WorldWideScience

Sample records for dynamic stochastic modelling

  1. Stochastic Model of Microtubule Dynamics

    Science.gov (United States)

    Hryniv, Ostap; Martínez Esteban, Antonio

    2017-10-01

    We introduce a continuous time stochastic process on strings made of two types of particle, whose dynamics mimics that of microtubules in a living cell. The long term behaviour of the system is described in terms of the velocity v of the string end. We show that v is an analytic function of its parameters and study its monotonicity properties. We give a complete characterisation of the phase diagram of the model and derive several criteria of the growth (v>0) and the shrinking (v<0) regimes of the dynamics.

  2. Research on nonlinear stochastic dynamical price model

    Energy Technology Data Exchange (ETDEWEB)

    Li Jiaorui [Department of Applied Mathematics, Northwestern Polytechnical University, Xi' an 710072 (China); School of Statistics, Xi' an University of Finance and Economics, Xi' an 710061 (China)], E-mail: jiaoruili@mail.nwpu.edu.cn; Xu Wei; Xie Wenxian; Ren Zhengzheng [Department of Applied Mathematics, Northwestern Polytechnical University, Xi' an 710072 (China)

    2008-09-15

    In consideration of many uncertain factors existing in economic system, nonlinear stochastic dynamical price model which is subjected to Gaussian white noise excitation is proposed based on deterministic model. One-dimensional averaged Ito stochastic differential equation for the model is derived by using the stochastic averaging method, and applied to investigate the stability of the trivial solution and the first-passage failure of the stochastic price model. The stochastic price model and the methods presented in this paper are verified by numerical studies.

  3. Stochastic transition model for pedestrian dynamics

    CERN Document Server

    Schultz, Michael

    2012-01-01

    The proposed stochastic model for pedestrian dynamics is based on existing approaches using cellular automata, combined with substantial extensions, to compensate the deficiencies resulting of the discrete grid structure. This agent motion model is extended by both a grid-based path planning and mid-range agent interaction component. The stochastic model proves its capabilities for a quantitative reproduction of the characteristic shape of the common fundamental diagram of pedestrian dynamics. Moreover, effects of self-organizing behavior are successfully reproduced. The stochastic cellular automata approach is found to be adequate with respect to uncertainties in human motion patterns, a feature previously held by artificial noise terms alone.

  4. A Stochastic Cobweb Dynamical Model

    Directory of Open Access Journals (Sweden)

    Serena Brianzoni

    2008-01-01

    _,__0__1, and the forward predictor with probability (1−, so that the expected price at time is a random variable and consequently the dynamics describing the price evolution in time is governed by a stochastic dynamical system. The dynamical system becomes a Markov process when the memory rate vanishes. In particular, we study the Markov chain in the cases of discrete and continuous time. Using a mixture of analytical tools and numerical methods, we show that, when prices take discrete values, the corresponding Markov chain is asymptotically stable. In the case with continuous prices and nonnecessarily zero memory rate, numerical evidence of bounded price oscillations is shown. The role of the memory rate is studied through numerical experiments, this study confirms the stabilizing effects of the presence of resistant memory.

  5. Dynamics of a Stochastic Intraguild Predation Model

    Directory of Open Access Journals (Sweden)

    Zejing Xing

    2016-04-01

    Full Text Available Intraguild predation (IGP is a widespread ecological phenomenon which occurs when one predator species attacks another predator species with which it competes for a shared prey species. The objective of this paper is to study the dynamical properties of a stochastic intraguild predation model. We analyze stochastic persistence and extinction of the stochastic IGP model containing five cases and establish the sufficient criteria for global asymptotic stability of the positive solutions. This study shows that it is possible for the coexistence of three species under the influence of environmental noise, and that the noise may have a positive effect for IGP species. A stationary distribution of the stochastic IGP model is established and it has the ergodic property, suggesting that the time average of population size with the development of time is equal to the stationary distribution in space. Finally, we show that our results may be extended to two well-known biological systems: food chains and exploitative competition.

  6. A Stochastic Dynamic Model of Computer Viruses

    Directory of Open Access Journals (Sweden)

    Chunming Zhang

    2012-01-01

    Full Text Available A stochastic computer virus spread model is proposed and its dynamic behavior is fully investigated. Specifically, we prove the existence and uniqueness of positive solutions, and the stability of the virus-free equilibrium and viral equilibrium by constructing Lyapunov functions and applying Ito's formula. Some numerical simulations are finally given to illustrate our main results.

  7. Dynamic optimization deterministic and stochastic models

    CERN Document Server

    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.

  8. A stochastic model of human gait dynamics

    Science.gov (United States)

    Ashkenazy, Yosef; M. Hausdorff, Jeffrey; Ch. Ivanov, Plamen; Eugene Stanley, H.

    2002-12-01

    We present a stochastic model of gait rhythm dynamics, based on transitions between different “neural centers”, that reproduces distinctive statistical properties of normal human walking. By tuning one model parameter, the transition (hopping) range, the model can describe alterations in gait dynamics from childhood to adulthood-including a decrease in the correlation and volatility exponents with maturation. The model also generates time series with multifractal spectra whose broadness depends only on this parameter. Moreover, we find that the volatility exponent increases monotonically as a function of the width of the multifractal spectrum, suggesting the possibility of a change in multifractality with maturation.

  9. A stochastic evolutionary model for survival dynamics

    CERN Document Server

    Fenner, Trevor; Loizou, George

    2014-01-01

    The recent interest in human dynamics has led researchers to investigate the stochastic processes that explain human behaviour in different contexts. Here we propose a generative model to capture the essential dynamics of survival analysis, traditionally employed in clinical trials and reliability analysis in engineering. In our model, the only implicit assumption made is that the longer an actor has been in the system, the more likely it is to have failed. We derive a power-law distribution for the process and provide preliminary empirical evidence for the validity of the model from two well-known survival analysis data sets.

  10. Stochastic dynamic model of SARS spreading

    Institute of Scientific and Technical Information of China (English)

    SHI Yaolin

    2003-01-01

    Based upon the simulation of the stochastic process of infection, onset and spreading of each SARS patient, a system dynamic model of SRAS spreading is constructed. Data from Vietnam is taken as an example for Monte Carlo test. The preliminary results indicate that the time-dependent infection rate is the most important control factor for SARS spreading. The model can be applied to prediction of the course with fluctuations of the epidemics, if the previous history of the epidemics and the future infection rate under control measures are known.

  11. Dynamic stochastic accumulation model with application to pension savings management

    Directory of Open Access Journals (Sweden)

    Melicherčik Igor

    2010-01-01

    Full Text Available We propose a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. Stock prices are assumed to be driven by the geometric Brownian motion. Interest rates are modeled by means of the Cox-Ingersoll-Ross model. The optimal decision as a solution to the corresponding dynamic stochastic program is a function of the duration of saving, the level of savings and the short rate. Qualitative and quantitative properties of the optimal solution are analyzed. The model is tested on the funded pillar of the Slovak pension system. The results are calculated for various risk preferences of a saver.

  12. Stochastic population dynamic models as probability networks

    Science.gov (United States)

    M.E. and D.C. Lee. Borsuk

    2009-01-01

    The dynamics of a population and its response to environmental change depend on the balance of birth, death and age-at-maturity, and there have been many attempts to mathematically model populations based on these characteristics. Historically, most of these models were deterministic, meaning that the results were strictly determined by the equations of the model and...

  13. A toolkit for analyzing nonlinear dynamic stochastic models easily

    NARCIS (Netherlands)

    Uhlig, H.F.H.V.S.

    1995-01-01

    Often, researchers wish to analyze nonlinear dynamic discrete-time stochastic models. This paper provides a toolkit for solving such models easily, building on log-linearizing the necessary equations characterizing the equilibrium and solving for the recursive equilibrium law of motion with the meth

  14. A toolkit for analyzing nonlinear dynamic stochastic models easily

    NARCIS (Netherlands)

    Uhlig, H.F.H.V.S.

    1995-01-01

    Often, researchers wish to analyze nonlinear dynamic discrete-time stochastic models. This paper provides a toolkit for solving such models easily, building on log-linearizing the necessary equations characterizing the equilibrium and solving for the recursive equilibrium law of motion with the meth

  15. Electricity Market Stochastic Dynamic Model and Its Mean Stability Analysis

    Directory of Open Access Journals (Sweden)

    Zhanhui Lu

    2014-01-01

    Full Text Available Based on the deterministic dynamic model of electricity market proposed by Alvarado, a stochastic electricity market model, considering the random nature of demand sides, is presented in this paper on the assumption that generator cost function and consumer utility function are quadratic functions. The stochastic electricity market model is a generalization of the deterministic dynamic model. Using the theory of stochastic differential equations, stochastic process theory, and eigenvalue techniques, the determining conditions of the mean stability for this electricity market model under small Gauss type random excitation are provided and testified theoretically. That is, if the demand elasticity of suppliers is nonnegative and the demand elasticity of consumers is negative, then the stochastic electricity market model is mean stable. It implies that the stability can be judged directly by initial data without any computation. Taking deterministic electricity market data combined with small Gauss type random excitation as numerical samples to interpret random phenomena from a statistical perspective, the results indicate the conclusions above are correct, valid, and practical.

  16. Dynamical Monte Carlo method for stochastic epidemic models

    CERN Document Server

    Aiello, O E

    2002-01-01

    A new approach to Dynamical Monte Carlo Methods is introduced to simulate markovian processes. We apply this approach to formulate and study an epidemic Generalized SIRS model. The results are in excellent agreement with the forth order Runge-Kutta method in a region of deterministic solution. Introducing local stochastic interactions, the Runge-Kutta method is not applicable, and we solve and check it self-consistently with a stochastic version of the Euler Method. The results are also analyzed under the herd-immunity concept.

  17. Stochastic heart-rate model can reveal pathologic cardiac dynamics

    Science.gov (United States)

    Kuusela, Tom

    2004-03-01

    A simple one-dimensional Langevin-type stochastic difference equation can simulate the heart-rate fluctuations in a time scale from minutes to hours. The model consists of a deterministic nonlinear part and a stochastic part typical of Gaussian noise, and both parts can be directly determined from measured heart-rate data. Data from healthy subjects typically exhibit the deterministic part with two or more stable fixed points. Studies of 15 congestive heart-failure subjects reveal that the deterministic part of pathologic heart dynamics has no clear stable fixed points. Direct simulations of the stochastic model for normal and pathologic cases can produce statistical parameters similar to those of real subjects. Results directly indicate that pathologic situations simplify the heart-rate control system.

  18. A data driven nonlinear stochastic model for blood glucose dynamics.

    Science.gov (United States)

    Zhang, Yan; Holt, Tim A; Khovanova, Natalia

    2016-03-01

    The development of adequate mathematical models for blood glucose dynamics may improve early diagnosis and control of diabetes mellitus (DM). We have developed a stochastic nonlinear second order differential equation to describe the response of blood glucose concentration to food intake using continuous glucose monitoring (CGM) data. A variational Bayesian learning scheme was applied to define the number and values of the system's parameters by iterative optimisation of free energy. The model has the minimal order and number of parameters to successfully describe blood glucose dynamics in people with and without DM. The model accounts for the nonlinearity and stochasticity of the underlying glucose-insulin dynamic process. Being data-driven, it takes full advantage of available CGM data and, at the same time, reflects the intrinsic characteristics of the glucose-insulin system without detailed knowledge of the physiological mechanisms. We have shown that the dynamics of some postprandial blood glucose excursions can be described by a reduced (linear) model, previously seen in the literature. A comprehensive analysis demonstrates that deterministic system parameters belong to different ranges for diabetes and controls. Implications for clinical practice are discussed. This is the first study introducing a continuous data-driven nonlinear stochastic model capable of describing both DM and non-DM profiles.

  19. Dynamic two state stochastic models for ecological regime shifts

    DEFF Research Database (Denmark)

    Møller, Jan Kloppenborg; Carstensen, Niels Jacob; Madsen, Henrik

    2009-01-01

    A simple non-linear stochastic two state, discrete-time model is presented. The interaction between benthic and pelagic vegetation in aquatic ecosystems subject to changing external nutrient loading is described by the nonlinear functions. The dynamical behavior of the deterministic part...... of regimes, depending on how the noise propagates through the system. The dynamical properties of a system should therefore be described through propagation of the state distributions rather than the state means and consequently, stochastic models should be compared in a probabilistic framework....... of the model illustrates that hysteresis effect and regime shifts can be obtained for a limited range of parameter values only. The effect of multiplicative noise components entering at different levels of the model is presented and discussed. Including noise leads to very different results on the stability...

  20. A stochastic phase-field model determined from molecular dynamics

    KAUST Repository

    von Schwerin, Erik

    2010-03-17

    The dynamics of dendritic growth of a crystal in an undercooled melt is determined by macroscopic diffusion-convection of heat and by capillary forces acting on the nanometer scale of the solid-liquid interface width. Its modelling is useful for instance in processing techniques based on casting. The phase-field method is widely used to study evolution of such microstructural phase transformations on a continuum level; it couples the energy equation to a phenomenological Allen-Cahn/Ginzburg-Landau equation modelling the dynamics of an order parameter determining the solid and liquid phases, including also stochastic fluctuations to obtain the qualitatively correct result of dendritic side branching. This work presents a method to determine stochastic phase-field models from atomistic formulations by coarse-graining molecular dynamics. It has three steps: (1) a precise quantitative atomistic definition of the phase-field variable, based on the local potential energy; (2) derivation of its coarse-grained dynamics model, from microscopic Smoluchowski molecular dynamics (that is Brownian or over damped Langevin dynamics); and (3) numerical computation of the coarse-grained model functions. The coarse-grained model approximates Gibbs ensemble averages of the atomistic phase-field, by choosing coarse-grained drift and diffusion functions that minimize the approximation error of observables in this ensemble average. © EDP Sciences, SMAI, 2010.

  1. A stochastic evolutionary model for capturing human dynamics

    CERN Document Server

    Fenner, Trevor; Loizou, George

    2015-01-01

    The recent interest in human dynamics has led researchers to investigate the stochastic processes that explain human behaviour in various contexts. Here we propose a generative model to capture the dynamics of survival analysis, traditionally employed in clinical trials and reliability analysis in engineering. We derive a general solution for the model in the form of a product, and then a continuous approximation to the solution via the renewal equation describing age-structured population dynamics. This enables us to model a wide rage of survival distributions, according to the choice of the mortality distribution. We provide empirical evidence for the validity of the model from a longitudinal data set of popular search engine queries over 114 months, showing that the survival function of these queries is closely matched by the solution for our model with power-law mortality.

  2. Dynamical behavior of a stochastic SVIR epidemic model with vaccination

    Science.gov (United States)

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

    2017-10-01

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

  3. Diffusive dynamics and stochastic models of turbulent axisymmetric wakes

    CERN Document Server

    Rigas, G; Brackston, R D; Morrison, J F

    2015-01-01

    A modelling methodology to reproduce the experimental measurements of a turbulent flow under the presence of symmetry is presented. The flow is a three-dimensional wake generated by an axisymmetric body. We show that the dynamics of the turbulent wake- flow can be assimilated by a nonlinear two-dimensional Langevin equation, the deterministic part of which accounts for the broken symmetries which occur at the laminar and transitional regimes at low Reynolds numbers and the stochastic part of which accounts for the turbulent fluctuations. Comparison between theoretical and experimental results allows the extraction of the model parameters.

