistical properties of the stochastic perturbation during its evolution. The definition of space-time-modulated processes requires the introduction of two functions: a nonlinear amplitude modulation, controlling the intensity of the stochastic perturbation, and a time-horizon function, which modulates its statistical properties, providing irreducible feedback between the stochastic perturbation and the physical observable influenced by it. The latter property is the peculiar fingerprint of this class of models that makes them suitable for extension to generic curved-space times. Considering Poisson-Kac processes as prototypical examples of stochastic processes possessing finite propagation velocity, the balance equations for the probability density functions associated with their space-time modulations are derived. Several examples highlighting the peculiarities of space-time-modulated processes are thoroughly analyzed.
Šmíd, Martin
2009-01-01
Roč. 165, č. 1 (2009), s. 29-45 ISSN 0254-5330 R&D Projects: GA ČR GA402/04/1294 Institutional research plan: CEZ:AV0Z10750506 Keywords : multistage stochastic programming problems * approximation * discretization * Monte Carlo Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.961, year: 2009 http://library.utia.cas.cz/separaty/2008/E/smid-the expected loss in the discretization of multistage stochastic programming problems - estimation and convergence rate.pdf
Stochastic differential equation model to Prendiville processes
Granita, E-mail: granitafc@gmail.com [Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310, Johor Malaysia (Malaysia); Bahar, Arifah [Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310, Johor Malaysia (Malaysia); UTM Center for Industrial & Applied Mathematics (UTM-CIAM) (Malaysia)
2015-10-22
The Prendiville process is another variation of the logistic model which assumes linearly decreasing population growth rate. It is a continuous time Markov chain (CTMC) taking integer values in the finite interval. The continuous time Markov chain can be approximated by stochastic differential equation (SDE). This paper discusses the stochastic differential equation of Prendiville process. The work started with the forward Kolmogorov equation in continuous time Markov chain of Prendiville process. Then it was formulated in the form of a central-difference approximation. The approximation was then used in Fokker-Planck equation in relation to the stochastic differential equation of the Prendiville process. The explicit solution of the Prendiville process was obtained from the stochastic differential equation. Therefore, the mean and variance function of the Prendiville process could be easily found from the explicit solution.
Stochastic differential equation model to Prendiville processes
Granita; Bahar, Arifah
2015-01-01
The Prendiville process is another variation of the logistic model which assumes linearly decreasing population growth rate. It is a continuous time Markov chain (CTMC) taking integer values in the finite interval. The continuous time Markov chain can be approximated by stochastic differential equation (SDE). This paper discusses the stochastic differential equation of Prendiville process. The work started with the forward Kolmogorov equation in continuous time Markov chain of Prendiville process. Then it was formulated in the form of a central-difference approximation. The approximation was then used in Fokker-Planck equation in relation to the stochastic differential equation of the Prendiville process. The explicit solution of the Prendiville process was obtained from the stochastic differential equation. Therefore, the mean and variance function of the Prendiville process could be easily found from the explicit solution
Modelling and application of stochastic processes
1986-01-01
The subject of modelling and application of stochastic processes is too vast to be exhausted in a single volume. In this book, attention is focused on a small subset of this vast subject. The primary emphasis is on realization and approximation of stochastic systems. Recently there has been considerable interest in the stochastic realization problem, and hence, an attempt has been made here to collect in one place some of the more recent approaches and algorithms for solving the stochastic realiza tion problem. Various different approaches for realizing linear minimum-phase systems, linear nonminimum-phase systems, and bilinear systems are presented. These approaches range from time-domain methods to spectral-domain methods. An overview of the chapter contents briefly describes these approaches. Also, in most of these chapters special attention is given to the problem of developing numerically ef ficient algorithms for obtaining reduced-order (approximate) stochastic realizations. On the application side,...
Stochastic Processes in Epidemic Theory
Lefèvre, Claude; Picard, Philippe
1990-01-01
This collection of papers gives a representative cross-selectional view of recent developments in the field. After a survey paper by C. Lefèvre, 17 other research papers look at stochastic modeling of epidemics, both from a theoretical and a statistical point of view. Some look more specifically at a particular disease such as AIDS, malaria, schistosomiasis and diabetes.
Stochastic processes in mechanical engineering
Brouwers, J.J.H.
2006-01-01
Stochastic or random vibrations occur in a variety of applications of mechanicalengineering. Examples are: the dynamics of a vehicle on an irregular roadsurface; the variation in time of thermodynamic variables in municipal wasteincinerators due to fluctuations in heating value of the waste; the
Towards Model Checking Stochastic Process Algebra
Hermanns, H.; Grieskamp, W.; Santen, T.; Katoen, Joost P.; Stoddart, B.; Meyer-Kayser, J.; Siegle, M.
2000-01-01
Stochastic process algebras have been proven useful because they allow behaviour-oriented performance and reliability modelling. As opposed to traditional performance modelling techniques, the behaviour- oriented style supports composition and abstraction in a natural way. However, analysis of
Statistical inference for discrete-time samples from affine stochastic delay differential equations
Küchler, Uwe; Sørensen, Michael
2013-01-01
Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, which are easy to calculate in practice. A more general class of prediction-based estimating functions is investigated...
A theory of Markovian time-inconsistent stochastic control in discrete time
Bjork, Tomas; Murgoci, Agatha
2014-01-01
We develop a theory for a general class of discrete-time stochastic control problems that, in various ways, are time-inconsistent in the sense that they do not admit a Bellman optimality principle. We attack these problems by viewing them within a game theoretic framework, and we look for subgame...
ON THE ANISOTROPIC NORM OF DISCRETE TIME STOCHASTIC SYSTEMS WITH STATE DEPENDENT NOISE
Isaac Yaesh
2013-01-01
Full Text Available The purpose of this paper is to determine conditions for the bound-edness of the anisotropic norm of discrete-time linear stochastic sys-tems with state dependent noise. It is proved that these conditions canbe expressed in terms of the feasibility of a specific system of matrixinequalities.
Selected papers on noise and stochastic processes
1954-01-01
Six classic papers on stochastic process, selected to meet the needs of physicists, applied mathematicians, and engineers. Contents: 1.Chandrasekhar, S.: Stochastic Problems in Physics and Astronomy. 2. Uhlenbeck, G. E. and Ornstein, L. S.: On the Theory of the Browninan Motion. 3. Ming Chen Wang and Uhlenbeck, G. E.: On the Theory of the Browninan Motion II. 4. Rice, S. O.: Mathematical Analysis of Random Noise. 5. Kac, Mark: Random Walk and the Theory of Brownian Motion. 6. Doob, J. L.: The Brownian Movement and Stochastic Equations. Unabridged republication of the Dover reprint (1954). Pre
Discrete changes of current statistics in periodically driven stochastic systems
Chernyak, Vladimir Y; Sinitsyn, N A
2010-01-01
We demonstrate that the counting statistics of currents in periodically driven ergodic stochastic systems can show sharp changes of some of its properties in response to continuous changes of the driving protocol. To describe this effect, we introduce a new topological phase factor in the evolution of the moment generating function which is akin to the topological geometric phase in the evolution of a periodically driven quantum mechanical system with time-reversal symmetry. This phase leads to the prediction of a sign change for the difference of the probabilities to find even and odd numbers of particles transferred in a stochastic system in response to cyclic evolution of control parameters. The driving protocols that lead to this sign change should enclose specific degeneracy points in the space of control parameters. The relation between the topology of the paths in the control parameter space and the sign changes can be described in terms of the first Stiefel–Whitney class of topological invariants. (letter)
Is human failure a stochastic process?
Dougherty, Ed M.
1997-01-01
Human performance results in failure events that occur with a risk-significant frequency. System analysts have taken for granted the random (stochastic) nature of these events in engineering assessments such as risk assessment. However, cognitive scientists and error technologists, at least those who have interest in human reliability, have, over the recent years, claimed that human error does not need this stochastic framework. Yet they still use the language appropriate to stochastic processes. This paper examines the potential for the stochastic nature of human failure production as the basis for human reliability analysis. It distinguishes and leaves to others, however, the epistemic uncertainties over the possible probability models for the real variability of human performance
Stochastic cluster algorithms for discrete Gaussian (SOS) models
Evertz, H.G.; Hamburg Univ.; Hasenbusch, M.; Marcu, M.; Tel Aviv Univ.; Pinn, K.; Muenster Univ.; Solomon, S.
1990-10-01
We present new Monte Carlo cluster algorithms which eliminate critical slowing down in the simulation of solid-on-solid models. In this letter we focus on the two-dimensional discrete Gaussian model. The algorithms are based on reflecting the integer valued spin variables with respect to appropriately chosen reflection planes. The proper choice of the reflection plane turns out to be crucial in order to obtain a small dynamical exponent z. Actually, the successful versions of our algorithm are a mixture of two different procedures for choosing the reflection plane, one of them ergodic but slow, the other one non-ergodic and also slow when combined with a Metropolis algorithm. (orig.)
Chen, Guiling; Li, Dingshi; Shi, Lin; van Gaans, Onno; Verduyn Lunel, Sjoerd
2018-03-01
We present new conditions for asymptotic stability and exponential stability of a class of stochastic recurrent neural networks with discrete and distributed time varying delays. Our approach is based on the method using fixed point theory, which do not resort to any Liapunov function or Liapunov functional. Our results neither require the boundedness, monotonicity and differentiability of the activation functions nor differentiability of the time varying delays. In particular, a class of neural networks without stochastic perturbations is also considered. Examples are given to illustrate our main results.
Lectures on Topics in Spatial Stochastic Processes
Capasso, Vincenzo; Ivanoff, B Gail; Dozzi, Marco; Dalang, Robert C; Mountford, Thomas S
2003-01-01
The theory of stochastic processes indexed by a partially ordered set has been the subject of much research over the past twenty years. The objective of this CIME International Summer School was to bring to a large audience of young probabilists the general theory of spatial processes, including the theory of set-indexed martingales and to present the different branches of applications of this theory, including stochastic geometry, spatial statistics, empirical processes, spatial estimators and survival analysis. This theory has a broad variety of applications in environmental sciences, social sciences, structure of material and image analysis. In this volume, the reader will find different approaches which foster the development of tools to modelling the spatial aspects of stochastic problems.
Computer Aided Continuous Time Stochastic Process Modelling
Kristensen, N.R.; Madsen, Henrik; Jørgensen, Sten Bay
2001-01-01
A grey-box approach to process modelling that combines deterministic and stochastic modelling is advocated for identification of models for model-based control of batch and semi-batch processes. A computer-aided tool designed for supporting decision-making within the corresponding modelling cycle...
Topological superposition of abstractions of stochastic processes
Bujorianu, L.M.; Bujorianu, M.C.
2008-01-01
In this paper, we present a sound integration mechanism for Markov processes that are abstractions of stochastic hybrid systems (SHS). In a previous work, we have defined a very general model of SHS and we proved that the realization of an SHS is a Markov process. Moreover, we have developed a
Exponential stability result for discrete-time stochastic fuzzy uncertain neural networks
Mathiyalagan, K.; Sakthivel, R.; Marshal Anthoni, S.
2012-01-01
This Letter addresses the stability analysis problem for a class of uncertain discrete-time stochastic fuzzy neural networks (DSFNNs) with time-varying delays. By constructing a new Lyapunov–Krasovskii functional combined with the free weighting matrix technique, a new set of delay-dependent sufficient conditions for the robust exponential stability of the considered DSFNNs is established in terms of Linear Matrix Inequalities (LMIs). Finally, numerical examples with simulation results are provided to illustrate the applicability and usefulness of the obtained theory. -- Highlights: ► Applications of neural networks require the knowledge of dynamic behaviors. ► Exponential stability of discrete-time stochastic fuzzy neural networks is studied. ► Linear matrix inequality optimization approach is used to obtain the result. ► Delay-dependent stability criterion is established in terms of LMIs. ► Examples with simulation are provided to show the effectiveness of the result.
Improved result on stability analysis of discrete stochastic neural networks with time delay
Wu Zhengguang; Su Hongye; Chu Jian; Zhou Wuneng
2009-01-01
This Letter investigates the problem of exponential stability for discrete stochastic time-delay neural networks. By defining a novel Lyapunov functional, an improved delay-dependent exponential stability criterion is established in terms of linear matrix inequality (LMI) approach. Meanwhile, the computational complexity of the newly established stability condition is reduced because less variables are involved. Numerical example is given to illustrate the effectiveness and the benefits of the proposed method.
Stochastic Modelling, Analysis, and Simulations of the Solar Cycle Dynamic Process
Turner, Douglas C.; Ladde, Gangaram S.
2018-03-01
Analytical solutions, discretization schemes and simulation results are presented for the time delay deterministic differential equation model of the solar dynamo presented by Wilmot-Smith et al. In addition, this model is extended under stochastic Gaussian white noise parametric fluctuations. The introduction of stochastic fluctuations incorporates variables affecting the dynamo process in the solar interior, estimation error of parameters, and uncertainty of the α-effect mechanism. Simulation results are presented and analyzed to exhibit the effects of stochastic parametric volatility-dependent perturbations. The results generalize and extend the work of Hazra et al. In fact, some of these results exhibit the oscillatory dynamic behavior generated by the stochastic parametric additative perturbations in the absence of time delay. In addition, the simulation results of the modified stochastic models influence the change in behavior of the very recently developed stochastic model of Hazra et al.
Stinchcombe, Adam R; Peskin, Charles S; Tranchina, Daniel
2012-06-01
We present a generalization of a population density approach for modeling and analysis of stochastic gene expression. In the model, the gene of interest fluctuates stochastically between an inactive state, in which transcription cannot occur, and an active state, in which discrete transcription events occur; and the individual mRNA molecules are degraded stochastically in an independent manner. This sort of model in simplest form with exponential dwell times has been used to explain experimental estimates of the discrete distribution of random mRNA copy number. In our generalization, the random dwell times in the inactive and active states, T_{0} and T_{1}, respectively, are independent random variables drawn from any specified distributions. Consequently, the probability per unit time of switching out of a state depends on the time since entering that state. Our method exploits a connection between the fully discrete random process and a related continuous process. We present numerical methods for computing steady-state mRNA distributions and an analytical derivation of the mRNA autocovariance function. We find that empirical estimates of the steady-state mRNA probability mass function from Monte Carlo simulations of laboratory data do not allow one to distinguish between underlying models with exponential and nonexponential dwell times in some relevant parameter regimes. However, in these parameter regimes and where the autocovariance function has negative lobes, the autocovariance function disambiguates the two types of models. Our results strongly suggest that temporal data beyond the autocovariance function is required in general to characterize gene switching.
Quantization by stochastic relaxation processes and supersymmetry
Kirschner, R.
1984-01-01
We show the supersymmetry mechanism resposible for the quantization by stochastic relaxation processes and for the effective cancellation of the additional time dimension against the two Grassmann dimensions. We give a non-perturbative proof of the validity of this quantization procedure. (author)
ON REGRESSION REPRESENTATIONS OF STOCHASTIC-PROCESSES
RUSCHENDORF, L; DEVALK, [No Value
We construct a.s. nonlinear regression representations of general stochastic processes (X(n))n is-an-element-of N. As a consequence we obtain in particular special regression representations of Markov chains and of certain m-dependent sequences. For m-dependent sequences we obtain a constructive
Stationary stochastic processes theory and applications
Lindgren, Georg
2012-01-01
Some Probability and Process BackgroundSample space, sample function, and observablesRandom variables and stochastic processesStationary processes and fieldsGaussian processesFour historical landmarksSample Function PropertiesQuadratic mean propertiesSample function continuityDerivatives, tangents, and other characteristicsStochastic integrationAn ergodic resultExercisesSpectral RepresentationsComplex-valued stochastic processesBochner's theorem and the spectral distributionSpectral representation of a stationary processGaussian processesStationary counting processesExercisesLinear Filters - General PropertiesLinear time invariant filtersLinear filters and differential equationsWhite noise in linear systemsLong range dependence, non-integrable spectra, and unstable systemsThe ARMA-familyLinear Filters - Special TopicsThe Hilbert transform and the envelopeThe sampling theoremKarhunen-Loève expansionClassical Ergodic Theory and MixingThe basic ergodic theorem in L2Stationarity and transformationsThe ergodic th...
Probability of stochastic processes and spacetime geometry
Canessa, E.
2007-01-01
We made a first attempt to associate a probabilistic description of stochastic processes like birth-death processes with spacetime geometry in the Schwarzschild metrics on distance scales from the macro- to the micro-domains. We idealize an ergodic system in which system states communicate through a curved path composed of transition arrows where each arrow corresponds to a positive, analogous birth or death rate. (author)
Stochastic Processes in Finance and Behavioral Finance
Steinbacher, Matjaz
2008-01-01
In the paper, we put some foundations for studying asset pricing and finance as a stochastic and behavioral process. In such process, preferences and psychology of agents represent the most important factor in the decision-making of people. Individuals have their own ways of acquiring the information they need, how to deal with them and how to make predictions and decisions. People usually also do not behave consistent in time, but learn. Therefore, in order to understand the behavior on the ...
An algebra of discrete event processes
Heymann, Michael; Meyer, George
1991-01-01
This report deals with an algebraic framework for modeling and control of discrete event processes. The report consists of two parts. The first part is introductory, and consists of a tutorial survey of the theory of concurrency in the spirit of Hoare's CSP, and an examination of the suitability of such an algebraic framework for dealing with various aspects of discrete event control. To this end a new concurrency operator is introduced and it is shown how the resulting framework can be applied. It is further shown that a suitable theory that deals with the new concurrency operator must be developed. In the second part of the report the formal algebra of discrete event control is developed. At the present time the second part of the report is still an incomplete and occasionally tentative working paper.
Periodic linear differential stochastic processes
Kwakernaak, H.
1975-01-01
Periodic linear differential processes are defined and their properties are analyzed. Equivalent representations are discussed, and the solutions of related optimal estimation problems are given. An extension is presented of Kailath and Geesey’s [1] results concerning the innovations representation
Irreversible stochastic processes on lattices
Nord, R.S.
1986-01-01
Models for irreversible random or cooperative filling of lattices are required to describe many processes in chemistry and physics. Since the filling is assumed to be irreversible, even the stationary, saturation state is not in equilibrium. The kinetics and statistics of these processes are described by recasting the master equations in infinite hierarchical form. Solutions can be obtained by implementing various techniques: refinements in these solution techniques are presented. Programs considered include random dimer, trimer, and tetramer filling of 2D lattices, random dimer filling of a cubic lattice, competitive filling of two or more species, and the effect of a random distribution of inactive sites on the filling. Also considered is monomer filling of a linear lattice with nearest neighbor cooperative effects and solve for the exact cluster-size distribution for cluster sizes up to the asymptotic regime. Additionally, a technique is developed to directly determine the asymptotic properties of the cluster size distribution. Finally cluster growth is considered via irreversible aggregation involving random walkers. In particular, explicit results are provided for the large-lattice-size asymptotic behavior of trapping probabilities and average walk lengths for a single walker on a lattice with multiple traps. Procedures for exact calculation of these quantities on finite lattices are also developed
Nonparametric estimation of stochastic differential equations with sparse Gaussian processes.
García, Constantino A; Otero, Abraham; Félix, Paulo; Presedo, Jesús; Márquez, David G
2017-08-01
The application of stochastic differential equations (SDEs) to the analysis of temporal data has attracted increasing attention, due to their ability to describe complex dynamics with physically interpretable equations. In this paper, we introduce a nonparametric method for estimating the drift and diffusion terms of SDEs from a densely observed discrete time series. The use of Gaussian processes as priors permits working directly in a function-space view and thus the inference takes place directly in this space. To cope with the computational complexity that requires the use of Gaussian processes, a sparse Gaussian process approximation is provided. This approximation permits the efficient computation of predictions for the drift and diffusion terms by using a distribution over a small subset of pseudosamples. The proposed method has been validated using both simulated data and real data from economy and paleoclimatology. The application of the method to real data demonstrates its ability to capture the behavior of complex systems.
Stochastic Simulation of Process Calculi for Biology
Andrew Phillips
2010-10-01
Full Text Available Biological systems typically involve large numbers of components with complex, highly parallel interactions and intrinsic stochasticity. To model this complexity, numerous programming languages based on process calculi have been developed, many of which are expressive enough to generate unbounded numbers of molecular species and reactions. As a result of this expressiveness, such calculi cannot rely on standard reaction-based simulation methods, which require fixed numbers of species and reactions. Rather than implementing custom stochastic simulation algorithms for each process calculus, we propose to use a generic abstract machine that can be instantiated to a range of process calculi and a range of reaction-based simulation algorithms. The abstract machine functions as a just-in-time compiler, which dynamically updates the set of possible reactions and chooses the next reaction in an iterative cycle. In this short paper we give a brief summary of the generic abstract machine, and show how it can be instantiated with the stochastic simulation algorithm known as Gillespie's Direct Method. We also discuss the wider implications of such an abstract machine, and outline how it can be used to simulate multiple calculi simultaneously within a common framework.
Description of quantum-mechanical motion by using the formalism of non-Markov stochastic process
Skorobogatov, G.A.; Svertilov, S.I.
1999-01-01
The principle possibilities of mathematical modeling of quantum mechanical motion by the theory of a real stochastic processes is considered. The set of equations corresponding to the simplest case of a two-level system undergoing transitions under the influence of electromagnetic field are obtained. It is shown that quantum-mechanical processes are purely discrete processes of non-Markovian type. They are continuous processes in the space of probability amplitudes and posses the properties of quantum Markovity. The formulation of quantum mechanics in terms of the theory of stochastic processes is necessary for its generalization on small space-time intervals [ru
Minimum uncertainty and squeezing in diffusion processes and stochastic quantization
Demartino, S.; Desiena, S.; Illuminati, Fabrizo; Vitiello, Giuseppe
1994-01-01
We show that uncertainty relations, as well as minimum uncertainty coherent and squeezed states, are structural properties for diffusion processes. Through Nelson stochastic quantization we derive the stochastic image of the quantum mechanical coherent and squeezed states.
Doubly stochastic Poisson processes in artificial neural learning.
Card, H C
1998-01-01
This paper investigates neuron activation statistics in artificial neural networks employing stochastic arithmetic. It is shown that a doubly stochastic Poisson process is an appropriate model for the signals in these circuits.
Dall-Anese, Emiliano [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Zhou, Xinyang [University of Colorado; Liu, Zhiyuan [University of Colorado; Chen, Lijun [University of Colorado
2017-10-03
This paper considers distribution networks with distributed energy resources and discrete-rate loads, and designs an incentive-based algorithm that allows the network operator and the customers to pursue given operational and economic objectives, while concurrently ensuring that voltages are within prescribed limits. Four major challenges include: (1) the non-convexity from discrete decision variables, (2) the non-convexity due to a Stackelberg game structure, (3) unavailable private information from customers, and (4) different update frequency from two types of devices. In this paper, we first make convex relaxation for discrete variables, then reformulate the non-convex structure into a convex optimization problem together with pricing/reward signal design, and propose a distributed stochastic dual algorithm for solving the reformulated problem while restoring feasible power rates for discrete devices. By doing so, we are able to statistically achieve the solution of the reformulated problem without exposure of any private information from customers. Stability of the proposed schemes is analytically established and numerically corroborated.
Expectation propagation for continuous time stochastic processes
Cseke, Botond; Schnoerr, David; Sanguinetti, Guido; Opper, Manfred
2016-01-01
We consider the inverse problem of reconstructing the posterior measure over the trajectories of a diffusion process from discrete time observations and continuous time constraints. We cast the problem in a Bayesian framework and derive approximations to the posterior distributions of single time marginals using variational approximate inference, giving rise to an expectation propagation type algorithm. For non-linear diffusion processes, this is achieved by leveraging moment closure approximations. We then show how the approximation can be extended to a wide class of discrete-state Markov jump processes by making use of the chemical Langevin equation. Our empirical results show that the proposed method is computationally efficient and provides good approximations for these classes of inverse problems. (paper)
Multiobjective Two-Stage Stochastic Programming Problems with Interval Discrete Random Variables
S. K. Barik
2012-01-01
Full Text Available Most of the real-life decision-making problems have more than one conflicting and incommensurable objective functions. In this paper, we present a multiobjective two-stage stochastic linear programming problem considering some parameters of the linear constraints as interval type discrete random variables with known probability distribution. Randomness of the discrete intervals are considered for the model parameters. Further, the concepts of best optimum and worst optimum solution are analyzed in two-stage stochastic programming. To solve the stated problem, first we remove the randomness of the problem and formulate an equivalent deterministic linear programming model with multiobjective interval coefficients. Then the deterministic multiobjective model is solved using weighting method, where we apply the solution procedure of interval linear programming technique. We obtain the upper and lower bound of the objective function as the best and the worst value, respectively. It highlights the possible risk involved in the decision-making tool. A numerical example is presented to demonstrate the proposed solution procedure.
Convergence of posteriors for discretized log Gaussian Cox processes
Waagepetersen, Rasmus Plenge
2004-01-01
In Markov chain Monte Carlo posterior computation for log Gaussian Cox processes (LGCPs) a discretization of the continuously indexed Gaussian field is required. It is demonstrated that approximate posterior expectations computed from discretized LGCPs converge to the exact posterior expectations...... when the cell sizes of the discretization tends to zero. The effect of discretization is studied in a data example....
Global stability of stochastic high-order neural networks with discrete and distributed delays
Wang Zidong; Fang Jianan; Liu Xiaohui
2008-01-01
High-order neural networks can be considered as an expansion of Hopfield neural networks, and have stronger approximation property, faster convergence rate, greater storage capacity, and higher fault tolerance than lower-order neural networks. In this paper, the global asymptotic stability analysis problem is considered for a class of stochastic high-order neural networks with discrete and distributed time-delays. Based on an Lyapunov-Krasovskii functional and the stochastic stability analysis theory, several sufficient conditions are derived, which guarantee the global asymptotic convergence of the equilibrium point in the mean square. It is shown that the stochastic high-order delayed neural networks under consideration are globally asymptotically stable in the mean square if two linear matrix inequalities (LMIs) are feasible, where the feasibility of LMIs can be readily checked by the Matlab LMI toolbox. It is also shown that the main results in this paper cover some recently published works. A numerical example is given to demonstrate the usefulness of the proposed global stability criteria
A first course in stochastic processes
Karlin, Samuel
1975-01-01
The purpose, level, and style of this new edition conform to the tenets set forth in the original preface. The authors continue with their tack of developing simultaneously theory and applications, intertwined so that they refurbish and elucidate each other.The authors have made three main kinds of changes. First, they have enlarged on the topics treated in the first edition. Second, they have added many exercises and problems at the end of each chapter. Third, and most important, they have supplied, in new chapters, broad introductory discussions of several classes of stochastic processe
Stationary stochastic processes for scientists and engineers
Lindgren, Georg; Sandsten, Maria
2013-01-01
""This book is designed for a first course in stationary stochastic processes in science and engineering and does a very good job in introducing many concepts and ideas to students in these fields. … the book has probably been tested in the classroom many times, which also manifests itself in its virtual lack of typos. … Another great feature of the book is that it contains a wealth of worked example from many different fields. These help clarify concepts and theorems and I believe students will appreciate them-I certainly did. … The book is well suited for a one-semester course as it contains
XI Symposium on Probability and Stochastic Processes
Pardo, Juan; Rivero, Víctor; Bravo, Gerónimo
2015-01-01
This volume features lecture notes and a collection of contributed articles from the XI Symposium on Probability and Stochastic Processes, held at CIMAT Mexico in September 2013. Since the symposium was part of the activities organized in Mexico to celebrate the International Year of Statistics, the program included topics from the interface between statistics and stochastic processes. The book starts with notes from the mini-course given by Louigi Addario-Berry with an accessible description of some features of the multiplicative coalescent and its connection with random graphs and minimum spanning trees. It includes a number of exercises and a section on unanswered questions. Further contributions provide the reader with a broad perspective on the state-of-the art of active areas of research. Contributions by: Louigi Addario-Berry Octavio Arizmendi Fabrice Baudoin Jochen Blath Loïc Chaumont J. Armando Domínguez-Molina Bjarki Eldon Shui Feng Tulio Gaxiola Adrián González Casanova Evgueni Gordienko Daniel...
Stochastic processes from physics to finance
Paul, Wolfgang
2013-01-01
This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their mathematical definition to their importance for financial crashes was included. The exposition of basic notions of probability theory and the Brownian motion problem as well as the relation between conservative diffusion processes and quantum mechanics is expanded. The second edition also enlarges the treatment of financial markets. Beyond a presentation of geometric Brownian motion and the Black-Scholes approach to option pricing as well as the econophysics analysis of the stylized facts of financial markets, an introduction to agent based modeling approaches is given.
Liu, Hongjian; Wang, Zidong; Shen, Bo; Huang, Tingwen; Alsaadi, Fuad E
2018-06-01
This paper is concerned with the globally exponential stability problem for a class of discrete-time stochastic memristive neural networks (DSMNNs) with both leakage delays as well as probabilistic time-varying delays. For the probabilistic delays, a sequence of Bernoulli distributed random variables is utilized to determine within which intervals the time-varying delays fall at certain time instant. The sector-bounded activation function is considered in the addressed DSMNN. By taking into account the state-dependent characteristics of the network parameters and choosing an appropriate Lyapunov-Krasovskii functional, some sufficient conditions are established under which the underlying DSMNN is globally exponentially stable in the mean square. The derived conditions are made dependent on both the leakage and the probabilistic delays, and are therefore less conservative than the traditional delay-independent criteria. A simulation example is given to show the effectiveness of the proposed stability criterion. Copyright © 2018 Elsevier Ltd. All rights reserved.
Sun, Ying; Ding, Derui; Zhang, Sunjie; Wei, Guoliang; Liu, Hongjian
2018-07-01
In this paper, the non-fragile ?-? control problem is investigated for a class of discrete-time stochastic nonlinear systems under event-triggered communication protocols, which determine whether the measurement output should be transmitted to the controller or not. The main purpose of the addressed problem is to design an event-based output feedback controller subject to gain variations guaranteeing the prescribed disturbance attenuation level described by the ?-? performance index. By utilizing the Lyapunov stability theory combined with S-procedure, a sufficient condition is established to guarantee both the exponential mean-square stability and the ?-? performance for the closed-loop system. In addition, with the help of the orthogonal decomposition, the desired controller parameter is obtained in terms of the solution to certain linear matrix inequalities. Finally, a simulation example is exploited to demonstrate the effectiveness of the proposed event-based controller design scheme.
Dongyan Chen
2015-01-01
Full Text Available This paper is concerned with the optimal Kalman filtering problem for a class of discrete stochastic systems with multiplicative noises and random two-step sensor delays. Three Bernoulli distributed random variables with known conditional probabilities are introduced to characterize the phenomena of the random two-step sensor delays which may happen during the data transmission. By using the state augmentation approach and innovation analysis technique, an optimal Kalman filter is constructed for the augmented system in the sense of the minimum mean square error (MMSE. Subsequently, the optimal Kalman filtering is derived for corresponding augmented system in initial instants. Finally, a simulation example is provided to demonstrate the feasibility and effectiveness of the proposed filtering method.
Fast state estimation subject to random data loss in discrete-time nonlinear stochastic systems
Mahdi Alavi, S. M.; Saif, Mehrdad
2013-12-01
This paper focuses on the design of the standard observer in discrete-time nonlinear stochastic systems subject to random data loss. By the assumption that the system response is incrementally bounded, two sufficient conditions are subsequently derived that guarantee exponential mean-square stability and fast convergence of the estimation error for the problem at hand. An efficient algorithm is also presented to obtain the observer gain. Finally, the proposed methodology is employed for monitoring the Continuous Stirred Tank Reactor (CSTR) via a wireless communication network. The effectiveness of the designed observer is extensively assessed by using an experimental tested-bed that has been fabricated for performance evaluation of the over wireless-network estimation techniques under realistic radio channel conditions.
Quantum mechanical Hamiltonian models of discrete processes
Benioff, P.
1981-01-01
Here the results of other work on quantum mechanical Hamiltonian models of Turing machines are extended to include any discrete process T on a countably infinite set A. The models are constructed here by use of scattering phase shifts from successive scatterers to turn on successive step interactions. Also a locality requirement is imposed. The construction is done by first associating with each process T a model quantum system M with associated Hilbert space H/sub M/ and step operator U/sub T/. Since U/sub T/ is not unitary in general, M, H/sub M/, and U/sub T/ are extended into a (continuous time) Hamiltonian model on a larger space which satisfies the locality requirement. The construction is compared with the minimal unitary dilation of U/sub T/. It is seen that the model constructed here is larger than the minimal one. However, the minimal one does not satisfy the locality requirement
Applied probability and stochastic processes. 2. ed.
Feldman, Richard M. [Texas A and M Univ., College Station, TX (United States). Industrial and Systems Engineering Dept.; Valdez-Flores, Ciriaco [Sielken and Associates Consulting, Inc., Bryan, TX (United States)
2010-07-01
This book presents applied probability and stochastic processes in an elementary but mathematically precise manner, with numerous examples and exercises to illustrate the range of engineering and science applications of the concepts. The book is designed to give the reader an intuitive understanding of probabilistic reasoning, in addition to an understanding of mathematical concepts and principles. The initial chapters present a summary of probability and statistics and then Poisson processes, Markov chains, Markov processes and queuing processes are introduced. Advanced topics include simulation, inventory theory, replacement theory, Markov decision theory, and the use of matrix geometric procedures in the analysis of queues. Included in the second edition are appendices at the end of several chapters giving suggestions for the use of Excel in solving the problems of the chapter. Also new in this edition are an introductory chapter on statistics and a chapter on Poisson processes that includes some techniques used in risk assessment. The old chapter on queues has been expanded and broken into two new chapters: one for simple queuing processes and one for queuing networks. Support is provided through the web site http://apsp.tamu.edu where students will have the answers to odd numbered problems and instructors will have access to full solutions and Excel files for homework. (orig.)
Mapping stochastic processes onto complex networks
Shirazi, A H; Reza Jafari, G; Davoudi, J; Peinke, J; Reza Rahimi Tabar, M; Sahimi, Muhammad
2009-01-01
We introduce a method by which stochastic processes are mapped onto complex networks. As examples, we construct the networks for such time series as those for free-jet and low-temperature helium turbulence, the German stock market index (the DAX), and white noise. The networks are further studied by contrasting their geometrical properties, such as the mean length, diameter, clustering, and average number of connections per node. By comparing the network properties of the original time series investigated with those for the shuffled and surrogate series, we are able to quantify the effect of the long-range correlations and the fatness of the probability distribution functions of the series on the networks constructed. Most importantly, we demonstrate that the time series can be reconstructed with high precision by means of a simple random walk on their corresponding networks
Chemical kinetics, stochastic processes, and irreversible thermodynamics
Santillán, Moisés
2014-01-01
This book brings theories in nonlinear dynamics, stochastic processes, irreversible thermodynamics, physical chemistry, and biochemistry together in an introductory but formal and comprehensive manner. Coupled with examples, the theories are developed stepwise, starting with the simplest concepts and building upon them into a more general framework. Furthermore, each new mathematical derivation is immediately applied to one or more biological systems. The last chapters focus on applying mathematical and physical techniques to study systems such as: gene regulatory networks and ion channels. The target audience of this book are mainly final year undergraduate and graduate students with a solid mathematical background (physicists, mathematicians, and engineers), as well as with basic notions of biochemistry and cellular biology. This book can also be useful to students with a biological background who are interested in mathematical modeling, and have a working knowledge of calculus, differential equatio...
Reversibility in Quantum Models of Stochastic Processes
Gier, David; Crutchfield, James; Mahoney, John; James, Ryan
Natural phenomena such as time series of neural firing, orientation of layers in crystal stacking and successive measurements in spin-systems are inherently probabilistic. The provably minimal classical models of such stochastic processes are ɛ-machines, which consist of internal states, transition probabilities between states and output values. The topological properties of the ɛ-machine for a given process characterize the structure, memory and patterns of that process. However ɛ-machines are often not ideal because their statistical complexity (Cμ) is demonstrably greater than the excess entropy (E) of the processes they represent. Quantum models (q-machines) of the same processes can do better in that their statistical complexity (Cq) obeys the relation Cμ >= Cq >= E. q-machines can be constructed to consider longer lengths of strings, resulting in greater compression. With code-words of sufficiently long length, the statistical complexity becomes time-symmetric - a feature apparently novel to this quantum representation. This result has ramifications for compression of classical information in quantum computing and quantum communication technology.
Process theory for supervisory control of stochastic systems with data
Markovski, J.
2012-01-01
We propose a process theory for supervisory control of stochastic nondeterministic plants with data-based observations. The Markovian process theory with data relies on the notion of Markovian partial bisimulation to capture controllability of stochastic nondeterministic systems. It presents a
Stochastic processes and long range dependence
Samorodnitsky, Gennady
2016-01-01
This monograph is a gateway for researchers and graduate students to explore the profound, yet subtle, world of long-range dependence (also known as long memory). The text is organized around the probabilistic properties of stationary processes that are important for determining the presence or absence of long memory. The first few chapters serve as an overview of the general theory of stochastic processes which gives the reader sufficient background, language, and models for the subsequent discussion of long memory. The later chapters devoted to long memory begin with an introduction to the subject along with a brief history of its development, followed by a presentation of what is currently the best known approach, applicable to stationary processes with a finite second moment. The book concludes with a chapter devoted to the author’s own, less standard, point of view of long memory as a phase transition, and even includes some novel results. Most of the material in the book has not previously been publis...
Stochastic differential equations and diffusion processes
Ikeda, N
1989-01-01
Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. Sectio
Stochastic resonance during a polymer translocation process
Mondal, Debasish; Muthukumar, M.
2016-01-01
We have studied the occurrence of stochastic resonance when a flexible polymer chain undergoes a single-file translocation through a nano-pore separating two spherical cavities, under a time-periodic external driving force. The translocation of the chain is controlled by a free energy barrier determined by chain length, pore length, pore-polymer interaction, and confinement inside the donor and receiver cavities. The external driving force is characterized by a frequency and amplitude. By combining the Fokker-Planck formalism for polymer translocation and a two-state model for stochastic resonance, we have derived analytical formulas for criteria for emergence of stochastic resonance during polymer translocation. We show that no stochastic resonance is possible if the free energy barrier for polymer translocation is purely entropic in nature. The polymer chain exhibits stochastic resonance only in the presence of an energy threshold in terms of polymer-pore interactions. Once stochastic resonance is feasible, the chain entropy controls the optimal synchronization conditions significantly.
Visualisation for Stochastic Process Algebras: The Graphic Truth
Smith, Michael James Andrew; Gilmore, Stephen
2011-01-01
and stochastic activity networks provide an automaton-based view of the model, which may be easier to visualise, at the expense of portability. In this paper, we argue that we can achieve the benefits of both approaches by generating a graphical view of a stochastic process algebra model, which is synchronised...
Soil Erosion as a stochastic process
Casper, Markus C.
2015-04-01
corrected experimentally. To overcome this disadvantage of our actual models, soil erosion models are needed that are able to use stochastic directly variables and parameter distributions. There are only some minor approaches in this direction. The most advanced is the model "STOSEM" proposed by Sidorchuk in 2005. In this model, only a small part of the soil erosion processes is described, the aggregate detachment and the aggregate transport by flowing water. The concept is highly simplified, for example, many parameters are temporally invariant. Nevertheless, the main problem is that our existing measurements and experiments are not geared to provide stochastic parameters (e.g. as probability density functions); in the best case they deliver a statistical validation of the mean values. Again, we get effective parameters, spatially and temporally averaged. There is an urgent need for laboratory and field experiments on overland flow structure, raindrop effects and erosion rate, which deliver information on spatial and temporal structure of soil and surface properties and processes.
E Scholtz
2012-12-01
Full Text Available The cash management of an autoteller machine (ATM is a multi-objective optimisation problem which aims to maximise the service level provided to customers at minimum cost. This paper focus on improved cash management in a section of the South African retail banking industry, for which a decision support system (DSS was developed. This DSS integrates four Operations Research (OR methods: the vehicle routing problem (VRP, the continuous review policy for inventory management, the knapsack problem and stochastic, discrete-event simulation. The DSS was applied to an ATM network in the Eastern Cape, South Africa, to investigate 90 different scenarios. Results show that the application of a formal vehicle routing method consistently yields higher service levels at lower cost when compared to two other routing approaches, in conjunction with selected ATM reorder levels and a knapsack-based notes dispensing algorithm. It is concluded that the use of vehicle routing methods is especially beneficial when the bank has substantial control over transportation cost.
100 years after Smoluchowski: stochastic processes in cell biology
Holcman, D; Schuss, Z
2017-01-01
100 years after Smoluchowski introduced his approach to stochastic processes, they are now at the basis of mathematical and physical modeling in cellular biology: they are used for example to analyse and to extract features from a large number (tens of thousands) of single molecular trajectories or to study the diffusive motion of molecules, proteins or receptors. Stochastic modeling is a new step in large data analysis that serves extracting cell biology concepts. We review here Smoluchowski’s approach to stochastic processes and provide several applications for coarse-graining diffusion, studying polymer models for understanding nuclear organization and finally, we discuss the stochastic jump dynamics of telomeres across cell division and stochastic gene regulation. (topical review)
Nishiura Hiroshi
2011-02-01
Full Text Available Abstract Background Real-time forecasting of epidemics, especially those based on a likelihood-based approach, is understudied. This study aimed to develop a simple method that can be used for the real-time epidemic forecasting. Methods A discrete time stochastic model, accounting for demographic stochasticity and conditional measurement, was developed and applied as a case study to the weekly incidence of pandemic influenza (H1N1-2009 in Japan. By imposing a branching process approximation and by assuming the linear growth of cases within each reporting interval, the epidemic curve is predicted using only two parameters. The uncertainty bounds of the forecasts are computed using chains of conditional offspring distributions. Results The quality of the forecasts made before the epidemic peak appears largely to depend on obtaining valid parameter estimates. The forecasts of both weekly incidence and final epidemic size greatly improved at and after the epidemic peak with all the observed data points falling within the uncertainty bounds. Conclusions Real-time forecasting using the discrete time stochastic model with its simple computation of the uncertainty bounds was successful. Because of the simplistic model structure, the proposed model has the potential to additionally account for various types of heterogeneity, time-dependent transmission dynamics and epidemiological details. The impact of such complexities on forecasting should be explored when the data become available as part of the disease surveillance.