  4. Stochastic longshore current dynamics

    Science.gov (United States)

    Restrepo, Juan M.; Venkataramani, Shankar

    2016-12-01

    We develop a stochastic parametrization, based on a 'simple' deterministic model for the dynamics of steady longshore currents, that produces ensembles that are statistically consistent with field observations of these currents. Unlike deterministic models, stochastic parameterization incorporates randomness and hence can only match the observations in a statistical sense. Unlike statistical emulators, in which the model is tuned to the statistical structure of the observation, stochastic parametrization are not directly tuned to match the statistics of the observations. Rather, stochastic parameterization combines deterministic, i.e physics based models with stochastic models for the "missing physics" to create hybrid models, that are stochastic, but yet can be used for making predictions, especially in the context of data assimilation. We introduce a novel measure of the utility of stochastic models of complex processes, that we call consistency of sensitivity. A model with poor consistency of sensitivity requires a great deal of tuning of parameters and has a very narrow range of realistic parameters leading to outcomes consistent with a reasonable spectrum of physical outcomes. We apply this metric to our stochastic parametrization and show that, the loss of certainty inherent in model due to its stochastic nature is offset by the model's resulting consistency of sensitivity. In particular, the stochastic model still retains the forward sensitivity of the deterministic model and hence respects important structural/physical constraints, yet has a broader range of parameters capable of producing outcomes consistent with the field data used in evaluating the model. This leads to an expanded range of model applicability. We show, in the context of data assimilation, the stochastic parametrization of longshore currents achieves good results in capturing the statistics of observation that were not used in tuning the model.

  5. A Stochastic-Dynamic Model for Real Time Flood Forecasting

    Science.gov (United States)

    Chow, K. C. A.; Watt, W. E.; Watts, D. G.

    1983-06-01

    A stochastic-dynamic model for real time flood forecasting was developed using Box-Jenkins modelling techniques. The purpose of the forecasting system is to forecast flood levels of the Saint John River at Fredericton, New Brunswick. The model consists of two submodels: an upstream model used to forecast the headpond level at the Mactaquac Dam and a downstream model to forecast the water level at Fredericton. Inputs to the system are recorded values of the water level at East Florenceville, the headpond level and gate position at Mactaquac, and the water level at Fredericton. The model was calibrated for the spring floods of 1973, 1974, 1977, and 1978, and its usefulness was verified for the 1979 flood. The forecasting results indicated that the stochastic-dynamic model produces reasonably accurate forecasts for lead times up to two days. These forecasts were then compared to those from the existing forecasting system and were found to be as reliable as those from the existing system.

  6. Modelling the heat dynamics of buildings using stochastic

    DEFF Research Database (Denmark)

    Andersen, Klaus Kaae; Madsen, Henrik

    2000-01-01

    This paper describes the continuous time modelling of the heat dynamics of a building. The considered building is a residential like test house divided into two test rooms with a water based central heating. Each test room is divided into thermal zones in order to describe both short and long term...... variations. Besides modelling the heat transfer between thermal zones, attention is put on modelling the heat input from radiators and solar radiation. The applied modelling procedure is based on collected building performance data and statistical methods. The statistical methods are used in parameter...... estimation and model validation, while physical knowledge is used in forming the model structure. The suggested lumped parameter model is thus based on thermodynamics and formulated as a system of stochastic differential equations. Due to the continuous time formulation the parameters of the model...

  7. Dynamic stochastic optimization models for air traffic flow management

    Science.gov (United States)

    Mukherjee, Avijit

    This dissertation presents dynamic stochastic optimization models for Air Traffic Flow Management (ATFM) that enables decisions to adapt to new information on evolving capacities of National Airspace System (NAS) resources. Uncertainty is represented by a set of capacity scenarios, each depicting a particular time-varying capacity profile of NAS resources. We use the concept of a scenario tree in which multiple scenarios are possible initially. Scenarios are eliminated as possibilities in a succession of branching points, until the specific scenario that will be realized on a particular day is known. Thus the scenario tree branching provides updated information on evolving scenarios, and allows ATFM decisions to be re-addressed and revised. First, we propose a dynamic stochastic model for a single airport ground holding problem (SAGHP) that can be used for planning Ground Delay Programs (GDPs) when there is uncertainty about future airport arrival capacities. Ground delays of non-departed flights can be revised based on updated information from scenario tree branching. The problem is formulated so that a wide range of objective functions, including non-linear delay cost functions and functions that reflect equity concerns can be optimized. Furthermore, the model improves on existing practice by ensuring efficient use of available capacity without necessarily exempting long-haul flights. Following this, we present a methodology and optimization models that can be used for decentralized decision making by individual airlines in the GDP planning process, using the solutions from the stochastic dynamic SAGHP. Airlines are allowed to perform cancellations, and re-allocate slots to remaining flights by substitutions. We also present an optimization model that can be used by the FAA, after the airlines perform cancellation and substitutions, to re-utilize vacant arrival slots that are created due to cancellations. Finally, we present three stochastic integer programming

  8. Stochastic kinetic models: Dynamic independence, modularity and graphs

    CERN Document Server

    Bowsher, Clive G

    2010-01-01

    The dynamic properties and independence structure of stochastic kinetic models (SKMs) are analyzed. An SKM is a highly multivariate jump process used to model chemical reaction networks, particularly those in biochemical and cellular systems. We identify SKM subprocesses with the corresponding counting processes and propose a directed, cyclic graph (the kinetic independence graph or KIG) that encodes the local independence structure of their conditional intensities. Given a partition $[A,D,B]$ of the vertices, the graphical separation $A\\perp B|D$ in the undirected KIG has an intuitive chemical interpretation and implies that $A$ is locally independent of $B$ given $A\\cup D$. It is proved that this separation also results in global independence of the internal histories of $A$ and $B$ conditional on a history of the jumps in $D$ which, under conditions we derive, corresponds to the internal history of $D$. The results enable mathematical definition of a modularization of an SKM using its implied dynamics. Gra...

  9. Stochastic dynamics and irreversibility

    CERN Document Server

    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 ...

  10. Stochastic cellular automata model for stock market dynamics

    Science.gov (United States)

    Bartolozzi, M.; Thomas, A. W.

    2004-04-01

    In the present work we introduce a stochastic cellular automata model in order to simulate the dynamics of the stock market. A direct percolation method is used to create a hierarchy of clusters of active traders on a two-dimensional grid. Active traders are characterized by the decision to buy, σi (t)=+1 , or sell, σi (t)=-1 , a stock at a certain discrete time step. The remaining cells are inactive, σi (t)=0 . The trading dynamics is then determined by the stochastic interaction between traders belonging to the same cluster. Extreme, intermittent events, such as crashes or bubbles, are triggered by a phase transition in the state of the bigger clusters present on the grid, where almost all the active traders come to share the same spin orientation. Most of the stylized aspects of the financial market time series, including multifractal proprieties, are reproduced by the model. A direct comparison is made with the daily closures of the S&P500 index.

  11. Outbreak and Extinction Dynamics in a Stochastic Ebola Model

    Science.gov (United States)

    Nieddu, Garrett; Bianco, Simone; Billings, Lora; Forgoston, Eric; Kaufman, James

    A zoonotic disease is a disease that can be passed between animals and humans. In many cases zoonotic diseases can persist in the animal population even if there are no infections in the human population. In this case we call the infected animal population the reservoir for the disease. Ebola virus disease (EVD) and SARS are both notable examples of such diseases. There is little work devoted to understanding stochastic disease extinction and reintroduction in the presence of a reservoir. Here we build a stochastic model for EVD and explicitly consider the presence of an animal reservoir. Using a master equation approach and a WKB ansatz, we determine the associated Hamiltonian of the system. Hamilton's equations are then used to numerically compute the 12-dimensional optimal path to extinction, which is then used to estimate mean extinction times. We also numerically investigate the behavior of the model for dynamic population size. Our results provide an improved understanding of outbreak and extinction dynamics in diseases like EVD.

  12. Setting development goals using stochastic dynamical system models

    Science.gov (United States)

    Nicolis, Stamatios C.; Bali Swain, Ranjula; Sumpter, David J. T.

    2017-01-01

    The Millennium Development Goals (MDG) programme was an ambitious attempt to encourage a globalised solution to important but often-overlooked development problems. The programme led to wide-ranging development but it has also been criticised for unrealistic and arbitrary targets. In this paper, we show how country-specific development targets can be set using stochastic, dynamical system models built from historical data. In particular, we show that the MDG target of two-thirds reduction of child mortality from 1990 levels was infeasible for most countries, especially in sub-Saharan Africa. At the same time, the MDG targets were not ambitious enough for fast-developing countries such as Brazil and China. We suggest that model-based setting of country-specific targets is essential for the success of global development programmes such as the Sustainable Development Goals (SDG). This approach should provide clear, quantifiable targets for policymakers. PMID:28241057

  13. Setting development goals using stochastic dynamical system models.

    Science.gov (United States)

    Ranganathan, Shyam; Nicolis, Stamatios C; Bali Swain, Ranjula; Sumpter, David J T

    2017-01-01

    The Millennium Development Goals (MDG) programme was an ambitious attempt to encourage a globalised solution to important but often-overlooked development problems. The programme led to wide-ranging development but it has also been criticised for unrealistic and arbitrary targets. In this paper, we show how country-specific development targets can be set using stochastic, dynamical system models built from historical data. In particular, we show that the MDG target of two-thirds reduction of child mortality from 1990 levels was infeasible for most countries, especially in sub-Saharan Africa. At the same time, the MDG targets were not ambitious enough for fast-developing countries such as Brazil and China. We suggest that model-based setting of country-specific targets is essential for the success of global development programmes such as the Sustainable Development Goals (SDG). This approach should provide clear, quantifiable targets for policymakers.

  14. Stochastic model for aerodynamic force dynamics on wind turbine blades in unsteady wind inflow

    CERN Document Server

    Luhur, Muhammad Ramzan; Kühn, Martin; Wächter, Matthias

    2015-01-01

    The paper presents a stochastic approach to estimate the aerodynamic forces with local dynamics on wind turbine blades in unsteady wind inflow. This is done by integrating a stochastic model of lift and drag dynamics for an airfoil into the aerodynamic simulation software AeroDyn. The model is added as an alternative to the static table lookup approach in blade element momentum (BEM) wake model used by AeroDyn. The stochastic forces are obtained for a rotor blade element using full field turbulence simulated wind data input and compared with the classical BEM and dynamic stall models for identical conditions. The comparison shows that the stochastic model generates additional extended dynamic response in terms of local force fluctuations. Further, the comparison of statistics between the classical BEM, dynamic stall and stochastic models' results in terms of their increment probability density functions gives consistent results.

  15. A stochastic dynamic programming model for stream water quality management

    Indian Academy of Sciences (India)

    P P Mujumdar; Pavan Saxena

    2004-10-01

    This paper deals with development of a seasonal fraction-removal policy model for waste load allocation in streams addressing uncertainties due to randomness and fuzziness. A stochastic dynamic programming (SDP) model is developed to arrive at the steady-state seasonal fraction-removal policy. A fuzzy decision model (FDM) developed by us in an earlier study is used to compute the system performance measure required in the SDP model. The state of the system in a season is defined by streamflows at the headwaters during the season and the initial DO deficit at some pre-specified checkpoints. The random variation of streamflows is included in the SDP model through seasonal transitional probabilities. The decision vector consists of seasonal fraction-removal levels for the effluent dischargers. Uncertainty due to imprecision (fuzziness) associated with water quality goals is addressed using the concept of fuzzy decision. Responses of pollution control agencies to the resulting end-of-season DO deficit vector and that of dischargers to the fraction-removal levels are treated as fuzzy, and modelled with appropriate membership functions. Application of the model is illustrated with a case study of the Tungabhadra river in India.

  16. STOCHASTIC KINETIC MODELS: DYNAMIC INDEPENDENCE, MODULARITY AND GRAPHS.

    Science.gov (United States)

    Bowsher, Clive G

    2010-08-01

    The dynamic properties and independence structure of stochastic kinetic models (SKMs) are analyzed. An SKM is a highly multivariate jump process used to model chemical reaction networks, particularly those in biochemical and cellular systems. We identify SKM subprocesses with the corresponding counting processes and propose a directed, cyclic graph (the kinetic independence graph or KIG) that encodes the local independence structure of their conditional intensities. Given a partition [A, D, B] of the vertices, the graphical separation A ⊥ B|D in the undirected KIG has an intuitive chemical interpretation and implies that A is locally independent of B given A ∪ D. It is proved that this separation also results in global independence of the internal histories of A and B conditional on a history of the jumps in D which, under conditions we derive, corresponds to the internal history of D. The results enable mathematical definition of a modularization of an SKM using its implied dynamics. Graphical decomposition methods are developed for the identification and efficient computation of nested modularizations. Application to an SKM of the red blood cell advances understanding of this biochemical system.

  17. Filtering nonlinear dynamical systems with linear stochastic models

    Science.gov (United States)

    Harlim, J.; Majda, A. J.

    2008-06-01

    An important emerging scientific issue is the real time filtering through observations of noisy signals for nonlinear dynamical systems as well as the statistical accuracy of spatio-temporal discretizations for filtering such systems. From the practical standpoint, the demand for operationally practical filtering methods escalates as the model resolution is significantly increased. For example, in numerical weather forecasting the current generation of global circulation models with resolution of 35 km has a total of billions of state variables. Numerous ensemble based Kalman filters (Evensen 2003 Ocean Dyn. 53 343-67 Bishop et al 2001 Mon. Weather Rev. 129 420-36 Anderson 2001 Mon. Weather Rev. 129 2884-903 Szunyogh et al 2005 Tellus A 57 528-45 Hunt et al 2007 Physica D 230 112-26) show promising results in addressing this issue; however, all these methods are very sensitive to model resolution, observation frequency, and the nature of the turbulent signals when a practical limited ensemble size (typically less than 100) is used. In this paper, we implement a radical filtering approach to a relatively low (40) dimensional toy model, the L-96 model (Lorenz 1996 Proc. on Predictability (ECMWF, 4-8 September 1995) pp 1-18) in various chaotic regimes in order to address the 'curse of ensemble size' for complex nonlinear systems. Practically, our approach has several desirable features such as extremely high computational efficiency, filter robustness towards variations of ensemble size (we found that the filter is reasonably stable even with a single realization) which makes it feasible for high dimensional problems, and it is independent of any tunable parameters such as the variance inflation coefficient in an ensemble Kalman filter. This radical filtering strategy decouples the problem of filtering a spatially extended nonlinear deterministic system to filtering a Fourier diagonal system of parametrized linear stochastic differential equations (Majda and Grote

  18. Stochastic evolutions of dynamic traffic flow modeling and applications

    CERN Document Server

    Chen, Xiqun (Michael); Shi, Qixin

    2015-01-01

    This book reveals the underlying mechanisms of complexity and stochastic evolutions of traffic flows. Using Eulerian and Lagrangian measurements, the authors propose lognormal headway/spacing/velocity distributions and subsequently develop a Markov car-following model to describe drivers’ random choices concerning headways/spacings, putting forward a stochastic fundamental diagram model for wide scattering flow-density points. In the context of highway onramp bottlenecks, the authors present a traffic flow breakdown probability model and spatial-temporal queuing model to improve the stability and reliability of road traffic flows. This book is intended for researchers and graduate students in the fields of transportation engineering and civil engineering.

  19. A Hierarchical Latent Stochastic Differential Equation Model for Affective Dynamics

    Science.gov (United States)

    Oravecz, Zita; Tuerlinckx, Francis; Vandekerckhove, Joachim

    2011-01-01

    In this article a continuous-time stochastic model (the Ornstein-Uhlenbeck process) is presented to model the perpetually altering states of the core affect, which is a 2-dimensional concept underlying all our affective experiences. The process model that we propose can account for the temporal changes in core affect on the latent level. The key…

  20. Model identification in computational stochastic dynamics using experimental modal data

    Science.gov (United States)

    Batou, A.; Soize, C.; Audebert, S.

    2015-01-01

    This paper deals with the identification of a stochastic computational model using experimental eigenfrequencies and mode shapes. In the presence of randomness, it is difficult to construct a one-to-one correspondence between the results provided by the stochastic computational model and the experimental data because of the random modes crossing and veering phenomena that may occur from one realization to another one. In this paper, this correspondence is constructed by introducing an adapted transformation for the computed modal quantities. Then the transformed computed modal quantities can be compared with the experimental data in order to identify the parameters of the stochastic computational model. The methodology is applied to a booster pump of thermal units for which experimental modal data have been measured on several sites.

  1. Stochastic Online Learning in Dynamic Networks under Unknown Models

    Science.gov (United States)

    2016-08-02

    setting where multiple distributed players share the arms without information exchange. Under both an exogenous restless model and an endogenous ...decision making under unknown models and incomplete observations. The technical approach rests on a stochastic online learning framework based on...general, potentially heavy-tailed distribution. In [1], we developed a general approach based on a Deterministic Sequencing of Exploration and

  2. Stochastic dynamics modeling solute transport in porous media modeling solute transport in porous media

    CERN Document Server

    Kulasiri, Don

    2002-01-01

    Most of the natural and biological phenomena such as solute transport in porous media exhibit variability which can not be modeled by using deterministic approaches. There is evidence in natural phenomena to suggest that some of the observations can not be explained by using the models which give deterministic solutions. Stochastic processes have a rich repository of objects which can be used to express the randomness inherent in the system and the evolution of the system over time. The attractiveness of the stochastic differential equations (SDE) and stochastic partial differential equations (SPDE) come from the fact that we can integrate the variability of the system along with the scientific knowledge pertaining to the system. One of the aims of this book is to explaim some useufl concepts in stochastic dynamics so that the scientists and engineers with a background in undergraduate differential calculus could appreciate the applicability and appropriateness of these developments in mathematics. The ideas ...

  3. Optically levitated nanoparticle as a model system for stochastic bistable dynamics

    Science.gov (United States)

    Ricci, F.; Rica, R. A.; Spasenović, M.; Gieseler, J.; Rondin, L.; Novotny, L.; Quidant, R.

    2017-05-01

    Nano-mechanical resonators have gained an increasing importance in nanotechnology owing to their contributions to both fundamental and applied science. Yet, their small dimensions and mass raises some challenges as their dynamics gets dominated by nonlinearities that degrade their performance, for instance in sensing applications. Here, we report on the precise control of the nonlinear and stochastic bistable dynamics of a levitated nanoparticle in high vacuum. We demonstrate how it can lead to efficient signal amplification schemes, including stochastic resonance. This work contributes to showing the use of levitated nanoparticles as a model system for stochastic bistable dynamics, with applications to a wide variety of fields.

  4. Threshold Dynamics in Stochastic SIRS Epidemic Models with Nonlinear Incidence and Vaccination.

    Science.gov (United States)

    Wang, Lei; Teng, Zhidong; Tang, Tingting; Li, Zhiming

    2017-01-01

    In this paper, the dynamical behaviors for a stochastic SIRS epidemic model with nonlinear incidence and vaccination are investigated. In the models, the disease transmission coefficient and the removal rates are all affected by noise. Some new basic properties of the models are found. Applying these properties, we establish a series of new threshold conditions on the stochastically exponential extinction, stochastic persistence, and permanence in the mean of the disease with probability one for the models. Furthermore, we obtain a sufficient condition on the existence of unique stationary distribution for the model. Finally, a series of numerical examples are introduced to illustrate our main theoretical results and some conjectures are further proposed.

  5. Stochastic modeling of uncertain mass characteristics in rigid body dynamics

    Science.gov (United States)

    Richter, Lanae A.; Mignolet, Marc P.

    2017-03-01

    This paper focuses on the formulation, assessment, and application of a modeling strategy of uncertainty on the mass characteristics of rigid bodies, i.e. mass, position of center of mass, and inertia tensor. These characteristics are regrouped into a 4×4 matrix the elements of which are represented as random variables with joint probability density function derived following the maximum entropy framework. This stochastic model is first shown to satisfy all properties expected of the mass and tensor of inertia of rigid bodies. Its usefulness and computational efficiency are next demonstrated on the behavior of a rigid body in pure rotation exhibiting significant uncertainty in mass distribution.

  6. Advanced models of neural networks nonlinear dynamics and stochasticity in biological neurons

    CERN Document Server

    Rigatos, Gerasimos G

    2015-01-01

    This book provides a complete study on neural structures exhibiting nonlinear and stochastic dynamics, elaborating on neural dynamics by introducing advanced models of neural networks. It overviews the main findings in the modelling of neural dynamics in terms of electrical circuits and examines their stability properties with the use of dynamical systems theory. It is suitable for researchers and postgraduate students engaged with neural networks and dynamical systems theory.

  7. Introduction to stochastic dynamic programming

    CERN Document Server

    Ross, Sheldon M; Lukacs, E

    1983-01-01

    Introduction to Stochastic Dynamic Programming presents the basic theory and examines the scope of applications of stochastic dynamic programming. The book begins with a chapter on various finite-stage models, illustrating the wide range of applications of stochastic dynamic programming. Subsequent chapters study infinite-stage models: discounting future returns, minimizing nonnegative costs, maximizing nonnegative returns, and maximizing the long-run average return. Each of these chapters first considers whether an optimal policy need exist-providing counterexamples where appropriate-and the

  8. Mechanisms of Avalanche Dynamics in a Stochastic Four-State Sandpile Model

    Institute of Scientific and Technical Information of China (English)

    张端明; 潘贵军; 雷雅洁

    2003-01-01

    We study the stochastic four-state sandpile model on the square lattice. The static and dynamical properties of the model are investigated and compared with the deterministic sandpile model of Bak, Tang, and Wiesenfeld [Phys. Rev. Lett. 59 (1987) 381]. The numerical results show that the stochastic model defines a new universality class with respect to the deterministic sandpile. We also find that the waves in an avalanche are uncorrelated in the stochastic model (in the BTW model, the waves in an avalanche are correlated). The physical origin of the critical behaviour of the stochastic model being different from that of the BTW model is ascribed to the ordering and deterministic property of the toppling law in the BTW model.

  9. A stochastic model for the indicated pressure process and the dynamics of the internal combustion engine

    Energy Technology Data Exchange (ETDEWEB)

    Rizzoni, G. (Michigan Univ., Ann Arbor, MI (USA). Dept. of Electrical Engineering and Computer Science)

    1989-08-01

    In-cylinder gas pressure has long been recognized as a fundamental measure of performance in the internal combustion engine. Among the issues that have been the subject of research in recent years is the study of the effects cyclic combustion variability has on the cycle-to-cycle and cylinder-to-cylinder fluctuations in combustion pressures. Some of the research problems pertaining to cyclic combustion variability are to reformulate from a perspective markedly different from the fluid dynamic and thermodynamic models which traditionally characterize this research: a system viewpoint is embraced to construct a stochastic model for the indicated pressure process and the dynamics of the internal combustion engine. First a deterministic model for the dynamics of the engine is described; then a stochastic model is proposed for the cylinder pressure process. The deterministic model and the stochastic representation are then tied together in a Kalman filter model. Experimental results are discussed to validate the models.

  10. Methodology Aspects of Quantifying Stochastic Climate Variability with Dynamic Models

    Science.gov (United States)

    Nuterman, Roman; Jochum, Markus; Solgaard, Anna

    2015-04-01

    The paleoclimatic records show that climate has changed dramatically through time. For the past few millions of years it has been oscillating between ice ages, with large parts of the continents covered with ice, and warm interglacial periods like the present one. It is commonly assumed that these glacial cycles are related to changes in insolation due to periodic changes in Earth's orbit around Sun (Milankovitch theory). However, this relationship is far from understood. The insolation changes are so small that enhancing feedbacks must be at play. It might even be that the external perturbation only plays a minor role in comparison to internal stochastic variations or internal oscillations. This claim is based on several shortcomings in the Milankovitch theory: Prior to one million years ago, the duration of the glacial cycles was indeed 41,000 years, in line with the obliquity cycle of Earth's orbit. This duration changed at the so-called Mid-Pleistocene transition to approximately 100,000 years. Moreover, according to Milankovitch's theory the interglacial of 400,000 years ago should not have happened. Thus, while prior to one million years ago the pacing of these glacial cycles may be tied to changes in Earth's orbit, we do not understand the current magnitude and phasing of the glacial cycles. In principle it is possible that the glacial/interglacial cycles are not due to variations in Earth's orbit, but due to stochastic forcing or internal modes of variability. We present a new method and preliminary results for a unified framework using a fully coupled Earth System Model (ESM), in which the leading three ice age hypotheses will be investigated together. Was the waxing and waning of ice sheets due to an internal mode of variability, due to variations in Earth's orbit, or simply due to a low-order auto-regressive process (i.e., noise integrated by system with memory)? The central idea is to use the Generalized Linear Models (GLM), which can handle both

  11. Dynamics of stochastic systems

    CERN Document Server

    Klyatskin, Valery I

    2005-01-01

    Fluctuating parameters appear in a variety of physical systems and phenomena. They typically come either as random forces/sources, or advecting velocities, or media (material) parameters, like refraction index, conductivity, diffusivity, etc. The well known example of Brownian particle suspended in fluid and subjected to random molecular bombardment laid the foundation for modern stochastic calculus and statistical physics. Other important examples include turbulent transport and diffusion of particle-tracers (pollutants), or continuous densities (''''oil slicks''''), wave propagation and scattering in randomly inhomogeneous media, for instance light or sound propagating in the turbulent atmosphere.Such models naturally render to statistical description, where the input parameters and solutions are expressed by random processes and fields.The fundamental problem of stochastic dynamics is to identify the essential characteristics of system (its state and evolution), and relate those to the input parameters of ...

  12. Dynamics between cancer cell subpopulations reveals a model coordinating with both hierarchical and stochastic concepts.

    Directory of Open Access Journals (Sweden)

    Weikang Wang

    Full Text Available Tumors are often heterogeneous in which tumor cells of different phenotypes have distinct properties. For scientific and clinical interests, it is of fundamental importance to understand their properties and the dynamic variations among different phenotypes, specifically under radio- and/or chemo-therapy. Currently there are two controversial models describing tumor heterogeneity, the cancer stem cell (CSC model and the stochastic model. To clarify the controversy, we measured probabilities of different division types and transitions of cells via in situ immunofluorescence. Based on the experiment data, we constructed a model that combines the CSC with the stochastic concepts, showing the existence of both distinctive CSC subpopulations and the stochastic transitions from NSCCs to CSCs. The results showed that the dynamic variations between CSCs and non-stem cancer cells (NSCCs can be simulated with the model. Further studies also showed that the model can be used to describe the dynamics of the two subpopulations after radiation treatment. More importantly, analysis demonstrated that the experimental detectable equilibrium CSC proportion can be achieved only when the stochastic transitions from NSCCs to CSCs occur, indicating that tumor heterogeneity may exist in a model coordinating with both the CSC and the stochastic concepts. The mathematic model based on experimental parameters may contribute to a better understanding of the tumor heterogeneity, and provide references on the dynamics of CSC subpopulation during radiotherapy.

  13. Stochastic linear dynamical programming in order to apply it in energy modelling

    Energy Technology Data Exchange (ETDEWEB)

    El Hachem, S.

    1995-11-01

    This thesis contributes to the development of new algorithms for the computation of stochastic dynamic problem and its mini-maxi variant for the case of imperfect knowledge on random data. The proposed algorithms are scenarios aggregation type. It also contributes to integrate these algorithms in a decision support approach and to discuss the stochastic modeling of two energy problems: the refining and the portfolio gas contracts. (author). 112 refs., 5 tabs.

  14. Stochastic models of cover class dynamics. [remote sensing of vegetation

    Science.gov (United States)

    Barringer, T. H.; Robinson, V. B.

    1981-01-01

    Investigations related to satellite remote sensing of vegetation have been concerned with questions of signature identification and extension, cover inventory accuracy, and change detection and monitoring. Attention is given to models of ecological succession, present directions in successional modeling and analysis, nondynamic spatial models, issues in the analysis of spatial data, and aspects of spatial modeling. Issues in time-series analysis are considered along with dynamic spatial models, and problems of model specification and identification.

  15. Dynamical analysis of a differential algebraic bio-economic model with stage-structured and stochastic fluctuations

    Science.gov (United States)

    Zhang, Yue; Zheng, Yan; Liu, Xi; Zhang, Qingling; Li, Aihua

    2016-11-01

    This study considers a class of differential algebraic stage-structured bio-economic models with stochastic fluctuations. The stochastic bio-economic model is simplified to an Itô equation using the stochastic averaging method. The stochastic stability, Hopf bifurcation, and P-bifurcation are discussed based on the singular boundary theory of the diffusion process for the system and the invariant measure theory of dynamic systems. Numerical simulations are presented to illustrate our main results.

  16. Stochastic simulation of HIV population dynamics through complex network modelling

    NARCIS (Netherlands)

    Sloot, P.M.A.; Ivanov, S.V.; Boukhanovsky, A.V.; van de Vijver, D.A.M.C.; Boucher, C.A.B.

    2008-01-01

    We propose a new way to model HIV infection spreading through the use of dynamic complex networks. The heterogeneous population of HIV exposure groups is described through a unique network degree probability distribution. The time evolution of the network nodes is modelled by a Markov process and

  17. Stochastic simulation of HIV population dynamics through complex network modelling

    NARCIS (Netherlands)

    Sloot, P. M. A.; Ivanov, S. V.; Boukhanovsky, A. V.; van de Vijver, D. A. M. C.; Boucher, C. A. B.

    We propose a new way to model HIV infection spreading through the use of dynamic complex networks. The heterogeneous population of HIV exposure groups is described through a unique network degree probability distribution. The time evolution of the network nodes is modelled by a Markov process and

  18. Stochastic Physicochemical Dynamics

    Science.gov (United States)

    Tsekov, R.

    2001-02-01

    Thermodynamic Relaxation in Quantum Systems: A new approach to quantum Markov processes is developed and the corresponding Fokker-Planck equation is derived. The latter is examined to reproduce known results from classical and quantum physics. It was also applied to the phase-space description of a mechanical system thus leading to a new treatment of this problem different from the Wigner presentation. The equilibrium probability density obtained in the mixed coordinate-momentum space is a reasonable extension of the Gibbs canonical distribution. The validity of the Einstein fluctuation-dissipation relation is discussed in respect to the type of relaxation in an isothermal system. The first model, presuming isothermic fluctuations, leads to the Einstein formula. The second model supposes adiabatic fluctuations and yields another relation between the diffusion coefficient and mobility of a Brownian particle. A new approach to relaxations in quantum systems is also proposed that demonstrates applicability only of the adiabatic model for description of the quantum Brownian dynamics. Stochastic Dynamics of Gas Molecules: A stochastic Langevin equation is derived, describing the thermal motion of a molecule immersed in a rested fluid of identical molecules. The fluctuation-dissipation theorem is proved and a number of correlation characteristics of the molecular Brownian motion are obtained. A short review of the classical theory of Brownian motion is presented. A new method is proposed for derivation of the Fokker-Planck equations, describing the probability density evolution, from stochastic differential equations. It is also proven via the central limit theorem that the white noise is only Gaussian. The applicability of stochastic differential equations to thermodynamics is considered and a new form, different from the classical Ito and Stratonovich forms, is introduced. It is shown that the new presentation is more appropriate for the description of thermodynamic

  19. Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters

    Directory of Open Access Journals (Sweden)

    Wen Xu

    2016-10-01

    Full Text Available Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate likelihood obtained via Rao-Blackwellized particle filters. Monte Carlo studies reveal the good and stable performance of our particle filter-based estimator. When the volatility of volatility is high, or when regressors are absent but stochastic volatility exists, our approach can be better than the maximum likelihood estimator which neglects stochastic volatility and generalized method of moments (GMM estimators.

  20. Modeling the dynamic optimal advertising in stochastic condition

    Institute of Scientific and Technical Information of China (English)

    Rong DU; Qiying HU; Zhiqing MENG

    2004-01-01

    An effort to model the dynamic optimal advertising was made with the uncertainty of sales responses in consideration. The problem of dynamic advertising was depicted as a Markov decision process with two state variables. When a firm launches an advertising campaign, it may predict the probability that the campaign will obtain the sales reponse. This probability was chosen as one state variable. Cumulative sales volume was chosen as another state variable which varies randomly with advertising. The only decision variable was advertising expenditure. With these variables, a multi-stage Markov decision process model was formulated. On the basis of some propositions the model was analyzed. Some analytical results about the optimal strategy have been derived, and their practical implications have been explained.