Introduction to probability and stochastic processes with applications
Castañ, Blanco; Arunachalam, Viswanathan; Dharmaraja, Selvamuthu
2012-01-01
An easily accessible, real-world approach to probability and stochastic processes Introduction to Probability and Stochastic Processes with Applications presents a clear, easy-to-understand treatment of probability and stochastic processes, providing readers with a solid foundation they can build upon throughout their careers. With an emphasis on applications in engineering, applied sciences, business and finance, statistics, mathematics, and operations research, the book features numerous real-world examples that illustrate how random phenomena occur in nature and how to use probabilistic t
Verification and Planning for Stochastic Processes with Asynchronous Events
Younes, Hakan L
2005-01-01
.... The most common assumption is that of history-independence: the Markov assumption. In this thesis, the author considers the problems of verification and planning for stochastic processes with asynchronous events, without relying on the Markov assumption...
Bibliography on the stochastic processes in plasma and related problems
Polovin, R.V.
1976-01-01
Stochastic processes in plasma and related matters. The bibliography contains 500 references and was compiled from the open literature only. Some references are annotated or completed with short abstracts. There are subject and authors indexes
Angstmann, C.N.; Donnelly, I.C. [School of Mathematics and Statistics, UNSW Australia, Sydney NSW 2052 (Australia); Henry, B.I., E-mail: B.Henry@unsw.edu.au [School of Mathematics and Statistics, UNSW Australia, Sydney NSW 2052 (Australia); Jacobs, B.A. [School of Computer Science and Applied Mathematics, University of the Witwatersrand, Johannesburg, Private Bag 3, Wits 2050 (South Africa); DST–NRF Centre of Excellence in Mathematical and Statistical Sciences (CoE-MaSS) (South Africa); Langlands, T.A.M. [Department of Mathematics and Computing, University of Southern Queensland, Toowoomba QLD 4350 (Australia); Nichols, J.A. [School of Mathematics and Statistics, UNSW Australia, Sydney NSW 2052 (Australia)
2016-02-15
We have introduced a new explicit numerical method, based on a discrete stochastic process, for solving a class of fractional partial differential equations that model reaction subdiffusion. The scheme is derived from the master equations for the evolution of the probability density of a sum of discrete time random walks. We show that the diffusion limit of the master equations recovers the fractional partial differential equation of interest. This limiting procedure guarantees the consistency of the numerical scheme. The positivity of the solution and stability results are simply obtained, provided that the underlying process is well posed. We also show that the method can be applied to standard reaction–diffusion equations. This work highlights the broader applicability of using discrete stochastic processes to provide numerical schemes for partial differential equations, including fractional partial differential equations.
Iacus, Stefano M
2018-01-01
The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Lévy processes or fractional Brownian motion, as well as CARMA processes. The package performs various central statistical analyses such as quasi maximum likelihood estimation, adaptive Bayes estimation, structural change point analysis, hypotheses testing, asynchronous covariance estimation, lead-lag estimation, LASSO model selection, and so on. YUIMA also supports stochastic numerical analysis by fast computation of the expected value of functionals of stochastic processes through automatic asymptotic expansion by means of the Malliavin calculus. All models can be multidimensional, multiparametric or non parametric.The book explains briefly the underlying theory for simulation and inference of several classes of stochastic processes and then presents both simulation experiments and applications to real data. Although these ...
Bidirectional Classical Stochastic Processes with Measurements and Feedback
Hahne, G. E.
2005-01-01
A measurement on a quantum system is said to cause the "collapse" of the quantum state vector or density matrix. An analogous collapse occurs with measurements on a classical stochastic process. This paper addresses the question of describing the response of a classical stochastic process when there is feedback from the output of a measurement to the input, and is intended to give a model for quantum-mechanical processes that occur along a space-like reaction coordinate. The classical system can be thought of in physical terms as two counterflowing probability streams, which stochastically exchange probability currents in a way that the net probability current, and hence the overall probability, suitably interpreted, is conserved. The proposed formalism extends the . mathematics of those stochastic processes describable with linear, single-step, unidirectional transition probabilities, known as Markov chains and stochastic matrices. It is shown that a certain rearrangement and combination of the input and output of two stochastic matrices of the same order yields another matrix of the same type. Each measurement causes the partial collapse of the probability current distribution in the midst of such a process, giving rise to calculable, but non-Markov, values for the ensuing modification of the system's output probability distribution. The paper concludes with an analysis of a classical probabilistic version of the so-called grandfather paradox.
Discretization of Lévy semistationary processes with application to estimation
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko
Motivated by the construction of the Ito stochastic integral, we consider a step function method to discretize and simulate volatility modulated Lévy semistationary processes. Moreover, we assess the accuracy of the method with a particular focus on integrating kernels with a singularity...... at the origin. Using the simulation method, we study the finite sample properties of some recently developed estimators of realized volatility and associated parametric estimators for Brownian semistationary processes. Although the theoretical properties of these estimators have been established under high...
Forecasting financial asset processes: stochastic dynamics via learning neural networks.
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.
Convergence of trajectories in fractal interpolation of stochastic processes
MaIysz, Robert
2006-01-01
The notion of fractal interpolation functions (FIFs) can be applied to stochastic processes. Such construction is especially useful for the class of α-self-similar processes with stationary increments and for the class of α-fractional Brownian motions. For these classes, convergence of the Minkowski dimension of the graphs in fractal interpolation of the Hausdorff dimension of the graph of original process was studied in [Herburt I, MaIysz R. On convergence of box dimensions of fractal interpolation stochastic processes. Demonstratio Math 2000;4:873-88.], [MaIysz R. A generalization of fractal interpolation stochastic processes to higher dimension. Fractals 2001;9:415-28.], and [Herburt I. Box dimension of interpolations of self-similar processes with stationary increments. Probab Math Statist 2001;21:171-8.]. We prove that trajectories of fractal interpolation stochastic processes converge to the trajectory of the original process. We also show that convergence of the trajectories in fractal interpolation of stochastic processes is equivalent to the convergence of trajectories in linear interpolation
Stochastic Analysis of Gaussian Processes via Fredholm Representation
Tommi Sottinen
2016-01-01
Full Text Available We show that every separable Gaussian process with integrable variance function admits a Fredholm representation with respect to a Brownian motion. We extend the Fredholm representation to a transfer principle and develop stochastic analysis by using it. We show the convenience of the Fredholm representation by giving applications to equivalence in law, bridges, series expansions, stochastic differential equations, and maximum likelihood estimations.
Fast Quantum Algorithm for Predicting Descriptive Statistics of Stochastic Processes
Williams Colin P.
1999-01-01
Stochastic processes are used as a modeling tool in several sub-fields of physics, biology, and finance. Analytic understanding of the long term behavior of such processes is only tractable for very simple types of stochastic processes such as Markovian processes. However, in real world applications more complex stochastic processes often arise. In physics, the complicating factor might be nonlinearities; in biology it might be memory effects; and in finance is might be the non-random intentional behavior of participants in a market. In the absence of analytic insight, one is forced to understand these more complex stochastic processes via numerical simulation techniques. In this paper we present a quantum algorithm for performing such simulations. In particular, we show how a quantum algorithm can predict arbitrary descriptive statistics (moments) of N-step stochastic processes in just O(square root of N) time. That is, the quantum complexity is the square root of the classical complexity for performing such simulations. This is a significant speedup in comparison to the current state of the art.
An adaptive algorithm for simulation of stochastic reaction-diffusion processes
Ferm, Lars; Hellander, Andreas; Loetstedt, Per
2010-01-01
We propose an adaptive hybrid method suitable for stochastic simulation of diffusion dominated reaction-diffusion processes. For such systems, simulation of the diffusion requires the predominant part of the computing time. In order to reduce the computational work, the diffusion in parts of the domain is treated macroscopically, in other parts with the tau-leap method and in the remaining parts with Gillespie's stochastic simulation algorithm (SSA) as implemented in the next subvolume method (NSM). The chemical reactions are handled by SSA everywhere in the computational domain. A trajectory of the process is advanced in time by an operator splitting technique and the timesteps are chosen adaptively. The spatial adaptation is based on estimates of the errors in the tau-leap method and the macroscopic diffusion. The accuracy and efficiency of the method are demonstrated in examples from molecular biology where the domain is discretized by unstructured meshes.
Diffusive processes in a stochastic magnetic field
Wang, H.; Vlad, M.; Vanden Eijnden, E.; Spineanu, F.; Misguich, J.H.; Balescu, R.
1995-01-01
The statistical representation of a fluctuating (stochastic) magnetic field configuration is studied in detail. The Eulerian correlation functions of the magnetic field are determined, taking into account all geometrical constraints: these objects form a nondiagonal matrix. The Lagrangian correlations, within the reasonable Corrsin approximation, are reduced to a single scalar function, determined by an integral equation. The mean square perpendicular deviation of a geometrical point moving along a perturbed field line is determined by a nonlinear second-order differential equation. The separation of neighboring field lines in a stochastic magnetic field is studied. We find exponentiation lengths of both signs describing, in particular, a decay (on the average) of any initial anisotropy. The vanishing sum of these exponentiation lengths ensures the existence of an invariant which was overlooked in previous works. Next, the separation of a particle's trajectory from the magnetic field line to which it was initially attached is studied by a similar method. Here too an initial phase of exponential separation appears. Assuming the existence of a final diffusive phase, anomalous diffusion coefficients are found for both weakly and strongly collisional limits. The latter is identical to the well known Rechester-Rosenbluth coefficient, which is obtained here by a more quantitative (though not entirely deductive) treatment than in earlier works
Ali, M. Syed
2014-01-01
In this paper, the global asymptotic stability problem of Markovian jumping stochastic Cohen—Grossberg neural networks with discrete and distributed time-varying delays (MJSCGNNs) is considered. A novel LMI-based stability criterion is obtained by constructing a new Lyapunov functional to guarantee the asymptotic stability of MJSCGNNs. Our results can be easily verified and they are also less restrictive than previously known criteria and can be applied to Cohen—Grossberg neural networks, recurrent neural networks, and cellular neural networks. Finally, the proposed stability conditions are demonstrated with numerical examples
Classical and spatial stochastic processes with applications to biology
Schinazi, Rinaldo B
2014-01-01
The revised and expanded edition of this textbook presents the concepts and applications of random processes with the same illuminating simplicity as its first edition, but with the notable addition of substantial modern material on biological modeling. While still treating many important problems in fields such as engineering and mathematical physics, the book also focuses on the highly relevant topics of cancerous mutations, influenza evolution, drug resistance, and immune response. The models used elegantly apply various classical stochastic models presented earlier in the text, and exercises are included throughout to reinforce essential concepts. The second edition of Classical and Spatial Stochastic Processes is suitable as a textbook for courses in stochastic processes at the advanced-undergraduate and graduate levels, or as a self-study resource for researchers and practitioners in mathematics, engineering, physics, and mathematical biology. Reviews of the first edition: An appetizing textbook for a f...
Analyzing Properties of Stochastic Business Processes By Model Checking
Herbert, Luke Thomas; Sharp, Robin
2013-01-01
This chapter presents an approach to precise formal analysis of business processes with stochastic properties. The method presented here allows for both qualitative and quantitative properties to be individually analyzed at design time without requiring a full specification. This provides...... an effective means to explore possible designs for a business process and to debug any flaws....
? filtering for stochastic systems driven by Poisson processes
Song, Bo; Wu, Zheng-Guang; Park, Ju H.; Shi, Guodong; Zhang, Ya
2015-01-01
This paper investigates the ? filtering problem for stochastic systems driven by Poisson processes. By utilising the martingale theory such as the predictable projection operator and the dual predictable projection operator, this paper transforms the expectation of stochastic integral with respect to the Poisson process into the expectation of Lebesgue integral. Then, based on this, this paper designs an ? filter such that the filtering error system is mean-square asymptotically stable and satisfies a prescribed ? performance level. Finally, a simulation example is given to illustrate the effectiveness of the proposed filtering scheme.
Discrete time process algebra and the semantics of SDL
J.A. Bergstra; C.A. Middelburg; Y.S. Usenko (Yaroslav)
1998-01-01
htmlabstractWe present an extension of discrete time process algebra with relative timing where recursion, propositional signals and conditions, a counting process creation operator, and the state operator are combined. Except the counting process creation operator, which subsumes the original
Anomalous scaling of stochastic processes and the Moses effect.
Chen, Lijian; Bassler, Kevin E; McCauley, Joseph L; Gunaratne, Gemunu H
2017-04-01
The state of a stochastic process evolving over a time t is typically assumed to lie on a normal distribution whose width scales like t^{1/2}. However, processes in which the probability distribution is not normal and the scaling exponent differs from 1/2 are known. The search for possible origins of such "anomalous" scaling and approaches to quantify them are the motivations for the work reported here. In processes with stationary increments, where the stochastic process is time-independent, autocorrelations between increments and infinite variance of increments can cause anomalous scaling. These sources have been referred to as the Joseph effect and the Noah effect, respectively. If the increments are nonstationary, then scaling of increments with t can also lead to anomalous scaling, a mechanism we refer to as the Moses effect. Scaling exponents quantifying the three effects are defined and related to the Hurst exponent that characterizes the overall scaling of the stochastic process. Methods of time series analysis that enable accurate independent measurement of each exponent are presented. Simple stochastic processes are used to illustrate each effect. Intraday financial time series data are analyzed, revealing that their anomalous scaling is due only to the Moses effect. In the context of financial market data, we reiterate that the Joseph exponent, not the Hurst exponent, is the appropriate measure to test the efficient market hypothesis.
Anomalous scaling of stochastic processes and the Moses effect
Chen, Lijian; Bassler, Kevin E.; McCauley, Joseph L.; Gunaratne, Gemunu H.
2017-04-01
The state of a stochastic process evolving over a time t is typically assumed to lie on a normal distribution whose width scales like t1/2. However, processes in which the probability distribution is not normal and the scaling exponent differs from 1/2 are known. The search for possible origins of such "anomalous" scaling and approaches to quantify them are the motivations for the work reported here. In processes with stationary increments, where the stochastic process is time-independent, autocorrelations between increments and infinite variance of increments can cause anomalous scaling. These sources have been referred to as the Joseph effect and the Noah effect, respectively. If the increments are nonstationary, then scaling of increments with t can also lead to anomalous scaling, a mechanism we refer to as the Moses effect. Scaling exponents quantifying the three effects are defined and related to the Hurst exponent that characterizes the overall scaling of the stochastic process. Methods of time series analysis that enable accurate independent measurement of each exponent are presented. Simple stochastic processes are used to illustrate each effect. Intraday financial time series data are analyzed, revealing that their anomalous scaling is due only to the Moses effect. In the context of financial market data, we reiterate that the Joseph exponent, not the Hurst exponent, is the appropriate measure to test the efficient market hypothesis.
A Constructive Sharp Approach to Functional Quantization of Stochastic Processes
Junglen, Stefan; Luschgy, Harald
2010-01-01
We present a constructive approach to the functional quantization problem of stochastic processes, with an emphasis on Gaussian processes. The approach is constructive, since we reduce the infinite-dimensional functional quantization problem to a finite-dimensional quantization problem that can be solved numerically. Our approach achieves the sharp rate of the minimal quantization error and can be used to quantize the path space for Gaussian processes and also, for example, Lévy processes.
Discrete random signal processing and filtering primer with Matlab
Poularikas, Alexander D
2013-01-01
Engineers in all fields will appreciate a practical guide that combines several new effective MATLAB® problem-solving approaches and the very latest in discrete random signal processing and filtering.Numerous Useful Examples, Problems, and Solutions - An Extensive and Powerful ReviewWritten for practicing engineers seeking to strengthen their practical grasp of random signal processing, Discrete Random Signal Processing and Filtering Primer with MATLAB provides the opportunity to doubly enhance their skills. The author, a leading expert in the field of electrical and computer engineering, offe
Learning Theory Estimates with Observations from General Stationary Stochastic Processes.
Hang, Hanyuan; Feng, Yunlong; Steinwart, Ingo; Suykens, Johan A K
2016-12-01
This letter investigates the supervised learning problem with observations drawn from certain general stationary stochastic processes. Here by general, we mean that many stationary stochastic processes can be included. We show that when the stochastic processes satisfy a generalized Bernstein-type inequality, a unified treatment on analyzing the learning schemes with various mixing processes can be conducted and a sharp oracle inequality for generic regularized empirical risk minimization schemes can be established. The obtained oracle inequality is then applied to derive convergence rates for several learning schemes such as empirical risk minimization (ERM), least squares support vector machines (LS-SVMs) using given generic kernels, and SVMs using gaussian kernels for both least squares and quantile regression. It turns out that for independent and identically distributed (i.i.d.) processes, our learning rates for ERM recover the optimal rates. For non-i.i.d. processes, including geometrically [Formula: see text]-mixing Markov processes, geometrically [Formula: see text]-mixing processes with restricted decay, [Formula: see text]-mixing processes, and (time-reversed) geometrically [Formula: see text]-mixing processes, our learning rates for SVMs with gaussian kernels match, up to some arbitrarily small extra term in the exponent, the optimal rates. For the remaining cases, our rates are at least close to the optimal rates. As a by-product, the assumed generalized Bernstein-type inequality also provides an interpretation of the so-called effective number of observations for various mixing processes.
Stochastic analysis in production process and ecology under uncertainty
Bieda, Bogusław
2014-01-01
The monograph addresses a problem of stochastic analysis based on the uncertainty assessment by simulation and application of this method in ecology and steel industry under uncertainty. The first chapter defines the Monte Carlo (MC) method and random variables in stochastic models. Chapter two deals with the contamination transport in porous media. Stochastic approach for Municipal Solid Waste transit time contaminants modeling using MC simulation has been worked out. The third chapter describes the risk analysis of the waste to energy facility proposal for Konin city, including the financial aspects. Environmental impact assessment of the ArcelorMittal Steel Power Plant, in Kraków - in the chapter four - is given. Thus, four scenarios of the energy mix production processes were studied. Chapter five contains examples of using ecological Life Cycle Assessment (LCA) - a relatively new method of environmental impact assessment - which help in preparing pro-ecological strategy, and which can lead to reducing t...
Counting statistics of non-markovian quantum stochastic processes
Flindt, Christian; Novotny, T.; Braggio, A.
2008-01-01
We derive a general expression for the cumulant generating function (CGF) of non-Markovian quantum stochastic transport processes. The long-time limit of the CGF is determined by a single dominating pole of the resolvent of the memory kernel from which we extract the zero-frequency cumulants...
Gene regulation and noise reduction by coupling of stochastic processes
Ramos, Alexandre F.; Hornos, José Eduardo M.; Reinitz, John
2015-02-01
Here we characterize the low-noise regime of a stochastic model for a negative self-regulating binary gene. The model has two stochastic variables, the protein number and the state of the gene. Each state of the gene behaves as a protein source governed by a Poisson process. The coupling between the two gene states depends on protein number. This fact has a very important implication: There exist protein production regimes characterized by sub-Poissonian noise because of negative covariance between the two stochastic variables of the model. Hence the protein numbers obey a probability distribution that has a peak that is sharper than those of the two coupled Poisson processes that are combined to produce it. Biochemically, the noise reduction in protein number occurs when the switching of the genetic state is more rapid than protein synthesis or degradation. We consider the chemical reaction rates necessary for Poisson and sub-Poisson processes in prokaryotes and eucaryotes. Our results suggest that the coupling of multiple stochastic processes in a negative covariance regime might be a widespread mechanism for noise reduction.
Gene regulation and noise reduction by coupling of stochastic processes.
Ramos, Alexandre F; Hornos, José Eduardo M; Reinitz, John
2015-02-01
Here we characterize the low-noise regime of a stochastic model for a negative self-regulating binary gene. The model has two stochastic variables, the protein number and the state of the gene. Each state of the gene behaves as a protein source governed by a Poisson process. The coupling between the two gene states depends on protein number. This fact has a very important implication: There exist protein production regimes characterized by sub-Poissonian noise because of negative covariance between the two stochastic variables of the model. Hence the protein numbers obey a probability distribution that has a peak that is sharper than those of the two coupled Poisson processes that are combined to produce it. Biochemically, the noise reduction in protein number occurs when the switching of the genetic state is more rapid than protein synthesis or degradation. We consider the chemical reaction rates necessary for Poisson and sub-Poisson processes in prokaryotes and eucaryotes. Our results suggest that the coupling of multiple stochastic processes in a negative covariance regime might be a widespread mechanism for noise reduction.
Conditional Stochastic Processes Applied to Wave Load Predictions
Jensen, Jørgen Juncher
2015-01-01
The concept of conditional stochastic processes provides a powerful tool for evaluation and estimation of wave loads on ships and offshore structures. This article first considers conditional waves with a focus on critical wave episodes. Then the inherent uncertainty in the results is illustrated...
Stochastic evolution of the Universe: A possible dynamical process ...
C Sivakumar
2017-12-11
Dec 11, 2017 ... https://doi.org/10.1007/s12043-017-1491-z. Stochastic evolution of the Universe: A possible dynamical process leading to fractal structures. C SIVAKUMAR. Department of Physics, Maharaja's College, Ernakulam 682 011, India. E-mail: thrisivc@yahoo.com. MS received 6 July 2016; revised 26 June 2017; ...
Liu, Hongjian; Wang, Zidong; Shen, Bo; Alsaadi, Fuad E.
2016-07-01
This paper deals with the robust H∞ state estimation problem for a class of memristive recurrent neural networks with stochastic time-delays. The stochastic time-delays under consideration are governed by a Bernoulli-distributed stochastic sequence. The purpose of the addressed problem is to design the robust state estimator such that the dynamics of the estimation error is exponentially stable in the mean square, and the prescribed ? performance constraint is met. By utilizing the difference inclusion theory and choosing a proper Lyapunov-Krasovskii functional, the existence condition of the desired estimator is derived. Based on it, the explicit expression of the estimator gain is given in terms of the solution to a linear matrix inequality. Finally, a numerical example is employed to demonstrate the effectiveness and applicability of the proposed estimation approach.
Uncertainty Reduction for Stochastic Processes on Complex Networks
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.
The mass transfer approach to multivariate discrete first order stochastic dominance
Østerdal, Lars Peter Raahave
2010-01-01
A fundamental result in the theory of stochastic dominance tells that first order dominance between two finite multivariate distributions is equivalent to the property that the one can be obtained from the other by shifting probability mass from one outcome to another that is worse a finite numbe...
Stochastic processes and applications diffusion processes, the Fokker-Planck and Langevin equations
Pavliotis, Grigorios A
2014-01-01
This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to eq...
Neural network connectivity and response latency modelled by stochastic processes
Tamborrino, Massimiliano
is connected to thousands of other neurons. The rst question is: how to model neural networks through stochastic processes? A multivariate Ornstein-Uhlenbeck process, obtained as a diffusion approximation of a jump process, is the proposed answer. Obviously, dependencies between neurons imply dependencies......Stochastic processes and their rst passage times have been widely used to describe the membrane potential dynamics of single neurons and to reproduce neuronal spikes, respectively.However, cerebral cortex in human brains is estimated to contain 10-20 billions of neurons and each of them...... between their spike times. Therefore, the second question is: how to detect neural network connectivity from simultaneously recorded spike trains? Answering this question corresponds to investigate the joint distribution of sequences of rst passage times. A non-parametric method based on copulas...
Deterministic geologic processes and stochastic modeling
Rautman, C.A.; Flint, A.L.
1992-01-01
This paper reports that recent outcrop sampling at Yucca Mountain, Nevada, has produced significant new information regarding the distribution of physical properties at the site of a potential high-level nuclear waste repository. consideration of the spatial variability indicates that her are a number of widespread deterministic geologic features at the site that have important implications for numerical modeling of such performance aspects as ground water flow and radionuclide transport. Because the geologic processes responsible for formation of Yucca Mountain are relatively well understood and operate on a more-or-less regional scale, understanding of these processes can be used in modeling the physical properties and performance of the site. Information reflecting these deterministic geologic processes may be incorporated into the modeling program explicitly using geostatistical concepts such as soft information, or implicitly, through the adoption of a particular approach to modeling
Models for discrete-time self-similar vector processes with application to network traffic
Lee, Seungsin; Rao, Raghuveer M.; Narasimha, Rajesh
2003-07-01
The paper defines self-similarity for vector processes by employing the discrete-time continuous-dilation operation which has successfully been used previously by the authors to define 1-D discrete-time stochastic self-similar processes. To define self-similarity of vector processes, it is required to consider the cross-correlation functions between different 1-D processes as well as the autocorrelation function of each constituent 1-D process in it. System models to synthesize self-similar vector processes are constructed based on the definition. With these systems, it is possible to generate self-similar vector processes from white noise inputs. An important aspect of the proposed models is that they can be used to synthesize various types of self-similar vector processes by choosing proper parameters. Additionally, the paper presents evidence of vector self-similarity in two-channel wireless LAN data and applies the aforementioned systems to simulate the corresponding network traffic traces.
Discrete Control Processes, Dynamic Games and Multicriterion Control Problems
Dumitru Lozovanu
2002-07-01
Full Text Available The discrete control processes with state evaluation in time of dynamical system is considered. A general model of control problems with integral-time cost criterion by a trajectory is studied and a general scheme for solving such classes of problems is proposed. In addition the game-theoretical and multicriterion models for control problems are formulated and studied.
Analysis of Time Discretization and its Effect on Simulation Processes
Gilbert-Rainer Gillich
2006-10-01
Full Text Available The paper presents the influence of time discretization on the results of simulations of technical systems. In this sense the systems are mod-eled using the SciLab/SCICOS environment, using different time inter-vals. Ulterior the processes are simulated and the results are com-pared.
Option Pricing with Stochastic Volatility and Jump Diffusion Processes
Radu Lupu
2006-03-01
Full Text Available Option pricing by the use of Black Scholes Merton (BSM model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns. The objective of this article is to present the methods that developed after the Black Scholes Merton environment and deals with the option pricing model adjustment to the empirical properties of asset returns. The main models that appeared after BSM allowed for special changes of the returns that materialized in jump-diffusion and stochastic volatility processes. The article presents the foundations of risk neutral options evaluation and the empirical evidence that fed the amendment of the lognormal assumption in the first part and shows the evaluation procedure under the assumption of stock prices following the jump-diffusion process and the stochastic volatility process.
Stochasticity in processes fundamentals and applications to chemistry and biology
Schuster, Peter
2016-01-01
This book has developed over the past fifteen years from a modern course on stochastic chemical kinetics for graduate students in physics, chemistry and biology. The first part presents a systematic collection of the mathematical background material needed to understand probability, statistics, and stochastic processes as a prerequisite for the increasingly challenging practical applications in chemistry and the life sciences examined in the second part. Recent advances in the development of new techniques and in the resolution of conventional experiments at nano-scales have been tremendous: today molecular spectroscopy can provide insights into processes down to scales at which current theories at the interface of physics, chemistry and the life sciences cannot be successful without a firm grasp of randomness and its sources. Routinely measured data is now sufficiently accurate to allow the direct recording of fluctuations. As a result, the sampling of data and the modeling of relevant processes are doomed t...
Yifat, Jonathan; Gannot, Israel
2015-03-01
Early detection of malignant tumors plays a crucial role in the survivability chances of the patient. Therefore, new and innovative tumor detection methods are constantly searched for. Tumor-specific magnetic-core nano-particles can be used with an alternating magnetic field to detect and treat tumors by hyperthermia. For the analysis of the method effectiveness, the bio-heat transfer between the nanoparticles and the tissue must be carefully studied. Heat diffusion in biological tissue is usually analyzed using the Pennes Bio-Heat Equation, where blood perfusion plays an important role. Malignant tumors are known to initiate an angiogenesis process, where endothelial cell migration from neighboring vasculature eventually leads to the formation of a thick blood capillary network around them. This process allows the tumor to receive its extensive nutrition demands and evolve into a more progressive and potentially fatal tumor. In order to assess the effect of angiogenesis on the bio-heat transfer problem, we have developed a discrete stochastic 3D model & simulation of tumor-induced angiogenesis. The model elaborates other angiogenesis models by providing high resolution 3D stochastic simulation, capturing of fine angiogenesis morphological features, effects of dynamic sprout thickness functions, and stochastic parent vessel generator. We show that the angiogenesis realizations produced are well suited for numerical bio-heat transfer analysis. Statistical study on the angiogenesis characteristics was derived using Monte Carlo simulations. According to the statistical analysis, we provide analytical expression for the blood perfusion coefficient in the Pennes equation, as a function of several parameters. This updated form of the Pennes equation could be used for numerical and analytical analyses of the proposed detection and treatment method. Copyright © 2014 Elsevier Inc. All rights reserved.
Stochastic Models in the Identification Process
Slovák, Dalibor; Zvárová, Jana
2011-01-01
Roč. 7, č. 1 (2011), s. 44-50 ISSN 1801-5603 R&D Projects: GA MŠk(CZ) 1M06014 Institutional research plan: CEZ:AV0Z10300504 Keywords : identification process * weight-of evidence formula * coancestry coefficient * beta-binomial sampling formula * DNA mixtures Subject RIV: IN - Informatics, Computer Science http://www.ejbi.eu/images/2011-1/Slovak_en.pdf
StochKit2: software for discrete stochastic simulation of biochemical systems with events.
Sanft, Kevin R; Wu, Sheng; Roh, Min; Fu, Jin; Lim, Rone Kwei; Petzold, Linda R
2011-09-01
StochKit2 is the first major upgrade of the popular StochKit stochastic simulation software package. StochKit2 provides highly efficient implementations of several variants of Gillespie's stochastic simulation algorithm (SSA), and tau-leaping with automatic step size selection. StochKit2 features include automatic selection of the optimal SSA method based on model properties, event handling, and automatic parallelism on multicore architectures. The underlying structure of the code has been completely updated to provide a flexible framework for extending its functionality. StochKit2 runs on Linux/Unix, Mac OS X and Windows. It is freely available under GPL version 3 and can be downloaded from http://sourceforge.net/projects/stochkit/. petzold@engineering.ucsb.edu.
5th Seminar on Stochastic Processes, Random Fields and Applications
Russo, Francesco; Dozzi, Marco
2008-01-01
This volume contains twenty-eight refereed research or review papers presented at the 5th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from May 30 to June 3, 2005. The seminar focused mainly on stochastic partial differential equations, random dynamical systems, infinite-dimensional analysis, approximation problems, and financial engineering. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance. Contributors: Y. Asai, J.-P. Aubin, C. Becker, M. Benaïm, H. Bessaih, S. Biagini, S. Bonaccorsi, N. Bouleau, N. Champagnat, G. Da Prato, R. Ferrière, F. Flandoli, P. Guasoni, V.B. Hallulli, D. Khoshnevisan, T. Komorowski, R. Léandre, P. Lescot, H. Lisei, J.A. López-Mimbela, V. Mandrekar, S. Méléard, A. Millet, H. Nagai, A.D. Neate, V. Orlovius, M. Pratelli, N. Privault, O. Raimond, M. Röckner, B. Rüdiger, W.J. Runggaldi...
Elliott, Thomas J.; Gu, Mile
2018-03-01
Continuous-time stochastic processes pervade everyday experience, and the simulation of models of these processes is of great utility. Classical models of systems operating in continuous-time must typically track an unbounded amount of information about past behaviour, even for relatively simple models, enforcing limits on precision due to the finite memory of the machine. However, quantum machines can require less information about the past than even their optimal classical counterparts to simulate the future of discrete-time processes, and we demonstrate that this advantage extends to the continuous-time regime. Moreover, we show that this reduction in the memory requirement can be unboundedly large, allowing for arbitrary precision even with a finite quantum memory. We provide a systematic method for finding superior quantum constructions, and a protocol for analogue simulation of continuous-time renewal processes with a quantum machine.
Stochastic processes dominate during boreal bryophyte community assembly.
Fenton, Nicole J; Bergeron, Yves
2013-09-01
Why are plant species found in certain locations and not in others? The study of community assembly rules has attempted to answer this question, and many studies articulate the historic dichotomy of deterministic (predictable niches) vs. stochastic (random or semi-random processes). The study of successional sequences to determine whether they converge, as would be expected by deterministic theory, or diverge, as stochastic theory would suggest, has been one method used to investigate this question. In this article we ask the question: Do similar boreal bryophyte communities develop in the similar habitat created by convergent succession after fires of different severities? Or do the stochastic processes generated by fires of different severity lead to different communities? Specifically we predict that deterministic structure will be more important for large forest-floor species than stochastic processes, and that the inverse will be true for small bryophyte species. We used multivariate regression trees and model selection to determine the relative weight of structure (forest structure, substrates, soil structure) and processes (fire severity) for two groups of bryophyte species sampled in 12 sites (seven high-severity and five low-severity fires). Contrary to our first hypothesis, processes were as important for large forest-floor bryophytes as for small pocket species. Fire severity, its interaction with the quality of available habitat, and its impact on the creation of biological legacies played dominant roles in determining community structure. In this study, sites with nearly identical forest structure, generated via convergent succession after high- and low-severity fire, were compared to see whether these sites supported similar bryophyte communities. While similar to some degree, both the large forest-floor species and the pocket species differed after high-severity fire compared to low-severity fire. This result suggests that the "how," or process of
Shi, Peng; Zhang, Yingqi; Chadli, Mohammed; Agarwal, Ramesh K
2016-04-01
In this brief, the problems of the mixed H-infinity and passivity performance analysis and design are investigated for discrete time-delay neural networks with Markovian jump parameters represented by Takagi-Sugeno fuzzy model. The main purpose of this brief is to design a filter to guarantee that the augmented Markovian jump fuzzy neural networks are stable in mean-square sense and satisfy a prescribed passivity performance index by employing the Lyapunov method and the stochastic analysis technique. Applying the matrix decomposition techniques, sufficient conditions are provided for the solvability of the problems, which can be formulated in terms of linear matrix inequalities. A numerical example is also presented to illustrate the effectiveness of the proposed techniques.
Hermite-Hadamard type inequality for φ{sub h}-convex stochastic processes
Sarıkaya, Mehmet Zeki, E-mail: sarikayamz@gmail.com [Department of Mathematics, Faculty of Science and Arts, Düzce University, Düzce (Turkey); Kiriş, Mehmet Eyüp, E-mail: kiris@aku.edu.tr [Department of Mathematics, Institute of Science and Arts, Afyon Kocatepe University, Afyonkarahisar (Turkey); Çelik, Nuri, E-mail: ncelik@bartin.edu.tr [Department of Statistics, Faculty of Science, Bartın University, Bartın-Turkey (Turkey)
2016-04-18
The main aim of the present paper is to introduce φ{sub h}-convex stochastic processes and we investigate main properties of these mappings. Moreover, we prove the Hadamard-type inequalities for φ{sub h}-convex stochastic processes. We also give some new general inequalities for φ{sub h}-convex stochastic processes.
Allore, H G; Schruben, L W; Erb, H N; Oltenacu, P A
1998-03-01
A dynamic stochastic simulation model for discrete events, SIMMAST, was developed to simulate the effect of mastitis on the composition of the bulk tank milk of dairy herds. Intramammary infections caused by Streptococcus agalactiae, Streptococcus spp. other than Strep. agalactiae, Staphylococcus aureus, and coagulase-negative staphylococci were modeled as were the milk, fat, and protein test day solutions for individual cows, which accounted for the fixed effects of days in milk, age at calving, season of calving, somatic cell count (SCC), and random effects of test day, cow yield differences from herdmates, and autocorrelated errors. Probabilities for the transitions among various states of udder health (uninfected or subclinically or clinically infected) were calculated to account for exposure, heifer infection, spontaneous recovery, lactation cure, infection or cure during the dry period, month of lactation, parity, within-herd yields, and the number of quarters with clinical intramammary infection in the previous and current lactations. The stochastic simulation model was constructed using estimates from the literature and also using data from 164 herds enrolled with Quality Milk Promotion Services that each had bulk tank SCC between 500,000 and 750,000/ml. Model parameters and outputs were validated against a separate data file of 69 herds from the Northeast Dairy Herd Improvement Association, each with a bulk tank SCC that was > or = 500,000/ml. Sensitivity analysis was performed on all input parameters for control herds. Using the validated stochastic simulation model, the control herds had a stable time average bulk tank SCC between 500,000 and 750,000/ml.
Nafidi, A.; Gutiérrez, R.; Gutiérrez-Sánchez, R.; Ramos-Ábalos, E.; El Hachimi, S.
2016-01-01
The aim of this study is to model electric power consumption during a period of economic crisis, characterised by declining gross domestic product. A novel aspect of this study is its use of a Gamma-type diffusion process for short and medium-term forecasting – other techniques that have been used to describe such consumption patterns are not valid in this situation. In this study, we consider a new extension of the stochastic Gamma diffusion process by introducing time functions (exogenous factors) that affect its trend. This extension is defined in terms of Kolmogorov backward and forward equations. After obtaining the transition probability density function and the moments (specifically, the trend function), the inference on the process parameters is obtained by discrete sampling of the sample paths. Finally, this stochastic process is applied to model total net electricity consumption in Spain, when affected by the following set of exogenous factors: Gross Domestic Product (GDP), Gross Fixed Capital Formation (GFCF) and Final Domestic Consumption (FDC). - Highlights: • The aim is modelling and predicting electricity consumption in Spain. • We propose a Gamma-type diffusion process for short and medium-term forecasting. • We compared the fit using diffusion processes with different exogenous factors.
Stability of discrete memory states to stochastic fluctuations in neuronal systems
Miller, Paul; Wang, Xiao-Jing
2014-01-01
Noise can degrade memories by causing transitions from one memory state to another. For any biological memory system to be useful, the time scale of such noise-induced transitions must be much longer than the required duration for memory retention. Using biophysically-realistic modeling, we consider two types of memory in the brain: short-term memories maintained by reverberating neuronal activity for a few seconds, and long-term memories maintained by a molecular switch for years. Both systems require persistence of (neuronal or molecular) activity self-sustained by an autocatalytic process and, we argue, that both have limited memory lifetimes because of significant fluctuations. We will first discuss a strongly recurrent cortical network model endowed with feedback loops, for short-term memory. Fluctuations are due to highly irregular spike firing, a salient characteristic of cortical neurons. Then, we will analyze a model for long-term memory, based on an autophosphorylation mechanism of calcium/calmodulin-dependent protein kinase II (CaMKII) molecules. There, fluctuations arise from the fact that there are only a small number of CaMKII molecules at each postsynaptic density (putative synaptic memory unit). Our results are twofold. First, we demonstrate analytically and computationally the exponential dependence of stability on the number of neurons in a self-excitatory network, and on the number of CaMKII proteins in a molecular switch. Second, for each of the two systems, we implement graded memory consisting of a group of bistable switches. For the neuronal network we report interesting ramping temporal dynamics as a result of sequentially switching an increasing number of discrete, bistable, units. The general observation of an exponential increase in memory stability with the system size leads to a trade-off between the robustness of memories (which increases with the size of each bistable unit) and the total amount of information storage (which decreases
Simulation of anaerobic digestion processes using stochastic algorithm.
Palanichamy, Jegathambal; Palani, Sundarambal
2014-01-01
The Anaerobic Digestion (AD) processes involve numerous complex biological and chemical reactions occurring simultaneously. Appropriate and efficient models are to be developed for simulation of anaerobic digestion systems. Although several models have been developed, mostly they suffer from lack of knowledge on constants, complexity and weak generalization. The basis of the deterministic approach for modelling the physico and bio-chemical reactions occurring in the AD system is the law of mass action, which gives the simple relationship between the reaction rates and the species concentrations. The assumptions made in the deterministic models are not hold true for the reactions involving chemical species of low concentration. The stochastic behaviour of the physicochemical processes can be modeled at mesoscopic level by application of the stochastic algorithms. In this paper a stochastic algorithm (Gillespie Tau Leap Method) developed in MATLAB was applied to predict the concentration of glucose, acids and methane formation at different time intervals. By this the performance of the digester system can be controlled. The processes given by ADM1 (Anaerobic Digestion Model 1) were taken for verification of the model. The proposed model was verified by comparing the results of Gillespie's algorithms with the deterministic solution for conversion of glucose into methane through degraders. At higher value of 'τ' (timestep), the computational time required for reaching the steady state is more since the number of chosen reactions is less. When the simulation time step is reduced, the results are similar to ODE solver. It was concluded that the stochastic algorithm is a suitable approach for the simulation of complex anaerobic digestion processes. The accuracy of the results depends on the optimum selection of tau value.
Modeling nanoparticle uptake and intracellular distribution using stochastic process algebras
Dobay, M. P. D., E-mail: maria.pamela.david@physik.uni-muenchen.de; Alberola, A. Piera; Mendoza, E. R.; Raedler, J. O., E-mail: joachim.raedler@physik.uni-muenchen.de [Ludwig-Maximilians University, Faculty of Physics, Center for NanoScience (Germany)
2012-03-15
Computational modeling is increasingly important to help understand the interaction and movement of nanoparticles (NPs) within living cells, and to come to terms with the wealth of data that microscopy imaging yields. A quantitative description of the spatio-temporal distribution of NPs inside cells; however, it is challenging due to the complexity of multiple compartments such as endosomes and nuclei, which themselves are dynamic and can undergo fusion and fission and exchange their content. Here, we show that stochastic pi calculus, a widely-used process algebra, is well suited for mapping surface and intracellular NP interactions and distributions. In stochastic pi calculus, each NP is represented as a process, which can adopt various states such as bound or aggregated, as well as be passed between processes representing location, as a function of predefined stochastic channels. We created a pi calculus model of gold NP uptake and intracellular movement and compared the evolution of surface-bound, cytosolic, endosomal, and nuclear NP densities with electron microscopy data. We demonstrate that the computational approach can be extended to include specific molecular binding and potential interaction with signaling cascades as characteristic for NP-cell interactions in a wide range of applications such as nanotoxicity, viral infection, and drug delivery.
Modeling nanoparticle uptake and intracellular distribution using stochastic process algebras
Dobay, M. P. D.; Alberola, A. Piera; Mendoza, E. R.; Rädler, J. O.
2012-01-01
Computational modeling is increasingly important to help understand the interaction and movement of nanoparticles (NPs) within living cells, and to come to terms with the wealth of data that microscopy imaging yields. A quantitative description of the spatio-temporal distribution of NPs inside cells; however, it is challenging due to the complexity of multiple compartments such as endosomes and nuclei, which themselves are dynamic and can undergo fusion and fission and exchange their content. Here, we show that stochastic pi calculus, a widely-used process algebra, is well suited for mapping surface and intracellular NP interactions and distributions. In stochastic pi calculus, each NP is represented as a process, which can adopt various states such as bound or aggregated, as well as be passed between processes representing location, as a function of predefined stochastic channels. We created a pi calculus model of gold NP uptake and intracellular movement and compared the evolution of surface-bound, cytosolic, endosomal, and nuclear NP densities with electron microscopy data. We demonstrate that the computational approach can be extended to include specific molecular binding and potential interaction with signaling cascades as characteristic for NP-cell interactions in a wide range of applications such as nanotoxicity, viral infection, and drug delivery.
Modeling nanoparticle uptake and intracellular distribution using stochastic process algebras
Dobay, M. P. D.; Alberola, A. Piera; Mendoza, E. R.; Rädler, J. O.
2012-03-01
Computational modeling is increasingly important to help understand the interaction and movement of nanoparticles (NPs) within living cells, and to come to terms with the wealth of data that microscopy imaging yields. A quantitative description of the spatio-temporal distribution of NPs inside cells; however, it is challenging due to the complexity of multiple compartments such as endosomes and nuclei, which themselves are dynamic and can undergo fusion and fission and exchange their content. Here, we show that stochastic pi calculus, a widely-used process algebra, is well suited for mapping surface and intracellular NP interactions and distributions. In stochastic pi calculus, each NP is represented as a process, which can adopt various states such as bound or aggregated, as well as be passed between processes representing location, as a function of predefined stochastic channels. We created a pi calculus model of gold NP uptake and intracellular movement and compared the evolution of surface-bound, cytosolic, endosomal, and nuclear NP densities with electron microscopy data. We demonstrate that the computational approach can be extended to include specific molecular binding and potential interaction with signaling cascades as characteristic for NP-cell interactions in a wide range of applications such as nanotoxicity, viral infection, and drug delivery.
Li Hongjie; Yue Dong
2010-01-01
The paper investigates the synchronization stability problem for a class of complex dynamical networks with Markovian jumping parameters and mixed time delays. The complex networks consist of m modes and the networks switch from one mode to another according to a Markovian chain with known transition probability. The mixed time delays are composed of discrete and distributed delays, the discrete time delay is assumed to be random and its probability distribution is known a priori. In terms of the probability distribution of the delays, the new type of system model with probability-distribution-dependent parameter matrices is proposed. Based on the stochastic analysis techniques and the properties of the Kronecker product, delay-dependent synchronization stability criteria in the mean square are derived in the form of linear matrix inequalities which can be readily solved by using the LMI toolbox in MATLAB, the solvability of derived conditions depends on not only the size of the delay, but also the probability of the delay-taking values in some intervals. Finally, a numerical example is given to illustrate the feasibility and effectiveness of the proposed method.
Random migration processes between two stochastic epidemic centers.
Sazonov, Igor; Kelbert, Mark; Gravenor, Michael B
2016-04-01
We consider the epidemic dynamics in stochastic interacting population centers coupled by random migration. Both the epidemic and the migration processes are modeled by Markov chains. We derive explicit formulae for the probability distribution of the migration process, and explore the dependence of outbreak patterns on initial parameters, population sizes and coupling parameters, using analytical and numerical methods. We show the importance of considering the movement of resident and visitor individuals separately. The mean field approximation for a general migration process is derived and an approximate method that allows the computation of statistical moments for networks with highly populated centers is proposed and tested numerically. Copyright © 2016 Elsevier Inc. All rights reserved.
Quantitative Sociodynamics Stochastic Methods and Models of Social Interaction Processes
Helbing, Dirk
2010-01-01
This new edition of Quantitative Sociodynamics presents a general strategy for interdisciplinary model building and its application to a quantitative description of behavioral changes based on social interaction processes. Originally, the crucial methods for the modeling of complex systems (stochastic methods and nonlinear dynamics) were developed in physics and mathematics, but they have very often proven their explanatory power in chemistry, biology, economics and the social sciences as well. Quantitative Sociodynamics provides a unified and comprehensive overview of the different stochastic methods, their interrelations and properties. In addition, it introduces important concepts from nonlinear dynamics (e.g. synergetics, chaos theory). The applicability of these fascinating concepts to social phenomena is carefully discussed. By incorporating decision-theoretical approaches, a fundamental dynamic model is obtained, which opens new perspectives in the social sciences. It includes many established models a...
Quantitative sociodynamics stochastic methods and models of social interaction processes
Helbing, Dirk
1995-01-01
Quantitative Sociodynamics presents a general strategy for interdisciplinary model building and its application to a quantitative description of behavioural changes based on social interaction processes. Originally, the crucial methods for the modeling of complex systems (stochastic methods and nonlinear dynamics) were developed in physics but they have very often proved their explanatory power in chemistry, biology, economics and the social sciences. Quantitative Sociodynamics provides a unified and comprehensive overview of the different stochastic methods, their interrelations and properties. In addition, it introduces the most important concepts from nonlinear dynamics (synergetics, chaos theory). The applicability of these fascinating concepts to social phenomena is carefully discussed. By incorporating decision-theoretical approaches a very fundamental dynamic model is obtained which seems to open new perspectives in the social sciences. It includes many established models as special cases, e.g. the log...
Structure and Randomness of Continuous-Time, Discrete-Event Processes
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.
Fundamental aspects of brittle damage processes -- discrete systems
Krajcinovic, D.; Lubarda, V.
1993-01-01
The analysis of cooperative brittle processes are performed on simple discrete models admitting closed form solutions. A connection between the damage and fracture mechanics is derived and utilized to illustrate the relation between two theories. The performed analyses suggest that the stress concentrations (direct interaction between defects) represent a second order effect during the hardening part of the response in the case of disordered solids
Discrete-time state estimation for stochastic polynomial systems over polynomial observations
Hernandez-Gonzalez, M.; Basin, M.; Stepanov, O.
2018-07-01
This paper presents a solution to the mean-square state estimation problem for stochastic nonlinear polynomial systems over polynomial observations confused with additive white Gaussian noises. The solution is given in two steps: (a) computing the time-update equations and (b) computing the measurement-update equations for the state estimate and error covariance matrix. A closed form of this filter is obtained by expressing conditional expectations of polynomial terms as functions of the state estimate and error covariance. As a particular case, the mean-square filtering equations are derived for a third-degree polynomial system with second-degree polynomial measurements. Numerical simulations show effectiveness of the proposed filter compared to the extended Kalman filter.
Chkifa, Abdellah
2015-04-08
Motivated by the numerical treatment of parametric and stochastic PDEs, we analyze the least-squares method for polynomial approximation of multivariate functions based on random sampling according to a given probability measure. Recent work has shown that in the univariate case, the least-squares method is quasi-optimal in expectation in [A. Cohen, M A. Davenport and D. Leviatan. Found. Comput. Math. 13 (2013) 819–834] and in probability in [G. Migliorati, F. Nobile, E. von Schwerin, R. Tempone, Found. Comput. Math. 14 (2014) 419–456], under suitable conditions that relate the number of samples with respect to the dimension of the polynomial space. Here “quasi-optimal” means that the accuracy of the least-squares approximation is comparable with that of the best approximation in the given polynomial space. In this paper, we discuss the quasi-optimality of the polynomial least-squares method in arbitrary dimension. Our analysis applies to any arbitrary multivariate polynomial space (including tensor product, total degree or hyperbolic crosses), under the minimal requirement that its associated index set is downward closed. The optimality criterion only involves the relation between the number of samples and the dimension of the polynomial space, independently of the anisotropic shape and of the number of variables. We extend our results to the approximation of Hilbert space-valued functions in order to apply them to the approximation of parametric and stochastic elliptic PDEs. As a particular case, we discuss “inclusion type” elliptic PDE models, and derive an exponential convergence estimate for the least-squares method. Numerical results confirm our estimate, yet pointing out a gap between the condition necessary to achieve optimality in the theory, and the condition that in practice yields the optimal convergence rate.
Multiple-scale stochastic processes: Decimation, averaging and beyond
Bo, Stefano, E-mail: stefano.bo@nordita.org [Nordita, KTH Royal Institute of Technology and Stockholm University, Roslagstullsbacken 23, SE-106 91 Stockholm (Sweden); Celani, Antonio [Quantitative Life Sciences, The Abdus Salam International Centre for Theoretical Physics (ICTP), Strada Costiera 11, I-34151 - Trieste (Italy)
2017-02-07
The recent experimental progresses in handling microscopic systems have allowed to probe them at levels where fluctuations are prominent, calling for stochastic modeling in a large number of physical, chemical and biological phenomena. This has provided fruitful applications for established stochastic methods and motivated further developments. These systems often involve processes taking place on widely separated time scales. For an efficient modeling one usually focuses on the slower degrees of freedom and it is of great importance to accurately eliminate the fast variables in a controlled fashion, carefully accounting for their net effect on the slower dynamics. This procedure in general requires to perform two different operations: decimation and coarse-graining. We introduce the asymptotic methods that form the basis of this procedure and discuss their application to a series of physical, biological and chemical examples. We then turn our attention to functionals of the stochastic trajectories such as residence times, counting statistics, fluxes, entropy production, etc. which have been increasingly studied in recent years. For such functionals, the elimination of the fast degrees of freedom can present additional difficulties and naive procedures can lead to blatantly inconsistent results. Homogenization techniques for functionals are less covered in the literature and we will pedagogically present them here, as natural extensions of the ones employed for the trajectories. We will also discuss recent applications of these techniques to the thermodynamics of small systems and their interpretation in terms of information-theoretic concepts.
Mélykúti, Bence; Burrage, Kevin; Zygalakis, Konstantinos C.
2010-01-01
The Chemical Langevin Equation (CLE), which is a stochastic differential equation driven by a multidimensional Wiener process, acts as a bridge between the discrete stochastic simulation algorithm and the deterministic reaction rate equation when
Persistence of non-Markovian Gaussian stationary processes in discrete time
Nyberg, Markus; Lizana, Ludvig
2018-04-01
The persistence of a stochastic variable is the probability that it does not cross a given level during a fixed time interval. Although persistence is a simple concept to understand, it is in general hard to calculate. Here we consider zero mean Gaussian stationary processes in discrete time n . Few results are known for the persistence P0(n ) in discrete time, except the large time behavior which is characterized by the nontrivial constant θ through P0(n ) ˜θn . Using a modified version of the independent interval approximation (IIA) that we developed before, we are able to calculate P0(n ) analytically in z -transform space in terms of the autocorrelation function A (n ) . If A (n )→0 as n →∞ , we extract θ numerically, while if A (n )=0 , for finite n >N , we find θ exactly (within the IIA). We apply our results to three special cases: the nearest-neighbor-correlated "first order moving average process", where A (n )=0 for n >1 , the double exponential-correlated "second order autoregressive process", where A (n ) =c1λ1n+c2λ2n , and power-law-correlated variables, where A (n ) ˜n-μ . Apart from the power-law case when μ <5 , we find excellent agreement with simulations.
Informational and Causal Architecture of Discrete-Time Renewal Processes
Sarah E. Marzen
2015-07-01
Full Text Available Renewal processes are broadly used to model stochastic behavior consisting of isolated events separated by periods of quiescence, whose durations are specified by a given probability law. Here, we identify the minimal sufficient statistic for their prediction (the set of causal states, calculate the historical memory capacity required to store those states (statistical complexity, delineate what information is predictable (excess entropy, and decompose the entropy of a single measurement into that shared with the past, future, or both. The causal state equivalence relation defines a new subclass of renewal processes with a finite number of causal states despite having an unbounded interevent count distribution. We use the resulting formulae to analyze the output of the parametrized Simple Nonunifilar Source, generated by a simple two-state hidden Markov model, but with an infinite-state ϵ-machine presentation. All in all, the results lay the groundwork for analyzing more complex processes with infinite statistical complexity and infinite excess entropy.
Image processing tensor transform and discrete tomography with Matlab
Grigoryan, Artyom M
2012-01-01
Focusing on mathematical methods in computer tomography, Image Processing: Tensor Transform and Discrete Tomography with MATLAB(R) introduces novel approaches to help in solving the problem of image reconstruction on the Cartesian lattice. Specifically, it discusses methods of image processing along parallel rays to more quickly and accurately reconstruct images from a finite number of projections, thereby avoiding overradiation of the body during a computed tomography (CT) scan. The book presents several new ideas, concepts, and methods, many of which have not been published elsewhere. New co
Population density equations for stochastic processes with memory kernels
Lai, Yi Ming; de Kamps, Marc
2017-06-01
We present a method for solving population density equations (PDEs)-a mean-field technique describing homogeneous populations of uncoupled neurons—where the populations can be subject to non-Markov noise for arbitrary distributions of jump sizes. The method combines recent developments in two different disciplines that traditionally have had limited interaction: computational neuroscience and the theory of random networks. The method uses a geometric binning scheme, based on the method of characteristics, to capture the deterministic neurodynamics of the population, separating the deterministic and stochastic process cleanly. We can independently vary the choice of the deterministic model and the model for the stochastic process, leading to a highly modular numerical solution strategy. We demonstrate this by replacing the master equation implicit in many formulations of the PDE formalism by a generalization called the generalized Montroll-Weiss equation—a recent result from random network theory—describing a random walker subject to transitions realized by a non-Markovian process. We demonstrate the method for leaky- and quadratic-integrate and fire neurons subject to spike trains with Poisson and gamma-distributed interspike intervals. We are able to model jump responses for both models accurately to both excitatory and inhibitory input under the assumption that all inputs are generated by one renewal process.
Simulation of Stochastic Processes by Coupled ODE-PDE
Zak, Michail
2008-01-01
A document discusses the emergence of randomness in solutions of coupled, fully deterministic ODE-PDE (ordinary differential equations-partial differential equations) due to failure of the Lipschitz condition as a new phenomenon. It is possible to exploit the special properties of ordinary differential equations (represented by an arbitrarily chosen, dynamical system) coupled with the corresponding Liouville equations (used to describe the evolution of initial uncertainties in terms of joint probability distribution) in order to simulate stochastic processes with the proscribed probability distributions. The important advantage of the proposed approach is that the simulation does not require a random-number generator.
Sequential stochastic optimization
Cairoli, Renzo
1996-01-01
Sequential Stochastic Optimization provides mathematicians and applied researchers with a well-developed framework in which stochastic optimization problems can be formulated and solved. Offering much material that is either new or has never before appeared in book form, it lucidly presents a unified theory of optimal stopping and optimal sequential control of stochastic processes. This book has been carefully organized so that little prior knowledge of the subject is assumed; its only prerequisites are a standard graduate course in probability theory and some familiarity with discrete-paramet
An extension of clarke's model with stochastic amplitude flip processes
Hoel, Hakon
2014-07-01
Stochastic modeling is an essential tool for studying statistical properties of wireless channels. In multipath fading channel (MFC) models, the signal reception is modeled by a sum of wave path contributions, and Clarke\\'s model is an important example of such which has been widely accepted in many wireless applications. However, since Clarke\\'s model is temporally deterministic, Feng and Field noted that it does not model real wireless channels with time-varying randomness well. Here, we extend Clarke\\'s model to a novel time-varying stochastic MFC model with scatterers randomly flipping on and off. Statistical properties of the MFC model are analyzed and shown to fit well with real signal measurements, and a limit Gaussian process is derived from the model when the number of active wave paths tends to infinity. A second focus of this work is a comparison study of the error and computational cost of generating signal realizations from the MFC model and from its limit Gaussian process. By rigorous analysis and numerical studies, we show that in many settings, signal realizations are generated more efficiently by Gaussian process algorithms than by the MFC model\\'s algorithm. Numerical examples that strengthen these observations are also presented. © 2014 IEEE.
Time Series, Stochastic Processes and Completeness of Quantum Theory
Kupczynski, Marian
2011-01-01
Most of physical experiments are usually described as repeated measurements of some random variables. Experimental data registered by on-line computers form time series of outcomes. The frequencies of different outcomes are compared with the probabilities provided by the algorithms of quantum theory (QT). In spite of statistical predictions of QT a claim was made that it provided the most complete description of the data and of the underlying physical phenomena. This claim could be easily rejected if some fine structures, averaged out in the standard descriptive statistical analysis, were found in time series of experimental data. To search for these structures one has to use more subtle statistical tools which were developed to study time series produced by various stochastic processes. In this talk we review some of these tools. As an example we show how the standard descriptive statistical analysis of the data is unable to reveal a fine structure in a simulated sample of AR (2) stochastic process. We emphasize once again that the violation of Bell inequalities gives no information on the completeness or the non locality of QT. The appropriate way to test the completeness of quantum theory is to search for fine structures in time series of the experimental data by means of the purity tests or by studying the autocorrelation and partial autocorrelation functions.
Gadzhokov, V.; Penev, I.; Aleksandrov, L.
1979-01-01
A brief description of the KOLOBOK computer code designed for streamline processing of discrete nuclear spectra with symmetric Gaussian shape of the single line on computers of the ES series, models 1020 and above, is given. The program solves the stream of discrete-spectrometry generated nonlinear problems by means of authoregularized iteration process. The Fortran-4 text of the code is reported in an Appendix
Evolution and mass extinctions as lognormal stochastic processes
Maccone, Claudio
2014-10-01
In a series of recent papers and in a book, this author put forward a mathematical model capable of embracing the search for extra-terrestrial intelligence (SETI), Darwinian Evolution and Human History into a single, unified statistical picture, concisely called Evo-SETI. The relevant mathematical tools are: (1) Geometric Brownian motion (GBM), the stochastic process representing evolution as the stochastic increase of the number of species living on Earth over the last 3.5 billion years. This GBM is well known in the mathematics of finances (Black-Sholes models). Its main features are that its probability density function (pdf) is a lognormal pdf, and its mean value is either an increasing or, more rarely, decreasing exponential function of the time. (2) The probability distributions known as b-lognormals, i.e. lognormals starting at a certain positive instant b>0 rather than at the origin. These b-lognormals were then forced by us to have their peak value located on the exponential mean-value curve of the GBM (Peak-Locus theorem). In the framework of Darwinian Evolution, the resulting mathematical construction was shown to be what evolutionary biologists call Cladistics. (3) The (Shannon) entropy of such b-lognormals is then seen to represent the `degree of progress' reached by each living organism or by each big set of living organisms, like historic human civilizations. Having understood this fact, human history may then be cast into the language of b-lognormals that are more and more organized in time (i.e. having smaller and smaller entropy, or smaller and smaller `chaos'), and have their peaks on the increasing GBM exponential. This exponential is thus the `trend of progress' in human history. (4) All these results also match with SETI in that the statistical Drake equation (generalization of the ordinary Drake equation to encompass statistics) leads just to the lognormal distribution as the probability distribution for the number of extra
D'Onofrio, Giuseppe; Pirozzi, Enrica
2017-05-01
We consider a stochastic differential equation in a strip, with coefficients suitably chosen to describe the acto-myosin interaction subject to time-varying forces. By simulating trajectories of the stochastic dynamics via an Euler discretization-based algorithm, we fit experimental data and determine the values of involved parameters. The steps of the myosin are represented by the exit events from the strip. Motivated by these results, we propose a specific stochastic model based on the corresponding time-inhomogeneous Gauss-Markov and diffusion process evolving between two absorbing boundaries. We specify the mean and covariance functions of the stochastic modeling process taking into account time-dependent forces including the effect of an external load. We accurately determine the probability density function (pdf) of the first exit time (FET) from the strip by solving a system of two non singular second-type Volterra integral equations via a numerical quadrature. We provide numerical estimations of the mean of FET as approximations of the dwell-time of the proteins dynamics. The percentage of backward steps is given in agreement to experimental data. Numerical and simulation results are compared and discussed.
Suprathreshold stochastic resonance in neural processing tuned by correlation.
Durrant, Simon; Kang, Yanmei; Stocks, Nigel; Feng, Jianfeng
2011-07-01
Suprathreshold stochastic resonance (SSR) is examined in the context of integrate-and-fire neurons, with an emphasis on the role of correlation in the neuronal firing. We employed a model based on a network of spiking neurons which received synaptic inputs modeled by Poisson processes stimulated by a stepped input signal. The smoothed ensemble firing rate provided an output signal, and the mutual information between this signal and the input was calculated for networks with different noise levels and different numbers of neurons. It was found that an SSR effect was present in this context. We then examined a more biophysically plausible scenario where the noise was not controlled directly, but instead was tuned by the correlation between the inputs. The SSR effect remained present in this scenario with nonzero noise providing improved information transmission, and it was found that negative correlation between the inputs was optimal. Finally, an examination of SSR in the context of this model revealed its connection with more traditional stochastic resonance and showed a trade-off between supratheshold and subthreshold components. We discuss these results in the context of existing empirical evidence concerning correlations in neuronal firing.
Stochastic investigation of precipitation process for climatic variability identification
Sotiriadou, Alexia; Petsiou, Amalia; Feloni, Elisavet; Kastis, Paris; Iliopoulou, Theano; Markonis, Yannis; Tyralis, Hristos; Dimitriadis, Panayiotis; Koutsoyiannis, Demetris
2016-04-01
The precipitation process is important not only to hydrometeorology but also to renewable energy resources management. We use a dataset consisting of daily and hourly records around the globe to identify statistical variability with emphasis on the last period. Specifically, we investigate the occurrence of mean, maximum and minimum values and we estimate statistical properties such as marginal probability distribution function and the type of decay of the climacogram (i.e., mean process variance vs. scale). 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.
Time-variant reliability assessment through equivalent stochastic process transformation
Wang, Zequn; Chen, Wei
2016-01-01
Time-variant reliability measures the probability that an engineering system successfully performs intended functions over a certain period of time under various sources of uncertainty. In practice, it is computationally prohibitive to propagate uncertainty in time-variant reliability assessment based on expensive or complex numerical models. This paper presents an equivalent stochastic process transformation approach for cost-effective prediction of reliability deterioration over the life cycle of an engineering system. To reduce the high dimensionality, a time-independent reliability model is developed by translating random processes and time parameters into random parameters in order to equivalently cover all potential failures that may occur during the time interval of interest. With the time-independent reliability model, an instantaneous failure surface is attained by using a Kriging-based surrogate model to identify all potential failure events. To enhance the efficacy of failure surface identification, a maximum confidence enhancement method is utilized to update the Kriging model sequentially. Then, the time-variant reliability is approximated using Monte Carlo simulations of the Kriging model where system failures over a time interval are predicted by the instantaneous failure surface. The results of two case studies demonstrate that the proposed approach is able to accurately predict the time evolution of system reliability while requiring much less computational efforts compared with the existing analytical approach. - Highlights: • Developed a new approach for time-variant reliability analysis. • Proposed a novel stochastic process transformation procedure to reduce the dimensionality. • Employed Kriging models with confidence-based adaptive sampling scheme to enhance computational efficiency. • The approach is effective for handling random process in time-variant reliability analysis. • Two case studies are used to demonstrate the efficacy
Process algebra with timing : real time and discrete time
Baeten, J.C.M.; Middelburg, C.A.; Bergstra, J.A.; Ponse, A.J.; Smolka, S.A.
2001-01-01
We present real time and discrete time versions of ACP with absolute timing and relative timing. The starting-point is a new real time version with absolute timing, called ACPsat, featuring urgent actions and a delay operator. The discrete time versions are conservative extensions of the discrete
Process algebra with timing: Real time and discrete time
Baeten, J.C.M.; Middelburg, C.A.
1999-01-01
We present real time and discrete time versions of ACP with absolute timing and relative timing. The startingpoint is a new real time version with absolute timing, called ACPsat , featuring urgent actions and a delay operator. The discrete time versions are conservative extensions of the discrete
On the Fractional Poisson Process and the Discretized Stable Subordinator
Rudolf Gorenflo
2015-08-01
Full Text Available We consider the renewal counting number process N = N(t as a forward march over the non-negative integers with independent identically distributed waiting times. We embed the values of the counting numbers N in a “pseudo-spatial” non-negative half-line x ≥ 0 and observe that for physical time likewise we have t ≥ 0. Thus we apply the Laplace transform with respect to both variables x and t. Applying then a modification of the Montroll-Weiss-Cox formalism of continuous time random walk we obtain the essential characteristics of a renewal process in the transform domain and, if we are lucky, also in the physical domain. The process t = t(N of accumulation of waiting times is inverse to the counting number process, in honour of the Danish mathematician and telecommunication engineer A.K. Erlang we call it the Erlang process. It yields the probability of exactly n renewal events in the interval (0; t]. We apply our Laplace-Laplace formalism to the fractional Poisson process whose waiting times are of Mittag-Leffler type and to a renewal process whose waiting times are of Wright type. The process of Mittag-Leffler type includes as a limiting case the classical Poisson process, the process of Wright type represents the discretized stable subordinator and a re-scaled version of it was used in our method of parametric subordination of time-space fractional diffusion processes. Properly rescaling the counting number process N(t and the Erlang process t(N yields as diffusion limits the inverse stable and the stable subordinator, respectively.
QUANTUM STOCHASTIC PROCESSES: BOSON AND FERMION BROWNIAN MOTION
A.E.Kobryn
2003-01-01
Full Text Available Dynamics of quantum systems which are stochastically perturbed by linear coupling to the reservoir can be studied in terms of quantum stochastic differential equations (for example, quantum stochastic Liouville equation and quantum Langevin equation. In order to work it out one needs to define the quantum Brownian motion. As far as only its boson version has been known until recently, in the present paper we present the definition which makes it possible to consider the fermion Brownian motion as well.
A measure theoretical approach to quantum stochastic processes
Waldenfels, Wilhelm von
2014-04-01
Authored by a leading researcher in the field. Self-contained presentation of the subject matter. Examines a number of worked examples in detail. This monograph takes as starting point that abstract quantum stochastic processes can be understood as a quantum field theory in one space and in one time coordinate. As a result it is appropriate to represent operators as power series of creation and annihilation operators in normal-ordered form, which can be achieved using classical measure theory. Considering in detail four basic examples (e.g. a two-level atom coupled to a heat bath of oscillators), in each case the Hamiltonian of the associated one-parameter strongly continuous group is determined and the spectral decomposition is explicitly calculated in the form of generalized eigen-vectors. Advanced topics include the theory of the Hudson-Parthasarathy equation and the amplified oscillator problem. To that end, a chapter on white noise calculus has also been included.
Stochastic calculus for fractional Brownian motion and related processes
Mishura, Yuliya S
2008-01-01
The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. Among these are results about Levy characterization of fractional Brownian motion, maximal moment inequalities for Wiener integrals including the values 0
Kolmogorov's refined similarity hypotheses for turbulence and general stochastic processes
Stolovitzky, G.; Sreenivasan, K.R.
1994-01-01
Kolmogorov's refined similarity hypotheses are shown to hold true for a variety of stochastic processes besides high-Reynolds-number turbulent flows, for which they were originally proposed. In particular, just as hypothesized for turbulence, there exists a variable V whose probability density function attains a universal form. Analytical expressions for the probability density function of V are obtained for Brownian motion as well as for the general case of fractional Brownian motion---the latter under some mild assumptions justified a posteriori. The properties of V for the case of antipersistent fractional Brownian motion with the Hurst exponent of 1/3 are similar in many details to those of high-Reynolds-number turbulence in atmospheric boundary layers a few meters above the ground. The one conspicuous difference between turbulence and the antipersistent fractional Brownian motion is that the latter does not possess the required skewness. Broad implications of these results are discussed
A measure theoretical approach to quantum stochastic processes
Von Waldenfels, Wilhelm
2014-01-01
This monograph takes as starting point that abstract quantum stochastic processes can be understood as a quantum field theory in one space and in one time coordinate. As a result it is appropriate to represent operators as power series of creation and annihilation operators in normal-ordered form, which can be achieved using classical measure theory. Considering in detail four basic examples (e.g. a two-level atom coupled to a heat bath of oscillators), in each case the Hamiltonian of the associated one-parameter strongly continuous group is determined and the spectral decomposition is explicitly calculated in the form of generalized eigen-vectors. Advanced topics include the theory of the Hudson-Parthasarathy equation and the amplified oscillator problem. To that end, a chapter on white noise calculus has also been included.
SUPERPOSITION OF STOCHASTIC PROCESSES AND THE RESULTING PARTICLE DISTRIBUTIONS
Schwadron, N. A.; Dayeh, M. A.; Desai, M.; Fahr, H.; Jokipii, J. R.; Lee, M. A.
2010-01-01
Many observations of suprathermal and energetic particles in the solar wind and the inner heliosheath show that distribution functions scale approximately with the inverse of particle speed (v) to the fifth power. Although there are exceptions to this behavior, there is a growing need to understand why this type of distribution function appears so frequently. This paper develops the concept that a superposition of exponential and Gaussian distributions with different characteristic speeds and temperatures show power-law tails. The particular type of distribution function, f ∝ v -5 , appears in a number of different ways: (1) a series of Poisson-like processes where entropy is maximized with the rates of individual processes inversely proportional to the characteristic exponential speed, (2) a series of Gaussian distributions where the entropy is maximized with the rates of individual processes inversely proportional to temperature and the density of individual Gaussian distributions proportional to temperature, and (3) a series of different diffusively accelerated energetic particle spectra with individual spectra derived from observations (1997-2002) of a multiplicity of different shocks. Thus, we develop a proof-of-concept for the superposition of stochastic processes that give rise to power-law distribution functions.
Stochastic process corrosion growth models for pipeline reliability
Bazán, Felipe Alexander Vargas; Beck, André Teófilo
2013-01-01
Highlights: •Novel non-linear stochastic process corrosion growth model is proposed. •Corrosion rate modeled as random Poisson pulses. •Time to corrosion initiation and inherent time-variability properly represented. •Continuous corrosion growth histories obtained. •Model is shown to precisely fit actual corrosion data at two time points. -- Abstract: Linear random variable corrosion models are extensively employed in reliability analysis of pipelines. However, linear models grossly neglect well-known characteristics of the corrosion process. Herein, a non-linear model is proposed, where corrosion rate is represented as a Poisson square wave process. The resulting model represents inherent time-variability of corrosion growth, produces continuous growth and leads to mean growth at less-than-one power of time. Different corrosion models are adjusted to the same set of actual corrosion data for two inspections. The proposed non-linear random process corrosion growth model leads to the best fit to the data, while better representing problem physics
Lévy matters IV estimation for discretely observed Lévy processes
Belomestny, Denis; Genon-Catalot, Valentine; Masuda, Hiroki; Reiß, Markus
2015-01-01
The aim of this volume is to provide an extensive account of the most recent advances in statistics for discretely observed Lévy processes. These days, statistics for stochastic processes is a lively topic, driven by the needs of various fields of application, such as finance, the biosciences, and telecommunication. The three chapters of this volume are completely dedicated to the estimation of Lévy processes, and are written by experts in the field. The first chapter by Denis Belomestny and Markus Reiß treats the low frequency situation, and estimation methods are based on the empirical characteristic function. The second chapter by Fabienne Comte and Valery Genon-Catalon is dedicated to non-parametric estimation mainly covering the high-frequency data case. A distinctive feature of this part is the construction of adaptive estimators, based on deconvolution or projection or kernel methods. The last chapter by Hiroki Masuda considers the parametric situation. The chapters cover the main aspects of the est...
Weinberg, Seth H.; Smith, Gregory D.
2012-01-01
Cardiac myocyte calcium signaling is often modeled using deterministic ordinary differential equations (ODEs) and mass-action kinetics. However, spatially restricted “domains” associated with calcium influx are small enough (e.g., 10−17 liters) that local signaling may involve 1–100 calcium ions. Is it appropriate to model the dynamics of subspace calcium using deterministic ODEs or, alternatively, do we require stochastic descriptions that account for the fundamentally discrete nature of these local calcium signals? To address this question, we constructed a minimal Markov model of a calcium-regulated calcium channel and associated subspace. We compared the expected value of fluctuating subspace calcium concentration (a result that accounts for the small subspace volume) with the corresponding deterministic model (an approximation that assumes large system size). When subspace calcium did not regulate calcium influx, the deterministic and stochastic descriptions agreed. However, when calcium binding altered channel activity in the model, the continuous deterministic description often deviated significantly from the discrete stochastic model, unless the subspace volume is unrealistically large and/or the kinetics of the calcium binding are sufficiently fast. This principle was also demonstrated using a physiologically realistic model of calmodulin regulation of L-type calcium channels introduced by Yue and coworkers. PMID:23509597
Brownian motion and stochastic calculus
Karatzas, Ioannis
1998-01-01
This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large num...
Profiles of the stochastic star formation process in spiral galaxies
Comins, N.
1981-01-01
The formation of spiral arms in disc galaxies is generally attributed to the effects of spiral density waves. These relatively small (i.e. 5 per cent) non-axisymmetric perturbations of the interstellar medium cause spiral arms highlighted by O and B type stars to be created. In this paper another mechanism for spiral arm formation, the stochastic self-propagating star formation (SSPSF) process is examined. The SSPSF process combines the theory that shock waves from supernovae will compress the interstellar medium to create new stars, some of which will be massive enough to also supernova, with a disc galaxy's differential rotation to create spiral arms. The present work extends this process to the case where the probability of star formation from supernova shocks decreases with galactic radius. Where this work and previous investigations overlap (namely the uniform probability case), the agreement is very good, pretty spirals with various numbers of arms are generated. The decreasing probability cases, taken to vary as rsup(-j), still form spiral arms for 0 1.5 the spiral structure is essentially non-existent. (author)
Heterogeneous recurrence monitoring and control of nonlinear stochastic processes
Yang, Hui, E-mail: huiyang@usf.edu; Chen, Yun [Complex Systems Monitoring, Modeling and Analysis Laboratory, University of South Florida, Tampa, Florida 33620 (United States)
2014-03-15
Recurrence is one of the most common phenomena in natural and engineering systems. Process monitoring of dynamic transitions in nonlinear and nonstationary systems is more concerned with aperiodic recurrences and recurrence variations. However, little has been done to investigate the heterogeneous recurrence variations and link with the objectives of process monitoring and anomaly detection. Notably, nonlinear recurrence methodologies are based on homogeneous recurrences, which treat all recurrence states in the same way as black dots, and non-recurrence is white in recurrence plots. Heterogeneous recurrences are more concerned about the variations of recurrence states in terms of state properties (e.g., values and relative locations) and the evolving dynamics (e.g., sequential state transitions). This paper presents a novel approach of heterogeneous recurrence analysis that utilizes a new fractal representation to delineate heterogeneous recurrence states in multiple scales, including the recurrences of both single states and multi-state sequences. Further, we developed a new set of heterogeneous recurrence quantifiers that are extracted from fractal representation in the transformed space. To that end, we integrated multivariate statistical control charts with heterogeneous recurrence analysis to simultaneously monitor two or more related quantifiers. Experimental results on nonlinear stochastic processes show that the proposed approach not only captures heterogeneous recurrence patterns in the fractal representation but also effectively monitors the changes in the dynamics of a complex system.
Stochastic simulation of destruction processes in self-irradiated materials
T. Patsahan
2017-09-01
Full Text Available Self-irradiation damages resulting from fission processes are common phenomena observed in nuclear fuel containing (NFC materials. Numerous α-decays lead to local structure transformations in NFC materials. The damages appearing due to the impacts of heavy nuclear recoils in the subsurface layer can cause detachments of material particles. Such a behaviour is similar to sputtering processes observed during a bombardment of the material surface by a flux of energetic particles. However, in the NFC material, the impacts are initiated from the bulk. In this work we propose a two-dimensional mesoscopic model to perform a stochastic simulation of the destruction processes occurring in a subsurface region of NFC material. We describe the erosion of the material surface, the evolution of its roughness and predict the detachment of the material particles. Size distributions of the emitted particles are obtained in this study. The simulation results of the model are in a qualitative agreement with the size histogram of particles produced from the material containing lava-like fuel formed during the Chernobyl nuclear power plant disaster.
Model of the discrete destruction process of a solid body
Glagolev, V. V.; Markin, A. A.
2018-03-01
Destruction is considered as a discrete thermomechanical process, in which the deformation of a solid body is achieved by changing the boundary stresses acting on the part of the volume being destroyed with the external load unchanged. On the basis of the proposed concept, a model for adhesive stratification of a composite material is constructed. When adhesive stratification is used, the stress state of one or two boundaries of the adhesive layer changes to zero if the bonds with the joined body are broken. As a result of the stratification, the interaction between the part of the composite, which may include an adhesive layer and the rest of the body stops. When solving the elastoplastic problem of cohesive stratification, the region in which the destruction criterion is achieved is identified. With the help of a repeated solution of the problem of subcritical deformation with the known law of motion of the boundary of the region, the distribution of the load (nodal forces) acting from the region to the body is located. The next step considers the change in the stress–strain state of the body in the process of destruction of the selected area. The elastoplastic problem is solved with a simple unloading of the formed surface of the body and preservation of the external load corresponding to the beginning of the process of destruction.
Stochastic model of template-directed elongation processes in biology.
Schilstra, Maria J; Nehaniv, Chrystopher L
2010-10-01
We present a novel modular, stochastic model for biological template-based linear chain elongation processes. In this model, elongation complexes (ECs; DNA polymerase, RNA polymerase, or ribosomes associated with nascent chains) that span a finite number of template units step along the template, one after another, with semaphore constructs preventing overtaking. The central elongation module is readily extended with modules that represent initiation and termination processes. The model was used to explore the effect of EC span on motor velocity and dispersion, and the effect of initiation activator and repressor binding kinetics on the overall elongation dynamics. The results demonstrate that (1) motors that move smoothly are able to travel at a greater velocity and closer together than motors that move more erratically, and (2) the rate at which completed chains are released is proportional to the occupancy or vacancy of activator or repressor binding sites only when initiation or activator/repressor dissociation is slow in comparison with elongation. Copyright © 2010 Elsevier Ireland Ltd. All rights reserved.
Stochastic growth logistic model with aftereffect for batch fermentation process
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.
Stochastic growth logistic model with aftereffect for batch fermentation process
Rosli, Norhayati; Ayoubi, Tawfiqullah; Bahar, Arifah; Rahman, Haliza Abdul; Salleh, Madihah Md
2014-01-01
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
Stochastic growth logistic model with aftereffect for batch fermentation process
Rosli, Norhayati; Ayoubi, Tawfiqullah [Faculty of Industrial Sciences and Technology, Universiti Malaysia Pahang, Lebuhraya Tun Razak, 26300 Gambang, Pahang (Malaysia); Bahar, Arifah; Rahman, Haliza Abdul [Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia); Salleh, Madihah Md [Department of Biotechnology Industry, Faculty of Biosciences and Bioengineering, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia)
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.
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.
Stochastic volatility and stochastic leverage
Veraart, Almut; Veraart, Luitgard A. M.
This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...... treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility...... models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new...
Stochastic Modelling of Shiroro River Stream flow Process
Musa, J. J
2013-01-01
Economists, social scientists and engineers provide insights into the drivers of anthropogenic climate change and the options for adaptation and mitigation, and yet other scientists, including geographers and biologists, study the impacts of climate change. This project concentrates mainly on the discharge from the Shiroro River. A stochastic approach is presented for modeling a time series by an Autoregressive Moving Average model (ARMA). The development and use of a stochastic stream flow m...
Simulating biological processes: stochastic physics from whole cells to colonies
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.
Weiss, Charles J.
2017-01-01
An introduction to digital stochastic simulations for modeling a variety of physical and chemical processes is presented. Despite the importance of stochastic simulations in chemistry, the prevalence of turn-key software solutions can impose a layer of abstraction between the user and the underlying approach obscuring the methodology being…
Kozachenko, Yuriy; Troshki, Viktor
2015-01-01
We consider a measurable stationary Gaussian stochastic process. A criterion for testing hypotheses about the covariance function of such a process using estimates for its norm in the space $L_p(\\mathbb {T}),\\,p\\geq1$, is constructed.
A. Elhassanein
2014-06-01
Full Text Available This paper introduced a stochastic discretized version of the modified Leslie-Gower predator-prey model with Michaelis-Menten type prey harvesting. The dynamical behavior of the proposed model was investigated. The existence and stability of the equilibria of the skeleton were studied. Numerical simulations were employed to show the model's complex dynamics by means of the largest Lyapunov exponents, bifurcations, time series diagrams and phase portraits. The effects of noise intensity on its dynamics and the intermittency phenomenon were also discussed via simulation.
Modified stochastic fragmentation of an interval as an ageing process
Fortin, Jean-Yves
2018-02-01
We study a stochastic model based on modified fragmentation of a finite interval. The mechanism consists of cutting the interval at a random location and substituting a unique fragment on the right of the cut to regenerate and preserve the interval length. This leads to a set of segments of random sizes, with the accumulation of small fragments near the origin. This model is an example of record dynamics, with the presence of ‘quakes’ and slow dynamics. The fragment size distribution is a universal inverse power law with logarithmic corrections. The exact distribution for the fragment number as function of time is simply related to the unsigned Stirling numbers of the first kind. Two-time correlation functions are defined, and computed exactly. They satisfy scaling relations, and exhibit aging phenomena. In particular, the probability that the same number of fragments is found at two different times t>s is asymptotically equal to [4πlog(s)]-1/2 when s\\gg 1 and the ratio t/s is fixed, in agreement with the numerical simulations. The same process with a reset impedes the aging phenomenon-beyond a typical time scale defined by the reset parameter.
Sedwards, Sean; Mazza, Tommaso
2007-10-15
Compartments and membranes are the basis of cell topology and more than 30% of the human genome codes for membrane proteins. While it is possible to represent compartments and membrane proteins in a nominal way with many mathematical formalisms used in systems biology, few, if any, explicitly model the topology of the membranes themselves. Discrete stochastic simulation potentially offers the most accurate representation of cell dynamics. Since the details of every molecular interaction in a pathway are often not known, the relationship between chemical species in not necessarily best described at the lowest level, i.e. by mass action. Simulation is a form of computer-aided analysis, relying on human interpretation to derive meaning. To improve efficiency and gain meaning in an automatic way, it is necessary to have a formalism based on a model which has decidable properties. We present Cyto-Sim, a stochastic simulator of membrane-enclosed hierarchies of biochemical processes, where the membranes comprise an inner, outer and integral layer. The underlying model is based on formal language theory and has been shown to have decidable properties (Cavaliere and Sedwards, 2006), allowing formal analysis in addition to simulation. The simulator provides variable levels of abstraction via arbitrary chemical kinetics which link to ordinary differential equations. In addition to its compact native syntax, Cyto-Sim currently supports models described as Petri nets, can import all versions of SBML and can export SBML and MATLAB m-files. Cyto-Sim is available free, either as an applet or a stand-alone Java program via the web page (http://www.cosbi.eu/Rpty_Soft_CytoSim.php). Other versions can be made available upon request.