  1. Threshold Dynamics in Stochastic SIRS Epidemic Models with Nonlinear Incidence and Vaccination

    Science.gov (United States)

    Wang, Lei; Tang, Tingting

    2017-01-01

    In this paper, the dynamical behaviors for a stochastic SIRS epidemic model with nonlinear incidence and vaccination are investigated. In the models, the disease transmission coefficient and the removal rates are all affected by noise. Some new basic properties of the models are found. Applying these properties, we establish a series of new threshold conditions on the stochastically exponential extinction, stochastic persistence, and permanence in the mean of the disease with probability one for the models. Furthermore, we obtain a sufficient condition on the existence of unique stationary distribution for the model. Finally, a series of numerical examples are introduced to illustrate our main theoretical results and some conjectures are further proposed. PMID:28194223

  2. Is There Really a Global Business Cycle? : A Dynamic Factor Model with Stochastic Factor Selection

    NARCIS (Netherlands)

    T. Berger (Tino); L.C.G. Pozzi (Lorenzo)

    2016-01-01

    textabstractWe investigate the presence of international business cycles in macroeconomic aggregates (output, consumption, investment) using a panel of 60 countries over the period 1961-2014. The paper presents a Bayesian stochastic factor selection approach for dynamic factor models with

  3. Modeling dynamics of HIV infected cells using stochastic cellular automaton

    Science.gov (United States)

    Precharattana, Monamorn; Triampo, Wannapong

    2014-08-01

    Ever since HIV was first diagnosed in human, a great number of scientific works have been undertaken to explore the biological mechanisms involved in the infection and progression of the disease. Several cellular automata (CA) models have been introduced to gain insights into the dynamics of the disease progression but none of them has taken into account effects of certain immune cells such as the dendritic cells (DCs) and the CD8+ T lymphocytes (CD8+ T cells). In this work, we present a CA model, which incorporates effects of the HIV specific immune response focusing on the cell-mediated immunities, and investigate the interaction between the host immune response and the HIV infected cells in the lymph nodes. The aim of our work is to propose a model more realistic than the one in Precharattana et al. (2010) [10], by incorporating roles of the DCs, the CD4+ T cells, and the CD8+ T cells into the model so that it would reproduce the HIV infection dynamics during the primary phase of HIV infection.

  4. Dynamics of popstar record sales on phonographic market -- stochastic model

    CERN Document Server

    Jarynowski, Amdrzej

    2013-01-01

    We investigate weekly record sales of the world's most popular 30 artists (2003-2013). Time series of sales have non-trivial kind of memory (anticorrelations, strong seasonality and constant autocorrelation decay within 120 weeks). Amount of artists record sales are usually the highest in the first week after premiere of their brand new records and then decrease to fluctuate around zero till next album release. We model such a behavior by discrete mean-reverting geometric jump diffusion (MRGJD) and Markov regime switching mechanism (MRS) between the base and the promotion regimes. We can built up the evidence through such a toy model that quantifies linear and nonlinear dynamical components (with stationary and nonstationary parameters set), and measure local divergence of the system with collective behavior phenomena. We find special kind of disagreement between model and data for Christmas time due to unusual shopping behavior. Analogies to earthquakes, product life-cycles, and energy markets will also be d...

  5. A stochastic model for the semiclassical collective dynamics of charged beams in particle accelerators

    CERN Document Server

    De Martino, S; Illuminati, F; Martino, Salvatore De; Siena, Silvio De; Illuminati, Fabrizio

    1999-01-01

    A recent proposal (see quant-ph/9803068) to simulate semiclassical corrections to classical dynamics by suitable classical stochastic fluctuations is applied to the specific instance of charged beam dynamics in particle accelerators. The resulting picture is that the collective beam dynamics, at the leading semiclassical order in Planck constant can be described by a particular diffusion process, the Nelson process, which is time-reversal invariant. Its diffusion coefficient $\\sqrt{N}\\lambda_{c}$ represents a semiclassical unit of emittance (here $N$ is the number of particles in the beam, and $\\lambda_{c}$ is the Compton wavelength). The stochastic dynamics of the Nelson type can be easily recast in the form of a Schroedinger equation, with the semiclassical unit of emittance replacing Planck constant. Therefore we provide a physical foundation to the several quantum-like models of beam dynamics proposed in recent years. We also briefly touch upon applications of the Nelson and Schroedinger formalisms to inc...

  6. Stochastic Control - External Models

    DEFF Research Database (Denmark)

    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...

  7. The Stochastic Multi-strain Dengue Model: Analysis of the Dynamics

    Science.gov (United States)

    Aguiar, Maíra; Stollenwerk, Nico; Kooi, Bob W.

    2011-09-01

    Dengue dynamics is well known to be particularly complex with large fluctuations of disease incidences. An epidemic multi-strain model motivated by dengue fever epidemiology shows deterministic chaos in wide parameter regions. The addition of seasonal forcing, mimicking the vectorial dynamics, and a low import of infected individuals, which is realistic in the dynamics of infectious diseases epidemics show complex dynamics and qualitatively a good agreement between empirical DHF monitoring data and the obtained model simulation. The addition of noise can explain the fluctuations observed in the empirical data and for large enough population size, the stochastic system can be well described by the deterministic skeleton.

  8. Predicting extinction risks under climate change: coupling stochastic population models with dynamic bioclimatic habitat models.

    Science.gov (United States)

    Keith, David A; Akçakaya, H Resit; Thuiller, Wilfried; Midgley, Guy F; Pearson, Richard G; Phillips, Steven J; Regan, Helen M; Araújo, Miguel B; Rebelo, Tony G

    2008-10-23

    Species responses to climate change may be influenced by changes in available habitat, as well as population processes, species interactions and interactions between demographic and landscape dynamics. Current methods for assessing these responses fail to provide an integrated view of these influences because they deal with habitat change or population dynamics, but rarely both. In this study, we linked a time series of habitat suitability models with spatially explicit stochastic population models to explore factors that influence the viability of plant species populations under stable and changing climate scenarios in South African fynbos, a global biodiversity hot spot. Results indicate that complex interactions between life history, disturbance regime and distribution pattern mediate species extinction risks under climate change. Our novel mechanistic approach allows more complete and direct appraisal of future biotic responses than do static bioclimatic habitat modelling approaches, and will ultimately support development of more effective conservation strategies to mitigate biodiversity losses due to climate change.

  9. Variational Bayesian identification and prediction of stochastic nonlinear dynamic causal models

    Science.gov (United States)

    Daunizeau, J.; Friston, K. J.; Kiebel, S. J.

    2009-11-01

    In this paper, we describe a general variational Bayesian approach for approximate inference on nonlinear stochastic dynamic models. This scheme extends established approximate inference on hidden-states to cover: (i) nonlinear evolution and observation functions, (ii) unknown parameters and (precision) hyperparameters and (iii) model comparison and prediction under uncertainty. Model identification or inversion entails the estimation of the marginal likelihood or evidence of a model. This difficult integration problem can be finessed by optimising a free-energy bound on the evidence using results from variational calculus. This yields a deterministic update scheme that optimises an approximation to the posterior density on the unknown model variables. We derive such a variational Bayesian scheme in the context of nonlinear stochastic dynamic hierarchical models, for both model identification and time-series prediction. The computational complexity of the scheme is comparable to that of an extended Kalman filter, which is critical when inverting high dimensional models or long time-series. Using Monte-Carlo simulations, we assess the estimation efficiency of this variational Bayesian approach using three stochastic variants of chaotic dynamic systems. We also demonstrate the model comparison capabilities of the method, its self-consistency and its predictive power.

  10. Modeling and estimating change in temporal networks via a dynamic degree corrected stochastic block model

    CERN Document Server

    Wilson, James D; Woodall, William H

    2016-01-01

    In many applications it is of interest to identify anomalous behavior within a dynamic interacting system. Such anomalous interactions are reflected by structural changes in the network representation of the system. We propose and investigate the use of a dynamic version of the degree corrected stochastic block model (DCSBM) as a means to model and monitor dynamic networks that undergo a significant structural change. Our model provides a means to simulate a variety of local and global changes in a time-varying network. Furthermore, one can efficiently detect such changes using the maximum likelihood estimates of the parameters that characterize the DCSBM. We assess the utility of the dynamic DCSBM on both simulated and real networks. Using a simple monitoring strategy on the DCSBM, we are able to detect significant changes in the U.S. Senate co-voting network that reflects both times of cohesion and times of polarization among Republican and Democratic members. Our analysis suggests that the dynamic DCSBM pr...

  11. Stochastic modelling of soil moisture dynamics in a grassland of Qilian Mountain at point scale

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    Stochastic modeling of soil moisture dynamics is crucial to the quantitative understanding of plant responses to water stresses, hydrological control of nutrient cycling processes, water competition among plants, and some other ecological dynamics, and thus has become a hotspot in ecohydrology at present. In this paper, we based on the continuously monitored data of soil moisture during 2002-2005 and daily precipitation date of 1992-2006, and tried to make a probabilistic analysis of soil moisture dynamics at point scale in a grassland of Qilian Mountain by integrating the stochastic model improved by Laio and the Monte Carlo method. The results show that the inter-annual variations for the soil moisture patterns at different depths are very significant, and that the coefficient of variance (CV) of surface soil moisture (20 cm) is almost continually kept at about 0.23 whether in the rich or poor rainy years. Interestingly, it has been found that the maximal CV of soil moisture has not always appeared at the surface layer. Comparison of the analytically derived soil moisture probability density function (PDF) with the statistical distribution of the observed soil moisture data suggests that the stochastic model can reasonably describe and predict the soil moisture dynamics of the grassland in Qilian Mountain at point scale. By extracting the statistical information of the historical precipitation data in 1994-2006, and inputting them into the stochastic model, we analytically derived the long-term soil moisture PDF without considering the inter-annual climate fluctuations, and then numerically derived the one when considering the inter-annual fluctuation effects in combination with a Monte-Carlo procedure. It was found that, though the peak position of the probability density distribution significantly moved towards drought when considering the disturbance forces, and its width was narrowed, accordingly its peak value was increased, no significant bimodality was

  12. Stochastic lattice gas model describing the dynamics of the SIRS epidemic process

    Science.gov (United States)

    de Souza, David R.; Tomé, Tânia

    2010-03-01

    We study a stochastic process describing the onset of spreading dynamics of an epidemic in a population composed of individuals of three classes: susceptible (S), infected (I), and recovered (R). The stochastic process is defined by local rules and involves the following cyclic process: S → I → R → S (SIRS). The open process S → I → R (SIR) is studied as a particular case of the SIRS process. The epidemic process is analyzed at different levels of description: by a stochastic lattice gas model and by a birth and death process. By means of Monte Carlo simulations and dynamical mean-field approximations we show that the SIRS stochastic lattice gas model exhibit a line of critical points separating the two phases: an absorbing phase where the lattice is completely full of S individuals and an active phase where S, I and R individuals coexist, which may or may not present population cycles. The critical line, that corresponds to the onset of epidemic spreading, is shown to belong in the directed percolation universality class. By considering the birth and death process we analyze the role of noise in stabilizing the oscillations.

  13. Stochastic dynamics of model proteins on a directed graph.

    Science.gov (United States)

    Bongini, Lorenzo; Casetti, Lapo; Livi, Roberto; Politi, Antonio; Torcini, Alessandro

    2009-06-01

    A method for reconstructing the potential energy landscape of simple polypeptidic chains is described. We show how to obtain a faithful representation of the energy landscape in terms of a suitable directed graph. Topological and dynamical indicators of the graph are shown to yield an effective estimate of the time scales associated with both folding and equilibration processes. This conclusion is drawn by comparing molecular dynamics simulations at constant temperature with the dynamics on the graph, defined as a temperature-dependent Markov process. The main advantage of the graph representation is that its dynamics can be naturally renormalized by collecting nodes into "hubs" while redefining their connectivity. We show that the dynamical properties at large time scales are preserved by the renormalization procedure. Moreover, we obtain clear indications that the heteropolymers exhibit common topological properties, at variance with the homopolymer, whose peculiar graph structure stems from its spatial homogeneity. In order to distinguish between "fast" and "slow" folders, one has to look at the kinetic properties of the corresponding directed graphs. In particular, we find that the average time needed to the fast folder for reaching its native configuration is two orders of magnitude smaller than its equilibration time while for the bad folder these time scales are comparable.

  14. Dynamic modeling of tourism by stochastic method: a case of the Beijing-Tianjin-Hebei region

    Science.gov (United States)

    Dai, Juan; Zhang, Shihui; Xue, Chongsheng

    2009-10-01

    As an efficient way to stimulate the growth of economy, tourism is promoted by most counties allover the world, and has become one of the world's largest and fastest-growing industries. Essentially, tourism is a spatiotemporal system, with tourist attractions located in different geographic areas and tourist flows exchanging between different geographic regions. In this paper, we present a dynamic model for the simulation of tourism and tourist's activities in the context of GIS and stochastic method, using a case of the Beijing-Tianjin-Hebei region. The model is developed on stochastic method and multiple geospatial data sources. In the model, the spatiotemporal behavior of tourist on the Earth's Surface is governed by the evolution rules, which are extracted from the researches on tourist's activities and executed via stochastic method and multiple geospatial data. By means of the model, we simulate the tourism in the Beijing-Tianjin- Hebei region, and find that there is good correspondence between the tourist arrivals calculated with the model and those obtained from the tourism statistics. This shows that the animated dynamic modeling of tourism based on geospatial data can be used as an indicator of the tourism in the realistic world, and is also can be embedded in the GIS applications.

  15. Option Pricing with a Levy-Type Stochastic Dynamic Model for Stock Price Process Under Semi-Markovian Structural Perturbations

    Science.gov (United States)

    2015-11-30

    Scientific Publishing Company DOI : 10.1142/S0219024915500521 OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI...Applebaum (2009) Levy Processes and Stochastic Calculus . Cambridge University Press. K. Back & S. R. Pliska (1991) On the fundamental theorem of asset

  16. Price-Dynamics of Shares and Bohmian Mechanics: Deterministic or Stochastic Model?

    Science.gov (United States)

    Choustova, Olga

    2007-02-01

    We apply the mathematical formalism of Bohmian mechanics to describe dynamics of shares. The main distinguishing feature of the financial Bohmian model is the possibility to take into account market psychology by describing expectations of traders by the pilot wave. We also discuss some objections (coming from conventional financial mathematics of stochastic processes) against the deterministic Bohmian model. In particular, the objection that such a model contradicts to the efficient market hypothesis which is the cornerstone of the modern market ideology. Another objection is of pure mathematical nature: it is related to the quadratic variation of price trajectories. One possibility to reply to this critique is to consider the stochastic Bohm-Vigier model, instead of the deterministic one. We do this in the present note.

  17. STOCHASTIC DYNAMICS OF PRICES IN A MODEL OF FINANCIAL MARKET WITH DIFFERENT TYPES OF NOISE TRADERS

    Directory of Open Access Journals (Sweden)

    Lebedeva T. S.

    2015-12-01

    Full Text Available In the present study, the calculations of price dynamics are made in the model of a financial market consisting of fundamentalist and noise traders. Numerical calculations are carried out in accordance with the full Walrasian dynamic price adjustment rule. To describe fluctuations in the number of optimistic and pessimistic noise traders, a seminal stochastic Kirman’s ant model (reducible to a Markov chain is used, as well as its modification with different scaling properties of the parameter controlling the strength of herding behavior of noise agents

  18. Dynamics of a stochastic tuberculosis model with constant recruitment and varying total population size

    Science.gov (United States)

    Liu, Qun; Jiang, Daqing; Shi, Ningzhong; Hayat, Tasawar; Alsaedi, Ahmed

    2017-03-01

    In this paper, we develop a mathematical model for a tuberculosis model with constant recruitment and varying total population size by incorporating stochastic perturbations. By constructing suitable stochastic Lyapunov functions, we establish sufficient conditions for the existence of an ergodic stationary distribution as well as extinction of the disease to the stochastic system.

  19. Stochastic dynamical model for stock-stock correlations.

    Science.gov (United States)

    Ma, Wen-Jong; Hu, Chin-Kun; Amritkar, Ravindra E

    2004-08-01

    We propose a model of coupled random walks for stock-stock correlations. The walks in the model are coupled via a mechanism that the displacement (price change) of each walk (stock) is activated by the price gradients over some underlying network. We assume that the network has two underlying structures, describing the correlations among the stocks of the whole market and among those within individual groups, respectively, each with a coupling parameter controlling the degree of correlation. The model provides the interpretation of the features displayed in the distribution of the eigenvalues for the correlation matrix of real market on the level of time sequences. We verify that such modeling indeed gives good fitting for the market data of US stocks.