Discrete bivariate population balance modelling of heteroaggregation processes.
Rollié, Sascha; Briesen, Heiko; Sundmacher, Kai
2009-08-15
Heteroaggregation in binary particle mixtures was simulated with a discrete population balance model in terms of two internal coordinates describing the particle properties. The considered particle species are of different size and zeta-potential. Property space is reduced with a semi-heuristic approach to enable an efficient solution. Aggregation rates are based on deterministic models for Brownian motion and stability, under consideration of DLVO interaction potentials. A charge-balance kernel is presented, relating the electrostatic surface potential to the property space by a simple charge balance. Parameter sensitivity with respect to the fractal dimension, aggregate size, hydrodynamic correction, ionic strength and absolute particle concentration was assessed. Results were compared to simulations with the literature kernel based on geometric coverage effects for clusters with heterogeneous surface properties. In both cases electrostatic phenomena, which dominate the aggregation process, show identical trends: impeded cluster-cluster aggregation at low particle mixing ratio (1:1), restabilisation at high mixing ratios (100:1) and formation of complex clusters for intermediate ratios (10:1). The particle mixing ratio controls the surface coverage extent of the larger particle species. Simulation results are compared to experimental flow cytometric data and show very satisfactory agreement.
Granita; Bahar, A.
2015-01-01
This paper discusses on linear birth and death with immigration and emigration (BIDE) process to stochastic differential equation (SDE) model. Forward Kolmogorov equation in continuous time Markov chain (CTMC) with a central-difference approximation was used to find Fokker-Planckequation corresponding to a diffusion process having the stochastic differential equation of BIDE process. The exact solution, mean and variance function of BIDE process was found
Granita, E-mail: granitafc@gmail.com [Dept. Mathematical Education, State Islamic University of Sultan Syarif Kasim Riau, 28293 Indonesia and Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310,Johor (Malaysia); Bahar, A. [Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310,Johor Malaysia and UTM Center for Industrial and Applied Mathematics (UTM-CIAM) (Malaysia)
2015-03-09
This paper discusses on linear birth and death with immigration and emigration (BIDE) process to stochastic differential equation (SDE) model. Forward Kolmogorov equation in continuous time Markov chain (CTMC) with a central-difference approximation was used to find Fokker-Planckequation corresponding to a diffusion process having the stochastic differential equation of BIDE process. The exact solution, mean and variance function of BIDE process was found.
Stochastic model of milk homogenization process using Markov's chain
A. A. Khvostov
2016-01-01
Full Text Available The process of development of a mathematical model of the process of homogenization of dairy products is considered in the work. The theory of Markov's chains was used in the development of the mathematical model, Markov's chain with discrete states and continuous parameter for which the homogenisation pressure is taken, being the basis for the model structure. Machine realization of the model is implemented in the medium of structural modeling MathWorks Simulink™. Identification of the model parameters was carried out by minimizing the standard deviation calculated from the experimental data for each fraction of dairy products fat phase. As the set of experimental data processing results of the micrographic images of fat globules of whole milk samples distribution which were subjected to homogenization at different pressures were used. Pattern Search method was used as optimization method with the Latin Hypercube search algorithm from Global Optimization Тoolbox library. The accuracy of calculations averaged over all fractions of 0.88% (the relative share of units, the maximum relative error was 3.7% with the homogenization pressure of 30 MPa, which may be due to the very abrupt change in properties from the original milk in the particle size distribution at the beginning of the homogenization process and the lack of experimental data at homogenization pressures of below the specified value. The mathematical model proposed allows to calculate the profile of volume and mass distribution of the fat phase (fat globules in the product, depending on the homogenization pressure and can be used in the laboratory and research of dairy products composition, as well as in the calculation, design and modeling of the process equipment of the dairy industry enterprises.
Stochastic stability of mechanical systems under renewal jump process parametric excitation
Iwankiewicz, R.; Nielsen, Søren R.K.; Larsen, Jesper Winther
2005-01-01
independent, negative exponential distributed variables; hence, the arrival process may be termed as a generalized Erlang renewal process. The excitation process is governed by the stochastic equation driven by two independent Poisson processes, with different parameters. If the response in a single mode...... is investigated, the problem is governed in the state space by two stochastic equations, because the stochastic equation for the excitation process is autonomic. However due to the parametric nature of the excitation, the nonlinear term appears at the right-hand sides of the equations. The equations become linear...... of the stochastic equation governing the natural logarithm of the hyperspherical amplitude process and using the modification of the method wherein the time averaging of the pertinent expressions is replaced by ensemble averaging. It is found that the direct simulation is more suitable and that the asymptotic mean...
ARMA modeling of stochastic processes in nuclear reactor with significant detection noise
Zavaljevski, N.
1992-01-01
The theoretical basis of ARMA modelling of stochastic processes in nuclear reactor was presented in a previous paper, neglecting observational noise. The identification of real reactor data indicated that in some experiments the detection noise is significant. Thus a more rigorous theoretical modelling of stochastic processes in nuclear reactor is performed. Starting from the fundamental stochastic differential equations of the Langevin type for the interaction of the detector with neutron field, a new theoretical ARMA model is developed. preliminary identification results confirm the theoretical expectations. (author)
Stochastic processes analysis in nuclear reactor using ARMA models
Zavaljevski, N.
1990-01-01
The analysis of ARMA model derived from general stochastic state equations of nuclear reactor is given. The dependence of ARMA model parameters on the main physical characteristics of RB nuclear reactor in Vinca is presented. Preliminary identification results are presented, observed discrepancies between theory and experiment are explained and the possibilities of identification improvement are anticipated. (author)
Stochastic Modeling and Deterministic Limit of Catalytic Surface Processes
Starke, Jens; Reichert, Christian; Eiswirth, Markus
2007-01-01
of stochastic origin can be observed in experiments. The models include a new approach to the platinum phase transition, which allows for a unification of existing models for Pt(100) and Pt(110). The rich nonlinear dynamical behavior of the macroscopic reaction kinetics is investigated and shows good agreement...
Stochastic process variation in deep-submicron CMOS circuits and algorithms
Zjajo, Amir
2014-01-01
One of the most notable features of nanometer scale CMOS technology is the increasing magnitude of variability of the key device parameters affecting performance of integrated circuits. The growth of variability can be attributed to multiple factors, including the difficulty of manufacturing control, the emergence of new systematic variation-generating mechanisms, and most importantly, the increase in atomic-scale randomness, where device operation must be described as a stochastic process. In addition to wide-sense stationary stochastic device variability and temperature variation, existence of non-stationary stochastic electrical noise associated with fundamental processes in integrated-circuit devices represents an elementary limit on the performance of electronic circuits. In an attempt to address these issues, Stochastic Process Variation in Deep-Submicron CMOS: Circuits and Algorithms offers unique combination of mathematical treatment of random process variation, electrical noise and temperature and ne...
Jørgensen, John Bagterp; Thomsen, Per Grove; Madsen, Henrik
2007-01-01
for nonlinear stochastic continuous-discrete time systems is more than two orders of magnitude faster than a conventional implementation. This is of significance in nonlinear model predictive control applications, statistical process monitoring as well as grey-box modelling of systems described by stochastic......We present a novel numerically robust and computationally efficient extended Kalman filter for state estimation in nonlinear continuous-discrete stochastic systems. The resulting differential equations for the mean-covariance evolution of the nonlinear stochastic continuous-discrete time systems...
Lanchier, Nicolas
2017-01-01
Three coherent parts form the material covered in this text, portions of which have not been widely covered in traditional textbooks. In this coverage the reader is quickly introduced to several different topics enriched with 175 exercises which focus on real-world problems. Exercises range from the classics of probability theory to more exotic research-oriented problems based on numerical simulations. Intended for graduate students in mathematics and applied sciences, the text provides the tools and training needed to write and use programs for research purposes. The first part of the text begins with a brief review of measure theory and revisits the main concepts of probability theory, from random variables to the standard limit theorems. The second part covers traditional material on stochastic processes, including martingales, discrete-time Markov chains, Poisson processes, and continuous-time Markov chains. The theory developed is illustrated by a variety of examples surrounding applications such as the ...
Migliorati, G.; Nobile, F.; von Schwerin, E.; Tempone, Raul
2013-01-01
In this work we consider the random discrete L^2 projection on polynomial spaces (hereafter RDP) for the approximation of scalar quantities of interest (QOIs) related to the solution of a partial differential equation model with random input
Carlos Alexánder Grajales Correa
2007-07-01
Full Text Available En este trabajo se consideran los rendimientos diarios de un activo financiero con el propósito de modelar y comparar la densidad de probabilidad de la volatilidad estocástica de los retornos. Para tal fin, se proponen los modelos ARCH y sus extensiones, que son en tiempo discreto, así como un modelo empírico de volatilidad estocástica, desarrollado por Paul Wilmott. Para el caso discreto se muestran los modelos que permiten estimar la volatilidad condicional heterocedástica en un instante t del tiempo, t∈[1,T]. En el caso continuo se asocia un proceso de difusión de Itô a la volatilidad estocástica de la serie financiera, lo cual posibilita discretizar dicho proceso y simularlo para obtener densidades de probabilidad empíricas de la volatilidad. Finalmente se ilustran y se comparan los resultados obtenidos con las metodologías expuestas para el caso de las series financieras S&P 500 de EEUU, el Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores (IPC y el IGBC de Colombia.This work considers daily yields of financial assets in order to model and compare returns stochastic volatility probability density. For such aim, ARCH models and its extensions are proposed - they are in discrete time- as well as an Empirical Stochastic Volatility Model, developed by Paul Wilmott. For the discrete case, models that allow to estimate heteroscedasticity conditional volatility in a time, t, t,t∈[1,T], are shown. In the continuous case, there is an association of an Itô diffusion process to stochastic volatility of the financial series, which allows to write a discretization of this process and to simulate it to obtain empirical probabilistic densities from the volatility. Finally the results are illustrated and compared with methodologies exposed by the case of the financial series S&P 500 of the U.S.A., Index of Prices and Quotations of stock-market Mexican of Values (IPC and IGBC of Colombia.
Stochastic dynamics and irreversibility
Tomé, Tânia
2015-01-01
This textbook presents an exposition of stochastic dynamics and irreversibility. It comprises the principles of probability theory and the stochastic dynamics in continuous spaces, described by Langevin and Fokker-Planck equations, and in discrete spaces, described by Markov chains and master equations. Special concern is given to the study of irreversibility, both in systems that evolve to equilibrium and in nonequilibrium stationary states. Attention is also given to the study of models displaying phase transitions and critical phenomema both in thermodynamic equilibrium and out of equilibrium. These models include the linear Glauber model, the Glauber-Ising model, lattice models with absorbing states such as the contact process and those used in population dynamic and spreading of epidemic, probabilistic cellular automata, reaction-diffusion processes, random sequential adsorption and dynamic percolation. A stochastic approach to chemical reaction is also presented.The textbook is intended for students of ...
Rice Sean H
2008-09-01
Full Text Available Abstract Background Evolution involves both deterministic and random processes, both of which are known to contribute to directional evolutionary change. A number of studies have shown that when fitness is treated as a random variable, meaning that each individual has a distribution of possible fitness values, then both the mean and variance of individual fitness distributions contribute to directional evolution. Unfortunately the most general mathematical description of evolution that we have, the Price equation, is derived under the assumption that both fitness and offspring phenotype are fixed values that are known exactly. The Price equation is thus poorly equipped to study an important class of evolutionary processes. Results I present a general equation for directional evolutionary change that incorporates both deterministic and stochastic processes and applies to any evolving system. This is essentially a stochastic version of the Price equation, but it is derived independently and contains terms with no analog in Price's formulation. This equation shows that the effects of selection are actually amplified by random variation in fitness. It also generalizes the known tendency of populations to be pulled towards phenotypes with minimum variance in fitness, and shows that this is matched by a tendency to be pulled towards phenotypes with maximum positive asymmetry in fitness. This equation also contains a term, having no analog in the Price equation, that captures cases in which the fitness of parents has a direct effect on the phenotype of their offspring. Conclusion Directional evolution is influenced by the entire distribution of individual fitness, not just the mean and variance. Though all moments of individuals' fitness distributions contribute to evolutionary change, the ways that they do so follow some general rules. These rules are invisible to the Price equation because it describes evolution retrospectively. An equally general
Susceptibility of optimal train schedules to stochastic disturbances of process times
Larsen, Rune; Pranzo, Marco; D’Ariano, Andrea
2013-01-01
study, an advanced branch and bound algorithm, on average, outperforms a First In First Out scheduling rule both in deterministic and stochastic traffic scenarios. However, the characteristic of the stochastic processes and the way a stochastic instance is handled turn out to have a serious impact...... and dwell times). In fact, the objective of railway traffic management is to reduce delay propagation and to increase disturbance robustness of train schedules at a network scale. We present a quantitative study of traffic disturbances and their effects on the schedules computed by simple and advanced...
Integrating Continuous-Time and Discrete-Event Concepts in Process Modelling, Simulation and Control
Beek, van D.A.; Gordijn, S.H.F.; Rooda, J.E.; Ertas, A.
1995-01-01
Currently, modelling of systems in the process industry requires the use of different specification languages for the specification of the discrete-event and continuous-time subsystems. In this way, models are restricted to individual subsystems of either a continuous-time or discrete-event nature.
Capasso, Vincenzo
2015-01-01
This textbook, now in its third edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, industrial applications, finance, and insurance using stochastic methods. No previous knowledge of stochastic processes is required. Key topics include: * Markov processes * Stochastic differential equations * Arbitrage-free markets and financial derivatives * Insurance risk * Population dynamics, and epidemics * Agent-based models New to the Third Edition: * Infinitely divisible distributions * Random measures * Levy processes * Fractional Brownian motion * Ergodic theory * Karhunen-Loeve expansion * Additional applications * Additional exercises * Smoluchowski approximation of Langevin systems An Introduction to Continuous-Time Stochastic Processes, Third Editio...
Stochastic stability of mechanical systems under renewal jump process parametric excitation
Iwankiewicz, R.; Nielsen, Søren R.K.; Larsen, Jesper Winther
2005-01-01
independent, negative exponential distributed variables; hence, the arrival process may be termed as a generalized Erlang renewal process. The excitation process is governed by the stochastic equation driven by two independent Poisson processes, with different parameters. If the response in a single mode...
A stochastic programming approach to manufacturing flow control
Haurie, Alain; Moresino, Francesco
2012-01-01
This paper proposes and tests an approximation of the solution of a class of piecewise deterministic control problems, typically used in the modeling of manufacturing flow processes. This approximation uses a stochastic programming approach on a suitably discretized and sampled system. The method proceeds through two stages: (i) the Hamilton-Jacobi-Bellman (HJB) dynamic programming equations for the finite horizon continuous time stochastic control problem are discretized over a set of sample...
Stochastic Modeling and Deterministic Limit of Catalytic Surface Processes
Starke, Jens; Reichert, Christian; Eiswirth, Markus
2007-01-01
Three levels of modeling, microscopic, mesoscopic and macroscopic are discussed for the CO oxidation on low-index platinum single crystal surfaces. The introduced models on the microscopic and mesoscopic level are stochastic while the model on the macroscopic level is deterministic. It can......, such that in contrast to the microscopic model the spatial resolution is reduced. The derivation of deterministic limit equations is in correspondence with the successful description of experiments under low-pressure conditions by deterministic reaction-diffusion equations while for intermediate pressures phenomena...
ARMA modelling of neutron stochastic processes with large measurement noise
Zavaljevski, N.; Kostic, Lj.; Pesic, M.
1994-01-01
An autoregressive moving average (ARMA) model of the neutron fluctuations with large measurement noise is derived from langevin stochastic equations and validated using time series data obtained during prompt neutron decay constant measurements at the zero power reactor RB in Vinca. Model parameters are estimated using the maximum likelihood (ML) off-line algorithm and an adaptive pole estimation algorithm based on the recursive prediction error method (RPE). The results show that subcriticality can be determined from real data with high measurement noise using much shorter statistical sample than in standard methods. (author)
Effect of multiplicative noise on stationary stochastic process
Kargovsky, A. V.; Chikishev, A. Yu.; Chichigina, O. A.
2018-03-01
An open system that can be analyzed using the Langevin equation with multiplicative noise is considered. The stationary state of the system results from a balance of deterministic damping and random pumping simulated as noise with controlled periodicity. The dependence of statistical moments of the variable that characterizes the system on parameters of the problem is studied. A nontrivial decrease in the mean value of the main variable with an increase in noise stochasticity is revealed. Applications of the results in several physical, chemical, biological, and technical problems of natural and humanitarian sciences are discussed.
Unifying three perspectives on information processing in stochastic thermodynamics.
Barato, A C; Seifert, U
2014-03-07
So far, feedback-driven systems have been discussed using (i) measurement and control, (ii) a tape interacting with a system, or (iii) by identifying an implicit Maxwell demon in steady-state transport. We derive the corresponding second laws from one master fluctuation theorem and discuss their relationship. In particular, we show that both the entropy production involving mutual information between system and controller and the one involving a Shannon entropy difference of an information reservoir like a tape carry an extra term different from the usual current times affinity. We, thus, generalize stochastic thermodynamics to the presence of an information reservoir.
Xuefeng Li
2014-04-01
Full Text Available Based on solving numerically the generalized nonlinear Langevin equation describing the nonlinear dynamics of stochastic resonance by Fourth-order Runge-Kutta method, an aperiodic stochastic resonance based on an optical bistable system is numerically investigated. The numerical results show that a parameter-tuning stochastic resonance system can be realized by choosing the appropriate optical bistable parameters, which performs well in reconstructing aperiodic signals from a very high level of noise background. The influences of optical bistable parameters on the stochastic resonance effect are numerically analyzed via cross-correlation, and a maximum cross-correlation gain of 8 is obtained by optimizing optical bistable parameters. This provides a prospective method for reconstructing noise-hidden weak signals in all-optical signal processing systems.
Leander, Jacob; Lundh, Torbjörn; Jirstrand, Mats
2014-05-01
In this paper we consider the problem of estimating parameters in ordinary differential equations given discrete time experimental data. The impact of going from an ordinary to a stochastic differential equation setting is investigated as a tool to overcome the problem of local minima in the objective function. Using two different models, it is demonstrated that by allowing noise in the underlying model itself, the objective functions to be minimized in the parameter estimation procedures are regularized in the sense that the number of local minima is reduced and better convergence is achieved. The advantage of using stochastic differential equations is that the actual states in the model are predicted from data and this will allow the prediction to stay close to data even when the parameters in the model is incorrect. The extended Kalman filter is used as a state estimator and sensitivity equations are provided to give an accurate calculation of the gradient of the objective function. The method is illustrated using in silico data from the FitzHugh-Nagumo model for excitable media and the Lotka-Volterra predator-prey system. The proposed method performs well on the models considered, and is able to regularize the objective function in both models. This leads to parameter estimation problems with fewer local minima which can be solved by efficient gradient-based methods. Copyright © 2014 The Authors. Published by Elsevier Inc. All rights reserved.
Consensus states of local majority rule in stochastic process
Luo, Yu-Pin [Department of Electronic Engineering, National Formosa University, Huwei, 63201, Taiwan (China); Tang, Chia-Wei; Xu, Hong-Yuan [Department of Physics, Chung-Yuan Christian University, Chungli, 32023, Taiwan (China); Wu, Jinn-Wen [Department of Applied Mathematics, Chung-Yuan Christian University, Chungli, 32023, Taiwan (China); Huang, Ming-Chang, E-mail: mchuang@cycu.edu.tw [Center for Theoretical Science and Department of Physics, Chung-Yuan Christian University, Chungli, 32023, Taiwan (China)
2015-04-03
A sufficient condition for a network system to reach a consensus state of the local majority rule is shown. The influence of interpersonal environment on the occurrence probability of consensus states for Watts–Strogatz and scale-free networks with random initial states is analyzed by numerical method. We also propose a stochastic local majority rule to study the mean first passage time from a random state to a consensus and the escape rate from a consensus state for systems in a noisy environment. Our numerical results show that there exists a window of fluctuation strengths for which the mean first passage time from a random to a consensus state reduces greatly, and the escape rate of consensus states obeys the Arrhenius equation in the window. - Highlights: • A sufficient condition for reaching a consensus. • The relation between the geometry of networks and the reachability of a consensus. • Stochastic local majority rule. • The mean first-passage time and the escape rate of consensus states.
Consensus states of local majority rule in stochastic process
Luo, Yu-Pin; Tang, Chia-Wei; Xu, Hong-Yuan; Wu, Jinn-Wen; Huang, Ming-Chang
2015-01-01
A sufficient condition for a network system to reach a consensus state of the local majority rule is shown. The influence of interpersonal environment on the occurrence probability of consensus states for Watts–Strogatz and scale-free networks with random initial states is analyzed by numerical method. We also propose a stochastic local majority rule to study the mean first passage time from a random state to a consensus and the escape rate from a consensus state for systems in a noisy environment. Our numerical results show that there exists a window of fluctuation strengths for which the mean first passage time from a random to a consensus state reduces greatly, and the escape rate of consensus states obeys the Arrhenius equation in the window. - Highlights: • A sufficient condition for reaching a consensus. • The relation between the geometry of networks and the reachability of a consensus. • Stochastic local majority rule. • The mean first-passage time and the escape rate of consensus states
Selroos, J. O.; Appleyard, P.; Bym, T.; Follin, S.; Hartley, L.; Joyce, S.; Munier, R.
2015-12-01
In 2011 the Swedish Nuclear Fuel and Waste Management Company (SKB) applied for a license to start construction of a final repository for spent nuclear fuel at Forsmark in Northern Uppland, Sweden. The repository is to be built at approximately 500 m depth in crystalline rock. A stochastic, discrete fracture network (DFN) concept was chosen for interpreting the surface-based (incl. boreholes) data, and for assessing the safety of the repository in terms of groundwater flow and flow pathways to and from the repository. Once repository construction starts, also underground data such as tunnel pilot borehole and tunnel trace data will become available. It is deemed crucial that DFN models developed at this stage honors the mapped structures both in terms of location and geometry, and in terms of flow characteristics. The originally fully stochastic models will thus increase determinism towards the repository. Applying the adopted probabilistic framework, predictive modeling to support acceptance criteria for layout and disposal can be performed with the goal of minimizing risks associated with the repository. This presentation describes and illustrates various methodologies that have been developed to condition stochastic realizations of fracture networks around underground openings using borehole and tunnel trace data, as well as using hydraulic measurements of inflows or hydraulic interference tests. The methodologies, implemented in the numerical simulators ConnectFlow and FracMan/MAFIC, are described in some detail, and verification tests and realistic example cases are shown. Specifically, geometric and hydraulic data are obtained from numerical synthetic realities approximating Forsmark conditions, and are used to test the constraining power of the developed methodologies by conditioning unconditional DFN simulations following the same underlying fracture network statistics. Various metrics are developed to assess how well the conditional simulations compare to
A discrete element based simulation framework to investigate particulate spray deposition processes
Mukherjee, Debanjan; Zohdi, Tarek I.
2015-01-01
© 2015 Elsevier Inc. This work presents a computer simulation framework based on discrete element method to analyze manufacturing processes that comprise a loosely flowing stream of particles in a carrier fluid being deposited on a target surface
Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps
Li, Yan; Hu, Junhao
2013-01-01
We investigate the convergence rate of Euler-Maruyama method for a class of stochastic partial differential delay equations driven by both Brownian motion and Poisson point processes. We discretize in space by a Galerkin method and in time by using a stochastic exponential integrator. We generalize some results of Bao et al. (2011) and Jacob et al. (2009) in finite dimensions to a class of stochastic partial differential delay equations with jumps in infinite dimensions.
General definitions of chaos for continuous and discrete-time processes
Vieru, Andrei
2008-01-01
A precise definition of chaos for discrete processes based on iteration already exists. We shall first reformulate it in a more general frame, taking into account the fact that discrete chaotic behavior is neither necessarily based on iteration nor strictly related to compact metric spaces or to bounded functions. Then we shall apply the central idea of this definition to continuous processes. We shall try to see what chaos is, regardless of the way it is generated.
Preservation properties for the discrete mean residual life ordering
Abdulhakim Al-Babtain
2015-04-01
Full Text Available The purpose of this paper is to prove several preservation properties of stochastic comparisons based on the discrete mean residual life ordering d-MRL under the reliability operations of convolutions, mixtures. Fi nally we introduce a discrete renewal process application
Xu, Jason; Guttorp, Peter; Kato-Maeda, Midori; Minin, Vladimir N
2015-12-01
Continuous-time birth-death-shift (BDS) processes are frequently used in stochastic modeling, with many applications in ecology and epidemiology. In particular, such processes can model evolutionary dynamics of transposable elements-important genetic markers in molecular epidemiology. Estimation of the effects of individual covariates on the birth, death, and shift rates of the process can be accomplished by analyzing patient data, but inferring these rates in a discretely and unevenly observed setting presents computational challenges. We propose a multi-type branching process approximation to BDS processes and develop a corresponding expectation maximization algorithm, where we use spectral techniques to reduce calculation of expected sufficient statistics to low-dimensional integration. These techniques yield an efficient and robust optimization routine for inferring the rates of the BDS process, and apply broadly to multi-type branching processes whose rates can depend on many covariates. After rigorously testing our methodology in simulation studies, we apply our method to study intrapatient time evolution of IS6110 transposable element, a genetic marker frequently used during estimation of epidemiological clusters of Mycobacterium tuberculosis infections. © 2015, The International Biometric Society.
Osada, Hirofumi; Osada, Shota
2018-01-01
We prove tail triviality of determinantal point processes μ on continuous spaces. Tail triviality has been proved for such processes only on discrete spaces, and hence we have generalized the result to continuous spaces. To do this, we construct tree representations, that is, discrete approximations of determinantal point processes enjoying a determinantal structure. There are many interesting examples of determinantal point processes on continuous spaces such as zero points of the hyperbolic Gaussian analytic function with Bergman kernel, and the thermodynamic limit of eigenvalues of Gaussian random matrices for Sine_2 , Airy_2 , Bessel_2 , and Ginibre point processes. Our main theorem proves all these point processes are tail trivial.
Tiginyanu, I.M.; Volciuc, O.; Gutowski, J.; Stevens-Kalceff, M.A.; Popa, V.; Wille, S.; Adelung, R.; Foell, H.
2013-01-01
We show that the discrete nature of ion beam processing used as a component in the approach of surface charge lithography leads to spatial modulation of the edges of the GaN nanostructures such as nanobelts and nanoperforated membranes. According to the performed Monte Carlo simulations, the modulation of the nanostructure edges is caused by the stochastic spatial distribution of the radiation defects generated by the impacting ions and related recoils. The obtained results pave the way for direct visualization of the networks of radiation defects induced by individual ions impacting a solid-state material. (authors)
Effect of the Potential Shape on the Stochastic Resonance Processes
Kenmoé, G. Djuidjé; Ngouongo, Y. J. Wadop; Kofané, T. C.
2015-10-01
The stochastic resonance (SR) induced by periodic signal and white noises in a periodic nonsinusoidal potential is investigated. This phenomenon is studied as a function of the friction coefficient as well as the shape of the potential. It is done through an investigation of the hysteresis loop area which is equivalent to the input energy lost by the system to the environment per period of the external force. SR is evident in some range of the shape parameter of the potential, but cannot be observed in the other range. Specially, variation of the shape potential affects significantly and not trivially the heigh of the potential barrier in the Kramers rate as well as the occurrence of SR. The finding results show crucial dependence of the temperature of occurrence of SR on the shape of the potential. It is noted that the maximum of the input energy generally decreases when the friction coefficient is increased.
Måren, Inger Elisabeth; Kapfer, Jutta; Aarrestad, Per Arild; Grytnes, John-Arvid; Vandvik, Vigdis
2018-01-01
Successional dynamics in plant community assembly may result from both deterministic and stochastic ecological processes. The relative importance of different ecological processes is expected to vary over the successional sequence, between different plant functional groups, and with the disturbance levels and land-use management regimes of the successional systems. We evaluate the relative importance of stochastic and deterministic processes in bryophyte and vascular plant community assembly after fire in grazed and ungrazed anthropogenic coastal heathlands in Northern Europe. A replicated series of post-fire successions (n = 12) were initiated under grazed and ungrazed conditions, and vegetation data were recorded in permanent plots over 13 years. We used redundancy analysis (RDA) to test for deterministic successional patterns in species composition repeated across the replicate successional series and analyses of co-occurrence to evaluate to what extent species respond synchronously along the successional gradient. Change in species co-occurrences over succession indicates stochastic successional dynamics at the species level (i.e., species equivalence), whereas constancy in co-occurrence indicates deterministic dynamics (successional niche differentiation). The RDA shows high and deterministic vascular plant community compositional change, especially early in succession. Co-occurrence analyses indicate stochastic species-level dynamics the first two years, which then give way to more deterministic replacements. Grazed and ungrazed successions are similar, but the early stage stochasticity is higher in ungrazed areas. Bryophyte communities in ungrazed successions resemble vascular plant communities. In contrast, bryophytes in grazed successions showed consistently high stochasticity and low determinism in both community composition and species co-occurrence. In conclusion, stochastic and individualistic species responses early in succession give way to more
Levy-Student processes for a stochastic model of beam halos
Petroni, N. Cufaro [Department of Mathematics, University of Bari, and INFN Sezione di Bari, via E. Orabona 4, 70125 Bari (Italy)]. E-mail: cufaro@ba.infn.it; De Martino, S. [Department of Physics, University of Salerno, and INFN Sezione di Napoli (gruppo di Salerno), Via S. Allende, I-84081 Baronissi (SA) (Italy); De Siena, S. [Department of Physics, University of Salerno, and INFN Sezione di Napoli (gruppo di Salerno), Via S. Allende, I-84081 Baronissi (SA) (Italy); Illuminati, F. [Department of Physics, University of Salerno, and INFN Sezione di Napoli (gruppo di Salerno), Via S. Allende, I-84081 Baronissi (SA) (Italy)
2006-06-01
We describe the transverse beam distribution in particle accelerators within the controlled, stochastic dynamical scheme of the stochastic mechanics which produces time reversal invariant diffusion processes. In this paper we analyze the consequences of introducing the generalized Student laws, namely non-Gaussian, Levy infinitely divisible (but not stable) distributions. We will analyze this idea from two different standpoints: (a) first by supposing that the stationary distribution of our (Wiener powered) stochastic model is a Student distribution; (b) by supposing that our model is based on a (non-Gaussian) Levy process whose increments are Student distributed. In the case (a) the longer tails of the power decay of the Student laws, and in the case (b) the discontinuities of the Levy-Student process can well account for the rare escape of particles from the beam core, and hence for the formation of a halo in intense beams.
Levy-Student processes for a stochastic model of beam halos
Petroni, N. Cufaro; De Martino, S.; De Siena, S.; Illuminati, F.
2006-01-01
We describe the transverse beam distribution in particle accelerators within the controlled, stochastic dynamical scheme of the stochastic mechanics which produces time reversal invariant diffusion processes. In this paper we analyze the consequences of introducing the generalized Student laws, namely non-Gaussian, Levy infinitely divisible (but not stable) distributions. We will analyze this idea from two different standpoints: (a) first by supposing that the stationary distribution of our (Wiener powered) stochastic model is a Student distribution; (b) by supposing that our model is based on a (non-Gaussian) Levy process whose increments are Student distributed. In the case (a) the longer tails of the power decay of the Student laws, and in the case (b) the discontinuities of the Levy-Student process can well account for the rare escape of particles from the beam core, and hence for the formation of a halo in intense beams
Stochastic processes, multiscale modeling, and numerical methods for computational cellular biology
2017-01-01
This book focuses on the modeling and mathematical analysis of stochastic dynamical systems along with their simulations. The collected chapters will review fundamental and current topics and approaches to dynamical systems in cellular biology. This text aims to develop improved mathematical and computational methods with which to study biological processes. At the scale of a single cell, stochasticity becomes important due to low copy numbers of biological molecules, such as mRNA and proteins that take part in biochemical reactions driving cellular processes. When trying to describe such biological processes, the traditional deterministic models are often inadequate, precisely because of these low copy numbers. This book presents stochastic models, which are necessary to account for small particle numbers and extrinsic noise sources. The complexity of these models depend upon whether the biochemical reactions are diffusion-limited or reaction-limited. In the former case, one needs to adopt the framework of s...
Comments on the use of stochastic processes in the field of the ionizing radiations
Alvarez Romero, Jose T.
2008-01-01
Stochastic process is the name given to a time dependent random process, unfortunately, its time dependence is not always clearly emphasized. In fact, such dependence is not unequivocally stated in the different disciplines of radiation physics, radiobiology or in radiation protection. This is the cause of some conceptual confusion when interpreting relationships between quantities is analyzed, e.g.: imparted energy vs. absorbed dose, stochastic vs. deterministic biological effects; or in radiation protection models, whether: linear or quadratic, relative or absolute. Most of these relationships are associated to stochastic phenomena, and they carry a time dependence that requires clarification. To mention some examples, in radiation physics: the absorbed dose is a non stochastic quantity resulting from averaging a stochastic one namely, the imparted energy, over a representative ensemble via an operation analogous to the Gibbs-Einstein algorithm. On the other hand stochastic quantities require specialized mathematical techniques of stochastic processes to handle them. These refinements are unfortunately ignored in the reports of ICRU 33 and 60. Essentially, a problem to be solved is to establish a clear relationship between micro or mesoscopic stochastic quantities and their macroscopic counterparts, these latter ones possibly being time dependent or not. This is the main objective of microdosimetry. Another problem is to describe phenomena such as electronic equilibrium which is nothing else than a stationary state thus exhibiting no time dependence. Still a different question is the interpretation of radioactive decay as a stochastic process of the Poisson and Markov type. In radiobiology a basic problem is the study of biological stochastic phenomena is to determine the characteristics and structure of those time dependent probabilistic functions allowing the quantification of macroscopic biological manifestations, such as carcinogenesis or genetic effects
Frank, T D
2005-01-01
Stationary distributions of processes are derived that involve a time delay and are defined by a linear stochastic neutral delay differential equation. The distributions are Gaussian distributions. The variances of the Gaussian distributions are either monotonically increasing or decreasing functions of the time delays. The variances become infinite when fixed points of corresponding deterministic processes become unstable. (letter to the editor)
Dini-Andreote, Francisco; Stegen, James C.; van Elsas, Jan Dirk; Salles, Joana Falcao
2015-01-01
Ecological succession and the balance between stochastic and deterministic processes are two major themes within microbial ecology, but these conceptual domains have mostly developed independent of each other. Here we provide a framework that integrates shifts in community assembly processes with
3-D discrete shearlet transform and video processing.
Negi, Pooran Singh; Labate, Demetrio
2012-06-01
In this paper, we introduce a digital implementation of the 3-D shearlet transform and illustrate its application to problems of video denoising and enhancement. The shearlet representation is a multiscale pyramid of well-localized waveforms defined at various locations and orientations, which was introduced to overcome the limitations of traditional multiscale systems in dealing with multidimensional data. While the shearlet approach shares the general philosophy of curvelets and surfacelets, it is based on a very different mathematical framework, which is derived from the theory of affine systems and uses shearing matrices rather than rotations. This allows a natural transition from the continuous setting to the digital setting and a more flexible mathematical structure. The 3-D digital shearlet transform algorithm presented in this paper consists in a cascade of a multiscale decomposition and a directional filtering stage. The filters employed in this decomposition are implemented as finite-length filters, and this ensures that the transform is local and numerically efficient. To illustrate its performance, the 3-D discrete shearlet transform is applied to problems of video denoising and enhancement, and compared against other state-of-the-art multiscale techniques, including curvelets and surfacelets.
Integer valued autoregressive processes with generalized discrete Mittag-Leffler marginals
Kanichukattu K. Jose
2013-05-01
Full Text Available In this paper we consider a generalization of discrete Mittag-Leffler distributions. We introduce and study the properties of a new distribution called geometric generalized discrete Mittag-Leffler distribution. Autoregressive processes with geometric generalized discrete Mittag-Leffler distributions are developed and studied. The distributions are further extended to develop a more general class of geometric generalized discrete semi-Mittag-Leffler distributions. The processes are extended to higher orders also. An application with respect to an empirical data on customer arrivals in a bank counter is also given. Various areas of potential applications like human resource development, insect growth, epidemic modeling, industrial risk modeling, insurance and actuaries, town planning etc are also discussed.
Doubly stochastic Poisson process models for precipitation at fine time-scales
Ramesh, Nadarajah I.; Onof, Christian; Xie, Dichao
2012-09-01
This paper considers a class of stochastic point process models, based on doubly stochastic Poisson processes, in the modelling of rainfall. We examine the application of this class of models, a neglected alternative to the widely-known Poisson cluster models, in the analysis of fine time-scale rainfall intensity. These models are mainly used to analyse tipping-bucket raingauge data from a single site but an extension to multiple sites is illustrated which reveals the potential of this class of models to study the temporal and spatial variability of precipitation at fine time-scales.
A Family of Poisson Processes for Use in Stochastic Models of Precipitation
Penland, C.
2013-12-01
Both modified Poisson processes and compound Poisson processes can be relevant to stochastic parameterization of precipitation. This presentation compares the dynamical properties of these systems and discusses the physical situations in which each might be appropriate. If the parameters describing either class of systems originate in hydrodynamics, then proper consideration of stochastic calculus is required during numerical implementation of the parameterization. It is shown here that an improper numerical treatment can have severe implications for estimating rainfall distributions, particularly in the tails of the distributions and, thus, on the frequency of extreme events.
Continuous strong Markov processes in dimension one a stochastic calculus approach
Assing, Sigurd
1998-01-01
The book presents an in-depth study of arbitrary one-dimensional continuous strong Markov processes using methods of stochastic calculus. Departing from the classical approaches, a unified investigation of regular as well as arbitrary non-regular diffusions is provided. A general construction method for such processes, based on a generalization of the concept of a perfect additive functional, is developed. The intrinsic decomposition of a continuous strong Markov semimartingale is discovered. The book also investigates relations to stochastic differential equations and fundamental examples of irregular diffusions.
Entropy Measures for Stochastic Processes with Applications in Functional Anomaly Detection
Gabriel Martos
2018-01-01
Full Text Available We propose a definition of entropy for stochastic processes. We provide a reproducing kernel Hilbert space model to estimate entropy from a random sample of realizations of a stochastic process, namely functional data, and introduce two approaches to estimate minimum entropy sets. These sets are relevant to detect anomalous or outlier functional data. A numerical experiment illustrates the performance of the proposed method; in addition, we conduct an analysis of mortality rate curves as an interesting application in a real-data context to explore functional anomaly detection.
Petras Rupšys
2015-01-01
Full Text Available A stochastic modeling approach based on the Bertalanffy law gained interest due to its ability to produce more accurate results than the deterministic approaches. We examine tree crown width dynamic with the Bertalanffy type stochastic differential equation (SDE and mixed-effects parameters. In this study, we demonstrate how this simple model can be used to calculate predictions of crown width. We propose a parameter estimation method and computational guidelines. The primary goal of the study was to estimate the parameters by considering discrete sampling of the diameter at breast height and crown width and by using maximum likelihood procedure. Performance statistics for the crown width equation include statistical indexes and analysis of residuals. We use data provided by the Lithuanian National Forest Inventory from Scots pine trees to illustrate issues of our modeling technique. Comparison of the predicted crown width values of mixed-effects parameters model with those obtained using fixed-effects parameters model demonstrates the predictive power of the stochastic differential equations model with mixed-effects parameters. All results were implemented in a symbolic algebra system MAPLE.
Migliorati, G.
2013-05-30
In this work we consider the random discrete L^2 projection on polynomial spaces (hereafter RDP) for the approximation of scalar quantities of interest (QOIs) related to the solution of a partial differential equation model with random input parameters. In the RDP technique the QOI is first computed for independent samples of the random input parameters, as in a standard Monte Carlo approach, and then the QOI is approximated by a multivariate polynomial function of the input parameters using a discrete least squares approach. We consider several examples including the Darcy equations with random permeability, the linear elasticity equations with random elastic coefficient, and the Navier--Stokes equations in random geometries and with random fluid viscosity. We show that the RDP technique is well suited to QOIs that depend smoothly on a moderate number of random parameters. Our numerical tests confirm the theoretical findings in [G. Migliorati, F. Nobile, E. von Schwerin, and R. Tempone, Analysis of the Discrete $L^2$ Projection on Polynomial Spaces with Random Evaluations, MOX report 46-2011, Politecnico di Milano, Milano, Italy, submitted], which have shown that, in the case of a single uniformly distributed random parameter, the RDP technique is stable and optimally convergent if the number of sampling points is proportional to the square of the dimension of the polynomial space. Here optimality means that the weighted $L^2$ norm of the RDP error is bounded from above by the best $L^\\\\infty$ error achievable in the given polynomial space, up to logarithmic factors. In the case of several random input parameters, the numerical evidence indicates that the condition on quadratic growth of the number of sampling points could be relaxed to a linear growth and still achieve stable and optimal convergence. This makes the RDP technique very promising for moderately high dimensional uncertainty quantification.
Warnke, Tom; Reinhardt, Oliver; Klabunde, Anna; Willekens, Frans; Uhrmacher, Adelinde M
2017-10-01
Individuals' decision processes play a central role in understanding modern migration phenomena and other demographic processes. Their integration into agent-based computational demography depends largely on suitable support by a modelling language. We are developing the Modelling Language for Linked Lives (ML3) to describe the diverse decision processes of linked lives succinctly in continuous time. The context of individuals is modelled by networks the individual is part of, such as family ties and other social networks. Central concepts, such as behaviour conditional on agent attributes, age-dependent behaviour, and stochastic waiting times, are tightly integrated in the language. Thereby, alternative decisions are modelled by concurrent processes that compete by stochastic race. Using a migration model, we demonstrate how this allows for compact description of complex decisions, here based on the Theory of Planned Behaviour. We describe the challenges for the simulation algorithm posed by stochastic race between multiple concurrent complex decisions.
Crisan, Dan
2011-01-01
"Stochastic Analysis" aims to provide mathematical tools to describe and model high dimensional random systems. Such tools arise in the study of Stochastic Differential Equations and Stochastic Partial Differential Equations, Infinite Dimensional Stochastic Geometry, Random Media and Interacting Particle Systems, Super-processes, Stochastic Filtering, Mathematical Finance, etc. Stochastic Analysis has emerged as a core area of late 20th century Mathematics and is currently undergoing a rapid scientific development. The special volume "Stochastic Analysis 2010" provides a sa
Parisian ruin for the dual risk process in discrete-time
Palmowski, Zbigniew; Ramsden, Lewis; Papaioannou, Apostolos D.
2017-01-01
In this paper we consider the Parisian ruin probabilities for the dual risk model in a discrete-time setting. By exploiting the strong Markov property of the risk process we derive a recursive expression for the fnite-time Parisian ruin probability, in terms of classic discrete-time dual ruin probabilities. Moreover, we obtain an explicit expression for the corresponding infnite-time Parisian ruin probability as a limiting case. In order to obtain more analytic results, we employ a conditioni...
Parametric statistical inference for discretely observed diffusion processes
Pedersen, Asger Roer
Part 1: Theoretical results Part 2: Statistical applications of Gaussian diffusion processes in freshwater ecology......Part 1: Theoretical results Part 2: Statistical applications of Gaussian diffusion processes in freshwater ecology...
Quan, Ji; Liu, Wei; Chu, Yuqing; Wang, Xianjia
2017-11-23
Traditional replication dynamic model and the corresponding concept of evolutionary stable strategy (ESS) only takes into account whether the system can return to the equilibrium after being subjected to a small disturbance. In the real world, due to continuous noise, the ESS of the system may not be stochastically stable. In this paper, a model of voluntary public goods game with punishment is studied in a stochastic situation. Unlike the existing model, we describe the evolutionary process of strategies in the population as a generalized quasi-birth-and-death process. And we investigate the stochastic stable equilibrium (SSE) instead. By numerical experiments, we get all possible SSEs of the system for any combination of parameters, and investigate the influence of parameters on the probabilities of the system to select different equilibriums. It is found that in the stochastic situation, the introduction of the punishment and non-participation strategies can change the evolutionary dynamics of the system and equilibrium of the game. There is a large range of parameters that the system selects the cooperative states as its SSE with a high probability. This result provides us an insight and control method for the evolution of cooperation in the public goods game in stochastic situations.
Kemper, A; Nishino, T; Schadschneider, A; Zittartz, J
2003-01-01
We develop a new variant of the recently introduced stochastic transfer matrix DMRG which we call stochastic light-cone corner-transfer-matrix DMRG (LCTMRG). It is a numerical method to compute dynamic properties of one-dimensional stochastic processes. As suggested by its name, the LCTMRG is a modification of the corner-transfer-matrix DMRG, adjusted by an additional causality argument. As an example, two reaction-diffusion models, the diffusion-annihilation process and the branch-fusion process are studied and compared with exact data and Monte Carlo simulations to estimate the capability and accuracy of the new method. The number of possible Trotter steps of more than 10 sup 5 shows a considerable improvement on the old stochastic TMRG algorithm.
Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process
Yan, Wei; Chang, Yuwen
2016-12-01
Considering the stochastic exchange rate, this paper is concerned with the dynamic portfolio selection in financial market. The optimal investment problem is formulated as a continuous-time mathematical model under mean-variance criterion. These processes follow jump-diffusion processes (Weiner process and Poisson process). Then the corresponding Hamilton-Jacobi-Bellman(HJB) equation of the problem is presented and its efferent frontier is obtained. Moreover, the optimal strategy is also derived under safety-first criterion.
Hybrid Semantics of Stochastic Programs with Dynamic Reconfiguration
Alberto Policriti
2009-10-01
Full Text Available We begin by reviewing a technique to approximate the dynamics of stochastic programs --written in a stochastic process algebra-- by a hybrid system, suitable to capture a mixed discrete/continuous evolution. In a nutshell, the discrete dynamics is kept stochastic while the continuous evolution is given in terms of ODEs, and the overall technique, therefore, naturally associates a Piecewise Deterministic Markov Process with a stochastic program. The speciﬁc contribution in this work consists in an increase of the ﬂexibility of the translation scheme, obtained by allowing a dynamic reconﬁguration of the degree of discreteness/continuity of the semantics. We also discuss the relationships of this approach with other hybrid simulation strategies for biochemical systems.
ℋ∞ constant gain state feedback stabilization of stochastic hybrid systems with Wiener process
E. K. Boukas
2004-01-01
Full Text Available This paper considers the stabilization problem of the class of continuous-time linear stochastic hybrid systems with Wiener process. The ℋ∞ state feedback stabilization problem is treated. A state feedback controller with constant gain that does not require access to the system mode is designed. LMI-based conditions are developed to design the state feedback controller with constant gain that stochastically stabilizes the studied class of systems and, at the same time, achieve the disturbance rejection of a desired level. The minimum disturbance rejection is also determined. Numerical examples are given to show the usefulness of the proposed results.
Stochastic processes and functional analysis a volume of recent advances in honor of M. M. Rao
Krinik, Alan C
2004-01-01
This extraordinary compilation is an expansion of the recent American Mathematical Society Special Session celebrating M. M. Rao's distinguished career and includes most of the presented papers as well as ancillary contributions from session invitees. This book shows the effectiveness of abstract analysis for solving fundamental problems of stochastic theory, specifically the use of functional analytic methods for elucidating stochastic processes, as made manifest in M. M. Rao's prolific research achievements. Featuring a biography of M. M. Rao, a complete bibliography of his published works,
Goychuk, I
2001-08-01
Stochastic resonance in a simple model of information transfer is studied for sensory neurons and ensembles of ion channels. An exact expression for the information gain is obtained for the Poisson process with the signal-modulated spiking rate. This result allows one to generalize the conventional stochastic resonance (SR) problem (with periodic input signal) to the arbitrary signals of finite duration (nonstationary SR). Moreover, in the case of a periodic signal, the rate of information gain is compared with the conventional signal-to-noise ratio. The paper establishes the general nonequivalence between both measures notwithstanding their apparent similarity in the limit of weak signals.
Strategy Complexity of Finite-Horizon Markov Decision Processes and Simple Stochastic Games
Ibsen-Jensen, Rasmus; Chatterjee, Krishnendu
2012-01-01
Markov decision processes (MDPs) and simple stochastic games (SSGs) provide a rich mathematical framework to study many important problems related to probabilistic systems. MDPs and SSGs with finite-horizon objectives, where the goal is to maximize the probability to reach a target state in a given...
Using Max-Plus Algebra for the Evaluation of Stochastic Process Algebra Prefixes
Cloth, L.; de Alfaro, L.; Gilmore, S.; Bohnenkamp, H.C.; Haverkort, Boudewijn R.H.M.
2001-01-01
In this paper, the concept of complete finite prefixes for process algebra expressions is extended to stochastic models. Events are supposed to happen after a delay that is determined by random variables assigned to the preceding conditions. Max-plus algebra expressions are shown to provide an
Explicit calibration and simulation of stochastic fields by low-order ARMA processes
Krenk, Steen
2011-01-01
A simple framework for autoregressive simulation of stochastic fields is presented. The autoregressive format leads to a simple exponential correlation structure in the time-dimension. In the case of scalar processes a more detailed correlation structure can be obtained by adding memory...... to the process via an extension to autoregressive moving average (ARMA) processes. The ARMA format incorporates a more detailed correlation structure by including previous values of the simulated process. Alternatively, a more detailed correlation structure can be obtained by including additional 'state......-space' variables in the simulation. For a scalar process this would imply an increase of the dimension of the process to be simulated. In the case of a stochastic field the correlation in the time-dimension is represented, although indirectly, in the simultaneous spatial correlation. The model with the shortest...
Kinetic theory of age-structured stochastic birth-death processes
Greenman, Chris D.; Chou, Tom
2016-01-01
Classical age-structured mass-action models such as the McKendrick-von Foerster equation have been extensively studied but are unable to describe stochastic fluctuations or population-size-dependent birth and death rates. Stochastic theories that treat semi-Markov age-dependent processes using, e.g., the Bellman-Harris equation do not resolve a population's age structure and are unable to quantify population-size dependencies. Conversely, current theories that include size-dependent population dynamics (e.g., mathematical models that include carrying capacity such as the logistic equation) cannot be easily extended to take into account age-dependent birth and death rates. In this paper, we present a systematic derivation of a new, fully stochastic kinetic theory for interacting age-structured populations. By defining multiparticle probability density functions, we derive a hierarchy of kinetic equations for the stochastic evolution of an aging population undergoing birth and death. We show that the fully stochastic age-dependent birth-death process precludes factorization of the corresponding probability densities, which then must be solved by using a Bogoliubov--Born--Green--Kirkwood--Yvon-like hierarchy. Explicit solutions are derived in three limits: no birth, no death, and steady state. These are then compared with their corresponding mean-field results. Our results generalize both deterministic models and existing master equation approaches by providing an intuitive and efficient way to simultaneously model age- and population-dependent stochastic dynamics applicable to the study of demography, stem cell dynamics, and disease evolution.
Homogeneous Discrete Time Alternating Compound Renewal Process: A Disability Insurance Application
Guglielmo D’Amico
2015-01-01
Full Text Available Discrete time alternating renewal process is a very simple tool that permits solving many real life problems. This paper, after the presentation of this tool, introduces the compound environment in the alternating process giving a systematization to this important tool. The claim costs for a temporary disability insurance contract are presented. The algorithm and an example of application are also provided.
Geometric ergodicity and quasi-stationarity in discrete-time birth-death processes
van Doorn, Erik A.; Schrijner, Pauline
1995-01-01
We study two aspects of discrete-time birth-death processes, the common feature of which is the central role played by the decay parameter of the process. First, conditions for geometric ergodicity and bounds for the decay parameter are obtained. Then the existence and structure of quasi-stationary
Ising Processing Units: Potential and Challenges for Discrete Optimization
Coffrin, Carleton James [Los Alamos National Lab. (LANL), Los Alamos, NM (United States); Nagarajan, Harsha [Los Alamos National Lab. (LANL), Los Alamos, NM (United States); Bent, Russell Whitford [Los Alamos National Lab. (LANL), Los Alamos, NM (United States)
2017-07-05
The recent emergence of novel computational devices, such as adiabatic quantum computers, CMOS annealers, and optical parametric oscillators, presents new opportunities for hybrid-optimization algorithms that leverage these kinds of specialized hardware. In this work, we propose the idea of an Ising processing unit as a computational abstraction for these emerging tools. Challenges involved in using and bench- marking these devices are presented, and open-source software tools are proposed to address some of these challenges. The proposed benchmarking tools and methodology are demonstrated by conducting a baseline study of established solution methods to a D-Wave 2X adiabatic quantum computer, one example of a commercially available Ising processing unit.
Infinite Horizon Discrete Time Control Problems for Bounded Processes
2009-03-01
Full Text Available We establish Pontryagin Maximum Principles in the strong form for infinite horizon optimal control problems for bounded processes, for systems governed by difference equations. Results due to Ioffe and Tihomirov are among the tools used to prove our theorems. We write necessary conditions with weakened hypotheses of concavity and without invertibility, and we provide new results on the adjoint variable. We show links between bounded problems and nonbounded ones. We also give sufficient conditions of optimality.
Processing of pulse oximeter data using discrete wavelet analysis.
Lee, Seungjoon; Ibey, Bennett L; Xu, Weijian; Wilson, Mark A; Ericson, M Nance; Coté, Gerard L
2005-07-01
A wavelet-based signal processing technique was employed to improve an implantable blood perfusion monitoring system. Data was acquired from both in vitro and in vivo sources: a perfusion model and the proximal jejunum of an adult pig. Results showed that wavelet analysis could isolate perfusion signals from raw, periodic, in vitro data as well as fast Fourier transform (FFT) methods. However, for the quasi-periodic in vivo data segments, wavelet analysis provided more consistent results than the FFT analysis for data segments of 50, 10, and 5 s in length. Wavelet analysis has thus been shown to require less data points for quasi-periodic data than FFT analysis making it a good choice for an indwelling perfusion monitor where power consumption and reaction time are paramount.
Goodman, Roe W
2016-01-01
This textbook for undergraduate mathematics, science, and engineering students introduces the theory and applications of discrete Fourier and wavelet transforms using elementary linear algebra, without assuming prior knowledge of signal processing or advanced analysis.It explains how to use the Fourier matrix to extract frequency information from a digital signal and how to use circulant matrices to emphasize selected frequency ranges. It introduces discrete wavelet transforms for digital signals through the lifting method and illustrates through examples and computer explorations how these transforms are used in signal and image processing. Then the general theory of discrete wavelet transforms is developed via the matrix algebra of two-channel filter banks. Finally, wavelet transforms for analog signals are constructed based on filter bank results already presented, and the mathematical framework of multiresolution analysis is examined.
An extension of clarke's model with stochastic amplitude flip processes
Hoel, Hakon; Nyberg, Henrik
2014-01-01
. By rigorous analysis and numerical studies, we show that in many settings, signal realizations are generated more efficiently by Gaussian process algorithms than by the MFC model's algorithm. Numerical examples that strengthen these observations are also
Papiez, L.; Moskvin, V.; Tulovsky, V.
2001-01-01
The process of angular-spatial evolution of multiple scattering of charged particles can be described by a special case of Boltzmann integro-differential equation called Lewis equation. The underlying stochastic process for this evolution is the compound Poisson process on the surface of the unit sphere. The significant portion of events that constitute compound Poisson process that describes multiple scattering have diffusional character. This property allows to analyze the process of angular-spatial evolution of multiple scattering of charged particles as combination of soft and hard collision processes and compute appropriately its transition densities. These computations provide a method of the approximate solution to the Lewis equation. (orig.)
Raso , L.; Malaterre , P.O.; Bader , J.C.
2017-01-01
International audience; This article presents an innovative streamflow process model for use in reservoir operational rule design in stochastic dual dynamic programming (SDDP). Model features, which can be applied independently, are (1) a multiplicative process model for the forward phase and its linearized version for the backward phase; and (2) a nonuniform time-step length that is inversely proportional to seasonal variability. The advantages are (1) guaranteeing positive streamflow values...
Stochastic Analysis of a Queue Length Model Using a Graphics Processing Unit
Přikryl, Jan; Kocijan, J.
2012-01-01
Roč. 5, č. 2 (2012), s. 55-62 ISSN 1802-971X R&D Projects: GA MŠk(CZ) MEB091015 Institutional support: RVO:67985556 Keywords : graphics processing unit * GPU * Monte Carlo simulation * computer simulation * modeling Subject RIV: BC - Control Systems Theory http://library.utia.cas.cz/separaty/2012/AS/prikryl-stochastic analysis of a queue length model using a graphics processing unit.pdf
Modeling laser velocimeter signals as triply stochastic Poisson processes
Mayo, W. T., Jr.
1976-01-01
Previous models of laser Doppler velocimeter (LDV) systems have not adequately described dual-scatter signals in a manner useful for analysis and simulation of low-level photon-limited signals. At low photon rates, an LDV signal at the output of a photomultiplier tube is a compound nonhomogeneous filtered Poisson process, whose intensity function is another (slower) Poisson process with the nonstationary rate and frequency parameters controlled by a random flow (slowest) process. In the present paper, generalized Poisson shot noise models are developed for low-level LDV signals. Theoretical results useful in detection error analysis and simulation are presented, along with measurements of burst amplitude statistics. Computer generated simulations illustrate the difference between Gaussian and Poisson models of low-level signals.
Nonlocal discrete regularization on weighted graphs: a framework for image and manifold processing.
Elmoataz, Abderrahim; Lezoray, Olivier; Bougleux, Sébastien
2008-07-01
We introduce a nonlocal discrete regularization framework on weighted graphs of the arbitrary topologies for image and manifold processing. The approach considers the problem as a variational one, which consists of minimizing a weighted sum of two energy terms: a regularization one that uses a discrete weighted p-Dirichlet energy and an approximation one. This is the discrete analogue of recent continuous Euclidean nonlocal regularization functionals. The proposed formulation leads to a family of simple and fast nonlinear processing methods based on the weighted p-Laplace operator, parameterized by the degree p of regularity, the graph structure and the graph weight function. These discrete processing methods provide a graph-based version of recently proposed semi-local or nonlocal processing methods used in image and mesh processing, such as the bilateral filter, the TV digital filter or the nonlocal means filter. It works with equal ease on regular 2-D and 3-D images, manifolds or any data. We illustrate the abilities of the approach by applying it to various types of images, meshes, manifolds, and data represented as graphs.
Learning process mapping heuristics under stochastic sampling overheads
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.
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...
Stochastic behavior of cooling processes in hot nuclei
de Oliveira, P.M.; Sa Martins, J.S.; Szanto de Toledo, A.
1997-01-01
The collapse of structure effects observed in hot nuclei is interpreted in terms of a dynamic lattice model which describes the process of nucleon (clusters) evaporation from a hot nucleus, predicting the final mass distribution. Results are compared with experimental data for the 10 B+ 9 Be and 10 B+ 10 B reactions, and indicate that the structures observed in the low-energy mass distributions in both simulation and experiment are a consequence of the competition between the residual interactions and the thermalization dissipative process. As a characteristic feature of complex evolving systems, this competition leads to long term memory during the dissipative path, the observables becoming thus insensitive to the actual microscopic interactions. copyright 1997 The American Physical Society
Skills and the graduate recruitment process: Evidence from two discrete experiments
Humburg, M.; van der Velden, R.K.W.
2014-01-01
In this study we elicit employers’ preferences for a variety of CV attributes and types of skills when recruiting university graduates. Using two discrete choice experiments, we simulate the two common steps of the graduate recruitment process: 1) the selection of suitable candidates for job
Skills and the graduate recruitment process: Evidence from two discrete choice experiments
Humburg, M.; van der Velden, R.K.W.
2014-01-01
In this study we elicit employers’ preferences for a variety of CV attributes and types of skills when recruiting university graduates. Using two discrete choice experiments, we simulate the two common steps of the graduate recruitment process: 1) the selection of suitable candidates for job
Adaptive interpolation of discrete-time signals that can be modeled as autoregressive processes
Janssen, A.J.E.M.; Veldhuis, R.N.J.; Vries, L.B.
1986-01-01
The authors present an adaptive algorithm for the restoration of lost sample values in discrete-time signals that can locally be described by means of autoregressive processes. The only restrictions are that the positions of the unknown samples should be known and that they should be embedded in a
Adaptive interpolation of discrete-time signals that can be modeled as autoregressive processes
Janssen, A.J.E.M.; Veldhuis, Raymond N.J.; Vries, Lodewijk B.
1986-01-01
This paper presents an adaptive algorithm for the restoration of lost sample values in discrete-time signals that can locally be described by means of autoregressive processes. The only restrictions are that the positions of the unknown samples should be known and that they should be embedded in a
Pendar, Hodjat; Platini, Thierry; Kulkarni, Rahul V
2013-04-01
Stochasticity in gene expression gives rise to fluctuations in protein levels across a population of genetically identical cells. Such fluctuations can lead to phenotypic variation in clonal populations; hence, there is considerable interest in quantifying noise in gene expression using stochastic models. However, obtaining exact analytical results for protein distributions has been an intractable task for all but the simplest models. Here, we invoke the partitioning property of Poisson processes to develop a mapping that significantly simplifies the analysis of stochastic models of gene expression. The mapping leads to exact protein distributions using results for mRNA distributions in models with promoter-based regulation. Using this approach, we derive exact analytical results for steady-state and time-dependent distributions for the basic two-stage model of gene expression. Furthermore, we show how the mapping leads to exact protein distributions for extensions of the basic model that include the effects of posttranscriptional and posttranslational regulation. The approach developed in this work is widely applicable and can contribute to a quantitative understanding of stochasticity in gene expression and its regulation.
Pendar, Hodjat; Platini, Thierry; Kulkarni, Rahul V.
2013-04-01
Stochasticity in gene expression gives rise to fluctuations in protein levels across a population of genetically identical cells. Such fluctuations can lead to phenotypic variation in clonal populations; hence, there is considerable interest in quantifying noise in gene expression using stochastic models. However, obtaining exact analytical results for protein distributions has been an intractable task for all but the simplest models. Here, we invoke the partitioning property of Poisson processes to develop a mapping that significantly simplifies the analysis of stochastic models of gene expression. The mapping leads to exact protein distributions using results for mRNA distributions in models with promoter-based regulation. Using this approach, we derive exact analytical results for steady-state and time-dependent distributions for the basic two-stage model of gene expression. Furthermore, we show how the mapping leads to exact protein distributions for extensions of the basic model that include the effects of posttranscriptional and posttranslational regulation. The approach developed in this work is widely applicable and can contribute to a quantitative understanding of stochasticity in gene expression and its regulation.
Reflection Positive Stochastic Processes Indexed by Lie Groups
Jorgensen, Palle E. T.; Neeb, Karl-Hermann; Ólafsson, Gestur
2016-06-01
Reflection positivity originates from one of the Osterwalder-Schrader axioms for constructive quantum field theory. It serves as a bridge between euclidean and relativistic quantum field theory. In mathematics, more specifically, in representation theory, it is related to the Cartan duality of symmetric Lie groups (Lie groups with an involution) and results in a transformation of a unitary representation of a symmetric Lie group to a unitary representation of its Cartan dual. In this article we continue our investigation of representation theoretic aspects of reflection positivity by discussing reflection positive Markov processes indexed by Lie groups, measures on path spaces, and invariant gaussian measures in spaces of distribution vectors. This provides new constructions of reflection positive unitary representations.
Tempered stable distributions stochastic models for multiscale processes
Grabchak, Michael
2015-01-01
This brief is concerned with tempered stable distributions and their associated Levy processes. It is a good text for researchers interested in learning about tempered stable distributions. A tempered stable distribution is one which takes a stable distribution and modifies its tails to make them lighter. The motivation for this class comes from the fact that infinite variance stable distributions appear to provide a good fit to data in a variety of situations, but the extremely heavy tails of these models are not realistic for most real world applications. The idea of using distributions that modify the tails of stable models to make them lighter seems to have originated in the influential paper of Mantegna and Stanley (1994). Since then, these distributions have been extended and generalized in a variety of ways. They have been applied to a wide variety of areas including mathematical finance, biostatistics,computer science, and physics.
Sturm, R.
1991-01-01
Two aspects of performance are of main concern: plant availability and plant reliability (defined as the conditional probability of an unplanned shutdown). The goal of the research is a unified framework that combines behavioral models of optimizing agents with models of complex technical systems that take into account the dynamic and stochastic features of the system. In order to achieve this synthesis, two liens of work are necessary. One line requires a deeper understanding of complex production systems and the type of data they give rise to; the other line involves the specification and estimation of a rigorously specified behavioral model. Plant operations are modeled as a controlled stochastic process, and the sequence of up and downtime spells is analyzed during failure time and point process models. Similar to work on rational expectations and structural econometric models, the behavior model of how the plant process is controlled is formulated at the level of basic processes, i.e., the objective function of the plant manager, technical constraints, and stochastic disturbances
Katsoulakis, Markos A.; Vlachos, Dionisios G.
2003-11-01
We derive a hierarchy of successively coarse-grained stochastic processes and associated coarse-grained Monte Carlo (CGMC) algorithms directly from the microscopic processes as approximations in larger length scales for the case of diffusion of interacting particles on a lattice. This hierarchy of models spans length scales between microscopic and mesoscopic, satisfies a detailed balance, and gives self-consistent fluctuation mechanisms whose noise is asymptotically identical to the microscopic MC. Rigorous, detailed asymptotics justify and clarify these connections. Gradient continuous time microscopic MC and CGMC simulations are compared under far from equilibrium conditions to illustrate the validity of our theory and delineate the errors obtained by rigorous asymptotics. Information theory estimates are employed for the first time to provide rigorous error estimates between the solutions of microscopic MC and CGMC, describing the loss of information during the coarse-graining process. Simulations under periodic boundary conditions are used to verify the information theory error estimates. It is shown that coarse-graining in space leads also to coarse-graining in time by q2, where q is the level of coarse-graining, and overcomes in part the hydrodynamic slowdown. Operation counting and CGMC simulations demonstrate significant CPU savings in continuous time MC simulations that vary from q3 for short potentials to q4 for long potentials. Finally, connections of the new coarse-grained stochastic processes to stochastic mesoscopic and Cahn-Hilliard-Cook models are made.
Reddy, V R; Reddy, T G; Reddy, P Y; Reddy, K R
2003-01-01
An AC modulation technique is described to convert stochastic signal variations into an amplitude variation and its retrieval through Fourier analysis. It is shown that this AC detection of signals of stochastic processes when processed through auto- and cross-correlation techniques improve the signal-to-noise ratio; the correlation techniques serve a similar purpose of frequency and phase filtering as that of phase-sensitive detection. A few model calculations applied to nuclear spectroscopy measurements such as Angular Correlations, Mossbauer spectroscopy and Pulse Height Analysis reveal considerable improvement in the sensitivity of signal detection. Experimental implementation of the technique is presented in terms of amplitude variations of harmonics representing the derivatives of normal spectra. Improved detection sensitivity to spectral variations is shown to be significant. These correlation techniques are general and can be made applicable to all the fields of particle counting where measurements ar...
Whole-field visual motion drives swimming in larval zebrafish via a stochastic process.
Portugues, Ruben; Haesemeyer, Martin; Blum, Mirella L; Engert, Florian
2015-05-01
Caudo-rostral whole-field visual motion elicits forward locomotion in many organisms, including larval zebrafish. Here, we investigate the dependence on the latency to initiate this forward swimming as a function of the speed of the visual motion. We show that latency is highly dependent on speed for slow speeds (1.5 s, which is much longer than neuronal transduction processes. What mechanisms underlie these long latencies? We propose two alternative, biologically inspired models that could account for this latency to initiate swimming: an integrate and fire model, which is history dependent, and a stochastic Poisson model, which has no history dependence. We use these models to predict the behavior of larvae when presented with whole-field motion of varying speed and find that the stochastic process shows better agreement with the experimental data. Finally, we discuss possible neuronal implementations of these models. © 2015. Published by The Company of Biologists Ltd.
Yang, Xin; Zeng, Zhenxiang; Wang, Ruidong; Sun, Xueshan
2016-01-01
This paper presents a novel method on the optimization of bi-objective Flexible Job-shop Scheduling Problem (FJSP) under stochastic processing times. The robust counterpart model and the Non-dominated Sorting Genetic Algorithm II (NSGA-II) are used to solve the bi-objective FJSP with consideration of the completion time and the total energy consumption under stochastic processing times. The case study on GM Corporation verifies that the NSGA-II used in this paper is effective and has advantages to solve the proposed model comparing with HPSO and PSO+SA. The idea and method of the paper can be generalized widely in the manufacturing industry, because it can reduce the energy consumption of the energy-intensive manufacturing enterprise with less investment when the new approach is applied in existing systems.
Stationary and related stochastic processes sample function properties and their applications
Cramér, Harald
2004-01-01
This graduate-level text offers a comprehensive account of the general theory of stationary processes, with special emphasis on the properties of sample functions. Assuming a familiarity with the basic features of modern probability theory, the text develops the foundations of the general theory of stochastic processes, examines processes with a continuous-time parameter, and applies the general theory to procedures key to the study of stationary processes. Additional topics include analytic properties of the sample functions and the problem of time distribution of the intersections between a
Using Serial and Discrete Digit Naming to Unravel Word Reading Processes.
Altani, Angeliki; Protopapas, Athanassios; Georgiou, George K
2018-01-01
During reading acquisition, word recognition is assumed to undergo a developmental shift from slow serial/sublexical processing of letter strings to fast parallel processing of whole word forms. This shift has been proposed to be detected by examining the size of the relationship between serial- and discrete-trial versions of word reading and rapid naming tasks. Specifically, a strong association between serial naming of symbols and single word reading suggests that words are processed serially, whereas a strong association between discrete naming of symbols and single word reading suggests that words are processed in parallel as wholes. In this study, 429 Grade 1, 3, and 5 English-speaking Canadian children were tested on serial and discrete digit naming and word reading. Across grades, single word reading was more strongly associated with discrete naming than with serial naming of digits, indicating that short high-frequency words are processed as whole units early in the development of reading ability in English. In contrast, serial naming was not a unique predictor of single word reading across grades, suggesting that within-word sequential processing was not required for the successful recognition for this set of words. Factor mixture analysis revealed that our participants could be clustered into two classes, namely beginning and more advanced readers. Serial naming uniquely predicted single word reading only among the first class of readers, indicating that novice readers rely on a serial strategy to decode words. Yet, a considerable proportion of Grade 1 students were assigned to the second class, evidently being able to process short high-frequency words as unitized symbols. We consider these findings together with those from previous studies to challenge the hypothesis of a binary distinction between serial/sublexical and parallel/lexical processing in word reading. We argue instead that sequential processing in word reading operates on a continuum
Anderson, David F; Yuan, Chaojie
2018-04-18
A number of coupling strategies are presented for stochastically modeled biochemical processes with time-dependent parameters. In particular, the stacked coupling is introduced and is shown via a number of examples to provide an exceptionally low variance between the generated paths. This coupling will be useful in the numerical computation of parametric sensitivities and the fast estimation of expectations via multilevel Monte Carlo methods. We provide the requisite estimators in both cases.
A decision dependent stochastic process model for repairable systems with applications
Paul F. Zantek
2015-12-01
This paper mathematically formalizes the notion of how management actions impact the functioning of a repairable system over time by developing a new stochastic process model for such systems. The proposed model is illustrated using both simulated and real data. The proposed model compares favorably to other models for well-known data on Boeing airplanes. The model is further illustrated and compared to other models on failure time and maintenance data stemming from the South Texas Project nuclear power plant.
Dini-Andreote, Francisco; Stegen, James C; van Elsas, Jan Dirk; Salles, Joana Falcão
2015-03-17
Ecological succession and the balance between stochastic and deterministic processes are two major themes within microbial ecology, but these conceptual domains have mostly developed independent of each other. Here we provide a framework that integrates shifts in community assembly processes with microbial primary succession to better understand mechanisms governing the stochastic/deterministic balance. Synthesizing previous work, we devised a conceptual model that links ecosystem development to alternative hypotheses related to shifts in ecological assembly processes. Conceptual model hypotheses were tested by coupling spatiotemporal data on soil bacterial communities with environmental conditions in a salt marsh chronosequence spanning 105 years of succession. Analyses within successional stages showed community composition to be initially governed by stochasticity, but as succession proceeded, there was a progressive increase in deterministic selection correlated with increasing sodium concentration. Analyses of community turnover among successional stages--which provide a larger spatiotemporal scale relative to within stage analyses--revealed that changes in the concentration of soil organic matter were the main predictor of the type and relative influence of determinism. Taken together, these results suggest scale-dependency in the mechanisms underlying selection. To better understand mechanisms governing these patterns, we developed an ecological simulation model that revealed how changes in selective environments cause shifts in the stochastic/deterministic balance. Finally, we propose an extended--and experimentally testable--conceptual model integrating ecological assembly processes with primary and secondary succession. This framework provides a priori hypotheses for future experiments, thereby facilitating a systematic approach to understand assembly and succession in microbial communities across ecosystems.
Model-free stochastic processes studied with q-wavelet-based informational tools
Perez, D.G.; Zunino, L.; Martin, M.T.; Garavaglia, M.; Plastino, A.; Rosso, O.A.
2007-01-01
We undertake a model-free investigation of stochastic processes employing q-wavelet based quantifiers, that constitute a generalization of their Shannon counterparts. It is shown that (i) interesting physical information becomes accessible in such a way (ii) for special q values the quantifiers are more sensitive than the Shannon ones and (iii) there exist an implicit relationship between the Hurst parameter H and q within this wavelet framework
Stochastic Interest Model Based on Compound Poisson Process and Applications in Actuarial Science
Li, Shilong; Yin, Chuancun; Zhao, Xia; Dai, Hongshuai
2017-01-01
Considering stochastic behavior of interest rates in financial market, we construct a new class of interest models based on compound Poisson process. Different from the references, this paper describes the randomness of interest rates by modeling the force of interest with Poisson random jumps directly. To solve the problem in calculation of accumulated interest force function, one important integral technique is employed. And a conception called the critical value is introduced to investigat...
Stochastic processes, optimization, and control theory a volume in honor of Suresh Sethi
Yan, Houmin
2006-01-01
This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.
Simulation based sequential Monte Carlo methods for discretely observed Markov processes
Neal, Peter
2014-01-01
Parameter estimation for discretely observed Markov processes is a challenging problem. However, simulation of Markov processes is straightforward using the Gillespie algorithm. We exploit this ease of simulation to develop an effective sequential Monte Carlo (SMC) algorithm for obtaining samples from the posterior distribution of the parameters. In particular, we introduce two key innovations, coupled simulations, which allow us to study multiple parameter values on the basis of a single sim...
Power Laws in Stochastic Processes for Social Phenomena: An Introductory Review
Kumamoto, Shin-Ichiro; Kamihigashi, Takashi
2018-03-01
Many phenomena with power laws have been observed in various fields of the natural and social sciences, and these power laws are often interpreted as the macro behaviors of systems that consist of micro units. In this paper, we review some basic mathematical mechanisms that are known to generate power laws. In particular, we focus on stochastic processes including the Yule process and the Simon process as well as some recent models. The main purpose of this paper is to explain the mathematical details of their mechanisms in a self-contained manner.
Dimension reduction of Karhunen-Loeve expansion for simulation of stochastic processes
Liu, Zhangjun; Liu, Zixin; Peng, Yongbo
2017-11-01
Conventional Karhunen-Loeve expansions for simulation of stochastic processes often encounter the challenge of dealing with hundreds of random variables. For breaking through the barrier, a random function embedded Karhunen-Loeve expansion method is proposed in this paper. The updated scheme has a similar form to the conventional Karhunen-Loeve expansion, both involving a summation of a series of deterministic orthonormal basis and uncorrelated random variables. While the difference from the updated scheme lies in the dimension reduction of Karhunen-Loeve expansion through introducing random functions as a conditional constraint upon uncorrelated random variables. The random function is expressed as a single-elementary-random-variable orthogonal function in polynomial format (non-Gaussian variables) or trigonometric format (non-Gaussian and Gaussian variables). For illustrative purposes, the simulation of seismic ground motion is carried out using the updated scheme. Numerical investigations reveal that the Karhunen-Loeve expansion with random functions could gain desirable simulation results in case of a moderate sample number, except the Hermite polynomials and the Laguerre polynomials. It has the sound applicability and efficiency in simulation of stochastic processes. Besides, the updated scheme has the benefit of integrating with probability density evolution method, readily for the stochastic analysis of nonlinear structures.
Lee, Youn Myoung
1995-02-01
As a newly approaching model, a stochastic model using continuous time Markov process for nuclide decay chain transport of arbitrary length in the fractured porous rock medium has been proposed, by which the need for solving a set of partial differential equations corresponding to various sets of side conditions can be avoided. Once the single planar fracture in the rock matrix is represented by a series of finite number of compartments having region wise constant parameter values in them, the medium is continuous in view of various processes associated with nuclide transport but discrete in medium space and such geologic system is assumed to have Markov property, since the Markov process requires that only the present value of the time dependent random variable be known to determine the future value of random variable, nuclide transport in the medium can then be modeled as a continuous time Markov process. Processes that are involved in nuclide transport are advective transport due to groundwater flow, diffusion into the rock matrix, adsorption onto the wall of the fracture and within the pores in the rock matrix, and radioactive decay chain. The transition probabilities for nuclide from the transition intensities between and out of the compartments are represented utilizing Chapman-Kolmogorov equation, through which the expectation and the variance of nuclide distribution for each compartment or the fractured rock medium can be obtained. Some comparisons between Markov process model developed in this work and available analytical solutions for one-dimensional layered porous medium, fractured medium with rock matrix diffusion, and porous medium considering three member nuclide decay chain without rock matrix diffusion have been made showing comparatively good agreement for all cases. To verify the model developed in this work another comparative study was also made by fitting the experimental data obtained with NaLS and uranine running in the artificial fractured
Contribution to the stochastically studies of space-time dependable hydrological processes
Kjaevski, Ivancho
2002-12-01
One of the fundaments of today's planning and water economy is Science of Hydrology. Science of Hydrology through the history had followed the development of the water management systems. Water management systems, during the time from single-approach evolved to complex and multi purpose systems. The dynamic and development of the today's society contributed for increasing the demand of clean water, and in the same time, the resources of clean water in the nature are reduced. In this kind of conditions, water management systems should resolve problems that are more complicated during managing of water sources. Solving the problems in water management, enable development and applying new methods and technologies in planning and management with water resources and water management systems like: systematical analyses, operational research, hierarchy decisions, expert systems, computer technology etc. Planning and management of water sources needs historical measured data for hydro metrological processes. In our country there are data of hydro metrological processes in period of 50-70, but in some Europe countries there are data more than 100 years. Water economy trends follow the hydro metrological trend research. The basic statistic techniques like sampling, probability distribution function, correlation and regression, are used about one intended and simple water management problems. Solving new problems about water management needs using of space-time stochastic technique, modem mathematical and statistical techniques during simulation and optimization of complex water systems. We need tree phases of development of the techniques to get secure hydrological models: i) Estimate the quality of hydro meteorological data, analyzing of their consistency, and homogeneous; ii) Structural analyze of hydro meteorological processes; iii) Mathematical models for modeling hydro meteorological processes. Very often, the third phase is applied for analyzing and modeling of hydro
Strong practical stability and stabilization of uncertain discrete linear repetitive processes
Dabkowski, Pavel; Galkowski, K.; Bachelier, O.; Rogers, E.; Kummert, A.; Lam, J.
2013-01-01
Roč. 20, č. 2 (2013), s. 220-233 ISSN 1070-5325 R&D Projects: GA MŠk(CZ) 1M0567 Institutional research plan: CEZ:AV0Z10750506 Institutional support: RVO:67985556 Keywords : strong practical stability * stabilization * uncertain discrete linear repetitive processes * linear matrix inequality Subject RIV: BC - Control Systems Theory Impact factor: 1.424, year: 2013 http://onlinelibrary.wiley.com/doi/10.1002/nla.812/abstract
On a stochastic process associated to non-abelian gauge fields
Vilela Mendes, R.
1989-01-01
A stochastic process is constructed from a ground state measure that generalizes to non-abelian fields the ground state of abelian (free) gauge fields without fermions. Using a latticized version one shows how the process leads to a well-defined quantum theory in the Schroedinger representation. An analysis of the qualitative behaviour of the theory seems to imply a quasi-free behaviour at short distances and a maximally disordered field strength configuration for the low-momentum component of the ground state. Scaling relations for the mass gap are inferred from the theory of small random perturbations of dynamical systems. (orig.)
On time-dependent diffusion coefficients arising from stochastic processes with memory
Carpio-Bernido, M. Victoria; Barredo, Wilson I.; Bernido, Christopher C.
2017-08-01
Time-dependent diffusion coefficients arise from anomalous diffusion encountered in many physical systems such as protein transport in cells. We compare these coefficients with those arising from analysis of stochastic processes with memory that go beyond fractional Brownian motion. Facilitated by the Hida white noise functional integral approach, diffusion propagators or probability density functions (pdf) are obtained and shown to be solutions of modified diffusion equations with time-dependent diffusion coefficients. This should be useful in the study of complex transport processes.
SDE decomposition and A-type stochastic interpretation in nonequilibrium processes
Yuan, Ruoshi; Tang, Ying; Ao, Ping
2017-12-01
An innovative theoretical framework for stochastic dynamics based on the decomposition of a stochastic differential equation (SDE) into a dissipative component, a detailed-balance-breaking component, and a dual-role potential landscape has been developed, which has fruitful applications in physics, engineering, chemistry, and biology. It introduces the A-type stochastic interpretation of the SDE beyond the traditional Ito or Stratonovich interpretation or even the α-type interpretation for multidimensional systems. The potential landscape serves as a Hamiltonian-like function in nonequilibrium processes without detailed balance, which extends this important concept from equilibrium statistical physics to the nonequilibrium region. A question on the uniqueness of the SDE decomposition was recently raised. Our review of both the mathematical and physical aspects shows that uniqueness is guaranteed. The demonstration leads to a better understanding of the robustness of the novel framework. In addition, we discuss related issues including the limitations of an approach to obtaining the potential function from a steady-state distribution.
Hidden symmetries and equilibrium properties of multiplicative white-noise stochastic processes
González Arenas, Zochil; Barci, Daniel G.
2012-12-01
Multiplicative white-noise stochastic processes continue to attract attention in a wide area of scientific research. The variety of prescriptions available for defining them makes the development of general tools for their characterization difficult. In this work, we study equilibrium properties of Markovian multiplicative white-noise processes. For this, we define the time reversal transformation for such processes, taking into account that the asymptotic stationary probability distribution depends on the prescription. Representing the stochastic process in a functional Grassmann formalism, we avoid the necessity of fixing a particular prescription. In this framework, we analyze equilibrium properties and study hidden symmetries of the process. We show that, using a careful definition of the equilibrium distribution and taking into account the appropriate time reversal transformation, usual equilibrium properties are satisfied for any prescription. Finally, we present a detailed deduction of a covariant supersymmetric formulation of a multiplicative Markovian white-noise process and study some of the constraints that it imposes on correlation functions using Ward-Takahashi identities.