  20. A stochastic model of epigenetic dynamics in somatic cell reprogramming

    Directory of Open Access Journals (Sweden)

    Max eFloettmann

    2012-06-01

    Full Text Available Somatic cell reprogramming has dramatically changed stem cell research inrecent years. The high pace of new findings in the field and an ever increasingamount of data from new high throughput techniques make it challengingto isolate core principles of the process. In order to analyze suchmechanisms, we developed an abstract mechanistic model of a subset of theknown regulatory processes during cell differentiation and production of inducedpluripotent stem cells. This probabilistic Boolean network describesthe interplay between gene expression, chromatin modifications and DNAmethylation. The model incorporates recent findings in epigenetics and reproducesexperimentally observed reprogramming efficiencies and changes inmethylation and chromatin remodeling. It enables us to investigate in detail,how the temporal progression of the process is regulated. It also explicitlyincludes the transduction of factors using viral vectors and their silencing inreprogrammed cells, since this is still a standard procedure in somatic cellreprogramming. Based on the model we calculate an epigenetic landscape.Simulation results show good reproduction of experimental observations duringreprogramming, despite the simple stucture of the model. An extensiveanalysis and introduced variations hint towards possible optimizations of theprocess, that could push the technique closer to clinical applications. Fasterchanges in DNA methylation increase the speed of reprogramming at theexpense of efficiency, while accelerated chromatin modifications moderatelyimprove efficiency.

  1. Stochastic modeling

    CERN Document Server

    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 ...

  2. The ‘hit’ phenomenon: a mathematical model of human dynamics interactions as a stochastic process

    Science.gov (United States)

    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.

  3. Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation

    Science.gov (United States)

    Zhang, Wei; Wang, Jun

    2017-09-01

    In attempt to reproduce price dynamics of financial markets, a stochastic agent-based financial price model is proposed and investigated by stochastic exclusion process. The exclusion process, one of interacting particle systems, is usually thought of as modeling particle motion (with the conserved number of particles) in a continuous time Markov process. In this work, the process is utilized to imitate the trading interactions among the investing agents, in order to explain some stylized facts found in financial time series dynamics. To better understand the correlation behaviors of the proposed model, a new time-dependent intrinsic detrended cross-correlation (TDI-DCC) is introduced and performed, also, the autocorrelation analyses are applied in the empirical research. Furthermore, to verify the rationality of the financial price model, the actual return series are also considered to be comparatively studied with the simulation ones. The comparison results of return behaviors reveal that this financial price dynamics model can reproduce some correlation features of actual stock markets.

  4. Dynamics of stochastic predator-prey models with Holling II functional response

    Science.gov (United States)

    Liu, Qun; Zu, Li; Jiang, Daqing

    2016-08-01

    In this paper, we consider the dynamics of stochastic predator-prey models with Holling II functional response. For the stochastic systems, we firstly establish sufficient conditions for the existence of the globally positive solutions. Then we investigate the asymptotic moment estimations of the positive solutions and study the ultimately bounded in the mean of them. Thirdly, by constructing some suitable Lyapunov functions, we verify that there are unique stationary distributions and they are ergodic. The obtained results show that the systems still retain some stability in the sense of weak stability provided that the intensity of the white noise is relatively small. Finally, some numerical simulations are introduced to illustrate our main results.

  5. A stochastic agent-based model of pathogen propagation in dynamic multi-relational social networks

    Science.gov (United States)

    Khan, Bilal; Dombrowski, Kirk; Saad, Mohamed

    2015-01-01

    We describe a general framework for modeling and stochastic simulation of epidemics in realistic dynamic social networks, which incorporates heterogeneity in the types of individuals, types of interconnecting risk-bearing relationships, and types of pathogens transmitted across them. Dynamism is supported through arrival and departure processes, continuous restructuring of risk relationships, and changes to pathogen infectiousness, as mandated by natural history; dynamism is regulated through constraints on the local agency of individual nodes and their risk behaviors, while simulation trajectories are validated using system-wide metrics. To illustrate its utility, we present a case study that applies the proposed framework towards a simulation of HIV in artificial networks of intravenous drug users (IDUs) modeled using data collected in the Social Factors for HIV Risk survey. PMID:25859056

  6. Dynamic corner frequency in source spectral model for stochastic synthesis of ground motion

    Institute of Scientific and Technical Information of China (English)

    Xiaodan Sun; Xiaxin Tao; Guoxin Wang; Taojun Liu

    2009-01-01

    The static corner frequency and dynamic corner frequency in stochastic synthesis of ground motion from finite-fault modeling are introduced, and conceptual disadvantages of the two are discussed in this paper. Furthermore, the non-uniform radiation of seismic wave on the fault plane, as well as the trend of the larger rupture area, the lower corner frequency, can be described by the source spectral model developed by the authors. A new dynamic corner frequency can be developed directly from the model. The dependence of ground motion on the size of subfault can be eliminated if this source spectral model is adopted in the synthesis. Finally, the approach presented is validated from the comparison between the synthesized and observed ground motions at six rock stations during the Northridge earthquake in 1994.

  7. Metastable states and quasicycles in a stochastic Wilson-Cowan model of neuronal population dynamics

    KAUST Repository

    Bressloff, Paul C.

    2010-11-03

    We analyze a stochastic model of neuronal population dynamics with intrinsic noise. In the thermodynamic limit N→∞, where N determines the size of each population, the dynamics is described by deterministic Wilson-Cowan equations. On the other hand, for finite N the dynamics is described by a master equation that determines the probability of spiking activity within each population. We first consider a single excitatory population that exhibits bistability in the deterministic limit. The steady-state probability distribution of the stochastic network has maxima at points corresponding to the stable fixed points of the deterministic network; the relative weighting of the two maxima depends on the system size. For large but finite N, we calculate the exponentially small rate of noise-induced transitions between the resulting metastable states using a Wentzel-Kramers- Brillouin (WKB) approximation and matched asymptotic expansions. We then consider a two-population excitatory or inhibitory network that supports limit cycle oscillations. Using a diffusion approximation, we reduce the dynamics to a neural Langevin equation, and show how the intrinsic noise amplifies subthreshold oscillations (quasicycles). © 2010 The American Physical Society.

  8. Agent-based financial dynamics model from stochastic interacting epidemic system and complexity analysis

    Energy Technology Data Exchange (ETDEWEB)

    Lu, Yunfan, E-mail: yunfanlu@yeah.net; Wang, Jun; Niu, Hongli

    2015-06-12

    An agent-based financial stock price model is developed and investigated by a stochastic interacting epidemic system, which is one of the statistical physics systems and has been used to model the spread of an epidemic or a forest fire. Numerical and statistical analysis are performed on the simulated returns of the proposed financial model. Complexity properties of the financial time series are explored by calculating the correlation dimension and using the modified multiscale entropy method. In order to verify the rationality of the financial model, the real stock market indexes, Shanghai Composite Index and Shenzhen Component Index, are studied in comparison with the simulation data of the proposed model for the different infectiousness parameters. The empirical research reveals that this financial model can reproduce some important features of the real stock markets. - Highlights: • A new agent-based financial price model is developed by stochastic interacting epidemic system. • The structure of the proposed model allows to simulate the financial dynamics. • Correlation dimension and MMSE are applied to complexity analysis of financial time series. • Empirical results show the rationality of the proposed financial model.

  9. Cooperative Effects of Noise and Coupling on Stochastic Dynamics of a Membrane-Bulk Coupling Model

    Institute of Scientific and Technical Information of China (English)

    TANG Jun; JIA Ya; YI Ming

    2009-01-01

    Based on a membrane-bulk coupling cell model proposed by Gomez-Marin et al. [ Phys. Rev. Lett. 98 (2007) 168303], the cooperative effects of noise and coupling on the stochastic dynamical behavior are investigated, For parameters in a certain region, the oscillation can be induced by the cooperative effect of noise and coupling. Whether considering the coupling or not, corresponding coherence resonance phenomena are observed. Furthermore, the effects of two coupling parameters, cell size L and coupling intensity k, on the noise-induced oscillation of membranes are studied. Contrary effects of noise are found in and out of the deterministic oscillatory regions.

  10. Application of dynamic stochastic general equilibrium models to the case of the Serbian economy

    Directory of Open Access Journals (Sweden)

    Urošević Branko

    2014-01-01

    Full Text Available This paper proposes a dynamic stochastic general equilibrium (DSGE model for the Serbian economy. It is a modification of the existing models of Goodhart, Osorio and Tsomocos (2009 and Martinez and Tsomocos (2012. The model introduces important features of the Serbian economy, financial dollarization and foreign ownership of the banking system, while retaining the most important element of the reference models, financial friction. To solve the model we use Dynare, a specialized Matlab program for solving DSGE models. The model is subject to three different shocks: monetary, productivity, and regulatory, and the results are presented in the form of impulse response functions. It is concluded that the proposed platform has good characteristics, but its complete application to the case of the Serbian economy requires further research. [Projekat Ministarstva nauke Republike Srbije, br. 179005

  11. Variational principles for stochastic soliton dynamics.

    Science.gov (United States)

    Holm, Darryl D; Tyranowski, Tomasz M

    2016-03-01

    We develop a variational method of deriving stochastic partial differential equations whose solutions follow the flow of a stochastic vector field. As an example in one spatial dimension, we numerically simulate singular solutions (peakons) of the stochastically perturbed Camassa-Holm (CH) equation derived using this method. These numerical simulations show that peakon soliton solutions of the stochastically perturbed CH equation persist and provide an interesting laboratory for investigating the sensitivity and accuracy of adding stochasticity to finite dimensional solutions of stochastic partial differential equations. In particular, some choices of stochastic perturbations of the peakon dynamics by Wiener noise (canonical Hamiltonian stochastic deformations, CH-SD) allow peakons to interpenetrate and exchange order on the real line in overtaking collisions, although this behaviour does not occur for other choices of stochastic perturbations which preserve the Euler-Poincaré structure of the CH equation (parametric stochastic deformations, P-SD), and it also does not occur for peakon solutions of the unperturbed deterministic CH equation. The discussion raises issues about the science of stochastic deformations of finite-dimensional approximations of evolutionary partial differential equation and the sensitivity of the resulting solutions to the choices made in stochastic modelling.

  12. The role of phase dynamics in a stochastic model of a passively advected scalar

    CERN Document Server

    Moradi, Sara

    2016-01-01

    Collective synchronous motion of the phases is introduced in a model for the stochastic passive advection-diffusion of a scalar with external forcing. The model for the phase coupling dynamics follows the well known Kuramoto model paradigm of limit-cycle oscillators. The natural frequencies in the Kuramoto model are assumed to obey a given scale dependence through a dispersion relation of the drift-wave form $-\\beta\\frac{k}{1+k^2}$, where $\\beta$ is a constant representing the typical strength of the gradient. The present aim is to study the importance of collective phase dynamics on the characteristic time evolution of the fluctuation energy and the formation of coherent structures. Our results show that the assumption of a fully stochastic phase state of turbulence is more relevant for high values of $\\beta$, where we find that the energy spectrum follows a $k^{-7/2}$ scaling. Whereas for lower $\\beta$ there is a significant difference between a-synchronised and synchronised phase states, and one could expe...

  13. Stochastic ontogenetic growth model

    Science.gov (United States)

    West, B. J.; West, D.

    2012-02-01

    An ontogenetic growth model (OGM) for a thermodynamically closed system is generalized to satisfy both the first and second law of thermodynamics. The hypothesized stochastic ontogenetic growth model (SOGM) is shown to entail the interspecies allometry relation by explicitly averaging the basal metabolic rate and the total body mass over the steady-state probability density for the total body mass (TBM). This is the first derivation of the interspecies metabolic allometric relation from a dynamical model and the asymptotic steady-state distribution of the TBM is fit to data and shown to be inverse power law.

  14. A Stochastic Fractional Dynamics Model of Space-time Variability of Rain

    Science.gov (United States)

    Kundu, Prasun K.; Travis, James E.

    2013-01-01

    Rainfall varies in space and time in a highly irregular manner and is described naturally in terms of a stochastic process. A characteristic feature of rainfall statistics is that they depend strongly on the space-time scales over which rain data are averaged. A spectral model of precipitation has been developed based on a stochastic differential equation of fractional order for the point rain rate, that allows a concise description of the second moment statistics of rain at any prescribed space-time averaging scale. The model is thus capable of providing a unified description of the statistics of both radar and rain gauge data. The underlying dynamical equation can be expressed in terms of space-time derivatives of fractional orders that are adjusted together with other model parameters to fit the data. The form of the resulting spectrum gives the model adequate flexibility to capture the subtle interplay between the spatial and temporal scales of variability of rain but strongly constrains the predicted statistical behavior as a function of the averaging length and times scales. We test the model with radar and gauge data collected contemporaneously at the NASA TRMM ground validation sites located near Melbourne, Florida and in Kwajalein Atoll, Marshall Islands in the tropical Pacific. We estimate the parameters by tuning them to the second moment statistics of radar data. The model predictions are then found to fit the second moment statistics of the gauge data reasonably well without any further adjustment.

  15. Dynamics of a stochastic HIV-1 infection model with logistic growth

    Science.gov (United States)

    Jiang, Daqing; Liu, Qun; Shi, Ningzhong; Hayat, Tasawar; Alsaedi, Ahmed; Xia, Peiyan

    2017-03-01

    This paper is concerned with a stochastic HIV-1 infection model with logistic growth. Firstly, by constructing suitable stochastic Lyapunov functions, we establish sufficient conditions for the existence of ergodic stationary distribution of the solution to the HIV-1 infection model. Then we obtain sufficient conditions for extinction of the infection. The stationary distribution shows that the infection can become persistent in vivo.

  16. A Stochastic Phase-Field Model Computed From Coarse-Grained Molecular Dynamics

    CERN Document Server

    von Schwerin, Erik

    2007-01-01

    Results are presented from numerical experiments aiming at the computation of stochastic phase-field models for phase transformations by coarse-graining molecular dynamics. The studied phase transformations occur between a solid crystal and a liquid. Nucleation and growth, sometimes dendritic, of crystal grains in a sub-cooled liquid is determined by diffusion and convection of heat, on the macroscopic level, and by interface effects, where the width of the solid-liquid interface is on an atomic length-scale. Phase-field methods are widely used in the study of the continuum level time evolution of the phase transformations; they introduce an order parameter to distinguish between the phases. The dynamics of the order parameter is modelled by an Allen--Cahn equation and coupled to an energy equation, where the latent heat at the phase transition enters as a source term. Stochastic fluctuations are sometimes added in the coupled system of partial differential equations to introduce nucleation and to get qualita...

  17. Identifying influential nodes in dynamic social networks based on degree-corrected stochastic block model

    Science.gov (United States)

    Wang, Tingting; Dai, Weidi; Jiao, Pengfei; Wang, Wenjun

    2016-05-01

    Many real-world data can be represented as dynamic networks which are the evolutionary networks with timestamps. Analyzing dynamic attributes is important to understanding the structures and functions of these complex networks. Especially, studying the influential nodes is significant to exploring and analyzing networks. In this paper, we propose a method to identify influential nodes in dynamic social networks based on identifying such nodes in the temporal communities which make up the dynamic networks. Firstly, we detect the community structures of all the snapshot networks based on the degree-corrected stochastic block model (DCBM). After getting the community structures, we capture the evolution of every community in the dynamic network by the extended Jaccard’s coefficient which is defined to map communities among all the snapshot networks. Then we obtain the initial influential nodes of the dynamic network and aggregate them based on three widely used centrality metrics. Experiments on real-world and synthetic datasets demonstrate that our method can identify influential nodes in dynamic networks accurately, at the same time, we also find some interesting phenomena and conclusions for those that have been validated in complex network or social science.