Hidden symmetries and equilibrium properties of multiplicative white-noise stochastic processes
Arenas, Zochil González; Barci, Daniel G
2012-01-01
Multiplicative white-noise stochastic processes continue to attract attention in a wide area of scientific research. The variety of prescriptions available for defining them makes the development of general tools for their characterization difficult. In this work, we study equilibrium properties of Markovian multiplicative white-noise processes. For this, we define the time reversal transformation for such processes, taking into account that the asymptotic stationary probability distribution depends on the prescription. Representing the stochastic process in a functional Grassmann formalism, we avoid the necessity of fixing a particular prescription. In this framework, we analyze equilibrium properties and study hidden symmetries of the process. We show that, using a careful definition of the equilibrium distribution and taking into account the appropriate time reversal transformation, usual equilibrium properties are satisfied for any prescription. Finally, we present a detailed deduction of a covariant supersymmetric formulation of a multiplicative Markovian white-noise process and study some of the constraints that it imposes on correlation functions using Ward–Takahashi identities. (paper)
Peccati, Giovanni
2016-01-01
Stochastic geometry is the branch of mathematics that studies geometric structures associated with random configurations, such as random graphs, tilings and mosaics. Due to its close ties with stereology and spatial statistics, the results in this area are relevant for a large number of important applications, e.g. to the mathematical modeling and statistical analysis of telecommunication networks, geostatistics and image analysis. In recent years – due mainly to the impetus of the authors and their collaborators – a powerful connection has been established between stochastic geometry and the Malliavin calculus of variations, which is a collection of probabilistic techniques based on the properties of infinite-dimensional differential operators. This has led in particular to the discovery of a large number of new quantitative limit theorems for high-dimensional geometric objects. This unique book presents an organic collection of authoritative surveys written by the principal actors in this rapidly evolvi...
Road maintenance optimization through a discrete-time semi-Markov decision process
Zhang Xueqing; Gao Hui
2012-01-01
Optimization models are necessary for efficient and cost-effective maintenance of a road network. In this regard, road deterioration is commonly modeled as a discrete-time Markov process such that an optimal maintenance policy can be obtained based on the Markov decision process, or as a renewal process such that an optimal maintenance policy can be obtained based on the renewal theory. However, the discrete-time Markov process cannot capture the real time at which the state transits while the renewal process considers only one state and one maintenance action. In this paper, road deterioration is modeled as a semi-Markov process in which the state transition has the Markov property and the holding time in each state is assumed to follow a discrete Weibull distribution. Based on this semi-Markov process, linear programming models are formulated for both infinite and finite planning horizons in order to derive optimal maintenance policies to minimize the life-cycle cost of a road network. A hypothetical road network is used to illustrate the application of the proposed optimization models. The results indicate that these linear programming models are practical for the maintenance of a road network having a large number of road segments and that they are convenient to incorporate various constraints on the decision process, for example, performance requirements and available budgets. Although the optimal maintenance policies obtained for the road network are randomized stationary policies, the extent of this randomness in decision making is limited. The maintenance actions are deterministic for most states and the randomness in selecting actions occurs only for a few states.
Quantum learning of classical stochastic processes: The completely positive realization problem
Monràs, Alex; Winter, Andreas
2016-01-01
Among several tasks in Machine Learning, a specially important one is the problem of inferring the latent variables of a system and their causal relations with the observed behavior. A paradigmatic instance of this is the task of inferring the hidden Markov model underlying a given stochastic process. This is known as the positive realization problem (PRP), [L. Benvenuti and L. Farina, IEEE Trans. Autom. Control 49(5), 651-664 (2004)] and constitutes a central problem in machine learning. The PRP and its solutions have far-reaching consequences in many areas of systems and control theory, and is nowadays an important piece in the broad field of positive systems theory. We consider the scenario where the latent variables are quantum (i.e., quantum states of a finite-dimensional system) and the system dynamics is constrained only by physical transformations on the quantum system. The observable dynamics is then described by a quantum instrument, and the task is to determine which quantum instrument — if any — yields the process at hand by iterative application. We take as a starting point the theory of quasi-realizations, whence a description of the dynamics of the process is given in terms of linear maps on state vectors and probabilities are given by linear functionals on the state vectors. This description, despite its remarkable resemblance with the hidden Markov model, or the iterated quantum instrument, is however devoid of any stochastic or quantum mechanical interpretation, as said maps fail to satisfy any positivity conditions. The completely positive realization problem then consists in determining whether an equivalent quantum mechanical description of the same process exists. We generalize some key results of stochastic realization theory, and show that the problem has deep connections with operator systems theory, giving possible insight to the lifting problem in quotient operator systems. Our results have potential applications in quantum machine
Quantum learning of classical stochastic processes: The completely positive realization problem
Monràs, Alex [Física Teòrica: Informació i Fenòmens Quàntics, Universitat Autònoma de Barcelona, 08193 Bellaterra (Barcelona) (Spain); Centre for Quantum Technologies, National University of Singapore, 3 Science Drive 2, Singapore 117543 (Singapore); Winter, Andreas [Física Teòrica: Informació i Fenòmens Quàntics, Universitat Autònoma de Barcelona, 08193 Bellaterra (Barcelona) (Spain); Centre for Quantum Technologies, National University of Singapore, 3 Science Drive 2, Singapore 117543 (Singapore); ICREA—Institució Catalana de Recerca i Estudis Avançats, Pg. Lluis Companys, 23, 08010 Barcelona (Spain)
2016-01-15
Among several tasks in Machine Learning, a specially important one is the problem of inferring the latent variables of a system and their causal relations with the observed behavior. A paradigmatic instance of this is the task of inferring the hidden Markov model underlying a given stochastic process. This is known as the positive realization problem (PRP), [L. Benvenuti and L. Farina, IEEE Trans. Autom. Control 49(5), 651–664 (2004)] and constitutes a central problem in machine learning. The PRP and its solutions have far-reaching consequences in many areas of systems and control theory, and is nowadays an important piece in the broad field of positive systems theory. We consider the scenario where the latent variables are quantum (i.e., quantum states of a finite-dimensional system) and the system dynamics is constrained only by physical transformations on the quantum system. The observable dynamics is then described by a quantum instrument, and the task is to determine which quantum instrument — if any — yields the process at hand by iterative application. We take as a starting point the theory of quasi-realizations, whence a description of the dynamics of the process is given in terms of linear maps on state vectors and probabilities are given by linear functionals on the state vectors. This description, despite its remarkable resemblance with the hidden Markov model, or the iterated quantum instrument, is however devoid of any stochastic or quantum mechanical interpretation, as said maps fail to satisfy any positivity conditions. The completely positive realization problem then consists in determining whether an equivalent quantum mechanical description of the same process exists. We generalize some key results of stochastic realization theory, and show that the problem has deep connections with operator systems theory, giving possible insight to the lifting problem in quotient operator systems. Our results have potential applications in quantum machine
Quantum learning of classical stochastic processes: The completely positive realization problem
Monràs, Alex; Winter, Andreas
2016-01-01
Among several tasks in Machine Learning, a specially important one is the problem of inferring the latent variables of a system and their causal relations with the observed behavior. A paradigmatic instance of this is the task of inferring the hidden Markov model underlying a given stochastic process. This is known as the positive realization problem (PRP), [L. Benvenuti and L. Farina, IEEE Trans. Autom. Control 49(5), 651–664 (2004)] and constitutes a central problem in machine learning. The PRP and its solutions have far-reaching consequences in many areas of systems and control theory, and is nowadays an important piece in the broad field of positive systems theory. We consider the scenario where the latent variables are quantum (i.e., quantum states of a finite-dimensional system) and the system dynamics is constrained only by physical transformations on the quantum system. The observable dynamics is then described by a quantum instrument, and the task is to determine which quantum instrument — if any — yields the process at hand by iterative application. We take as a starting point the theory of quasi-realizations, whence a description of the dynamics of the process is given in terms of linear maps on state vectors and probabilities are given by linear functionals on the state vectors. This description, despite its remarkable resemblance with the hidden Markov model, or the iterated quantum instrument, is however devoid of any stochastic or quantum mechanical interpretation, as said maps fail to satisfy any positivity conditions. The completely positive realization problem then consists in determining whether an equivalent quantum mechanical description of the same process exists. We generalize some key results of stochastic realization theory, and show that the problem has deep connections with operator systems theory, giving possible insight to the lifting problem in quotient operator systems. Our results have potential applications in quantum machine
Gupta, Chinmaya; López, José Manuel; Azencott, Robert; Bennett, Matthew R; Josić, Krešimir; Ott, William
2014-05-28
Delay is an important and ubiquitous aspect of many biochemical processes. For example, delay plays a central role in the dynamics of genetic regulatory networks as it stems from the sequential assembly of first mRNA and then protein. Genetic regulatory networks are therefore frequently modeled as stochastic birth-death processes with delay. Here, we examine the relationship between delay birth-death processes and their appropriate approximating delay chemical Langevin equations. We prove a quantitative bound on the error between the pathwise realizations of these two processes. Our results hold for both fixed delay and distributed delay. Simulations demonstrate that the delay chemical Langevin approximation is accurate even at moderate system sizes. It captures dynamical features such as the oscillatory behavior in negative feedback circuits, cross-correlations between nodes in a network, and spatial and temporal information in two commonly studied motifs of metastability in biochemical systems. Overall, these results provide a foundation for using delay stochastic differential equations to approximate the dynamics of birth-death processes with delay.
Gupta, Chinmaya; López, José Manuel; Azencott, Robert; Ott, William [Department of Mathematics, University of Houston, Houston, Texas 77004 (United States); Bennett, Matthew R. [Department of Biochemistry and Cell Biology, Rice University, Houston, Texas 77204, USA and Institute of Biosciences and Bioengineering, Rice University, Houston, Texas 77005 (United States); Josić, Krešimir [Department of Mathematics, University of Houston, Houston, Texas 77004 (United States); Department of Biology and Biochemistry, University of Houston, Houston, Texas 77204 (United States)
2014-05-28
Delay is an important and ubiquitous aspect of many biochemical processes. For example, delay plays a central role in the dynamics of genetic regulatory networks as it stems from the sequential assembly of first mRNA and then protein. Genetic regulatory networks are therefore frequently modeled as stochastic birth-death processes with delay. Here, we examine the relationship between delay birth-death processes and their appropriate approximating delay chemical Langevin equations. We prove a quantitative bound on the error between the pathwise realizations of these two processes. Our results hold for both fixed delay and distributed delay. Simulations demonstrate that the delay chemical Langevin approximation is accurate even at moderate system sizes. It captures dynamical features such as the oscillatory behavior in negative feedback circuits, cross-correlations between nodes in a network, and spatial and temporal information in two commonly studied motifs of metastability in biochemical systems. Overall, these results provide a foundation for using delay stochastic differential equations to approximate the dynamics of birth-death processes with delay.
Gupta, Chinmaya; López, José Manuel; Azencott, Robert; Ott, William; Bennett, Matthew R.; Josić, Krešimir
2014-01-01
Delay is an important and ubiquitous aspect of many biochemical processes. For example, delay plays a central role in the dynamics of genetic regulatory networks as it stems from the sequential assembly of first mRNA and then protein. Genetic regulatory networks are therefore frequently modeled as stochastic birth-death processes with delay. Here, we examine the relationship between delay birth-death processes and their appropriate approximating delay chemical Langevin equations. We prove a quantitative bound on the error between the pathwise realizations of these two processes. Our results hold for both fixed delay and distributed delay. Simulations demonstrate that the delay chemical Langevin approximation is accurate even at moderate system sizes. It captures dynamical features such as the oscillatory behavior in negative feedback circuits, cross-correlations between nodes in a network, and spatial and temporal information in two commonly studied motifs of metastability in biochemical systems. Overall, these results provide a foundation for using delay stochastic differential equations to approximate the dynamics of birth-death processes with delay
Matthews, J O; Hopcraft, K I; Jakeman, E [Applied Mathematics Division, School of Mathematical Sciences, University of Nottingham, Nottingham, NG7 2RD (United Kingdom)
2003-11-21
Some properties of classical population processes that comprise births, deaths and multiple immigrations are investigated. The rates at which the immigrants arrive can be tailored to produce a population whose steady state fluctuations are described by a pre-selected distribution. Attention is focused on the class of distributions with a discrete stable law, which have power-law tails and whose moments and autocorrelation function do not exist. The separate problem of monitoring and characterizing the fluctuations is studied, analysing the statistics of individuals that leave the population. The fluctuations in the size of the population are transferred to the times between emigrants that form an intermittent time series of events. The emigrants are counted with a detector of finite dynamic range and response time. This is modelled through clipping the time series or saturating it at an arbitrary but finite level, whereupon its moments and correlation properties become finite. Distributions for the time to the first counted event and for the time between events exhibit power-law regimes that are characteristic of the fluctuations in population size. The processes provide analytical models with which properties of complex discrete random phenomena can be explored, and in addition provide generic means by which random time series encompassing a wide range of intermittent and other discrete random behaviour may be generated.
Matthews, J O; Hopcraft, K I; Jakeman, E
2003-01-01
Some properties of classical population processes that comprise births, deaths and multiple immigrations are investigated. The rates at which the immigrants arrive can be tailored to produce a population whose steady state fluctuations are described by a pre-selected distribution. Attention is focused on the class of distributions with a discrete stable law, which have power-law tails and whose moments and autocorrelation function do not exist. The separate problem of monitoring and characterizing the fluctuations is studied, analysing the statistics of individuals that leave the population. The fluctuations in the size of the population are transferred to the times between emigrants that form an intermittent time series of events. The emigrants are counted with a detector of finite dynamic range and response time. This is modelled through clipping the time series or saturating it at an arbitrary but finite level, whereupon its moments and correlation properties become finite. Distributions for the time to the first counted event and for the time between events exhibit power-law regimes that are characteristic of the fluctuations in population size. The processes provide analytical models with which properties of complex discrete random phenomena can be explored, and in addition provide generic means by which random time series encompassing a wide range of intermittent and other discrete random behaviour may be generated
Oviedo, Jenny A.; Jesus, Amanda M.D. de; Fialho, Lucimar L.; Pereira-Filho, Edenir R.
2014-01-01
Simple and sensitive procedures for the extraction/preconcentration of molybdenum based on vortex-assisted solidified floating organic drop microextraction (VA-SFODME) and cloud point combined with flame absorption atomic spectrometry (FAAS) and discrete nebulization were developed. The influence of the discrete nebulization on the sensitivity of the molybdenum preconcentration processes was studied. An injection volume of 200 μ resulted in a lower relative standard deviation with both preconcentration procedures. Enrichment factors of 31 and 67 and limits of detection of 25 and 5 μ L -1 were obtained for cloud point and VA-SFODME, respectively. The developed procedures were applied to the determination of Mo in mineral water and multivitamin samples. (author)
Discrete event simulation of the Defense Waste Processing Facility (DWPF) analytical laboratory
Shanahan, K.L.
1992-02-01
A discrete event simulation of the Savannah River Site (SRS) Defense Waste Processing Facility (DWPF) analytical laboratory has been constructed in the GPSS language. It was used to estimate laboratory analysis times at process analytical hold points and to study the effect of sample number on those times. Typical results are presented for three different simultaneous representing increasing levels of complexity, and for different sampling schemes. Example equipment utilization time plots are also included. SRS DWPF laboratory management and chemists found the simulations very useful for resource and schedule planning
Stochastic Processes and Queueing Theory used in Cloud Computer Performance Simulations
Florin-Catalin ENACHE
2015-10-01
Full Text Available The growing character of the cloud business has manifested exponentially in the last 5 years. The capacity managers need to concentrate on a practical way to simulate the random demands a cloud infrastructure could face, even if there are not too many mathematical tools to simulate such demands.This paper presents an introduction into the most important stochastic processes and queueing theory concepts used for modeling computer performance. Moreover, it shows the cases where such concepts are applicable and when not, using clear programming examples on how to simulate a queue, and how to use and validate a simulation, when there are no mathematical concepts to back it up.
The ‘hit’ phenomenon: a mathematical model of human dynamics interactions as a stochastic process
Ishii, Akira; Arakaki, Hisashi; Matsuda, Naoya; Umemura, Sanae; Urushidani, Tamiko; Yamagata, Naoya; Yoshida, Narihiko
2012-06-01
A mathematical model for the ‘hit’ phenomenon in entertainment within a society is presented as a stochastic process of human dynamics interactions. The model uses only the advertisement budget time distribution as an input, and word-of-mouth (WOM), represented by posts on social network systems, is used as data to make a comparison with the calculated results. The unit of time is days. The WOM distribution in time is found to be very close to the revenue distribution in time. Calculations for the Japanese motion picture market based on the mathematical model agree well with the actual revenue distribution in time.
Krylov, N. V.; Priola, E.
2017-09-01
We show, among other things, how knowing Schauder or Sobolev-space estimates for the one-dimensional heat equation allows one to derive their multidimensional analogs for equations with coefficients depending only on the time variable with the same constants as in the case of the one-dimensional heat equation. The method is quite general and is based on using the Poisson stochastic process. It also applies to equations involving non-local operators. It looks like no other methods are available at this time and it is a very challenging problem to find a purely analytical approach to proving such results.
Vignes, J.
1986-01-01
Any result of algorithms provided by a computer always contains an error resulting from floating-point arithmetic round-off error propagation. Furthermore signal processing algorithms are also generally performed with data containing errors. The permutation-perturbation method, also known under the name CESTAC (controle et estimation stochastique d'arrondi de calcul) is a very efficient practical method for evaluating these errors and consequently for estimating the exact significant decimal figures of any result of algorithms performed on a computer. The stochastic approach of this method, its probabilistic proof, and the perfect agreement between the theoretical and practical aspects are described in this paper [fr
Analysis methods of stochastic transient electro–magnetic processes in electric traction system
T. M. Mishchenko
2013-04-01
Full Text Available Purpose. The essence and basic characteristics of calculation methods of transient electromagnetic processes in the elements and devices of non–linear dynamic electric traction systems taking into account the stochastic changes of voltages and currents in traction networks of power supply subsystem and power circuits of electric rolling stock are developed. Methodology. Classical methods and the methods of non–linear electric engineering, as well as probability theory method, especially the methods of stationary ergodic and non–stationary stochastic processes application are used in the research. Findings. Using the above-mentioned methods an equivalent circuit and the system of nonlinear integra–differential equations for electromagnetic condition of the double–track inter-substation zone of alternating current electric traction system are drawn up. Calculations allow obtaining electric traction current distribution in the areas of feeder zones. Originality. First of all the paper is interesting and important from scientific point of view due to the methods, which allow taking into account probabilistic character of change for traction voltages and electric traction system currents. On the second hand the researches develop the most efficient methods of nonlinear circuits’ analysis. Practical value. The practical value of the research is presented in application of the methods to the analysis of electromagnetic and electric energy processes in the traction power supply system in the case of high-speed train traffic.
Strategic WIP Inventory Positioning for Make-to-Order Production with Stochastic Processing Times
Jingjing Jiang
2017-01-01
Full Text Available It is vital for make-to-order manufacturers to shorten the lead time to meet the customers’ requirements. Holding work-in-process (WIP inventory at more stations can reduce the lead time, but it also brings about higher inventory holding cost. Therefore, it is important to seek out the optimal set of stations to hold WIP inventory to minimize the total inventory holding cost, while meeting the required due date for the final product at the same time. Since the problem with deterministic processing times at the stations has been addressed, as a natural extension, in this study, we address the problem with stochastic processing times, which is more realistic in the manufacturing environment. Assuming that the processing times follow normal distributions, we propose a solution procedure using genetic algorithm.
Drawert, Brian; Engblom, Stefan; Hellander, Andreas
2012-06-22
Experiments in silico using stochastic reaction-diffusion models have emerged as an important tool in molecular systems biology. Designing computational software for such applications poses several challenges. Firstly, realistic lattice-based modeling for biological applications requires a consistent way of handling complex geometries, including curved inner- and outer boundaries. Secondly, spatiotemporal stochastic simulations are computationally expensive due to the fast time scales of individual reaction- and diffusion events when compared to the biological phenomena of actual interest. We therefore argue that simulation software needs to be both computationally efficient, employing sophisticated algorithms, yet in the same time flexible in order to meet present and future needs of increasingly complex biological modeling. We have developed URDME, a flexible software framework for general stochastic reaction-transport modeling and simulation. URDME uses Unstructured triangular and tetrahedral meshes to resolve general geometries, and relies on the Reaction-Diffusion Master Equation formalism to model the processes under study. An interface to a mature geometry and mesh handling external software (Comsol Multiphysics) provides for a stable and interactive environment for model construction. The core simulation routines are logically separated from the model building interface and written in a low-level language for computational efficiency. The connection to the geometry handling software is realized via a Matlab interface which facilitates script computing, data management, and post-processing. For practitioners, the software therefore behaves much as an interactive Matlab toolbox. At the same time, it is possible to modify and extend URDME with newly developed simulation routines. Since the overall design effectively hides the complexity of managing the geometry and meshes, this means that newly developed methods may be tested in a realistic setting already at
Cai, Chao-Ran; Wu, Zhi-Xi; Guan, Jian-Yue
2014-11-01
Recently, Gómez et al. proposed a microscopic Markov-chain approach (MMCA) [S. Gómez, J. Gómez-Gardeñes, Y. Moreno, and A. Arenas, Phys. Rev. E 84, 036105 (2011)PLEEE81539-375510.1103/PhysRevE.84.036105] to the discrete-time susceptible-infected-susceptible (SIS) epidemic process and found that the epidemic prevalence obtained by this approach agrees well with that by simulations. However, we found that the approach cannot be straightforwardly extended to a susceptible-infected-recovered (SIR) epidemic process (due to its irreversible property), and the epidemic prevalences obtained by MMCA and Monte Carlo simulations do not match well when the infection probability is just slightly above the epidemic threshold. In this contribution we extend the effective degree Markov-chain approach, proposed for analyzing continuous-time epidemic processes [J. Lindquist, J. Ma, P. Driessche, and F. Willeboordse, J. Math. Biol. 62, 143 (2011)JMBLAJ0303-681210.1007/s00285-010-0331-2], to address discrete-time binary-state (SIS) or three-state (SIR) epidemic processes on uncorrelated complex networks. It is shown that the final epidemic size as well as the time series of infected individuals obtained from this approach agree very well with those by Monte Carlo simulations. Our results are robust to the change of different parameters, including the total population size, the infection probability, the recovery probability, the average degree, and the degree distribution of the underlying networks.
Stochastic and Deterministic Models for the Metastatic Emission Process: Formalisms and Crosslinks.
Gomez, Christophe; Hartung, Niklas
2018-01-01
Although the detection of metastases radically changes prognosis of and treatment decisions for a cancer patient, clinically undetectable micrometastases hamper a consistent classification into localized or metastatic disease. This chapter discusses mathematical modeling efforts that could help to estimate the metastatic risk in such a situation. We focus on two approaches: (1) a stochastic framework describing metastatic emission events at random times, formalized via Poisson processes, and (2) a deterministic framework describing the micrometastatic state through a size-structured density function in a partial differential equation model. Three aspects are addressed in this chapter. First, a motivation for the Poisson process framework is presented and modeling hypotheses and mechanisms are introduced. Second, we extend the Poisson model to account for secondary metastatic emission. Third, we highlight an inherent crosslink between the stochastic and deterministic frameworks and discuss its implications. For increased accessibility the chapter is split into an informal presentation of the results using a minimum of mathematical formalism and a rigorous mathematical treatment for more theoretically interested readers.
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.
Huapu Lu
2017-01-01
Full Text Available This paper aims at introducing a new improved stochastic differential equation related to Gompertz curve for the projection of vehicle ownership growth. This diffusion model explains the relationship between vehicle ownership and GDP per capita, which has been studied as a Gompertz-like function before. The main innovations of the process lie in two parts: by modifying the deterministic part of the original Gompertz equation, the model can present the remaining slow increase when the S-shaped curve has reached its saturation level; by introducing the stochastic differential equation, the model can better fit the real data when there are fluctuations. Such comparisons are carried out based on data from US, UK, Japan, and Korea with a time span of 1960–2008. It turns out that the new process behaves better in fitting curves and predicting short term growth. Finally, a prediction of Chinese vehicle ownership up to 2025 is presented with the new model, as China is on the initial stage of motorization with much fluctuations in growth.
Lee, Kwang Ho; Roh, Myung Sub
2013-01-01
There are so many different factors to consider when constructing a nuclear power plant successfully from planning to decommissioning. According to PMBOK, all projects have nine domains from a holistic project management perspective. They are equally important to all projects, however, this study focuses mostly on the processes required to manage timely completion of the project and conduct risk management. The overall objective of this study is to let you know what the risk analysis derived from scheduling of NPP project is, and understand how to implement the stochastic process modeling through risk management. Building the Nuclear Power Plant is required a great deal of time and fundamental knowledge related to all engineering. That means that integrated project scheduling management with so many activities is necessary and very important. Simulation techniques for scheduling of NPP project using Open Plan program, Crystal Ball program, and Minitab program can be useful tools for designing optimal schedule planning. Thus far, Open Plan and Monte Carlo programs have been used to calculate the critical path for scheduling network analysis. And also, Minitab program has been applied to monitor the scheduling risk. This approach to stochastic modeling through risk analysis of project activities is very useful for optimizing the schedules of activities using Critical Path Method and managing the scheduling control of NPP project. This study has shown new approach to optimal scheduling of NPP project, however, this does not consider the characteristic of activities according to the NPP site conditions. Hence, this study needs more research considering those factors
Lee, Kwang Ho; Roh, Myung Sub [KEPCO International Nuclear Graduate School, Ulsan (Korea, Republic of)
2013-10-15
There are so many different factors to consider when constructing a nuclear power plant successfully from planning to decommissioning. According to PMBOK, all projects have nine domains from a holistic project management perspective. They are equally important to all projects, however, this study focuses mostly on the processes required to manage timely completion of the project and conduct risk management. The overall objective of this study is to let you know what the risk analysis derived from scheduling of NPP project is, and understand how to implement the stochastic process modeling through risk management. Building the Nuclear Power Plant is required a great deal of time and fundamental knowledge related to all engineering. That means that integrated project scheduling management with so many activities is necessary and very important. Simulation techniques for scheduling of NPP project using Open Plan program, Crystal Ball program, and Minitab program can be useful tools for designing optimal schedule planning. Thus far, Open Plan and Monte Carlo programs have been used to calculate the critical path for scheduling network analysis. And also, Minitab program has been applied to monitor the scheduling risk. This approach to stochastic modeling through risk analysis of project activities is very useful for optimizing the schedules of activities using Critical Path Method and managing the scheduling control of NPP project. This study has shown new approach to optimal scheduling of NPP project, however, this does not consider the characteristic of activities according to the NPP site conditions. Hence, this study needs more research considering those factors.
Nonparametric Inference of Doubly Stochastic Poisson Process Data via the Kernel Method.
Zhang, Tingting; Kou, S C
2010-01-01
Doubly stochastic Poisson processes, also known as the Cox processes, frequently occur in various scientific fields. In this article, motivated primarily by analyzing Cox process data in biophysics, we propose a nonparametric kernel-based inference method. We conduct a detailed study, including an asymptotic analysis, of the proposed method, and provide guidelines for its practical use, introducing a fast and stable regression method for bandwidth selection. We apply our method to real photon arrival data from recent single-molecule biophysical experiments, investigating proteins' conformational dynamics. Our result shows that conformational fluctuation is widely present in protein systems, and that the fluctuation covers a broad range of time scales, highlighting the dynamic and complex nature of proteins' structure.
Producing a functional eukaryotic messenger RNA (mRNA) requires the coordinated activity of several large protein complexes to initiate transcription, elongate nascent transcripts, splice together exons, and cleave and polyadenylate the 3’ end. Kinetic competition between these various processes has been proposed to regulate mRNA maturation, but this model could lead to multiple, randomly determined, or stochastic, pathways or outcomes. Regulatory checkpoints have been suggested as a means of ensuring quality control. However, current methods have been unable to tease apart the contributions of these processes at a single gene or on a time scale that could provide mechanistic insight. To begin to investigate the kinetic relationship between transcription and splicing, Daniel Larson, Ph.D., of CCR’s Laboratory of Receptor Biology and Gene Expression, and his colleagues employed a single-molecule RNA imaging approach to monitor production and processing of a human β-globin reporter gene in living cells.
Neu, Charles R; Davenport, Jon; Smith, William R
2007-01-01
This paper uses discrete-event simulation modeling, inventory-reduction, and process improvement concepts to identify and analyze possibilities for improving the training continuum at the Marine Corps...
Discrete event simulation tool for analysis of qualitative models of continuous processing systems
Malin, Jane T. (Inventor); Basham, Bryan D. (Inventor); Harris, Richard A. (Inventor)
1990-01-01
An artificial intelligence design and qualitative modeling tool is disclosed for creating computer models and simulating continuous activities, functions, and/or behavior using developed discrete event techniques. Conveniently, the tool is organized in four modules: library design module, model construction module, simulation module, and experimentation and analysis. The library design module supports the building of library knowledge including component classes and elements pertinent to a particular domain of continuous activities, functions, and behavior being modeled. The continuous behavior is defined discretely with respect to invocation statements, effect statements, and time delays. The functionality of the components is defined in terms of variable cluster instances, independent processes, and modes, further defined in terms of mode transition processes and mode dependent processes. Model construction utilizes the hierarchy of libraries and connects them with appropriate relations. The simulation executes a specialized initialization routine and executes events in a manner that includes selective inherency of characteristics through a time and event schema until the event queue in the simulator is emptied. The experimentation and analysis module supports analysis through the generation of appropriate log files and graphics developments and includes the ability of log file comparisons.
Monitoring and pollution control: A stochastic process approach to model oil spills
Viladrich-Grau, M.
1991-01-01
The first chapter analyzes the behavior of a firm in an environment with pollution externalities and technological progress. It is assumed that firms may not purposely violate the pollution control regulations but nonetheless, generate some pollution due to negligence. The model allows firms two possible actions: either increase the level of treated waste or pay an expected penalty if illegal pollution is detected. The results of the first chapter show that in a world with pollution externalities, technological progress does not guarantee increases in the welfare level. The second chapter models the occurrence of an oil spill as a stochastic event. The stochastic model developed allows one to see how each step of the spilling process is affected by each policy measure and to compare the relative efficiency of different measures in reducing spills. The third chapter estimates the parameters that govern oil spill frequency and size distribution. The author models how these parameters depend on two pollution prevention measures: monitoring of transfer operations and assessment of penalties. He shows that these measures reduce the frequency of oil spills
Sulis, William H
2017-10-01
Walter Freeman III pioneered the application of nonlinear dynamical systems theories and methodologies in his work on mesoscopic brain dynamics.Sadly, mainstream psychology and psychiatry still cling to linear correlation based data analysis techniques, which threaten to subvert the process of experimentation and theory building. In order to progress, it is necessary to develop tools capable of managing the stochastic complexity of complex biopsychosocial systems, which includes multilevel feedback relationships, nonlinear interactions, chaotic dynamics and adaptability. In addition, however, these systems exhibit intrinsic randomness, non-Gaussian probability distributions, non-stationarity, contextuality, and non-Kolmogorov probabilities, as well as the absence of mean and/or variance and conditional probabilities. These properties and their implications for statistical analysis are discussed. An alternative approach, the Process Algebra approach, is described. It is a generative model, capable of generating non-Kolmogorov probabilities. It has proven useful in addressing fundamental problems in quantum mechanics and in the modeling of developing psychosocial systems.
Schiøler, Henrik; Leth, John-Josef
2011-01-01
Results are given in [Yang et. al. 2009] regarding the overall stability of switched diffusion processes based on stability properties of separate processes combined through stochastic switching. This paper argues two main results to be empty, in that the presented hypotheses are logically...
1987-08-21
examples of so-called self-similar processes. 522 -°- °.. 0 * - -= uu~.~w- - v , LOCAL BEHAVIOUR OF SIMPLE STOCHASTIC MODELS by Rudolf Grfibel...theorem en- tails results on the growth of matchings, Steiner trees, traveling-salesman processes as well as triangulations in large areas. These
Li Hong; Lu Ji Dong; Zheng Chu Guan
2003-01-01
In most of the discrete ordinate schemes (DOS) reported in the literature, the discrete directions are fixed, and unable to be arbitrarily adjusted; therefore, it is difficult to employ these schemes to calculate the radiative energy image-formation of pulverized-coal furnaces. On the basis of a new DOS, named the discrete ordinate scheme with (an) infinitely small weight(s), which was recently proposed by the authors, a novel algorithm for computing the pinhole image-formation process is developed in this work. The performance of this algorithm is tested, and is found to be also suitable for parallel computation.
Li Hongshun; Zhou Huaichun; Lu Jidong; Zheng Chuguang
2003-01-01
In most of the discrete ordinate schemes (DOS) reported in the literature, the discrete directions are fixed, and unable to be arbitrarily adjusted; therefore, it is difficult to employ these schemes to calculate the radiative energy image-formation of pulverized-coal furnaces. On the basis of a new DOS, named the discrete ordinate scheme with (an) infinitely small weight(s), which was recently proposed by the authors, a novel algorithm for computing the pinhole image-formation process is developed in this work. The performance of this algorithm is tested, and is found to be also suitable for parallel computation
Li, Nan; Wang, Junzheng
2016-03-01
A highly efficient Synchronous Dynamic Random Access Memory (SDRAM) controller supporting variable-length burst access and batch process for discrete reads is proposed in this paper. Based on the Principle of Locality, command First In First Out (FIFO) and address range detector are designed within this controller to accelerate its responses to discrete read requests, which dramatically improves the average Effective Bus Utilization Ratio (EBUR) of SDRAM. Our controller is finally verified by driving the Micron 256-Mb SDRAM MT48LC16M16A2. Successful simulation and verification results show that our controller exhibits much higher EBUR than do most existing designs in case of discrete reads.
CSL model checking of deterministic and stochastic Petri nets
Martinez Verdugo, J.M.; Haverkort, Boudewijn R.H.M.; German, R.; Heindl, A.
2006-01-01
Deterministic and Stochastic Petri Nets (DSPNs) are a widely used high-level formalism for modeling discrete-event systems where events may occur either without consuming time, after a deterministic time, or after an exponentially distributed time. The underlying process dened by DSPNs, under
2005-01-01
Some specific stochastic, jumping processes have been studied. They are defined in terms of the jump size distribution and the waiting time distribution which are mutually dependent. For the simplest case (the kangaroo process), the corresponding master equation has been completely solved and simple asymptotic expressions for the time-dependent probability distributions have been derived. A generalized version of that process, which takes into account the memory effects, has been proposed and a connection to transport processes, namely to the Boltzmann kinetic theory and diffusion, has been demonstrated. The same process, but defined on the circle instead of the axis, can possess the power law autocorrelation function; a simple formula for this function has been derived. Therefore, the process can serve as a useful model for the colored noises, in particular for the 1/f noise. It has been applied as a model of the driving force in the generalized Langevin equation, an impossible task with the standard kangaroo process. The equation has been solved by means of the Monte Carlo simulations. The resulting velocity and energy distributions exhibit extremely long memory about the initial conditions, despite an apparent fast equilibration of their comprehensive shape. The tails of both distributions fall faster than in the Maxwellian case
Discrete-Event Execution Alternatives on General Purpose Graphical Processing Units
Perumalla, Kalyan S.
2006-01-01
Graphics cards, traditionally designed as accelerators for computer graphics, have evolved to support more general-purpose computation. General Purpose Graphical Processing Units (GPGPUs) are now being used as highly efficient, cost-effective platforms for executing certain simulation applications. While most of these applications belong to the category of time-stepped simulations, little is known about the applicability of GPGPUs to discrete event simulation (DES). Here, we identify some of the issues and challenges that the GPGPU stream-based interface raises for DES, and present some possible approaches to moving DES to GPGPUs. Initial performance results on simulation of a diffusion process show that DES-style execution on GPGPU runs faster than DES on CPU and also significantly faster than time-stepped simulations on either CPU or GPGPU.
Vasile Dr ̆agan
2017-06-01
Full Text Available We investigate the problem for solving a discrete-time periodic gen- eralized Riccati equation with an indefinite sign of the quadratic term. A necessary condition for the existence of bounded and stabilizing solution of the discrete-time Riccati equation with an indefinite quadratic term is derived. The stabilizing solution is positive semidefinite and satisfies the introduced sign conditions. The proposed condition is illustrated via a numerical example.
Chang, Mou-Hsiung
2015-01-01
The classical probability theory initiated by Kolmogorov and its quantum counterpart, pioneered by von Neumann, were created at about the same time in the 1930s, but development of the quantum theory has trailed far behind. Although highly appealing, the quantum theory has a steep learning curve, requiring tools from both probability and analysis and a facility for combining the two viewpoints. This book is a systematic, self-contained account of the core of quantum probability and quantum stochastic processes for graduate students and researchers. The only assumed background is knowledge of the basic theory of Hilbert spaces, bounded linear operators, and classical Markov processes. From there, the book introduces additional tools from analysis, and then builds the quantum probability framework needed to support applications to quantum control and quantum information and communication. These include quantum noise, quantum stochastic calculus, stochastic quantum differential equations, quantum Markov semigrou...
Stochastic dynamical model of a growing citation network based on a self-exciting point process.
Golosovsky, Michael; Solomon, Sorin
2012-08-31
We put under experimental scrutiny the preferential attachment model that is commonly accepted as a generating mechanism of the scale-free complex networks. To this end we chose a citation network of physics papers and traced the citation history of 40,195 papers published in one year. Contrary to common belief, we find that the citation dynamics of the individual papers follows the superlinear preferential attachment, with the exponent α=1.25-1.3. Moreover, we show that the citation process cannot be described as a memoryless Markov chain since there is a substantial correlation between the present and recent citation rates of a paper. Based on our findings we construct a stochastic growth model of the citation network, perform numerical simulations based on this model and achieve an excellent agreement with the measured citation distributions.
Tucker, C. J.; Garratt, M. W.
1977-01-01
A stochastic leaf radiation model based upon physical and physiological properties of dicot leaves has been developed. The model accurately predicts the absorbed, reflected, and transmitted radiation of normal incidence as a function of wavelength resulting from the leaf-irradiance interaction over the spectral interval of 0.40-2.50 micron. The leaf optical system has been represented as Markov process with a unique transition matrix at each 0.01-micron increment between 0.40 micron and 2.50 micron. Probabilities are calculated at every wavelength interval from leaf thickness, structure, pigment composition, and water content. Simulation results indicate that this approach gives accurate estimations of actual measured values for dicot leaf absorption, reflection, and transmission as a function of wavelength.
Stochastic Interest Model Based on Compound Poisson Process and Applications in Actuarial Science
Shilong Li
2017-01-01
Full Text Available Considering stochastic behavior of interest rates in financial market, we construct a new class of interest models based on compound Poisson process. Different from the references, this paper describes the randomness of interest rates by modeling the force of interest with Poisson random jumps directly. To solve the problem in calculation of accumulated interest force function, one important integral technique is employed. And a conception called the critical value is introduced to investigate the validity condition of this new model. We also discuss actuarial present values of several life annuities under this new interest model. Simulations are done to illustrate the theoretical results and the effect of parameters in interest model on actuarial present values is also analyzed.
Finlay, Chris; Olsen, Nils; Gillet, Nicolas
We present a new ensemble of time-dependent magnetic field models constructed from satellite and observatory data spanning 1997-2013 that are compatible with prior information concerning the temporal spectrum of core field variations. These models allow sharper field changes compared to tradition...... physical hypotheses can be tested by asking questions of the entire ensemble of core field models, rather than by interpreting any single model.......We present a new ensemble of time-dependent magnetic field models constructed from satellite and observatory data spanning 1997-2013 that are compatible with prior information concerning the temporal spectrum of core field variations. These models allow sharper field changes compared to traditional...... regularization methods based on minimizing the square of second or third time derivative. We invert satellite and observatory data directly by adopting the external field and crustal field modelling framework of the CHAOS model, but apply the stochastic process method of Gillet et al. (2013) to the core field...
Stochastic modeling of stock price process induced from the conjugate heat equation
Paeng, Seong-Hun
2015-02-01
Currency can be considered as a ruler for values of commodities. Then the price is the measured value by the ruler. We can suppose that inflation and variation of exchange rate are caused by variation of the scale of the ruler. In geometry, variation of the scale means that the metric is time-dependent. The conjugate heat equation is the modified heat equation which satisfies the heat conservation law for the time-dependent metric space. We propose a new model of stock prices by using the stochastic process whose transition probability is determined by the kernel of the conjugate heat equation. Our model of stock prices shows how the volatility term is affected by inflation and exchange rate. This model modifies the Black-Scholes equation in light of inflation and exchange rate.
Vieira, Fabio P.B.; Bevilacqua, Joyce S.
2014-01-01
The use of electron paramagnetic resonance spectrometers - EPR - in radiation dosimetry is known for more than four decades. It is an important tool in the retrospective determination of doses absorbed. To estimate the dose absorbed by the sample, it is necessary to know the amplitude of the peak to peak signature of the substance in its EPR spectrum. This information can be compromised by the presence of spurious information: noise - of random and low intensity nature; and the behavior of the baseline - coming from the coupling between the resonator tube and the sample analyzed. Due to the intrinsic characteristics of the three main components of the signal, i.e. signature, noise, and baseline - the analysis in the frequency domain allows, through post-processing techniques to filter spurious information. In this work, an algorithm that retrieves the signature of a substance has been implemented. The Discrete Fourier Transform is applied to the signal and without user intervention, the noise is filtered. From the filtered signal, recovers the signature by Inverse Discrete Fourier Transform. The peak to peak amplitude, and the absorbed dose is calculated with an error of less than 1% for signals wherein the base line is linearized. Some more general cases are under investigation and with little user intervention, you can get the same error
Risk-based design of process systems using discrete-time Bayesian networks
Khakzad, Nima; Khan, Faisal; Amyotte, Paul
2013-01-01
Temporal Bayesian networks have gained popularity as a robust technique to model dynamic systems in which the components' sequential dependency, as well as their functional dependency, cannot be ignored. In this regard, discrete-time Bayesian networks have been proposed as a viable alternative to solve dynamic fault trees without resort to Markov chains. This approach overcomes the drawbacks of Markov chains such as the state-space explosion and the error-prone conversion procedure from dynamic fault tree. It also benefits from the inherent advantages of Bayesian networks such as probability updating. However, effective mapping of the dynamic gates of dynamic fault trees into Bayesian networks while avoiding the consequent huge multi-dimensional probability tables has always been a matter of concern. In this paper, a new general formalism has been developed to model two important elements of dynamic fault tree, i.e., cold spare gate and sequential enforcing gate, with any arbitrary probability distribution functions. Also, an innovative Neutral Dependency algorithm has been introduced to model dynamic gates such as priority-AND gate, thus reducing the dimension of conditional probability tables by an order of magnitude. The second part of the paper is devoted to the application of discrete-time Bayesian networks in the risk assessment and safety analysis of complex process systems. It has been shown how dynamic techniques can effectively be applied for optimal allocation of safety systems to obtain maximum risk reduction.
Araujo, Leonardo Rodrigues de [Instituto Federal do Espirito Santo, Vitoria, ES (Brazil)], E-mail: leoaraujo@ifes.edu.br; Donatelli, Joao Luiz Marcon [Universidade Federal do Espirito Santo (UFES), Vitoria, ES (Brazil)], E-mail: joaoluiz@npd.ufes.br; Silva, Edmar Alino da Cruz [Instituto Tecnologico de Aeronautica (ITA/CTA), Sao Jose dos Campos, SP (Brazil); Azevedo, Joao Luiz F. [Instituto de Aeronautica e Espaco (CTA/IAE/ALA), Sao Jose dos Campos, SP (Brazil)
2010-07-01
Thermal systems are essential in facilities such as thermoelectric plants, cogeneration plants, refrigeration systems and air conditioning, among others, in which much of the energy consumed by humanity is processed. In a world with finite natural sources of fuels and growing energy demand, issues related with thermal system design, such as cost estimative, design complexity, environmental protection and optimization are becoming increasingly important. Therefore the need to understand the mechanisms that degrade energy, improve energy sources use, reduce environmental impacts and also reduce project, operation and maintenance costs. In recent years, a consistent development of procedures and techniques for computational design of thermal systems has occurred. In this context, the fundamental objective of this study is a performance comparative analysis of structural and parametric optimization of a cogeneration system using stochastic methods: genetic algorithm and simulated annealing. This research work uses a superstructure, modelled in a process simulator, IPSEpro of SimTech, in which the appropriate design case studied options are included. Accordingly, the cogeneration system optimal configuration is determined as a consequence of the optimization process, restricted within the configuration options included in the superstructure. The optimization routines are written in MsExcel Visual Basic, in order to work perfectly coupled to the simulator process. At the end of the optimization process, the system optimal configuration, given the characteristics of each specific problem, should be defined. (author)
The use of discrete-event simulation modelling to improve radiation therapy planning processes.
Werker, Greg; Sauré, Antoine; French, John; Shechter, Steven
2009-07-01
The planning portion of the radiation therapy treatment process at the British Columbia Cancer Agency is efficient but nevertheless contains room for improvement. The purpose of this study is to show how a discrete-event simulation (DES) model can be used to represent this complex process and to suggest improvements that may reduce the planning time and ultimately reduce overall waiting times. A simulation model of the radiation therapy (RT) planning process was constructed using the Arena simulation software, representing the complexities of the system. Several types of inputs feed into the model; these inputs come from historical data, a staff survey, and interviews with planners. The simulation model was validated against historical data and then used to test various scenarios to identify and quantify potential improvements to the RT planning process. Simulation modelling is an attractive tool for describing complex systems, and can be used to identify improvements to the processes involved. It is possible to use this technique in the area of radiation therapy planning with the intent of reducing process times and subsequent delays for patient treatment. In this particular system, reducing the variability and length of oncologist-related delays contributes most to improving the planning time.
Stochastic modeling analysis and simulation
Nelson, Barry L
1995-01-01
A coherent introduction to the techniques for modeling dynamic stochastic systems, this volume also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Suitable for advanced undergraduates and graduate-level industrial engineers and management science majors, it proposes modeling systems in terms of their simulation, regardless of whether simulation is employed for analysis. Beginning with a view of the conditions that permit a mathematical-numerical analysis, the text explores Poisson and renewal processes, Markov chains in discrete and continuous time, se
Van Kessel, L.B.M.
2003-06-11
with the on-line calorific value sensor from chapter 2 and a validated dynamic model of the process is available, the theory from stochastic processes can be applied to MSWC. This new application field of stochastics is discussed in chapter 4. The results obtained in chapter 2 will be used in this analysis. Also new linear transfer functions for thermal processes will be given and applied to MSWC. Finally, applications of the new developed tools will be discussed. As already mentioned, the validation experiments lead to the conclusion that the dynamics of the combustion process can change when the primary air temperature changes. This was a new result, which has never been reported in literature before. For that reason during the research it was decided to start an extensive study into the influence of the primary air temperature on the combustion process. This has been performed by using laboratory experiments. In chapter 5 the results from this search will be presented. The existing theory for combustion of solid fuels is extended with a qualitative as well as a quantitative description of the influence of primary preheating. The new theory is used to explain observations from real plants and the results from system identification. Furthermore, the value of laboratory experiments to simulate the real combustion process on a grate is discussed.
Papalexiou, Simon Michael
2018-05-01
Hydroclimatic processes come in all "shapes and sizes". They are characterized by different spatiotemporal correlation structures and probability distributions that can be continuous, mixed-type, discrete or even binary. Simulating such processes by reproducing precisely their marginal distribution and linear correlation structure, including features like intermittency, can greatly improve hydrological analysis and design. Traditionally, modelling schemes are case specific and typically attempt to preserve few statistical moments providing inadequate and potentially risky distribution approximations. Here, a single framework is proposed that unifies, extends, and improves a general-purpose modelling strategy, based on the assumption that any process can emerge by transforming a specific "parent" Gaussian process. A novel mathematical representation of this scheme, introducing parametric correlation transformation functions, enables straightforward estimation of the parent-Gaussian process yielding the target process after the marginal back transformation, while it provides a general description that supersedes previous specific parameterizations, offering a simple, fast and efficient simulation procedure for every stationary process at any spatiotemporal scale. This framework, also applicable for cyclostationary and multivariate modelling, is augmented with flexible parametric correlation structures that parsimoniously describe observed correlations. Real-world simulations of various hydroclimatic processes with different correlation structures and marginals, such as precipitation, river discharge, wind speed, humidity, extreme events per year, etc., as well as a multivariate example, highlight the flexibility, advantages, and complete generality of the method.
Flow Dynamics of green sand in the DISAMATIC moulding process using Discrete element method (DEM)
Hovad, E; Walther, J H; Thorborg, J; Hattel, J H; Larsen, P
2015-01-01
The DISAMATIC casting process production of sand moulds is simulated with DEM (discrete element method). The main purpose is to simulate the dynamics of the flow of green sand, during the production of the sand mould with DEM. The sand shot is simulated, which is the first stage of the DISAMATIC casting process. Depending on the actual casting geometry the mould can be geometrically quite complex involving e.g. shadowing effects and this is directly reflected in the sand flow during the moulding process. In the present work a mould chamber with “ribs” at the walls is chosen as a baseline geometry to emulate some of these important conditions found in the real moulding process. The sand flow is simulated with the DEM and compared with corresponding video footages from the interior of the chamber during the moulding process. The effect of the rolling resistance and the static friction coefficient is analysed and discussed in relation to the experimental findings. (paper)
Lopopolo, Alessandro; Frank, Stefan L; van den Bosch, Antal; Willems, Roel M
2017-01-01
Language comprehension involves the simultaneous processing of information at the phonological, syntactic, and lexical level. We track these three distinct streams of information in the brain by using stochastic measures derived from computational language models to detect neural correlates of phoneme, part-of-speech, and word processing in an fMRI experiment. Probabilistic language models have proven to be useful tools for studying how language is processed as a sequence of symbols unfolding in time. Conditional probabilities between sequences of words are at the basis of probabilistic measures such as surprisal and perplexity which have been successfully used as predictors of several behavioural and neural correlates of sentence processing. Here we computed perplexity from sequences of words and their parts of speech, and their phonemic transcriptions. Brain activity time-locked to each word is regressed on the three model-derived measures. We observe that the brain keeps track of the statistical structure of lexical, syntactic and phonological information in distinct areas.
Modeling Aggregation Processes of Lennard-Jones particles Via Stochastic Networks
Forman, Yakir; Cameron, Maria
2017-07-01
We model an isothermal aggregation process of particles/atoms interacting according to the Lennard-Jones pair potential by mapping the energy landscapes of each cluster size N onto stochastic networks, computing transition probabilities from the network for an N-particle cluster to the one for N+1, and connecting these networks into a single joint network. The attachment rate is a control parameter. The resulting network representing the aggregation of up to 14 particles contains 6427 vertices. It is not only time-irreversible but also reducible. To analyze its transient dynamics, we introduce the sequence of the expected initial and pre-attachment distributions and compute them for a wide range of attachment rates and three values of temperature. As a result, we find the configurations most likely to be observed in the process of aggregation for each cluster size. We examine the attachment process and conduct a structural analysis of the sets of local energy minima for every cluster size. We show that both processes taking place in the network, attachment and relaxation, lead to the dominance of icosahedral packing in small (up to 14 atom) clusters.
Modelling and performance analysis of clinical pathways using the stochastic process algebra PEPA.
Yang, Xian; Han, Rui; Guo, Yike; Bradley, Jeremy; Cox, Benita; Dickinson, Robert; Kitney, Richard
2012-01-01
Hospitals nowadays have to serve numerous patients with limited medical staff and equipment while maintaining healthcare quality. Clinical pathway informatics is regarded as an efficient way to solve a series of hospital challenges. To date, conventional research lacks a mathematical model to describe clinical pathways. Existing vague descriptions cannot fully capture the complexities accurately in clinical pathways and hinders the effective management and further optimization of clinical pathways. Given this motivation, this paper presents a clinical pathway management platform, the Imperial Clinical Pathway Analyzer (ICPA). By extending the stochastic model performance evaluation process algebra (PEPA), ICPA introduces a clinical-pathway-specific model: clinical pathway PEPA (CPP). ICPA can simulate stochastic behaviours of a clinical pathway by extracting information from public clinical databases and other related documents using CPP. Thus, the performance of this clinical pathway, including its throughput, resource utilisation and passage time can be quantitatively analysed. A typical clinical pathway on stroke extracted from a UK hospital is used to illustrate the effectiveness of ICPA. Three application scenarios are tested using ICPA: 1) redundant resources are identified and removed, thus the number of patients being served is maintained with less cost; 2) the patient passage time is estimated, providing the likelihood that patients can leave hospital within a specific period; 3) the maximum number of input patients are found, helping hospitals to decide whether they can serve more patients with the existing resource allocation. ICPA is an effective platform for clinical pathway management: 1) ICPA can describe a variety of components (state, activity, resource and constraints) in a clinical pathway, thus facilitating the proper understanding of complexities involved in it; 2) ICPA supports the performance analysis of clinical pathway, thereby assisting
StochPy: A Comprehensive, User-Friendly Tool for Simulating Stochastic Biological Processes
T.R. Maarleveld (Timo); B.G. Olivier (Brett); F.J. Bruggeman (Frank)
2013-01-01
htmlabstractSingle-cell and single-molecule measurements indicate the importance of stochastic phenomena in cell biology. Stochasticity creates spontaneous differences in the copy numbers of key macromolecules and the timing of reaction events between genetically-identical cells. Mathematical models
Yu, Qian; Fang, Debin; Zhang, Xiaoling; Jin, Chen; Ren, Qiyu
2016-06-27
Stochasticity plays an important role in the evolutionary dynamic of cyclic dominance within a finite population. To investigate the stochastic evolution process of the behaviour of bounded rational individuals, we model the Rock-Scissors-Paper (RSP) game as a finite, state dependent Quasi Birth and Death (QBD) process. We assume that bounded rational players can adjust their strategies by imitating the successful strategy according to the payoffs of the last round of the game, and then analyse the limiting distribution of the QBD process for the game stochastic evolutionary dynamic. The numerical experiments results are exhibited as pseudo colour ternary heat maps. Comparisons of these diagrams shows that the convergence property of long run equilibrium of the RSP game in populations depends on population size and the parameter of the payoff matrix and noise factor. The long run equilibrium is asymptotically stable, neutrally stable and unstable respectively according to the normalised parameters in the payoff matrix. Moreover, the results show that the distribution probability becomes more concentrated with a larger population size. This indicates that increasing the population size also increases the convergence speed of the stochastic evolution process while simultaneously reducing the influence of the noise factor.
1987-08-01
ESTIMATION FOR STOCHASTIC PROCESSES by C. C. Heyde Australian National University Canberra, Australia ABSTRACT Optimality is a widely and loosely used...Case 240 S. Australia 1211 Geneva 24 Switzerland Christopher C. Heyde Dept. of Statistics, IAS Patricia Jacobs . Australian National University...Universitat Regensburg USA Postfach D-8400 Regensburg Anatole Joffe W. Germany Dept. of Mathematics & Statatistics Frank Kelly Universite de Montreal
Dynamic optimization deterministic and stochastic models
Hinderer, Karl; Stieglitz, Michael
2016-01-01
This book explores discrete-time dynamic optimization and provides a detailed introduction to both deterministic and stochastic models. Covering problems with finite and infinite horizon, as well as Markov renewal programs, Bayesian control models and partially observable processes, the book focuses on the precise modelling of applications in a variety of areas, including operations research, computer science, mathematics, statistics, engineering, economics and finance. Dynamic Optimization is a carefully presented textbook which starts with discrete-time deterministic dynamic optimization problems, providing readers with the tools for sequential decision-making, before proceeding to the more complicated stochastic models. The authors present complete and simple proofs and illustrate the main results with numerous examples and exercises (without solutions). With relevant material covered in four appendices, this book is completely self-contained.
A customizable stochastic state point process filter (SSPPF) for neural spiking activity.
Xin, Yao; Li, Will X Y; Min, Biao; Han, Yan; Cheung, Ray C C
2013-01-01
Stochastic State Point Process Filter (SSPPF) is effective for adaptive signal processing. In particular, it has been successfully applied to neural signal coding/decoding in recent years. Recent work has proven its efficiency in non-parametric coefficients tracking in modeling of mammal nervous system. However, existing SSPPF has only been realized in commercial software platforms which limit their computational capability. In this paper, the first hardware architecture of SSPPF has been designed and successfully implemented on field-programmable gate array (FPGA), proving a more efficient means for coefficient tracking in a well-established generalized Laguerre-Volterra model for mammalian hippocampal spiking activity research. By exploring the intrinsic parallelism of the FPGA, the proposed architecture is able to process matrices or vectors with random size, and is efficiently scalable. Experimental result shows its superior performance comparing to the software implementation, while maintaining the numerical precision. This architecture can also be potentially utilized in the future hippocampal cognitive neural prosthesis design.
Process Modeling for Energy Usage in “Smart House” System with a Help of Markov Discrete Chain
Victor Kravets
2016-05-01
Full Text Available Method for evaluating economic efficiency of technical systems using discrete Markov chains modelling illustrated by the system of “Smart house”, consisting, for example, of the three independently functioning elements. Dynamic model of a random power consumption process in the form of a symmetrical state graph of heterogeneous discrete Markov chain is built. The corresponding mathematical model of a random Markov process of power consumption in the “smart house” system in recurrent matrix form is being developed. Technique of statistical determination of probability of random transition elements of the system and the corresponding to the transition probability matrix of the discrete inhomogeneous Markov chain are developed. Statistically determined random transitions of system elements power consumption and the corresponding distribution laws are introduced. The matrix of transition prices, expectations for the possible states of a system price transition and, eventually, the cost of Markov process of power consumption throughout the day.
Stochastic approach to equilibrium and nonequilibrium thermodynamics.
Tomé, Tânia; de Oliveira, Mário J
2015-04-01
We develop the stochastic approach to thermodynamics based on stochastic dynamics, which can be discrete (master equation) and continuous (Fokker-Planck equation), and on two assumptions concerning entropy. The first is the definition of entropy itself and the second the definition of entropy production rate, which is non-negative and vanishes in thermodynamic equilibrium. Based on these assumptions, we study interacting systems with many degrees of freedom in equilibrium or out of thermodynamic equilibrium and how the macroscopic laws are derived from the stochastic dynamics. These studies include the quasiequilibrium processes; the convexity of the equilibrium surface; the monotonic time behavior of thermodynamic potentials, including entropy; the bilinear form of the entropy production rate; the Onsager coefficients and reciprocal relations; and the nonequilibrium steady states of chemical reactions.
Boles, D B
1989-01-01
Three attributes of words are their imageability, concreteness, and familiarity. From a literature review and several experiments, I previously concluded (Boles, 1983a) that only familiarity affects the overall near-threshold recognition of words, and that none of the attributes affects right-visual-field superiority for word recognition. Here these conclusions are modified by two experiments demonstrating a critical mediating influence of intentional versus incidental memory instructions. In Experiment 1, subjects were instructed to remember the words they were shown, for subsequent recall. The results showed effects of both imageability and familiarity on overall recognition, as well as an effect of imageability on lateralization. In Experiment 2, word-memory instructions were deleted and the results essentially reinstated the findings of Boles (1983a). It is concluded that right-hemisphere imagery processes can participate in word recognition under intentional memory instructions. Within the dual coding theory (Paivio, 1971), the results argue that both discrete and continuous processing modes are available, that the modes can be used strategically, and that continuous processing can occur prior to response stages.
Maglev Train Signal Processing Architecture Based on Nonlinear Discrete Tracking Differentiator
Zhiqiang Wang
2018-05-01
Full Text Available In a maglev train levitation system, signal processing plays an important role for the reason that some sensor signals are prone to be corrupted by noise due to the harsh installation and operation environment of sensors and some signals cannot be acquired directly via sensors. Based on these concerns, an architecture based on a new type of nonlinear second-order discrete tracking differentiator is proposed. The function of this signal processing architecture includes filtering signal noise and acquiring needed signals for levitation purposes. The proposed tracking differentiator possesses the advantages of quick convergence, no fluttering, and simple calculation. Tracking differentiator’s frequency characteristics at different parameter values are studied in this paper. The performance of this new type of tracking differentiator is tested in a MATLAB simulation and this tracking-differentiator is implemented in Very-High-Speed Integrated Circuit Hardware Description Language (VHDL. In the end, experiments are conducted separately on a test board and a maglev train model. Simulation and experiment results show that the performance of this novel signal processing architecture can fulfill the real system requirement.
Maglev Train Signal Processing Architecture Based on Nonlinear Discrete Tracking Differentiator.
Wang, Zhiqiang; Li, Xiaolong; Xie, Yunde; Long, Zhiqiang
2018-05-24
In a maglev train levitation system, signal processing plays an important role for the reason that some sensor signals are prone to be corrupted by noise due to the harsh installation and operation environment of sensors and some signals cannot be acquired directly via sensors. Based on these concerns, an architecture based on a new type of nonlinear second-order discrete tracking differentiator is proposed. The function of this signal processing architecture includes filtering signal noise and acquiring needed signals for levitation purposes. The proposed tracking differentiator possesses the advantages of quick convergence, no fluttering, and simple calculation. Tracking differentiator's frequency characteristics at different parameter values are studied in this paper. The performance of this new type of tracking differentiator is tested in a MATLAB simulation and this tracking-differentiator is implemented in Very-High-Speed Integrated Circuit Hardware Description Language (VHDL). In the end, experiments are conducted separately on a test board and a maglev train model. Simulation and experiment results show that the performance of this novel signal processing architecture can fulfill the real system requirement.
Varma, Sashank; Karl, Stacy R
2013-05-01
Much of the research on mathematical cognition has focused on the numbers 1, 2, 3, 4, 5, 6, 7, 8, and 9, with considerably less attention paid to more abstract number classes. The current research investigated how people understand decimal proportions--rational numbers between 0 and 1 expressed in the place-value symbol system. The results demonstrate that proportions are represented as discrete structures and processed in parallel. There was a semantic interference effect: When understanding a proportion expression (e.g., "0.29"), both the correct proportion referent (e.g., 0.29) and the incorrect natural number referent (e.g., 29) corresponding to the visually similar natural number expression (e.g., "29") are accessed in parallel, and when these referents lead to conflicting judgments, performance slows. There was also a syntactic interference effect, generalizing the unit-decade compatibility effect for natural numbers: When comparing two proportions, their tenths and hundredths components are processed in parallel, and when the different components lead to conflicting judgments, performance slows. The results also reveal that zero decimals--proportions ending in zero--serve multiple cognitive functions, including eliminating semantic interference and speeding processing. The current research also extends the distance, semantic congruence, and SNARC effects from natural numbers to decimal proportions. These findings inform how people understand the place-value symbol system, and the mental implementation of mathematical symbol systems more generally. Copyright © 2013 Elsevier Inc. All rights reserved.
Koester, Martin; García, R Edwin; Thommes, Markus
2014-12-30
Spheronization is an important pharmaceutical manufacturing technique to produce spherical agglomerates of 0.5-2mm diameter. These pellets have a narrow size distribution and a spherical shape. During the spheronization process, the extruded cylindrical strands break in short cylinders and evolve from a cylindrical to a spherical state by deformation and attrition/agglomeration mechanisms. Using the discrete element method, an integrated modeling-experimental framework is presented, that captures the particle motion during the spheronization process. Simulations were directly compared and validated against particle image velocimetry (PIV) experiments with monodisperse spherical and dry γ-Al2O3 particles. demonstrate a characteristic torus like flow pattern, with particle velocities about three times slower than the rotation speed of the friction plate. Five characteristic zones controlling the spheronization process are identified: Zone I, where particles undergo shear forces that favors attrition and contributes material to the agglomeration process; Zone II, where the static wall contributes to the mass exchange between particles; Zone III, where gravitational forces combined with particle motion induce particles to collide with the moving plate and re-enter Zone I; Zone IV, where a subpopulation of particles are ejected into the air when in contact with the friction plate structure; and Zone V where the low poloidal velocity favors a stagnant particle population and is entirely controlled by the batch size. These new insights in to the particle motion are leading to deeper process understanding, e.g., the effect of load and rotation speed to the pellet formation kinetics. This could be beneficial for the optimization of a manufacturing process as well as for the development of new formulations. Copyright © 2014 Elsevier B.V. All rights reserved.
Deterministic flows of order-parameters in stochastic processes of quantum Monte Carlo method
Inoue, Jun-ichi
2010-01-01
In terms of the stochastic process of quantum-mechanical version of Markov chain Monte Carlo method (the MCMC), we analytically derive macroscopically deterministic flow equations of order parameters such as spontaneous magnetization in infinite-range (d(= ∞)-dimensional) quantum spin systems. By means of the Trotter decomposition, we consider the transition probability of Glauber-type dynamics of microscopic states for the corresponding (d + 1)-dimensional classical system. Under the static approximation, differential equations with respect to macroscopic order parameters are explicitly obtained from the master equation that describes the microscopic-law. In the steady state, we show that the equations are identical to the saddle point equations for the equilibrium state of the same system. The equation for the dynamical Ising model is recovered in the classical limit. We also check the validity of the static approximation by making use of computer simulations for finite size systems and discuss several possible extensions of our approach to disordered spin systems for statistical-mechanical informatics. Especially, we shall use our procedure to evaluate the decoding process of Bayesian image restoration. With the assistance of the concept of dynamical replica theory (the DRT), we derive the zero-temperature flow equation of image restoration measure showing some 'non-monotonic' behaviour in its time evolution.
Stochastic production phase design for an open pit mining complex with multiple processing streams
Asad, Mohammad Waqar Ali; Dimitrakopoulos, Roussos; van Eldert, Jeroen
2014-08-01
In a mining complex, the mine is a source of supply of valuable material (ore) to a number of processes that convert the raw ore to a saleable product or a metal concentrate for production of the refined metal. In this context, expected variation in metal content throughout the extent of the orebody defines the inherent uncertainty in the supply of ore, which impacts the subsequent ore and metal production targets. Traditional optimization methods for designing production phases and ultimate pit limit of an open pit mine not only ignore the uncertainty in metal content, but, in addition, commonly assume that the mine delivers ore to a single processing facility. A stochastic network flow approach is proposed that jointly integrates uncertainty in supply of ore and multiple ore destinations into the development of production phase design and ultimate pit limit. An application at a copper mine demonstrates the intricacies of the new approach. The case study shows a 14% higher discounted cash flow when compared to the traditional approach.
Scott Ferrenberg
2016-10-01
Full Text Available 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
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
Blank, D. G.; Morgan, J.
2017-12-01
Large earthquakes that occur on convergent plate margin interfaces have the potential to cause widespread damage and loss of life. Recent observations reveal that a wide range of different slip behaviors take place along these megathrust faults, which demonstrate both their complexity, and our limited understanding of fault processes and their controls. Numerical modeling provides us with a useful tool that we can use to simulate earthquakes and related slip events, and to make direct observations and correlations among properties and parameters that might control them. Further analysis of these phenomena can lead to a more complete understanding of the underlying mechanisms that accompany the nucleation of large earthquakes, and what might trigger them. In this study, we use the discrete element method (DEM) to create numerical analogs to subduction megathrusts with heterogeneous fault friction. Displacement boundary conditions are applied in order to simulate tectonic loading, which in turn, induces slip along the fault. A wide range of slip behaviors are observed, ranging from creep to stick slip. We are able to characterize slip events by duration, stress drop, rupture area, and slip magnitude, and to correlate the relationships among these quantities. These characterizations allow us to develop a catalog of rupture events both spatially and temporally, for comparison with slip processes on natural faults.
Baldo, Brian A; Kelley, Ann E
2007-04-01
The idea that nucleus accumbens (Acb) dopamine transmission contributes to the neural mediation of reward, at least in a general sense, has achieved wide acceptance. Nevertheless, debate remains over the precise nature of dopamine's role in reward and even over the nature of reward itself. In the present article, evidence is reviewed from studies of food intake, feeding microstructure, instrumental responding for food reinforcement, and dopamine efflux associated with feeding, which suggests that reward processing in the Acb is best understood as an interaction among distinct processes coded by discrete neurotransmitter systems. In agreement with several theories of Acb dopamine function, it is proposed here that allocation of motor effort in seeking food or food-associated conditioned stimuli can be dissociated from computations relevant to the hedonic evaluation of food during the consummatory act. The former appears to depend upon Acb dopamine transmission and the latter upon striatal opioid peptide release. Moreover, dopamine transmission may play a role in 'stamping in' associations between motor acts and goal attainment and perhaps also neural representations corresponding to rewarding outcomes. Finally, evidence is reviewed that amino acid transmission specifically in the Acb shell acts as a central 'circuit breaker' to flexibly enable or terminate the consummatory act, via descending connections to hypothalamic feeding control systems. The heuristic framework outlined above may help explain why dopamine-compromising manipulations that strongly diminish instrumental goal-seeking behaviors leave consummatory activity relatively unaffected.
Hu, Jian Zhi [Richland, WA; Sears, Jr., Jesse A.; Hoyt, David W [Richland, WA; Wind, Robert A [Kennewick, WA
2009-05-19
Described are a "Discrete Magic Angle Turning" (DMAT) system, devices, and processes that combine advantages of both magic angle turning (MAT) and magic angle hopping (MAH) suitable, e.g., for in situ magnetic resonance spectroscopy and/or imaging. In an exemplary system, device, and process, samples are rotated in a clockwise direction followed by an anticlockwise direction of exactly the same amount. Rotation proceeds through an angle that is typically greater than about 240 degrees but less than or equal to about 360 degrees at constant speed for a time applicable to the evolution dimension. Back and forth rotation can be synchronized and repeated with a special radio frequency (RF) pulse sequence to produce an isotropic-anisotropic shift 2D correlation spectrum. The design permits tubes to be inserted into the sample container without introducing plumbing interferences, further allowing control over such conditions as temperature, pressure, flow conditions, and feed compositions, thus permitting true in-situ investigations to be carried out.
Guoxi Shi
Full Text Available Both deterministic and stochastic processes are expected to drive the assemblages of arbuscular mycorrhizal (AM fungi, but little is known about the relative importance of these processes during the spreading of toxic plants. Here, the species composition and phylogenetic structure of AM fungal communities colonizing the roots of a toxic plant, Ligularia virgaurea, and its neighborhood plants, were analyzed in patches with different individual densities of L. virgaurea (represents the spreading degree. Community compositions of AM fungi in both root systems were changed significantly by the L. virgaurea spreading, and also these communities fitted the neutral model very well. AM fungal communities in patches with absence and presence of L. virgaurea were phylogenetically random and clustered, respectively, suggesting that the principal ecological process determining AM fungal assemblage shifted from stochastic process to environmental filtering when this toxic plant was present. Our results indicate that deterministic and stochastic processes together determine the assemblage of AM fungi, but the dominant process would be changed by the spreading of toxic plants, and suggest that the spreading of toxic plants in alpine meadow ecosystems might be involving the mycorrhizal symbionts.
Stochastic Control - External Models
Poulsen, Niels Kjølstad
2005-01-01
This note is devoted to control of stochastic systems described in discrete time. We are concerned with external descriptions or transfer function model, where we have a dynamic model for the input output relation only (i.e.. no direct internal information). The methods are based on LTI systems...
Wang Linshan; Zhang Zhe; Wang Yangfan
2008-01-01
Some criteria for the global stochastic exponential stability of the delayed reaction-diffusion recurrent neural networks with Markovian jumping parameters are presented. The jumping parameters considered here are generated from a continuous-time discrete-state homogeneous Markov process, which are governed by a Markov process with discrete and finite state space. By employing a new Lyapunov-Krasovskii functional, a linear matrix inequality (LMI) approach is developed to establish some easy-to-test criteria of global exponential stability in the mean square for the stochastic neural networks. The criteria are computationally efficient, since they are in the forms of some linear matrix inequalities
Introduction to modeling and analysis of stochastic systems
Kulkarni, V G
2011-01-01
This is an introductory-level text on stochastic modeling. It is suited for undergraduate students in engineering, operations research, statistics, mathematics, actuarial science, business management, computer science, and public policy. It employs a large number of examples to teach the students to use stochastic models of real-life systems to predict their performance, and use this analysis to design better systems. The book is devoted to the study of important classes of stochastic processes: discrete and continuous time Markov processes, Poisson processes, renewal and regenerative processes, semi-Markov processes, queueing models, and diffusion processes. The book systematically studies the short-term and the long-term behavior, cost/reward models, and first passage times. All the material is illustrated with many examples, and case studies. The book provides a concise review of probability in the appendix. The book emphasizes numerical answers to the problems. A collection of MATLAB programs to accompany...
Akira Ikuta
2014-01-01
Full Text Available In real sound environment system, a specific signal shows various types of probability distribution, and the observation data are usually contaminated by external noise (e.g., background noise of non-Gaussian distribution type. Furthermore, there potentially exist various nonlinear correlations in addition to the linear correlation between input and output time series. Consequently, often the system input and output relationship in the real phenomenon cannot be represented by a simple model using only the linear correlation and lower order statistics. In this study, complex sound environment systems difficult to analyze by using usual structural method are considered. By introducing an estimation method of the system parameters reflecting correlation information for conditional probability distribution under existence of the external noise, a prediction method of output response probability for sound environment systems is theoretically proposed in a suitable form for the additive property of energy variable and the evaluation in decibel scale. The effectiveness of the proposed stochastic signal processing method is experimentally confirmed by applying it to the observed data in sound environment systems.
Antonia A Paschali
Full Text Available BACKGROUND: The aim of this study was to examine whether exposure to human suffering is associated with negative changes in perceptions about personal health. We further examined the relation of possible health perception changes, to changes in five discrete emotions (i.e., fear, guilt, hostility/anger, and joviality, as a guide to understand the processes underlying health perception changes, provided that each emotion conveys information regarding triggering conditions. METHODOLOGY/FINDINGS: An experimental group (N = 47 was exposed to images of human affliction, whereas a control group (N = 47 was exposed to relaxing images. Participants in the experimental group reported more health anxiety and health value, as well as lower health-related optimism and internal health locus of control, in comparison to participants exposed to relaxing images. They also reported more fear, guilt, hostility and sadness, as well as less joviality. Changes in each health perception were related to changes in particular emotions. CONCLUSION: These findings imply that health perceptions are shaped in a constant dialogue with the representations about the broader world. Furthermore, it seems that the core of health perception changes lies in the acceptance that personal well-being is subject to several potential threats, as well as that people cannot fully control many of the factors the determine their own well-being.
Parallel, but Dissociable, Processing in Discrete Corticostriatal Inputs Encodes Skill Learning.
Kupferschmidt, David A; Juczewski, Konrad; Cui, Guohong; Johnson, Kari A; Lovinger, David M
2017-10-11
Changes in cortical and striatal function underlie the transition from novel actions to refined motor skills. How discrete, anatomically defined corticostriatal projections function in vivo to encode skill learning remains unclear. Using novel fiber photometry approaches to assess real-time activity of associative inputs from medial prefrontal cortex to dorsomedial striatum and sensorimotor inputs from motor cortex to dorsolateral striatum, we show that associative and sensorimotor inputs co-engage early in action learning and disengage in a dissociable manner as actions are refined. Disengagement of associative, but not sensorimotor, inputs predicts individual differences in subsequent skill learning. Divergent somatic and presynaptic engagement in both projections during early action learning suggests potential learning-related in vivo modulation of presynaptic corticostriatal function. These findings reveal parallel processing within associative and sensorimotor circuits that challenges and refines existing views of corticostriatal function and expose neuronal projection- and compartment-specific activity dynamics that encode and predict action learning. Published by Elsevier Inc.
A discrete element based simulation framework to investigate particulate spray deposition processes
Mukherjee, Debanjan
2015-06-01
© 2015 Elsevier Inc. This work presents a computer simulation framework based on discrete element method to analyze manufacturing processes that comprise a loosely flowing stream of particles in a carrier fluid being deposited on a target surface. The individual particulate dynamics under the combined action of particle collisions, fluid-particle interactions, particle-surface contact and adhesive interactions is simulated, and aggregated to obtain global system behavior. A model for deposition which incorporates the effect of surface energy, impact velocity and particle size, is developed. The fluid-particle interaction is modeled using appropriate spray nozzle gas velocity distributions and a one-way coupling between the phases. It is found that the particle response times and the release velocity distribution of particles have a combined effect on inter-particle collisions during the flow along the spray. It is also found that resolution of the particulate collisions close to the target surface plays an important role in characterizing the trends in the deposit pattern. Analysis of the deposit pattern using metrics defined from the particle distribution on the target surface is provided to characterize the deposition efficiency, deposit size, and scatter due to collisions.
Martinent, Guillaume; Ferrand, Claude
2009-06-01
The purpose of this study was to explore the directional interpretation process of discrete emotions experienced by table tennis players during competitive matches by adopting a naturalistic qualitative video-assisted approach. Thirty self-confrontation interviews were conducted with 11 national table tennis players (2 or 3 matches per participants). Nine discrete emotions were identified through the inductive analyses of the participants' transcriptions: anger, anxiety, discouragement, disappointment, disgust, joy, serenity, relief, and hope. Inductive analyses revealed the emergence of 4 categories and 13 themes among the 9 discrete emotions: positive direction (increased concentration, increased motivation, increased confidence, positive sensations, and adaptive behaviors), negative direction (decreased concentration, decreased motivation, too confident, decreased confidence, negative sensations, and maladaptive behaviors), neutral direction (take more risk and take less risk), and no perceived influence on own performance. Results are discussed in terms of current research on directional interpretation and emotions in sport.
Data-Driven Process Discovery: A Discrete Time Algebra for Relational Signal Analysis
Conrad, David
1996-01-01
.... Proposed is a time series transformation that encodes and compresses real-valued data into a well defined, discrete-space of 13 primitive elements where comparative evaluation between variables...
The measurement problem on classical diffusion process: inverse method on stochastic processes
Bigerelle, M.; Iost, A.
2004-01-01
In a high number of diffusive systems, measures are processed to calculate material parameters such as diffusion coefficients, or to verify the accuracy of mathematical models. However, the precision of the parameter determination or of the model relevance depends on the location of the measure itself. The aim of this paper is first to analyse, for a mono-dimensional system, the precision of the measure in relation with its location by an inverse problem algorithm and secondly to examine the physical meaning of the results. Statistical mechanic considerations show that, passing over a time-distance criterion, measurement becomes uncertain whatever the initial conditions. The criterion proves that this chaotic mode is related to the production of anti-entropy at a mesoscopique scale that is in violation to quantum theory about measurement
A stochastic post-processing method for solar irradiance forecasts derived from NWPs models
Lara-Fanego, V.; Pozo-Vazquez, D.; Ruiz-Arias, J. A.; Santos-Alamillos, F. J.; Tovar-Pescador, J.
2010-09-01
Solar irradiance forecast is an important area of research for the future of the solar-based renewable energy systems. Numerical Weather Prediction models (NWPs) have proved to be a valuable tool for solar irradiance forecasting with lead time up to a few days. Nevertheless, these models show low skill in forecasting the solar irradiance under cloudy conditions. Additionally, climatic (averaged over seasons) aerosol loading are usually considered in these models, leading to considerable errors for the Direct Normal Irradiance (DNI) forecasts during high aerosols load conditions. In this work we propose a post-processing method for the Global Irradiance (GHI) and DNI forecasts derived from NWPs. Particularly, the methods is based on the use of Autoregressive Moving Average with External Explanatory Variables (ARMAX) stochastic models. These models are applied to the residuals of the NWPs forecasts and uses as external variables the measured cloud fraction and aerosol loading of the day previous to the forecast. The method is evaluated for a set one-moth length three-days-ahead forecast of the GHI and DNI, obtained based on the WRF mesoscale atmospheric model, for several locations in Andalusia (Southern Spain). The Cloud fraction is derived from MSG satellite estimates and the aerosol loading from the MODIS platform estimates. Both sources of information are readily available at the time of the forecast. Results showed a considerable improvement of the forecasting skill of the WRF model using the proposed post-processing method. Particularly, relative improvement (in terms of the RMSE) for the DNI during summer is about 20%. A similar value is obtained for the GHI during the winter.
Gerhard, Felipe; Deger, Moritz; Truccolo, Wilson
2017-02-01
Point process generalized linear models (PP-GLMs) provide an important statistical framework for modeling spiking activity in single-neurons and neuronal networks. Stochastic stability is essential when sampling from these models, as done in computational neuroscience to analyze statistical properties of neuronal dynamics and in neuro-engineering to implement closed-loop applications. Here we show, however, that despite passing common goodness-of-fit tests, PP-GLMs estimated from data are often unstable, leading to divergent firing rates. The inclusion of absolute refractory periods is not a satisfactory solution since the activity then typically settles into unphysiological rates. To address these issues, we derive a framework for determining the existence and stability of fixed points of the expected conditional intensity function (CIF) for general PP-GLMs. Specifically, in nonlinear Hawkes PP-GLMs, the CIF is expressed as a function of the previous spike history and exogenous inputs. We use a mean-field quasi-renewal (QR) approximation that decomposes spike history effects into the contribution of the last spike and an average of the CIF over all spike histories prior to the last spike. Fixed points for stationary rates are derived as self-consistent solutions of integral equations. Bifurcation analysis and the number of fixed points predict that the original models can show stable, divergent, and metastable (fragile) dynamics. For fragile models, fluctuations of the single-neuron dynamics predict expected divergence times after which rates approach unphysiologically high values. This metric can be used to estimate the probability of rates to remain physiological for given time periods, e.g., for simulation purposes. We demonstrate the use of the stability framework using simulated single-neuron examples and neurophysiological recordings. Finally, we show how to adapt PP-GLM estimation procedures to guarantee model stability. Overall, our results provide a
Stochastic modeling of catalytic processes in nanoporous materials: Beyond mean-field approach
Garcia, Andres [Iowa State Univ., Ames, IA (United States)
2017-08-05
Transport and reaction in zeolites and other porous materials, such as mesoporous silica particles, has been a focus of interest in recent years. This is in part due to the possibility of anomalous transport effects (e.g. single-file diffusion) and its impact in the reaction yield in catalytic processes. Computational simulations are often used to study these complex nonequilibrium systems. Computer simulations using Molecular Dynamics (MD) techniques are prohibitive, so instead coarse grained one-dimensional models with the aid of Kinetic Monte Carlo (KMC) simulations are used. Both techniques can be computationally expensive, both time and resource wise. These coarse-grained systems can be exactly described by a set of coupled stochastic master equations, that describe the reaction-diffusion kinetics of the system. The equations can be written exactly, however, coupling between the equations and terms within the equations make it impossible to solve them exactly; approximations must be made. One of the most common methods to obtain approximate solutions is to use Mean Field (MF) theory. MF treatments yield reasonable results at high ratios of reaction rate k to hop rate h of the particles, but fail completely at low k=h due to the over-estimation of fluxes of particles within the pore. We develop a method to estimate fluxes and intrapore diffusivity in simple one- dimensional reaction-diffusion models at high and low k=h, where the pores are coupled to an equilibrated three-dimensional fluid. We thus successfully describe analytically these simple reaction-diffusion one-dimensional systems. Extensions to models considering behavior with long range steric interactions and wider pores require determination of multiple boundary conditions. We give a prescription to estimate the required parameters for these simulations. For one dimensional systems, if single-file diffusion is relaxed, additional parameters to describe particle exchange have to be introduced. We use
E. Chumak
2015-04-01
Full Text Available The author substantiates that only methodological training systems of mathematical disciplines with implementation of information and communication technologies (ICT can meet the requirements of modern educational paradigm and make possible to increase the educational efficiency. Due to this fact, the necessity of developing the methodology of theory of probability and stochastic processes computer-based learning for pre-service engineers is underlined in the paper. The results of the experimental study for analysis of the efficiency of methodological system of theory of probability and stochastic processes computer-based learning for pre-service engineers are shown. The analysis includes three main stages: ascertaining, searching and forming. The key criteria of the efficiency of designed methodological system are the level of probabilistic and stochastic skills of students and their learning motivation. The effect of implementing the methodological system of probability theory and stochastic processes computer-based learning on the level of students’ IT literacy is shown in the paper. The expanding of the range of objectives of ICT applying by students is described by author. The level of formation of students’ learning motivation on the ascertaining and forming stages of the experiment is analyzed. The level of intrinsic learning motivation for pre-service engineers is defined on these stages of the experiment. For this purpose, the methodology of testing the students’ learning motivation in the chosen specialty is presented in the paper. The increasing of intrinsic learning motivation of the experimental group students (E group against the control group students (C group is demonstrated.
Pesin’s entropy formula for stochastic flows of diffeomorphisms
刘培东
1996-01-01
Pesin’s entropy formula relating entropy and Lyapunov exponents within the context of random dynamical systems generated by (discrete or continuous) stochastic flows of diffeomorphisms (including solution flows of stochastic differential equations on manifolds) is proved.
Stochastic differential equations and a biological system
Wang, Chunyan
1994-01-01
The purpose of this Ph.D. study is to explore the property of a growth process. The study includes solving and simulating of the growth process which is described in terms of stochastic differential equations. The identification of the growth and variability parameters of the process based...... on experimental data is considered. As an example, the growth of bacteria Pseudomonas fluorescens is taken. Due to the specific features of stochastic differential equations, namely that their solutions do not exist in the general sense, two new integrals - the Ito integral and the Stratonovich integral - have...... description. In order to identify the parameters, a Maximum likelihood estimation method is used together with a simplified truncated second order filter. Because of the continuity feature of the predictor equation, two numerical integration methods, called the Odeint and the Discretization method...