  18. Hydrodynamic Lyapunov modes and strong stochasticity threshold in the dynamic XY model: an alternative scenario.

    Science.gov (United States)

    Yang, Hong-Liu; Radons, Günter

    2008-01-01

    Crossover from weak to strong chaos in high-dimensional Hamiltonian systems at the strong stochasticity threshold (SST) was anticipated to indicate a global transition in the geometric structure of phase space. Our recent study of Fermi-Pasta-Ulam models showed that corresponding to this transition the energy density dependence of all Lyapunov exponents is identical apart from a scaling factor. The current investigation of the dynamic XY model discovers an alternative scenario for the energy dependence of the system dynamics at SSTs. Though similar in tendency, the Lyapunov exponents now show individually different energy dependencies except in the near-harmonic regime. Such a finding restricts the use of indices such as the largest Lyapunov exponent and the Ricci curvatures to characterize the global transition in the dynamics of high-dimensional Hamiltonian systems. These observations are consistent with our conjecture that the quasi-isotropy assumption works well only when parametric resonances are the dominant sources of dynamical instabilities. Moreover, numerical simulations demonstrate the existence of hydrodynamical Lyapunov modes (HLMs) in the dynamic XY model and show that corresponding to the crossover in the Lyapunov exponents there is also a smooth transition in the energy density dependence of significance measures of HLMs. In particular, our numerical results confirm that strong chaos is essential for the appearance of HLMs.

  19. Stochastic Climate Theory and Modelling

    CERN Document Server

    Franzke, Christian L E; Berner, Judith; Williams, Paul D; Lucarini, Valerio

    2014-01-01

    Stochastic methods are a crucial area in contemporary climate research and are increasingly being used in comprehensive weather and climate prediction models as well as reduced order climate models. Stochastic methods are used as subgrid-scale parameterizations as well as for model error representation, uncertainty quantification, data assimilation and ensemble prediction. The need to use stochastic approaches in weather and climate models arises because we still cannot resolve all necessary processes and scales in comprehensive numerical weather and climate prediction models. In many practical applications one is mainly interested in the largest and potentially predictable scales and not necessarily in the small and fast scales. For instance, reduced order models can simulate and predict large scale modes. Statistical mechanics and dynamical systems theory suggest that in reduced order models the impact of unresolved degrees of freedom can be represented by suitable combinations of deterministic and stochast...

  20. Stochastic dynamical model of a growing network based on self-exciting point process

    CERN Document Server

    Golosovsky, Michael; 10.1103/PhysRevLett.109.098701

    2012-01-01

    We perform experimental verification of the preferential attachment model that is commonly accepted as a generating mechanism of the scale-free complex networks. To this end we chose citation network of Physics papers and traced citation history of 40,195 papers published in one year. Contrary to common belief, we found that citation dynamics of the individual papers follows the \\emph{superlinear} preferential attachment, with the exponent $\\alpha= 1.25-1.3$. Moreover, we showed that the citation process cannot be described as a memoryless Markov chain since there is substantial correlation between the present and recent citation rates of a paper. Basing on our findings we constructed a stochastic growth model of the citation network, performed numerical simulations based on this model and achieved an excellent agreement with the measured citation distributions.

  1. Modeling of stochastic dynamics of time-dependent flows under high-dimensional random forcing

    Science.gov (United States)

    Babaee, Hessam; Karniadakis, George

    2016-11-01

    In this numerical study the effect of high-dimensional stochastic forcing in time-dependent flows is investigated. To efficiently quantify the evolution of stochasticity in such a system, the dynamically orthogonal method is used. In this methodology, the solution is approximated by a generalized Karhunen-Loeve (KL) expansion in the form of u (x , t ω) = u ̲ (x , t) + ∑ i = 1 N yi (t ω)ui (x , t) , in which u ̲ (x , t) is the stochastic mean, the set of ui (x , t) 's is a deterministic orthogonal basis and yi (t ω) 's are the stochastic coefficients. Explicit evolution equations for u ̲ , ui and yi are formulated. The elements of the basis ui (x , t) 's remain orthogonal for all times and they evolve according to the system dynamics to capture the energetically dominant stochastic subspace. We consider two classical fluid dynamics problems: (1) flow over a cylinder, and (2) flow over an airfoil under up to one-hundred dimensional random forcing. We explore the interaction of intrinsic with extrinsic stochasticity in these flows. DARPA N66001-15-2-4055, Office of Naval Research N00014-14-1-0166.

  2. A stochastic model of the dynamics of HIV under a combination therapeutic intervention

    Directory of Open Access Journals (Sweden)

    VSS Yadavalli

    2009-06-01

    Full Text Available Drug resistance to single therapeutic treatment in HIV infected individuals has promoted research into combined treatments. In this paper we propose a stochastic model under combined therapeutic treatment by extending the model of HIV pathogenesis under treatment by anti-viral drugs given in [Perelson AS, Neumann AU, Markowits M, Leonard JM & Ho DD, 1996, "HIV-1 dynamics in vivo virion clearance rate, infected cell life span, and viral generation time", Science New Series, 271, pp. 1582-1586]. Variance and co-variance structures of variables are obtainable via this approach in addition to the mean numbers of free HIV, infectious free HIV and non-infectious free HIV that were obtained by Perelson et al. Comparing simulated data for before and after treatment indicates the importance of combined treatment and its overall effect(s.

  3. Variational principles for stochastic fluid dynamics.

    Science.gov (United States)

    Holm, Darryl D

    2015-04-08

    This paper derives stochastic partial differential equations (SPDEs) for fluid dynamics from a stochastic variational principle (SVP). The paper proceeds by taking variations in the SVP to derive stochastic Stratonovich fluid equations; writing their Itô representation; and then investigating the properties of these stochastic fluid models in comparison with each other, and with the corresponding deterministic fluid models. The circulation properties of the stochastic Stratonovich fluid equations are found to closely mimic those of the deterministic ideal fluid models. As with deterministic ideal flows, motion along the stochastic Stratonovich paths also preserves the helicity of the vortex field lines in incompressible stochastic flows. However, these Stratonovich properties are not apparent in the equivalent Itô representation, because they are disguised by the quadratic covariation drift term arising in the Stratonovich to Itô transformation. This term is a geometric generalization of the quadratic covariation drift term already found for scalar densities in Stratonovich's famous 1966 paper. The paper also derives motion equations for two examples of stochastic geophysical fluid dynamics; namely, the Euler-Boussinesq and quasi-geostropic approximations.

  4. Stochastic Subspace Modelling of Turbulence

    DEFF Research Database (Denmark)

    Sichani, Mahdi Teimouri; Pedersen, B. J.; Nielsen, Søren R.K.

    2009-01-01

    Turbulence of the incoming wind field is of paramount importance to the dynamic response of civil engineering structures. Hence reliable stochastic models of the turbulence should be available from which time series can be generated for dynamic response and structural safety analysis. In the paper...

  5. Dynamic-stochastic modeling of snow cover formation on the European territory of Russia

    Directory of Open Access Journals (Sweden)

    A. N. Gelfan

    2014-01-01

    Full Text Available A dynamic-stochastic model, which combines a deterministic model of snow cover formation with a stochastic weather generator, has been developed. The deterministic snow model describes temporal change of the snow depth, content of ice and liquid water, snow density, snowmelt, sublimation, re-freezing of melt water, and snow metamorphism. The model has been calibrated and validated against the long-term data of snow measurements over the territory of the European Russia. The model showed good performance in simulating time series of the snow water equivalent and snow depth. The developed weather generator (NEsted Weather Generator, NewGen includes nested generators of annual, monthly and daily time series of weather variables (namely, precipitation, air temperature, and air humidity. The parameters of the NewGen have been adjusted through calibration against the long-term meteorological data in the European Russia. A disaggregation procedure has been proposed for transforming parameters of the annual weather generator into the parameters of the monthly one and, subsequently, into the parameters of the daily generator. Multi-year time series of the simulated daily weather variables have been used as an input to the snow model. Probability properties of the snow cover, such as snow water equivalent and snow depth for return periods of 25 and 100 years, have been estimated against the observed data, showing good correlation coefficients. The described model has been applied to different landscapes of European Russia, from steppe to taiga regions, to show the robustness of the proposed technique.

  6. Exact field-driven interface dynamics in the two-dimensional stochastic Ising model with helicoidal boundary conditions

    OpenAIRE

    de Mendonça, J. Ricardo G.

    2012-01-01

    We investigate the interface dynamics of the two-dimensional stochastic Ising model in an external field under helicoidal boundary conditions. At sufficiently low temperatures and fields, the dynamics of the interface is described by an exactly solvable high-spin asymmetric quantum Hamiltonian that is the infinitesimal generator of the zero range process. Generally, the critical dynamics of the interface fluctuations is in the Kardar-Parisi-Zhang universality class of critical behavior. We re...

  7. ENSO dynamics: low-dimensional-chaotic or stochastic?

    CERN Document Server

    Zivkovic, Tatjana

    2012-01-01

    We apply a test for low-dimensional, deterministic dynamics to the Nino 3 time series for the El Nino Southern Oscillation (ENSO). The test is negative, indicating that the dynamics is high-dimensional/stochastic. However, application of stochastic forcing to a time-delay equation for equatorial-wave dynamics can reproduce this stochastic dynamics and other important aspects of ENSO. Without such stochastic forcing this model yields low-dimensional, deterministic dynamics, hence these results emphasize the importance of the stochastic nature of the atmosphere-ocean interaction in low-dimensional models of ENSO.

  8. Coarse-graining the calcium dynamics on a stochastic reaction-diffusion lattice model

    CERN Document Server

    Shen, Chuansheng

    2013-01-01

    We develop a coarse grained (CG) approach for efficiently simulating calcium dynamics in the endoplasmic reticulum membrane based on a fine stochastic lattice gas model. By grouping neighboring microscopic sites together into CG cells and deriving CG reaction rates using local mean field approximation, we perform CG kinetic Monte Carlo (kMC) simulations and find the results of CG-kMC simulations are in excellent agreement with that of the microscopic ones. Strikingly, there is an appropriate range of coarse proportion $m$, corresponding to the minimal deviation of the phase transition point compared to the microscopic one. For fixed $m$, the critical point increases monotonously as the system size increases, especially, there exists scaling law between the deviations of the phase transition point and the system size. Moreover, the CG approach provides significantly faster Monte Carlo simulations which are easy to implement and are directly related to the microscopics, so that one can study the system size eff...

  9. Stochastic dynamics and chaos in the 3D Hindmarsh-Rose model

    Science.gov (United States)

    Ryashko, Lev; Bashkirtseva, Irina; Slepukhina, Evdokia; Fedotov, Sergei

    2016-12-01

    We study the effect of random disturbances on the three-dimensional Hindmarsh-Rose model of neural activity. In a parametric zone, where the only attractor of the system is a stable equilibrium, a stochastic generation of bursting oscillations is observed. For a sufficiently small noise, random states concentrate near the equilibrium. With an increase of the noise intensity, along with small-amplitude oscillations around the equilibrium, bursts are observed. The relationship of the noise-induced generation of bursts with system transitions from order to chaos is discussed. For a quantitative analysis of these stochastic phenomena, an approach based on the stochastic sensitivity function technique is suggested.

  10. Dynamics of a stochastic multi-strain SIS epidemic model driven by Lévy noise

    Science.gov (United States)

    Chen, Can; Kang, Yanmei

    2017-01-01

    A stochastic multi-strain SIS epidemic model is formulated by introducing Lévy noise into the disease transmission rate of each strain. First, we prove that the stochastic model admits a unique global positive solution, and, by the comparison theorem, we show that the solution remains within a positively invariant set almost surely. Next we investigate stochastic stability of the disease-free equilibrium, including stability in probability and pth moment asymptotic stability. Then sufficient conditions for persistence in the mean of the disease are established. Finally, based on an Euler scheme for Lévy-driven stochastic differential equations, numerical simulations for a stochastic two-strain model are carried out to verify the theoretical results. Moreover, numerical comparison results of the stochastic two-strain model and the deterministic version are also given. Lévy noise can cause the two strains to become extinct almost surely, even though there is a dominant strain that persists in the deterministic model. It can be concluded that the introduction of Lévy noise reduces the disease extinction threshold, which indicates that Lévy noise may suppress the disease outbreak.

  11. Introduction to stochastic models in biology

    DEFF Research Database (Denmark)

    Ditlevsen, Susanne; Samson, Adeline

    2013-01-01

    be exposed to influences that are not completely understood or not feasible to model explicitly. Ignoring these phenomena in the modeling may affect the analysis of the studied biological systems. Therefore there is an increasing need to extend the deterministic models to models that embrace more complex...... variations in the dynamics. A way of modeling these elements is by including stochastic influences or noise. A natural extension of a deterministic differential equations model is a system of stochastic differential equations (SDEs), where relevant parameters are modeled as suitable stochastic processes......, or stochastic processes are added to the driving system equations. This approach assumes that the dynamics are partly driven by noise....

  12. Stochastic neuron models

    CERN Document Server

    Greenwood, Priscilla E

    2016-01-01

    This book describes a large number of open problems in the theory of stochastic neural systems, with the aim of enticing probabilists to work on them. This includes problems arising from stochastic models of individual neurons as well as those arising from stochastic models of the activities of small and large networks of interconnected neurons. The necessary neuroscience background to these problems is outlined within the text, so readers can grasp the context in which they arise. This book will be useful for graduate students and instructors providing material and references for applying probability to stochastic neuron modeling. Methods and results are presented, but the emphasis is on questions where additional stochastic analysis may contribute neuroscience insight. An extensive bibliography is included. Dr. Priscilla E. Greenwood is a Professor Emerita in the Department of Mathematics at the University of British Columbia. Dr. Lawrence M. Ward is a Professor in the Department of Psychology and the Brain...

  13. Stochastic Skellam model

    Science.gov (United States)

    Kraenkel, R. A.; da Silva, D. J. Pamplona

    2010-01-01

    We consider the dynamics of a biological population described by the Fisher-Kolmogorov-Petrovskii-Piskunov (FKPP) equation in the case where the spatial domain consists of alternating favorable and adverse patches whose sizes are distributed randomly. For the one-dimensional case we define a stochastic analogue of the classical critical patch size. We address the issue of persistence of a population and we show that the minimum fraction of the length of favorable segments to the total length is always smaller in the stochastic case than in a periodic arrangement. In this sense, spatial stochasticity favors viability of a population.

  14. Stochastic description of quantum Brownian dynamics

    Science.gov (United States)

    Yan, Yun-An; Shao, Jiushu

    2016-08-01

    Classical Brownian motion has well been investigated since the pioneering work of Einstein, which inspired mathematicians to lay the theoretical foundation of stochastic processes. A stochastic formulation for quantum dynamics of dissipative systems described by the system-plus-bath model has been developed and found many applications in chemical dynamics, spectroscopy, quantum transport, and other fields. This article provides a tutorial review of the stochastic formulation for quantum dissipative dynamics. The key idea is to decouple the interaction between the system and the bath by virtue of the Hubbard-Stratonovich transformation or Itô calculus so that the system and the bath are not directly entangled during evolution, rather they are correlated due to the complex white noises introduced. The influence of the bath on the system is thereby defined by an induced stochastic field, which leads to the stochastic Liouville equation for the system. The exact reduced density matrix can be calculated as the stochastic average in the presence of bath-induced fields. In general, the plain implementation of the stochastic formulation is only useful for short-time dynamics, but not efficient for long-time dynamics as the statistical errors go very fast. For linear and other specific systems, the stochastic Liouville equation is a good starting point to derive the master equation. For general systems with decomposable bath-induced processes, the hierarchical approach in the form of a set of deterministic equations of motion is derived based on the stochastic formulation and provides an effective means for simulating the dissipative dynamics. A combination of the stochastic simulation and the hierarchical approach is suggested to solve the zero-temperature dynamics of the spin-boson model. This scheme correctly describes the coherent-incoherent transition (Toulouse limit) at moderate dissipation and predicts a rate dynamics in the overdamped regime. Challenging problems

  15. Stochastic dynamics of small ensembles of non-processive molecular motors: the parallel cluster model

    CERN Document Server

    Erdmann, Thorsten; Schwarz, Ulrich S

    2013-01-01

    Non-processive molecular motors have to work together in ensembles in order to generate appreciable levels of force or movement. In skeletal muscle, for example, hundreds of myosin II molecules cooperate in thick filaments. In non-muscle cells, by contrast, small groups with few tens of non-muscle myosin II motors contribute to essential cellular processes such as transport, shape changes or mechanosensing. Here we introduce a detailed and analytically tractable model for this important situation. Using a three-state crossbridge model for the myosin II motor cycle and exploiting the assumptions of fast power stroke kinetics and equal load sharing between motors in equivalent states, we reduce the stochastic reaction network to a one-step master equation for the binding and unbinding dynamics (parallel cluster model) and derive the rules for ensemble movement. We find that for constant external load, ensemble dynamics is strongly shaped by the catch bond character of myosin II, which leads to an increase of th...

  16. Stochastic dynamics of phase singularities under ventricular fibrillation in 2D Beeler-Reuter model

    Science.gov (United States)

    Suzuki, Akio; Konno, Hidetoshi

    2011-09-01

    The dynamics of ventricular fibrillation (VF) has been studied extensively, and the initiation mechanism of VF has been elucidated to some extent. However, the stochastic dynamical nature of sustained VF remains unclear so far due to the complexity of high dimensional chaos in a heterogeneous system. In this paper, various statistical mechanical properties of sustained VF are studied numerically in 2D Beeler-Reuter-Drouhard-Roberge (BRDR) model with normal and modified ionic current conductance. The nature of sustained VF is analyzed by measuring various fluctuations of spatial phase singularity (PS) such as velocity, lifetime, the rates of birth and death. It is found that the probability density function (pdf) for lifetime of PSs is independent of system size. It is also found that the hyper-Gamma distribution serves as a universal pdf for the counting number of PSs for various system sizes and various parameters of our model tissue under VF. Further, it is demonstrated that the nonlinear Langevin equation associated with a hyper-Gamma process can mimic the pdf and temporal variation of the number of PSs in the 2D BRDR model.

  17. Stochastic dynamics of phase singularities under ventricular fibrillation in 2D Beeler-Reuter model

    Directory of Open Access Journals (Sweden)

    Akio Suzuki

    2011-09-01

    Full Text Available The dynamics of ventricular fibrillation (VF has been studied extensively, and the initiation mechanism of VF has been elucidated to some extent. However, the stochastic dynamical nature of sustained VF remains unclear so far due to the complexity of high dimensional chaos in a heterogeneous system. In this paper, various statistical mechanical properties of sustained VF are studied numerically in 2D Beeler-Reuter-Drouhard-Roberge (BRDR model with normal and modified ionic current conductance. The nature of sustained VF is analyzed by measuring various fluctuations of spatial phase singularity (PS such as velocity, lifetime, the rates of birth and death. It is found that the probability density function (pdf for lifetime of PSs is independent of system size. It is also found that the hyper-Gamma distribution serves as a universal pdf for the counting number of PSs for various system sizes and various parameters of our model tissue under VF. Further, it is demonstrated that the nonlinear Langevin equation associated with a hyper-Gamma process can mimic the pdf and temporal variation of the number of PSs in the 2D BRDR model.

  18. Modelling the heat dynamics of a building using stochastic differential equations

    DEFF Research Database (Denmark)

    Andersen, Klaus Kaae; Madsen, Henrik; Hansen, Lars Henrik

    2000-01-01

    estimation and model validation, while physical knowledge is used in forming the model structure. The suggested lumped parameter model is thus based on thermodynamics and formulated as a system of stochastic differential equations. Due to the continuous time formulation the parameters of the model...

  19. Stochastic dynamics of small ensembles of non-processive molecular motors: the parallel cluster model.

    Science.gov (United States)

    Erdmann, Thorsten; Albert, Philipp J; Schwarz, Ulrich S

    2013-11-07

    Non-processive molecular motors have to work together in ensembles in order to generate appreciable levels of force or movement. In skeletal muscle, for example, hundreds of myosin II molecules cooperate in thick filaments. In non-muscle cells, by contrast, small groups with few tens of non-muscle myosin II motors contribute to essential cellular processes such as transport, shape changes, or mechanosensing. Here we introduce a detailed and analytically tractable model for this important situation. Using a three-state crossbridge model for the myosin II motor cycle and exploiting the assumptions of fast power stroke kinetics and equal load sharing between motors in equivalent states, we reduce the stochastic reaction network to a one-step master equation for the binding and unbinding dynamics (parallel cluster model) and derive the rules for ensemble movement. We find that for constant external load, ensemble dynamics is strongly shaped by the catch bond character of myosin II, which leads to an increase of the fraction of bound motors under load and thus to firm attachment even for small ensembles. This adaptation to load results in a concave force-velocity relation described by a Hill relation. For external load provided by a linear spring, myosin II ensembles dynamically adjust themselves towards an isometric state with constant average position and load. The dynamics of the ensembles is now determined mainly by the distribution of motors over the different kinds of bound states. For increasing stiffness of the external spring, there is a sharp transition beyond which myosin II can no longer perform the power stroke. Slow unbinding from the pre-power-stroke state protects the ensembles against detachment.

  20. Stochastic dynamics of small ensembles of non-processive molecular motors: The parallel cluster model

    Science.gov (United States)

    Erdmann, Thorsten; Albert, Philipp J.; Schwarz, Ulrich S.

    2013-11-01

    Non-processive molecular motors have to work together in ensembles in order to generate appreciable levels of force or movement. In skeletal muscle, for example, hundreds of myosin II molecules cooperate in thick filaments. In non-muscle cells, by contrast, small groups with few tens of non-muscle myosin II motors contribute to essential cellular processes such as transport, shape changes, or mechanosensing. Here we introduce a detailed and analytically tractable model for this important situation. Using a three-state crossbridge model for the myosin II motor cycle and exploiting the assumptions of fast power stroke kinetics and equal load sharing between motors in equivalent states, we reduce the stochastic reaction network to a one-step master equation for the binding and unbinding dynamics (parallel cluster model) and derive the rules for ensemble movement. We find that for constant external load, ensemble dynamics is strongly shaped by the catch bond character of myosin II, which leads to an increase of the fraction of bound motors under load and thus to firm attachment even for small ensembles. This adaptation to load results in a concave force-velocity relation described by a Hill relation. For external load provided by a linear spring, myosin II ensembles dynamically adjust themselves towards an isometric state with constant average position and load. The dynamics of the ensembles is now determined mainly by the distribution of motors over the different kinds of bound states. For increasing stiffness of the external spring, there is a sharp transition beyond which myosin II can no longer perform the power stroke. Slow unbinding from the pre-power-stroke state protects the ensembles against detachment.

  1. Analysing animal social network dynamics: the potential of stochastic actor-oriented models.

    Science.gov (United States)

    Fisher, David N; Ilany, Amiyaal; Silk, Matthew J; Tregenza, Tom

    2017-03-01

    Animals are embedded in dynamically changing networks of relationships with conspecifics. These dynamic networks are fundamental aspects of their environment, creating selection on behaviours and other traits. However, most social network-based approaches in ecology are constrained to considering networks as static, despite several calls for such analyses to become more dynamic. There are a number of statistical analyses developed in the social sciences that are increasingly being applied to animal networks, of which stochastic actor-oriented models (SAOMs) are a principal example. SAOMs are a class of individual-based models designed to model transitions in networks between discrete time points, as influenced by network structure and covariates. It is not clear, however, how useful such techniques are to ecologists, and whether they are suited to animal social networks. We review the recent applications of SAOMs to animal networks, outlining findings and assessing the strengths and weaknesses of SAOMs when applied to animal rather than human networks. We go on to highlight the types of ecological and evolutionary processes that SAOMs can be used to study. SAOMs can include effects and covariates for individuals, dyads and populations, which can be constant or variable. This allows for the examination of a wide range of questions of interest to ecologists. However, high-resolution data are required, meaning SAOMs will not be useable in all study systems. It remains unclear how robust SAOMs are to missing data and uncertainty around social relationships. Ultimately, we encourage the careful application of SAOMs in appropriate systems, with dynamic network analyses likely to prove highly informative. Researchers can then extend the basic method to tackle a range of existing questions in ecology and explore novel lines of questioning. © 2016 The Authors. Journal of Animal Ecology published by John Wiley & Sons Ltd on behalf of British Ecological Society.

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

    Science.gov (United States)

    Elenchezhiyan, M; Prakash, J

    2015-09-01

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

  3. On the stochastic dynamics of molecular conformation

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    An important functioning mechanism of biological macromolecules is the transition between different conformed states due to thermal fluctuation. In the present paper, a biological macromolecule is modeled as two strands with side chains facing each other, and its stochastic dynamics including the statistics of stationary motion and the statistics of conformational transition is studied by using the stochastic averaging method for quasi Hamiltonian systems. The theoretical results are confirmed with the results from Monte Carlo simulation.

  4. Stochastic Modeling of Lift and Drag Dynamics to Obtain Aerodynamic Forces with Local Dynamics on Rotor Blade under Unsteady Wind Inflow

    Directory of Open Access Journals (Sweden)

    Muhammad Ramzan Luhur

    2014-01-01

    Full Text Available This contribution provides the development of a stochastic lift and drag model for an airfoil FX 79-W-151A under unsteady wind inflow based on wind tunnel measurements. Here we present the integration of the stochastic model into a well-known standard BEM (Blade Element Momentum model to obtain the corresponding aerodynamic forces on a rotating blade element. The stochastic model is integrated as an alternative to static tabulated data used by classical BEM. The results show that in comparison to classical BEM, the BEM with stochastic approach additionally reflects the local force dynamics and therefore provides more information on aerodynamic forces that can be used by wind turbine simulation codes

  5. Phenomenological model of stochastic, spatiotemporal, intensity dynamics of stimulated Brillouin scattering in a two-mode optical fiber.

    Science.gov (United States)

    Armstrong, Cameron R; David, John A; Thompson, John R

    2015-07-13

    We present a simple numerical model that is used in conjunction with a systematic algorithm for parameter optimization to understand the three-dimensional stochastic intensity dynamics of stimulated Brillouin scattering in a two-mode optical fiber. The primary factors driving the complex dynamics appear to be thermal density fluctuations, transverse pump fluctuations, and asymmetric transverse mode fractions over the beam cross-section.

  6. Stochastic dynamics and control

    CERN Document Server

    Sun, Jian-Qiao; Zaslavsky, George

    2006-01-01

    This book is a result of many years of author's research and teaching on random vibration and control. It was used as lecture notes for a graduate course. It provides a systematic review of theory of probability, stochastic processes, and stochastic calculus. The feedback control is also reviewed in the book. Random vibration analyses of SDOF, MDOF and continuous structural systems are presented in a pedagogical order. The application of the random vibration theory to reliability and fatigue analysis is also discussed. Recent research results on fatigue analysis of non-Gaussian stress proc

  7. Stochastic modelling of turbulence

    DEFF Research Database (Denmark)

    Sørensen, Emil Hedevang Lohse

    This thesis addresses stochastic modelling of turbulence with applications to wind energy in mind. The primary tool is ambit processes, a recently developed class of computationally tractable stochastic processes based on integration with respect to Lévy bases. The subject of ambit processes...... stochastic turbulence model based on ambit processes is proposed. It is shown how a prescribed isotropic covariance structure can be reproduced. Non-Gaussian turbulence models are obtained through non-Gaussian Lévy bases or through volatility modulation of Lévy bases. As opposed to spectral models operating...... is dissipated into heat due to the internal friction caused by viscosity. An existing stochastic model, also expressed in terms of ambit processes, is extended and shown to give a universal and parsimonious description of the turbulent energy dissipation. The volatility modulation, referred to above, has...

  8. Oscillating epidemics in a dynamic network model: stochastic and mean-field analysis.

    Science.gov (United States)

    Szabó-Solticzky, András; Berthouze, Luc; Kiss, Istvan Z; Simon, Péter L

    2016-04-01

    An adaptive network model using SIS epidemic propagation with link-type-dependent link activation and deletion is considered. Bifurcation analysis of the pairwise ODE approximation and the network-based stochastic simulation is carried out, showing that three typical behaviours may occur; namely, oscillations can be observed besides disease-free or endemic steady states. The oscillatory behaviour in the stochastic simulations is studied using Fourier analysis, as well as through analysing the exact master equations of the stochastic model. By going beyond simply comparing simulation results to mean-field models, our approach yields deeper insights into the observed phenomena and help better understand and map out the limitations of mean-field models.

  9. Dynamic and stochastic multi-project planning

    CERN Document Server

    Melchiors, Philipp

    2015-01-01

    This book deals with dynamic and stochastic methods for multi-project planning. Based on the idea of using queueing networks for the analysis of dynamic-stochastic multi-project environments this book addresses two problems: detailed scheduling of project activities, and integrated order acceptance and capacity planning. In an extensive simulation study, the book thoroughly investigates existing scheduling policies. To obtain optimal and near optimal scheduling policies new models and algorithms are proposed based on the theory of Markov decision processes and Approximate Dynamic programming.

  10. Dynamical Modelling, Stochastic Simulation and Optimization in the Context of Damage Tolerant Design

    Directory of Open Access Journals (Sweden)

    Sergio Butkewitsch

    2006-01-01

    Full Text Available This paper addresses the situation in which some form of damage is induced by cyclic mechanical stresses yielded by the vibratory motion of a system whose dynamical behaviour is, in turn, affected by the evolution of the damage. It is assumed that both phenomena, vibration and damage propagation, can be modeled by means of time depended equations of motion whose coupled solution is sought. A brief discussion about the damage tolerant design philosophy for aircraft structures is presented at the introduction, emphasizing the importance of the accurate definition of inspection intervals and, for this sake, the need of a representative damage propagation model accounting for the actual loading environment in which a structure may operate. For the purpose of illustration, the finite element model of a cantilever beam is formulated, providing that the stiffness matrix can be updated as long as a crack of an assumed initial length spreads in a given location of the beam according to a proper propagation model. This way, it is possible to track how the mechanical vibration, through its varying amplitude stress field, activates and develops the fatigue failure mechanism. Conversely, it is also possible to address how the effect of the fatigue induced stiffness degradation influences the motion of the beam, closing the loop for the analysis of a coupled vibration-degradation dynamical phenomenon. In the possession of this working model, stochastic simulation of the beam behaviour is developed, aiming at the identification of the most influential parameters and at the characterization of the probability distributions of the relevant responses of interest. The knowledge of the parameters and responses allows for the formulation of optimization problems aiming at the improvement of the beam robustness with respect to the fatigue induced stiffness degradation. The overall results are presented and analyzed, conducting to the conclusions and outline of future

  11. Stochastic dynamic equations on general time scales

    Directory of Open Access Journals (Sweden)

    Martin Bohner

    2013-02-01

    Full Text Available In this article, we construct stochastic integral and stochastic differential equations on general time scales. We call these equations stochastic dynamic equations. We provide the existence and uniqueness theorem for solutions of stochastic dynamic equations. The crucial tool of our construction is a result about a connection between the time scales Lebesgue integral and the Lebesgue integral in the common sense.