Dynamic Optimization of a Polymer Flooding Process Based on Implicit Discrete Maximum Principle
Yang Lei
2012-01-01
Full Text Available Polymer flooding is one of the most important technologies for enhanced oil recovery (EOR. In this paper, an optimal control model of distributed parameter systems (DPSs for polymer injection strategies is established, which involves the performance index as maximum of the profit, the governing equations as the fluid flow equations of polymer flooding, and some inequality constraints as polymer concentration and injection amount limitation. The optimal control model is discretized by full implicit finite-difference method. To cope with the discrete optimal control problem (OCP, the necessary conditions for optimality are obtained through application of the calculus of variations and Pontryagin’s discrete maximum principle. A modified gradient method with new adjoint construction is proposed for the computation of optimal injection strategies. The numerical results of an example illustrate the effectiveness of the proposed method.
Ding, Shaojie; Qian, Min; Qian, Hong; Zhang, Xuejuan
2016-12-01
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.
Chechetkin, V.R.; Lutovinov, V.S.
1986-09-11
The continuous stochastic formalism for the description of systems with birth and death processes randomly distributed in space is developed with the use of local birth and death operators and local generalization of the corresponding Chapman-Kolmogorov equation. The functional stochastic equation for the evolution of the probability functional is derived and its modifications for evolution of the characteristic functional and the first passage time problem are given. The corresponding evolution equations for equal-time correlators are also derived. The results are generalized then on the exothermic and endothermic chemical reactions. As examples of the particular applications of the results the small fluctuations near stable equilibrium state and fluctuations in mono-molecular reactions, Lotka-Volterra model, Schloegl reaction and brusselator are considered. It is shown that the two-dimensional Lotka-Volterra model may exhibit synergetic phase transition analogous to the topological transition of the Kosterlitz-Thouless-Berezinskii type. At the end of the paper some general consequences from stochastic evolution of the birth and death processes are discussed and the arguments on their importance in evolution of populations, cellular dynamics and in applications to various chemical and biological problems are presented.
Walker, Martin; Hall, Andrew; Basáñez, María-Gloria
2010-10-01
The importance of the mode of acquisition of infectious stages of directly-transmitted parasitic helminths has been acknowledged in population dynamics models; hosts may acquire eggs/larvae singly in a "trickle" type manner or in "clumps". Such models have shown that the mode of acquisition influences the distribution and dynamics of parasite loads, the stability of host-parasite systems and the rate of emergence of anthelmintic resistance, yet very few field studies have allowed these questions to be explored with empirical data. We have analysed individual worm weight data for the parasitic roundworm of humans, Ascaris lumbricoides, collected from a three-round chemo-expulsion study in Dhaka, Bangladesh, with the aim of discerning whether a trickle or a clumped infection process predominates. We found that hosts tend to harbour female worms of a similar weight, indicative of a clumped infection process, but acknowledged that unmeasured host heterogeneities (random effects) could not be completely excluded as a cause. Here, we complement our previous statistical analyses using a stochastic infection model to simulate sizes of individual A. lumbricoides infecting a population of humans. We use the intraclass correlation coefficient (ICC) as a quantitative measure of similarity among simulated worm sizes and explore the behaviour of this statistic under assumptions corresponding to trickle or clumped infections and unmeasured host heterogeneities. We confirm that both mechanisms are capable of generating aggregates of similar-sized worms, but that the particular pattern of ICCs described pre- and post-anthelmintic treatment in the data is more consistent with aggregation generated by clumped infections than by host heterogeneities alone. This provides support to the notion that worms may be acquired in clumps. We discuss our results in terms of the population biology of A. lumbricoides and highlight the significance of our modelling approach for the study of the
Bitencourt, Ana Carla P; Prudente, Frederico V; Vianna, Jose David M
2007-01-01
We propose a new numerically optimized discrete variable representation using eigenstates of diabatic Hamiltonians. This procedure provides an efficient method to solve non-adiabatic coupling problems since the generated basis sets take into account information on the diabatic potentials. The method is applied to the B 1 Σ + - D' 1 Σ + Rydberg-valence predissociation interaction in the CO molecule. Here we give an account of the discrete variable representation and present the procedure for the calculation of its optimized version, which we apply to obtain the total photodissociation cross sections of the CO molecule
A stochastic process model for life cycle cost analysis of nuclear power plant systems
Van der Weide, J.A.M.; Pandey, M.D.
2013-01-01
The paper presents a general stochastic model to analyze the life cycle cost of an engineering system that is affected by minor but repairable failures interrupting the operation and a major failure that would require the replacement or renewal of the failed system. It is commonly observed that the
Stochastic Greybox Modeling for Control of an Alternating Activated Sludge Process
Halvgaard, Rasmus Fogtmann; Vezzaro, Luca; Grum, M.
We present a stochastic greybox model of a BioDenitro WWTP that can be used for short time horizon Model Predictive Control. The model is based on a simpliﬁed ASM1 model and takes model uncertainty in to account. It estimates unmeasured state variables in the system, e.g. the inlet concentration...
Hybrid stochastic simplifications for multiscale gene networks
Debussche Arnaud
2009-09-01
Full Text Available Abstract Background Stochastic simulation of gene networks by Markov processes has important applications in molecular biology. The complexity of exact simulation algorithms scales with the number of discrete jumps to be performed. Approximate schemes reduce the computational time by reducing the number of simulated discrete events. Also, answering important questions about the relation between network topology and intrinsic noise generation and propagation should be based on general mathematical results. These general results are difficult to obtain for exact models. Results We propose a unified framework for hybrid simplifications of Markov models of multiscale stochastic gene networks dynamics. We discuss several possible hybrid simplifications, and provide algorithms to obtain them from pure jump processes. In hybrid simplifications, some components are discrete and evolve by jumps, while other components are continuous. Hybrid simplifications are obtained by partial Kramers-Moyal expansion 123 which is equivalent to the application of the central limit theorem to a sub-model. By averaging and variable aggregation we drastically reduce simulation time and eliminate non-critical reactions. Hybrid and averaged simplifications can be used for more effective simulation algorithms and for obtaining general design principles relating noise to topology and time scales. The simplified models reproduce with good accuracy the stochastic properties of the gene networks, including waiting times in intermittence phenomena, fluctuation amplitudes and stationary distributions. The methods are illustrated on several gene network examples. Conclusion Hybrid simplifications can be used for onion-like (multi-layered approaches to multi-scale biochemical systems, in which various descriptions are used at various scales. Sets of discrete and continuous variables are treated with different methods and are coupled together in a physically justified approach.
Digital simulation of an arbitrary stationary stochastic process by spectral representation.
Yura, Harold T; Hanson, Steen G
2011-04-01
In this paper we present a straightforward, efficient, and computationally fast method for creating a large number of discrete samples with an arbitrary given probability density function and a specified spectral content. The method relies on initially transforming a white noise sample set of random Gaussian distributed numbers into a corresponding set with the desired spectral distribution, after which this colored Gaussian probability distribution is transformed via an inverse transform into the desired probability distribution. In contrast to previous work, where the analyses were limited to auto regressive and or iterative techniques to obtain satisfactory results, we find that a single application of the inverse transform method yields satisfactory results for a wide class of arbitrary probability distributions. Although a single application of the inverse transform technique does not conserve the power spectra exactly, it yields highly accurate numerical results for a wide range of probability distributions and target power spectra that are sufficient for system simulation purposes and can thus be regarded as an accurate engineering approximation, which can be used for wide range of practical applications. A sufficiency condition is presented regarding the range of parameter values where a single application of the inverse transform method yields satisfactory agreement between the simulated and target power spectra, and a series of examples relevant for the optics community are presented and discussed. Outside this parameter range the agreement gracefully degrades but does not distort in shape. Although we demonstrate the method here focusing on stationary random processes, we see no reason why the method could not be extended to simulate non-stationary random processes. © 2011 Optical Society of America
Eichhorn, Ralf; Aurell, Erik
2014-04-01
theory for small deviations from equilibrium, in which a general framework is constructed from the analysis of non-equilibrium states close to equilibrium. In a next step, Prigogine and others developed linear irreversible thermodynamics, which establishes relations between transport coefficients and entropy production on a phenomenological level in terms of thermodynamic forces and fluxes. However, beyond the realm of linear response no general theoretical results were available for quite a long time. This situation has changed drastically over the last 20 years with the development of stochastic thermodynamics, revealing that the range of validity of thermodynamic statements can indeed be extended deep into the non-equilibrium regime. Early developments in that direction trace back to the observations of symmetry relations between the probabilities for entropy production and entropy annihilation in non-equilibrium steady states [5-8] (nowadays categorized in the class of so-called detailed fluctuation theorems), and the derivations of the Bochkov-Kuzovlev [9, 10] and Jarzynski relations [11] (which are now classified as so-called integral fluctuation theorems). Apart from its fundamental theoretical interest, the developments in stochastic thermodynamics have experienced an additional boost from the recent experimental progress in fabricating, manipulating, controlling and observing systems on the micro- and nano-scale. These advances are not only of formidable use for probing and monitoring biological processes on the cellular, sub-cellular and molecular level, but even include the realization of a microscopic thermodynamic heat engine [12] or the experimental verification of Landauer's principle in a colloidal system [13]. The scientific program Stochastic Thermodynamics held between 4 and 15 March 2013, and hosted by The Nordic Institute for Theoretical Physics (Nordita), was attended by more than 50 scientists from the Nordic countries and elsewhere, amongst them
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.
Stochastic Reachability Analysis of Hybrid Systems
Bujorianu, Luminita Manuela
2012-01-01
Stochastic reachability analysis (SRA) is a method of analyzing the behavior of control systems which mix discrete and continuous dynamics. For probabilistic discrete systems it has been shown to be a practical verification method but for stochastic hybrid systems it can be rather more. As a verification technique SRA can assess the safety and performance of, for example, autonomous systems, robot and aircraft path planning and multi-agent coordination but it can also be used for the adaptive control of such systems. Stochastic Reachability Analysis of Hybrid Systems is a self-contained and accessible introduction to this novel topic in the analysis and development of stochastic hybrid systems. Beginning with the relevant aspects of Markov models and introducing stochastic hybrid systems, the book then moves on to coverage of reachability analysis for stochastic hybrid systems. Following this build up, the core of the text first formally defines the concept of reachability in the stochastic framework and then...
Formal Abstractions for Automated Verification and Synthesis of Stochastic Systems
Esmaeil Zadeh Soudjani, S.
2014-01-01
Stochastic hybrid systems involve the coupling of discrete, continuous, and probabilistic phenomena, in which the composition of continuous and discrete variables captures the behavior of physical systems interacting with digital, computational devices. Because of their versatility and generality,
Moreno, Pablo; García, Marcelo
2016-01-01
The increase in energy consumption, especially in residential consumers, means that the electrical system should grow at pair, in infrastructure and installed capacity, the energy prices vary to meet these needs, so this paper uses the methodology of demand response using stochastic methods such as Markov, to optimize energy consumption of residential users. It is necessary to involve customers in the electrical system because in this way it can be verified the actual amount of electric charg...
Stochastic processes and the non-perturbative structure of the QCD vacuum
Vilela Mendes, R.
1992-01-01
Based on a local Gaussian evaluation of the functional integral representation, a method is developed to obtain ground state functionals. The method is applied to the gluon sector of QCD. For the leading term in the ground state functional, stochastic techniques are used to check consistency of the quantum theory, finiteness of the mass gap and the scaling relation in the continuum limit. The functional also implies strong chromomagnetic fluctuations which constrain the propagators in the fermion sector. (orig.)
Stochastic Finite Elements in Reliability-Based Structural Optimization
Sørensen, John Dalsgaard; Engelund, S.
1995-01-01
Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect to optimi......Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect...... to optimization variables can be performed. A computer implementation is described and an illustrative example is given....
Stochastic Finite Elements in Reliability-Based Structural Optimization
Sørensen, John Dalsgaard; Engelund, S.
Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect to optimi......Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect...
Horowitz, Jordan M
2015-07-28
The stochastic thermodynamics of a dilute, well-stirred mixture of chemically reacting species is built on the stochastic trajectories of reaction events obtained from the chemical master equation. However, when the molecular populations are large, the discrete chemical master equation can be approximated with a continuous diffusion process, like the chemical Langevin equation or low noise approximation. In this paper, we investigate to what extent these diffusion approximations inherit the stochastic thermodynamics of the chemical master equation. We find that a stochastic-thermodynamic description is only valid at a detailed-balanced, equilibrium steady state. Away from equilibrium, where there is no consistent stochastic thermodynamics, we show that one can still use the diffusive solutions to approximate the underlying thermodynamics of the chemical master equation.
Parametric inference for stochastic differential equations: a smooth and match approach
Gugushvili, S.; Spreij, P.
2012-01-01
We study the problem of parameter estimation for a univariate discretely observed ergodic diffusion process given as a solution to a stochastic differential equation. The estimation procedure we propose consists of two steps. In the first step, which is referred to as a smoothing step, we smooth the
Bürger, Raimund; Diehl, Stefan; Mejías, Camilo
2016-01-01
The main purpose of the recently introduced Bürger-Diehl simulation model for secondary settling tanks was to resolve spatial discretization problems when both hindered settling and the phenomena of compression and dispersion are included. Straightforward time integration unfortunately means long computational times. The next step in the development is to introduce and investigate time-integration methods for more efficient simulations, but where other aspects such as implementation complexity and robustness are equally considered. This is done for batch settling simulations. The key findings are partly a new time-discretization method and partly its comparison with other specially tailored and standard methods. Several advantages and disadvantages for each method are given. One conclusion is that the new linearly implicit method is easier to implement than another one (semi-implicit method), but less efficient based on two types of batch sedimentation tests.
Instantaneous stochastic perturbation theory
Lüscher, Martin
2015-01-01
A form of stochastic perturbation theory is described, where the representative stochastic fields are generated instantaneously rather than through a Markov process. The correctness of the procedure is established to all orders of the expansion and for a wide class of field theories that includes all common formulations of lattice QCD.
Colombino, A.; Mosiello, R.; Norelli, F.; Jorio, V.M.; Pacilio, N.
1975-01-01
A nuclear system kinetics is formulated according to a stochastic approach. The detailed probability balance equations are written for the probability of finding the mixed population of neutrons and detected neutrons, i.e. detectrons, at a given level for a given instant of time. Equations are integrated in search of a probability profile: a series of cases is analyzed through a progressive criterium. It tends to take into account an increasing number of physical processes within the chosen model. The most important contribution is that solutions interpret analytically experimental conditions of equilibrium (moise analysis) and non equilibrium (pulsed neutron measurements, source drop technique, start up procedures)
Shuang Li
2014-01-01
Full Text Available We study the pricing of American options in an incomplete market in which the dynamics of the underlying risky asset is driven by a jump diffusion process with stochastic volatility. By employing a risk-minimization criterion, we obtain the Radon-Nikodym derivative for the minimal martingale measure and consequently a linear complementarity problem (LCP for American option price. An iterative method is then established to solve the LCP problem for American put option price. Our numerical results show that the model and numerical scheme are robust in capturing the feature of incomplete finance market, particularly the influence of market volatility on the price of American options.
Effluent trading in river systems through stochastic decision-making process: a case study.
Zolfagharipoor, Mohammad Amin; Ahmadi, Azadeh
2017-09-01
The objective of this paper is to provide an efficient framework for effluent trading in river systems. The proposed framework consists of two pessimistic and optimistic decision-making models to increase the executability of river water quality trading programs. The models used for this purpose are (1) stochastic fallback bargaining (SFB) to reach an agreement among wastewater dischargers and (2) stochastic multi-criteria decision-making (SMCDM) to determine the optimal treatment strategy. The Monte-Carlo simulation method is used to incorporate the uncertainty into analysis. This uncertainty arises from stochastic nature and the errors in the calculation of wastewater treatment costs. The results of river water quality simulation model are used as the inputs of models. The proposed models are used in a case study on the Zarjoub River in northern Iran to determine the best solution for the pollution load allocation. The best treatment alternatives selected by each model are imported, as the initial pollution discharge permits, into an optimization model developed for trading of pollution discharge permits among pollutant sources. The results show that the SFB-based water pollution trading approach reduces the costs by US$ 14,834 while providing a relative consensus among pollutant sources. Meanwhile, the SMCDM-based water pollution trading approach reduces the costs by US$ 218,852, but it is less acceptable by pollutant sources. Therefore, it appears that giving due attention to stability, or in other words acceptability of pollution trading programs for all pollutant sources, is an essential element of their success.
Willigenburg, van L.G.; Koning, de W.L.
2013-01-01
Two different descriptions are used in the literature to formulate the optimal dynamic output feedback control problem for linear dynamical systems with white stochastic parameters and quadratic criteria, called the optimal compensation problem. One describes the matrix valued white stochastic
Ching-Hua Yeh
2016-08-01
Full Text Available Based on an online discrete choice experiment (DCE this study investigates the relative importance of food label information (country of origin, production methods, chemical residue testing (CRT and price for Taiwanese consumers’ in their purchase of sweet peppers. Results show that respondents focus mostly on the COO labeling during their sweet-pepper shopping, followed by price. Information concerning CRT results and production methods are of less importance. Our findings also indicate that interaction between attributes matter and that preference for attribute levels differs depending on socioeconomic characteristics.
Switching dynamics in reaction networks induced by molecular discreteness
Togashi, Yuichi; Kaneko, Kunihiko
2007-01-01
To study the fluctuations and dynamics in chemical reaction processes, stochastic differential equations based on the rate equation involving chemical concentrations are often adopted. When the number of molecules is very small, however, the discreteness in the number of molecules cannot be neglected since the number of molecules must be an integer. This discreteness can be important in biochemical reactions, where the total number of molecules is not significantly larger than the number of chemical species. To elucidate the effects of such discreteness, we study autocatalytic reaction systems comprising several chemical species through stochastic particle simulations. The generation of novel states is observed; it is caused by the extinction of some molecular species due to the discreteness in their number. We demonstrate that the reaction dynamics are switched by a single molecule, which leads to the reconstruction of the acting network structure. We also show the strong dependence of the chemical concentrations on the system size, which is caused by transitions to discreteness-induced novel states
A Stochastic Model for Malaria Transmission Dynamics
Rachel Waema Mbogo
2018-01-01
Full Text Available Malaria is one of the three most dangerous infectious diseases worldwide (along with HIV/AIDS and tuberculosis. In this paper we compare the disease dynamics of the deterministic and stochastic models in order to determine the effect of randomness in malaria transmission dynamics. Relationships between the basic reproduction number for malaria transmission dynamics between humans and mosquitoes and the extinction thresholds of corresponding continuous-time Markov chain models are derived under certain assumptions. The stochastic model is formulated using the continuous-time discrete state Galton-Watson branching process (CTDSGWbp. The reproduction number of deterministic models is an essential quantity to predict whether an epidemic will spread or die out. Thresholds for disease extinction from stochastic models contribute crucial knowledge on disease control and elimination and mitigation of infectious diseases. Analytical and numerical results show some significant differences in model predictions between the stochastic and deterministic models. In particular, we find that malaria outbreak is more likely if the disease is introduced by infected mosquitoes as opposed to infected humans. These insights demonstrate the importance of a policy or intervention focusing on controlling the infected mosquito population if the control of malaria is to be realized.
Zwingelstein, Gilles; Thabet, Gabriel.
1977-01-01
Control algorithms for components of nuclear power plants are currently based on external diagnostic methods. Modeling and identification techniques for autoregressive moving average models (ARMA) for stochastic processes are described. The identified models provide a means of estimating the power spectral density with improved accuracy and computer time compared with the classical methods. They are particularly will suited for on-line estimation of the power spectral density. The observable stochastic process y (t) is modeled assuming that it is the output of a linear filter driven by Gaussian while noise w (t). Two identification schemes were tested to find the orders m and n of the ARMA (m,n) models and to estimate the parameters of the recursion equation relating the input and output signals. The first scheme consists in transforming the ARMA model to an autoregressive model. The parameters of this AR model are obtained using least squares estimation techniques. The second scheme consists in finding the parameters of the ARMA by nonlinear programming techniques. The power spectral density of y(t) is instantaneously deduced from these ARMA models [fr
Do, Duy Minh; Gao, Wei; Song, Chongmin; Tangaramvong, Sawekchai
2014-01-01
This paper presents the non-deterministic dynamic analysis and reliability assessment of structures with uncertain-but-bounded parameters under stochastic process excitations. Random ground acceleration from earthquake motion is adopted to illustrate the stochastic process force. The exact change ranges of natural frequencies, random vibration displacement and stress responses of structures are investigated under the interval analysis framework. Formulations for structural reliability are developed considering the safe boundary and structural random vibration responses as interval parameters. An improved particle swarm optimization algorithm, namely randomised lower sequence initialized high-order nonlinear particle swarm optimization algorithm, is employed to capture the better bounds of structural dynamic characteristics, random vibration responses and reliability. Three numerical examples are used to demonstrate the presented method for interval random vibration analysis and reliability assessment of structures. The accuracy of the results obtained by the presented method is verified by the randomised Quasi-Monte Carlo simulation method (QMCSM) and direct Monte Carlo simulation method (MCSM). - Highlights: • Interval uncertainty is introduced into structural random vibration responses. • Interval dynamic reliability assessments of structures are implemented. • Boundaries of structural dynamic response and reliability are achieved
Stavrakakis, G.; Lucia, A.C.; Solomos, G. (Commission of the European Communities, Ispra (Italy). Joint Research Centre)
1990-01-01
The two computer codes COVASTOL and RELIEF, developed for the modeling of cumulative damage processes in the framework of probabilistic structural reliability, are compared. They are based respectively on the randomisation of a differential crack growth law and on the theory of discrete Markov processes. The codes are applied for fatigue crack growth predictions using two sets of data of crack propagation curves from specimens. The results are critically analyzed and an extensive discussion follows on the merits and limitations of each code. Their transferability for the reliability assessment of real structures is investigated. (author).
On the physical realizability of quantum stochastic walks
Taketani, Bruno; Govia, Luke; Schuhmacher, Peter; Wilhelm, Frank
Quantum walks are a promising framework that can be used to both understand and implement quantum information processing tasks. The recently developed quantum stochastic walk combines the concepts of a quantum walk and a classical random walk through open system evolution of a quantum system, and have been shown to have applications in as far reaching fields as artificial intelligence. However, nature puts significant constraints on the kind of open system evolutions that can be realized in a physical experiment. In this work, we discuss the restrictions on the allowed open system evolution, and the physical assumptions underpinning them. We then introduce a way to circumvent some of these restrictions, and simulate a more general quantum stochastic walk on a quantum computer, using a technique we call quantum trajectories on a quantum computer. We finally describe a circuit QED approach to implement discrete time quantum stochastic walks.
Discrete element method applied to the vibration process of coke particles
Majidi, Behzad
2012-01-01
Les propriétés physiques, mécaniques et chimiques des matières premières ont un effet majeur sur la qualité des anodes en carbone pour le procédé de production d’aluminium. Ce travail tente d’étudier la faisabilité de l’application de simulation de la Méthode des Élément Discrets (DEM) à la technologie de production d’anodes. L’effet de la forme des particules et de la distribution de leurs tailles sur la densité apparente vibrée (VBD) d’échantillons de coke sec est étudié. Les particules de ...
Optimal maintenance policy for a system subject to damage in a discrete time process
Chien, Yu-Hung; Sheu, Shey-Huei; Zhang, Zhe George
2012-01-01
Consider a system operating over n discrete time periods (n=1, 2, …). Each operation period causes a random amount of damage to the system which accumulates over time periods. The system fails when the cumulative damage exceeds a failure level ζ and a corrective maintenance (CM) action is immediately taken. To prevent such a failure, a preventive maintenance (PM) may be performed. In an operation period without a CM or PM, a regular maintenance (RM) is conducted at the end of that period to maintain the operation of the system. We propose a maintenance policy which prescribes a PM when the accumulated damage exceeds a pre-specified level δ ( ⁎ and N ⁎ and discuss some useful properties about them. It has been shown that a δ-based PM outperforms a N-based PM in terms of cost minimization. Numerical examples are presented to demonstrate the optimization of this class of maintenance policies.
Záležák, Tomáš; Svoboda, Jiří; Dlouhý, Antonín
2017-01-01
Roč. 97, OCT (2017), s. 1-23 ISSN 0749-6419 R&D Projects: GA ČR(CZ) GA14-22834S; GA ČR(CZ) GA202/09/2073; GA ČR(CZ) GD106/09/H035; GA MŠk(CZ) EE2.3.20.0214; GA MŠk OC 162 EU Projects: European Commission(XE) 309916 - Z-ULTRA Institutional support: RVO:68081723 Keywords : 3D discrete dislocation dynamics * Dislocations * Strengthening mechanisms * Low angle grain boundaries * Particulate reinforced material Subject RIV: JI - Composite Materials OBOR OECD: Composites (including laminates, reinforced plastics, cermets, combined natural and synthetic fibre fabrics Impact factor: 5.702, year: 2016
Song Huang
2016-01-01
Full Text Available The fuzzy processing time occasionally exists in job shop scheduling problem of flexible manufacturing system. To deal with fuzzy processing time, fuzzy flexible job shop model was established in several papers and has attracted numerous researchers’ attention recently. In our research, an improved version of discrete particle swarm optimization (IDPSO is designed to solve flexible job shop scheduling problem with fuzzy processing time (FJSPF. In IDPSO, heuristic initial methods based on triangular fuzzy number are developed, and a combination of six initial methods is applied to initialize machine assignment and random method is used to initialize operation sequence. Then, some simple and effective discrete operators are employed to update particle’s position and generate new particles. In order to guide the particles effectively, we extend global best position to a set with several global best positions. Finally, experiments are designed to investigate the impact of four parameters in IDPSO by Taguchi method, and IDPSO is tested on five instances and compared with some state-of-the-art algorithms. The experimental results show that the proposed algorithm can obtain better solutions for FJSPF and is more competitive than the compared algorithms.
The remarkable discreteness of being
Life is a discrete, stochastic phenomenon: for a biological organism, the time of the two most important events of its life (reproduction and death) is random and these events change the number of individuals of the species by single units. These facts can have surprising, counterintuitive consequences. I review here three ...
Stochastic quantization and gravity
Rumpf, H.
1984-01-01
We give a preliminary account of the application of stochastic quantization to the gravitational field. We start in Section I from Nelson's formulation of quantum mechanics as Newtonian stochastic mechanics and only then introduce the Parisi-Wu stochastic quantization scheme on which all the later discussion will be based. In Section II we present a generalization of the scheme that is applicable to fields in physical (i.e. Lorentzian) space-time and treat the free linearized gravitational field in this manner. The most remarkable result of this is the noncausal propagation of conformal gravitons. Moreover the concept of stochastic gauge-fixing is introduced and a complete discussion of all the covariant gauges is given. A special symmetry relating two classes of covariant gauges is exhibited. Finally Section III contains some preliminary remarks on full nonlinear gravity. In particular we argue that in contrast to gauge fields the stochastic gravitational field cannot be transformed to a Gaussian process. (Author)
Shilong Li
2018-03-01
Full Text Available In this paper, we introduce a class of stochastic interest model driven by a compoundPoisson process and a Brownian motion, in which the jumping times of force of interest obeyscompound Poisson process and the continuous tiny fluctuations are described by Brownian motion, andthe adjustment in each jump of interest force is assumed to be random. Based on the proposed interestmodel, we discuss the expected discounted function, the validity of the model and actuarial presentvalues of life annuities and life insurances under different parameters and distribution settings. Ournumerical results show actuarial values could be sensitive to the parameters and distribution settings,which shows the importance of introducing this kind interest model.
Numerical studies of the stochastic Korteweg-de Vries equation
Lin Guang; Grinberg, Leopold; Karniadakis, George Em
2006-01-01
We present numerical solutions of the stochastic Korteweg-de Vries equation for three cases corresponding to additive time-dependent noise, multiplicative space-dependent noise and a combination of the two. We employ polynomial chaos for discretization in random space, and discontinuous Galerkin and finite difference for discretization in physical space. The accuracy of the stochastic solutions is investigated by comparing the first two moments against analytical and Monte Carlo simulation results. Of particular interest is the interplay of spatial discretization error with the stochastic approximation error, which is examined for different orders of spatial and stochastic approximation
Stochastic switching in biology: from genotype to phenotype
Bressloff, Paul C
2017-01-01
There has been a resurgence of interest in non-equilibrium stochastic processes in recent years, driven in part by the observation that the number of molecules (genes, mRNA, proteins) involved in gene expression are often of order 1–1000. This means that deterministic mass-action kinetics tends to break down, and one needs to take into account the discrete, stochastic nature of biochemical reactions. One of the major consequences of molecular noise is the occurrence of stochastic biological switching at both the genotypic and phenotypic levels. For example, individual gene regulatory networks can switch between graded and binary responses, exhibit translational/transcriptional bursting, and support metastability (noise-induced switching between states that are stable in the deterministic limit). If random switching persists at the phenotypic level then this can confer certain advantages to cell populations growing in a changing environment, as exemplified by bacterial persistence in response to antibiotics. Gene expression at the single-cell level can also be regulated by changes in cell density at the population level, a process known as quorum sensing. In contrast to noise-driven phenotypic switching, the switching mechanism in quorum sensing is stimulus-driven and thus noise tends to have a detrimental effect. A common approach to modeling stochastic gene expression is to assume a large but finite system and to approximate the discrete processes by continuous processes using a system-size expansion. However, there is a growing need to have some familiarity with the theory of stochastic processes that goes beyond the standard topics of chemical master equations, the system-size expansion, Langevin equations and the Fokker–Planck equation. Examples include stochastic hybrid systems (piecewise deterministic Markov processes), large deviations and the Wentzel–Kramers–Brillouin (WKB) method, adiabatic reductions, and queuing/renewal theory. The major aim of
Ahmet, Kara
2015-01-01
This paper presents a simple model of the provision of higher educational services that considers and exemplifies nonlinear, stochastic, and potentially chaotic processes. I use the methods of system dynamics to simulate these processes in the context of a particular sociologically interesting case, namely that of the Turkish higher education…
Biyajima, M.
1984-01-01
Stochastic backgrounds of the KNO scaling functions given by Buras and Koba and by Barshay and Yamaguchi are investigated. It is found that they are connected with the stochastic Rayleigh process, and the (1+2)- and (1+4)-dimensional Ornstein-Uhlenbeck process. Moreover those KNO scaling functions are transformed into the KNO scaling functions given by the Perina-McGill formula in terms of a nonlinear transformation. Analyses of data by means of them are made. Probability distributions of the former KNO scaling functions are also calculated by the Poisson transformation. (orig.)
Space-Time Discrete KPZ Equation
Cannizzaro, G.; Matetski, K.
2018-03-01
We study a general family of space-time discretizations of the KPZ equation and show that they converge to its solution. The approach we follow makes use of basic elements of the theory of regularity structures (Hairer in Invent Math 198(2):269-504, 2014) as well as its discrete counterpart (Hairer and Matetski in Discretizations of rough stochastic PDEs, 2015. arXiv:1511.06937). Since the discretization is in both space and time and we allow non-standard discretization for the product, the methods mentioned above have to be suitably modified in order to accommodate the structure of the models under study.
Guida, M.; Pulcini, G.
2013-01-01
This paper proposes the family of non-stationary inverse Gamma processes for modeling state-dependent deterioration processes with nonlinear trend. The proposed family of processes, which is based on the assumption that the “inverse” time process is Gamma, is mathematically more tractable than previously proposed state-dependent processes, because, unlike the previous models, the inverse Gamma process is a time-continuous and state-continuous model and does not require discretization of time and state. The conditional distribution of the deterioration growth over a generic time interval, the conditional distribution of the residual life and the residual reliability of the unit, given the current state, are provided. Point and interval estimation of the parameters which index the proposed process, as well as of several quantities of interest, are also discussed. Finally, the proposed model is applied to the wear process of the liners of some Diesel engines which was previously analyzed and proved to be a purely state-dependent process. The comparison of the inferential results obtained under the competitor models shows the ability of the Inverse Gamma process to adequately model the observed state-dependent wear process
Sørensen, John Aasted
2011-01-01
The objectives of Discrete Mathematics (IDISM2) are: The introduction of the mathematics needed for analysis, design and verification of discrete systems, including the application within programming languages for computer systems. Having passed the IDISM2 course, the student will be able...... to accomplish the following: -Understand and apply formal representations in discrete mathematics. -Understand and apply formal representations in problems within discrete mathematics. -Understand methods for solving problems in discrete mathematics. -Apply methods for solving problems in discrete mathematics......; construct a finite state machine for a given application. Apply these concepts to new problems. The teaching in Discrete Mathematics is a combination of sessions with lectures and students solving problems, either manually or by using Matlab. Furthermore a selection of projects must be solved and handed...
Rodríguez-Guerrero, Liliam; Santos-Sánchez, Omar-Jacobo; Cervantes-Escorcia, Nicolás; Romero, Hugo
2017-11-01
This article presents a suboptimal control strategy with finite horizon for affine nonlinear discrete systems with both state and input delays. The Dynamic Programming Approach is used to obtain the suboptimal control sequence, but in order to avoid the computation of the Bellman functional, a numerical approximation of this function is proposed in every step. The feasibility of our proposal is demonstrated via an experimental test on a dehydration process and the obtained results show a good performance and behavior of this process. Then in order to demonstrate the benefits of using this kind of control strategy, the results are compared with a non optimal control strategy, particularly with respect to results produced by an industrial Proportional Integral Derivative (PID) Honeywell controller, which is tuned using the Ziegler-Nichols method. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.
Compositional Modelling of Stochastic Hybrid Systems
Strubbe, S.N.
2005-01-01
In this thesis we present a modelling framework for compositional modelling of stochastic hybrid systems. Hybrid systems consist of a combination of continuous and discrete dynamics. The state space of a hybrid system is hybrid in the sense that it consists of a continuous component and a discrete
Modeling bias and variation in the stochastic processes of small RNA sequencing.
Argyropoulos, Christos; Etheridge, Alton; Sakhanenko, Nikita; Galas, David
2017-06-20
The use of RNA-seq as the preferred method for the discovery and validation of small RNA biomarkers has been hindered by high quantitative variability and biased sequence counts. In this paper we develop a statistical model for sequence counts that accounts for ligase bias and stochastic variation in sequence counts. This model implies a linear quadratic relation between the mean and variance of sequence counts. Using a large number of sequencing datasets, we demonstrate how one can use the generalized additive models for location, scale and shape (GAMLSS) distributional regression framework to calculate and apply empirical correction factors for ligase bias. Bias correction could remove more than 40% of the bias for miRNAs. Empirical bias correction factors appear to be nearly constant over at least one and up to four orders of magnitude of total RNA input and independent of sample composition. Using synthetic mixes of known composition, we show that the GAMLSS approach can analyze differential expression with greater accuracy, higher sensitivity and specificity than six existing algorithms (DESeq2, edgeR, EBSeq, limma, DSS, voom) for the analysis of small RNA-seq data. © The Author(s) 2017. Published by Oxford University Press on behalf of Nucleic Acids Research.
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.
Kuwahara, Jun; Miyata, Hajime; Konno, Hidetoshi
2017-09-01
Recently, complex dynamics of globally coupled oscillators have been attracting many researcher's attentions. In spite of their numerous studies, their features of nonlinear oscillator systems with global and local couplings in two-dimension (2D) are not understood fully. The paper focuses on 2D states of coherent, clustered and chaotic oscillation especially under the effect of negative global coupling (NGC) in 2D Alief-Panfilov model. It is found that the tuning NGC can cause various new coupling-parameter dependency on the features of oscillations. Then quantitative characterization of various states of oscillations (so called spiral wave turbulence) is examined by using the pragmatic information (PI) which have been utilized in analyzing multimode laser, solar activity and neuronal systems. It is demonstrated that the dynamics of the PI for various oscillations can be characterized successfully by the Hyper-Gamma stochastic process.
Kaulakys, B.; Alaburda, M.; Ruseckas, J.
2016-05-01
A well-known fact in the financial markets is the so-called ‘inverse cubic law’ of the cumulative distributions of the long-range memory fluctuations of market indicators such as a number of events of trades, trading volume and the logarithmic price change. We propose the nonlinear stochastic differential equation (SDE) giving both the power-law behavior of the power spectral density and the long-range dependent inverse cubic law of the cumulative distribution. This is achieved using the suggestion that when the market evolves from calm to violent behavior there is a decrease of the delay time of multiplicative feedback of the system in comparison to the driving noise correlation time. This results in a transition from the Itô to the Stratonovich sense of the SDE and yields a long-range memory process.
McCaskey, Ursina; von Aster, Michael; O’Gorman Tuura, Ruth; Kucian, Karin
2017-01-01
The link between number and space has been discussed in the literature for some time, resulting in the theory that number, space and time might be part of a generalized magnitude system. To date, several behavioral and neuroimaging findings support the notion of a generalized magnitude system, although contradictory results showing a partial overlap or separate magnitude systems are also found. The possible existence of a generalized magnitude processing area leads to the question how individuals with developmental dyscalculia (DD), known for deficits in numerical-arithmetical abilities, process magnitudes. By means of neuropsychological tests and functional magnetic resonance imaging (fMRI) we aimed to examine the relationship between number and space in typical and atypical development. Participants were 16 adolescents with DD (14.1 years) and 14 typically developing (TD) peers (13.8 years). In the fMRI paradigm participants had to perform discrete (arrays of dots) and continuous magnitude (angles) comparisons as well as a mental rotation task. In the neuropsychological tests, adolescents with dyscalculia performed significantly worse in numerical and complex visuo-spatial tasks. However, they showed similar results to TD peers when making discrete and continuous magnitude decisions during the neuropsychological tests and the fMRI paradigm. A conjunction analysis of the fMRI data revealed commonly activated higher order visual (inferior and middle occipital gyrus) and parietal (inferior and superior parietal lobe) magnitude areas for the discrete and continuous magnitude tasks. Moreover, no differences were found when contrasting both magnitude processing conditions, favoring the possibility of a generalized magnitude system. Group comparisons further revealed that dyscalculic subjects showed increased activation in domain general regions, whilst TD peers activate domain specific areas to a greater extent. In conclusion, our results point to the existence of a
McCaskey, Ursina; von Aster, Michael; O'Gorman Tuura, Ruth; Kucian, Karin
2017-01-01
The link between number and space has been discussed in the literature for some time, resulting in the theory that number, space and time might be part of a generalized magnitude system. To date, several behavioral and neuroimaging findings support the notion of a generalized magnitude system, although contradictory results showing a partial overlap or separate magnitude systems are also found. The possible existence of a generalized magnitude processing area leads to the question how individuals with developmental dyscalculia (DD), known for deficits in numerical-arithmetical abilities, process magnitudes. By means of neuropsychological tests and functional magnetic resonance imaging (fMRI) we aimed to examine the relationship between number and space in typical and atypical development. Participants were 16 adolescents with DD (14.1 years) and 14 typically developing (TD) peers (13.8 years). In the fMRI paradigm participants had to perform discrete (arrays of dots) and continuous magnitude (angles) comparisons as well as a mental rotation task. In the neuropsychological tests, adolescents with dyscalculia performed significantly worse in numerical and complex visuo-spatial tasks. However, they showed similar results to TD peers when making discrete and continuous magnitude decisions during the neuropsychological tests and the fMRI paradigm. A conjunction analysis of the fMRI data revealed commonly activated higher order visual (inferior and middle occipital gyrus) and parietal (inferior and superior parietal lobe) magnitude areas for the discrete and continuous magnitude tasks. Moreover, no differences were found when contrasting both magnitude processing conditions, favoring the possibility of a generalized magnitude system. Group comparisons further revealed that dyscalculic subjects showed increased activation in domain general regions, whilst TD peers activate domain specific areas to a greater extent. In conclusion, our results point to the existence of a
Casson, Alexander J
2015-12-17
Ultra low power signal processing is an essential part of all sensor nodes, and particularly so in emerging wearable sensors for biomedical applications. Analog signal processing has an important role in these low power, low voltage, low frequency applications, and there is a key drive to decrease the power consumption of existing analog domain signal processing and to map more signal processing approaches into the analog domain. This paper presents an analog domain signal processing circuit which approximates the output of the Discrete Wavelet Transform (DWT) for use in ultra low power wearable sensors. Analog filters are used for the DWT filters and it is demonstrated how these generate analog domain DWT-like information that embeds information from Butterworth and Daubechies maximally flat mother wavelet responses. The Analog DWT is realised in hardware via g(m)C circuits, designed to operate from a 1.3 V coin cell battery, and provide DWT-like signal processing using under 115 nW of power when implemented in a 0.18 μm CMOS process. Practical examples demonstrate the effective use of the new Analog DWT on ECG (electrocardiogram) and EEG (electroencephalogram) signals recorded from humans.
Alexander J. Casson
2015-12-01
Full Text Available Ultra low power signal processing is an essential part of all sensor nodes, and particularly so in emerging wearable sensors for biomedical applications. Analog signal processing has an important role in these low power, low voltage, low frequency applications, and there is a key drive to decrease the power consumption of existing analog domain signal processing and to map more signal processing approaches into the analog domain. This paper presents an analog domain signal processing circuit which approximates the output of the Discrete Wavelet Transform (DWT for use in ultra low power wearable sensors. Analog filters are used for the DWT filters and it is demonstrated how these generate analog domain DWT-like information that embeds information from Butterworth and Daubechies maximally flat mother wavelet responses. The Analog DWT is realised in hardware via g m C circuits, designed to operate from a 1.3 V coin cell battery, and provide DWT-like signal processing using under 115 nW of power when implemented in a 0.18 μm CMOS process. Practical examples demonstrate the effective use of the new Analog DWT on ECG (electrocardiogram and EEG (electroencephalogram signals recorded from humans.
Álvarez-Rúa, Carmen; Borge, Javier
2016-01-01
Thermodynamic processes are complex phenomena that can be understood as a set of successive stages. When treating processes, classical thermodynamics (and most particularly, the Gibbsian formulation, predominantly used in chemistry) only pays attention to initial and final states. However, reintroducing the notion of process is absolutely…