  12. Microbial and Organic Fine Particle Transport Dynamics in Streams - a Combined Experimental and Stochastic Modeling Approach

    Science.gov (United States)

    Drummond, Jen; Davies-Colley, Rob; Stott, Rebecca; Sukias, James; Nagels, John; Sharp, Alice; Packman, Aaron

    2014-05-01

    Transport dynamics of microbial cells and organic fine particles are important to stream ecology and biogeochemistry. Cells and particles continuously deposit and resuspend during downstream transport owing to a variety of processes including gravitational settling, interactions with in-stream structures or biofilms at the sediment-water interface, and hyporheic exchange and filtration within underlying sediments. Deposited cells and particles are also resuspended following increases in streamflow. Fine particle retention influences biogeochemical processing of substrates and nutrients (C, N, P), while remobilization of pathogenic microbes during flood events presents a hazard to downstream uses such as water supplies and recreation. We are conducting studies to gain insights into the dynamics of fine particles and microbes in streams, with a campaign of experiments and modeling. The results improve understanding of fine sediment transport, carbon cycling, nutrient spiraling, and microbial hazards in streams. We developed a stochastic model to describe the transport and retention of fine particles and microbes in rivers that accounts for hyporheic exchange and transport through porewaters, reversible filtration within the streambed, and microbial inactivation in the water column and subsurface. This model framework is an advance over previous work in that it incorporates detailed transport and retention processes that are amenable to measurement. Solute, particle, and microbial transport were observed both locally within sediment and at the whole-stream scale. A multi-tracer whole-stream injection experiment compared the transport and retention of a conservative solute, fluorescent fine particles, and the fecal indicator bacterium Escherichia coli. Retention occurred within both the underlying sediment bed and stands of submerged macrophytes. The results demonstrate that the combination of local measurements, whole-stream tracer experiments, and advanced modeling

  13. Dynamic stochastic optimization

    CERN Document Server

    Ermoliev, Yuri; Pflug, Georg

    2004-01-01

    Uncertainties and changes are pervasive characteristics of modern systems involving interactions between humans, economics, nature and technology. These systems are often too complex to allow for precise evaluations and, as a result, the lack of proper management (control) may create significant risks. In order to develop robust strategies we need approaches which explic­ itly deal with uncertainties, risks and changing conditions. One rather general approach is to characterize (explicitly or implicitly) uncertainties by objec­ tive or subjective probabilities (measures of confidence or belief). This leads us to stochastic optimization problems which can rarely be solved by using the standard deterministic optimization and optimal control methods. In the stochastic optimization the accent is on problems with a large number of deci­ sion and random variables, and consequently the focus ofattention is directed to efficient solution procedures rather than to (analytical) closed-form solu­ tions. Objective an...

  14. Dynamics of bed use in accommodating emergency admissions: stochastic simulation model.

    Science.gov (United States)

    Bagust, A; Place, M; Posnett, J W

    1999-07-17

    To examine the daily bed requirements arising from the flow of emergency admissions to an acute hospital, to identify the implications of fluctuating and unpredictable demands for emergency admission for the management of hospital bed capacity, and to quantify the daily risk of insufficient capacity for patients requiring immediate admission. Modelling of the dynamics of the hospital system, using a discrete-event stochastic simulation model, which reflects the relation between demand and available bed capacity. Hypothetical acute hospital in England. Simulated emergency admissions of all types except mental disorder. The risk of having no bed available for any patient requiring immediate admission; the daily risk that there is no bed available for at least one patient requiring immediate admission; the mean bed occupancy rate. Risks are discernible when average bed occupancy rates exceed about 85%, and an acute hospital can expect regular bed shortages and periodic bed crises if average bed occupancy rises to 90% or more. There are limits to the occupancy rates that can be achieved safely without considerable risk to patients and to the efficient delivery of emergency care. Spare bed capacity is therefore essential for the effective management of emergency admissions, and its cost should be borne by purchasers as an essential element of an acute hospital service.

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

    Science.gov (United States)

    Vellela, Melissa; Qian, Hong

    2009-10-06

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

  16. Confidence interval for number of population in dynamical stochastic exponential population growth models

    Directory of Open Access Journals (Sweden)

    Morteza Khodabin

    2013-06-01

    Full Text Available In this paper, the confidence interval for the solution of stochastic exponential population growth model where the so-called parameter, population growth rate is not completely definite and it depends on some random environmental effects is obtained. We use Iran population data in the period 1921-2006 as an example.

  17. A dynamic stochastic model for DNA replication initiation in early embryos.

    Directory of Open Access Journals (Sweden)

    Arach Goldar

    Full Text Available BACKGROUND: Eukaryotic cells seem unable to monitor replication completion during normal S phase, yet must ensure a reliable replication completion time. This is an acute problem in early Xenopus embryos since DNA replication origins are located and activated stochastically, leading to the random completion problem. DNA combing, kinetic modelling and other studies using Xenopus egg extracts have suggested that potential origins are much more abundant than actual initiation events and that the time-dependent rate of initiation, I(t, markedly increases through S phase to ensure the rapid completion of unreplicated gaps and a narrow distribution of completion times. However, the molecular mechanism that underlies this increase has remained obscure. METHODOLOGY/PRINCIPAL FINDINGS: Using both previous and novel DNA combing data we have confirmed that I(t increases through S phase but have also established that it progressively decreases before the end of S phase. To explore plausible biochemical scenarios that might explain these features, we have performed comparisons between numerical simulations and DNA combing data. Several simple models were tested: i recycling of a limiting replication fork component from completed replicons; ii time-dependent increase in origin efficiency; iii time-dependent increase in availability of an initially limiting factor, e.g. by nuclear import. None of these potential mechanisms could on its own account for the data. We propose a model that combines time-dependent changes in availability of a replication factor and a fork-density dependent affinity of this factor for potential origins. This novel model quantitatively and robustly accounted for the observed changes in initiation rate and fork density. CONCLUSIONS/SIGNIFICANCE: This work provides a refined temporal profile of replication initiation rates and a robust, dynamic model that quantitatively explains replication origin usage during early embryonic S phase

  18. Automated Flight Routing Using Stochastic Dynamic Programming

    Science.gov (United States)

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

    2010-01-01

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

  19. Two-boundary first exit time of Gauss-Markov processes for stochastic modeling of acto-myosin dynamics.

    Science.gov (United States)

    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.

  20. Stochastic models, estimation, and control

    CERN Document Server

    Maybeck, Peter S

    1982-01-01

    This volume builds upon the foundations set in Volumes 1 and 2. Chapter 13 introduces the basic concepts of stochastic control and dynamic programming as the fundamental means of synthesizing optimal stochastic control laws.

  1. Deep Stochastic Radar Models

    OpenAIRE

    Wheeler, Tim Allan; Holder, Martin; Winner, Hermann; Kochenderfer, Mykel

    2017-01-01

    Accurate simulation and validation of advanced driver assistance systems requires accurate sensor models. Modeling automotive radar is complicated by effects such as multipath reflections, interference, reflective surfaces, discrete cells, and attenuation. Detailed radar simulations based on physical principles exist but are computationally intractable for realistic automotive scenes. This paper describes a methodology for the construction of stochastic automotive radar models based on deep l...

  2. The dynamics of stochastic processes

    DEFF Research Database (Denmark)

    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...... 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...

  3. From Complex to Simple: Interdisciplinary Stochastic Models

    Science.gov (United States)

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

    2012-01-01

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

  4. A stochastic model for magnetic dynamics in single-molecule magnets

    Energy Technology Data Exchange (ETDEWEB)

    López-Ruiz, R., E-mail: rlruiz@ifi.unicamp.br [Instituto de Física Gleb Wataghin - Universidade Estadual de Campinas, 13083-859 Campinas (SP) (Brazil); Almeida, P.T. [Instituto de Física Gleb Wataghin - Universidade Estadual de Campinas, 13083-859 Campinas (SP) (Brazil); Vaz, M.G.F. [Instituto de Química, Universidade Federal Fluminense, 24020-150 Niterói (RJ) (Brazil); Novak, M.A. [Instituto de Física - Universidade Federal do Rio de Janeiro, 21941-972 Rio de Janeiro (RJ) (Brazil); Béron, F.; Pirota, K.R. [Instituto de Física Gleb Wataghin - Universidade Estadual de Campinas, 13083-859 Campinas (SP) (Brazil)

    2016-04-01

    Hysteresis and magnetic relaxation curves were performed on double well potential systems with quantum tunneling possibility via stochastic simulations. Simulation results are compared with experimental ones using the Mn{sub 12} single-molecule magnet, allowing us to introduce time dependence in the model. Despite being a simple simulation model, it adequately reproduces the phenomenology of a thermally activated quantum tunneling and can be extended to other systems with different parameters. Assuming competition between the reversal modes, thermal (over) and tunneling (across) the anisotropy barrier, a separation of classical and quantum contributions to relaxation time can be obtained. - Highlights: • Single-molecule magnets are modeled using a simple stochastic approach. • Simulation reproduces thermally-activated tunnelling magnetization reversal features. • The time is introduced in hysteresis and relaxation simulations. • We can separate the quantum and classical contributions to decay time.

  5. Incorporating teleconnection information into reservoir operating policies using Stochastic Dynamic Programming and a Hidden Markov Model

    Science.gov (United States)

    Turner, Sean; Galelli, Stefano; Wilcox, Karen

    2015-04-01

    Water reservoir systems are often affected by recurring large-scale ocean-atmospheric anomalies, known as teleconnections, that cause prolonged periods of climatological drought. Accurate forecasts of these events -- at lead times in the order of weeks and months -- may enable reservoir operators to take more effective release decisions to improve the performance of their systems. In practice this might mean a more reliable water supply system, a more profitable hydropower plant or a more sustainable environmental release policy. To this end, climate indices, which represent the oscillation of the ocean-atmospheric system, might be gainfully employed within reservoir operating models that adapt the reservoir operation as a function of the climate condition. This study develops a Stochastic Dynamic Programming (SDP) approach that can incorporate climate indices using a Hidden Markov Model. The model simulates the climatic regime as a hidden state following a Markov chain, with the state transitions driven by variation in climatic indices, such as the Southern Oscillation Index. Time series analysis of recorded streamflow data reveals the parameters of separate autoregressive models that describe the inflow to the reservoir under three representative climate states ("normal", "wet", "dry"). These models then define inflow transition probabilities for use in a classic SDP approach. The key advantage of the Hidden Markov Model is that it allows conditioning the operating policy not only on the reservoir storage and the antecedent inflow, but also on the climate condition, thus potentially allowing adaptability to a broader range of climate conditions. In practice, the reservoir operator would effect a water release tailored to a specific climate state based on available teleconnection data and forecasts. The approach is demonstrated on the operation of a realistic, stylised water reservoir with carry-over capacity in South-East Australia. Here teleconnections relating

  6. Inverse problems in stochastic computational dynamics

    OpenAIRE

    Capiez-Lernout, Evangéline; Soize, Christian

    2008-01-01

    International audience; This paper deals with robust updating of dynamical systems using stochastic computational models for which model and parameter uncertainties are taken into account by the nonparametric probabilistic approach. Such a problem is formulated as an inverse problem consisting in identifying the parameters of the mean computational model and the parameters of the probabilistic model of uncertainties. This inverse problem leads us to solve an optimization problem for which the...

  7. Approaches for modeling within subject variability in pharmacometric count data analysis: dynamic inter-occasion variability and stochastic differential equations.

    Science.gov (United States)

    Deng, Chenhui; Plan, Elodie L; Karlsson, Mats O

    2016-06-01

    Parameter variation in pharmacometric analysis studies can be characterized as within subject parameter variability (WSV) in pharmacometric models. WSV has previously been successfully modeled using inter-occasion variability (IOV), but also stochastic differential equations (SDEs). In this study, two approaches, dynamic inter-occasion variability (dIOV) and adapted stochastic differential equations, were proposed to investigate WSV in pharmacometric count data analysis. These approaches were applied to published count models for seizure counts and Likert pain scores. Both approaches improved the model fits significantly. In addition, stochastic simulation and estimation were used to explore further the capability of the two approaches to diagnose and improve models where existing WSV is not recognized. The results of simulations confirmed the gain in introducing WSV as dIOV and SDEs when parameters vary randomly over time. Further, the approaches were also informative as diagnostics of model misspecification, when parameters changed systematically over time but this was not recognized in the structural model. The proposed approaches in this study offer strategies to characterize WSV and are not restricted to count data.

  8. Efficient numerical integrators for stochastic models

    CERN Document Server

    De Fabritiis, G; Español, P; Coveney, P V

    2006-01-01

    The efficient simulation of models defined in terms of stochastic differential equations (SDEs) depends critically on an efficient integration scheme. In this article, we investigate under which conditions the integration schemes for general SDEs can be derived using the Trotter expansion. It follows that, in the stochastic case, some care is required in splitting the stochastic generator. We test the Trotter integrators on an energy-conserving Brownian model and derive a new numerical scheme for dissipative particle dynamics. We find that the stochastic Trotter scheme provides a mathematically correct and easy-to-use method which should find wide applicability.

  9. Principal axes for stochastic dynamics.

    Science.gov (United States)

    Vasconcelos, V V; Raischel, F; Haase, M; Peinke, J; Wächter, M; Lind, P G; Kleinhans, D

    2011-09-01

    We introduce a general procedure for directly ascertaining how many independent stochastic sources exist in a complex system modeled through a set of coupled Langevin equations of arbitrary dimension. The procedure is based on the computation of the eigenvalues and the corresponding eigenvectors of local diffusion matrices. We demonstrate our algorithm by applying it to two examples of systems showing Hopf bifurcation. We argue that computing the eigenvectors associated to the eigenvalues of the diffusion matrix at local mesh points in the phase space enables one to define vector fields of stochastic eigendirections. In particular, the eigenvector associated to the lowest eigenvalue defines the path of minimum stochastic forcing in phase space, and a transform to a new coordinate system aligned with the eigenvectors can increase the predictability of the system.

  10. Principal axes for stochastic dynamics

    CERN Document Server

    Vasconcelos, V V; Haase, M; Peinke, J; Wächter, M; Lind, P G; Kleinhans, D

    2011-01-01

    We introduce a general procedure for directly ascertaining how many independent stochastic sources exist in a complex system modeled through a set of coupled Langevin equations of arbitrary dimension. The procedure is based on the computation of the eigenvalues and the corresponding eigenvectors of local diffusion matrices. We demonstrate our algorithm by applying it to two examples of systems showing Hopf-bifurcation. We argue that computing the eigenvectors associated to the eigenvalues of the diffusion matrix at local mesh points in the phase space enables one to define vector fields of stochastic eigendirections. In particular, the eigenvector associated to the lowest eigenvalue defines the path of minimum stochastic forcing in phase space, and a transform to a new coordinate system aligned with the eigenvectors can increase the predictability of the system.

  11. Stochasticity Modeling in Memristors

    KAUST Repository

    Naous, Rawan

    2015-10-26

    Diverse models have been proposed over the past years to explain the exhibiting behavior of memristors, the fourth fundamental circuit element. The models varied in complexity ranging from a description of physical mechanisms to a more generalized mathematical modeling. Nonetheless, stochasticity, a widespread observed phenomenon, has been immensely overlooked from the modeling perspective. This inherent variability within the operation of the memristor is a vital feature for the integration of this nonlinear device into the stochastic electronics realm of study. In this paper, experimentally observed innate stochasticity is modeled in a circuit compatible format. The model proposed is generic and could be incorporated into variants of threshold-based memristor models in which apparent variations in the output hysteresis convey the switching threshold shift. Further application as a noise injection alternative paves the way for novel approaches in the fields of neuromorphic engineering circuits design. On the other hand, extra caution needs to be paid to variability intolerant digital designs based on non-deterministic memristor logic.

  12. A stochastic spatial model of HIV dynamics with an asymmetric battle between the virus and the immune system

    Science.gov (United States)

    Lin, Hai; Shuai, J. W.

    2010-04-01

    A stochastic spatial model based on the Monte Carlo approach is developed to study the dynamics of human immunodeficiency virus (HIV) infection. We aim to propose a more detailed and realistic simulation frame by incorporating many important features of HIV dynamics, which include infections, replications and mutations of viruses, antigen recognitions, activations and proliferations of lymphocytes, and diffusions, encounters and interactions of virions and lymphocytes. Our model successfully reproduces the three-phase pattern observed in HIV infection, and the simulation results for the time distribution from infection to AIDS onset are also in good agreement with the clinical data. The interactions of viruses and the immune system in all the three phases are investigated. We assess the relative importance of various immune system components in the acute phase. The dynamics of how the two important factors, namely the viral diversity and the asymmetric battle between HIV and the immune system, result in AIDS are investigated in detail with the model.

  13. A stochastic spatial model of HIV dynamics with an asymmetric battle between the virus and the immune system

    Energy Technology Data Exchange (ETDEWEB)

    Lin Hai [Department of Chemical Biology, Xiamen University, Xiamen 361005 (China); Shuai, J W, E-mail: jianweishuai@xmu.edu.c [Department of Physics and Institute of Theoretical Physics and Astrophysics, Xiamen University, Xiamen 361005 (China)

    2010-04-15

    A stochastic spatial model based on the Monte Carlo approach is developed to study the dynamics of human immunodeficiency virus (HIV) infection. We aim to propose a more detailed and realistic simulation frame by incorporating many important features of HIV dynamics, which include infections, replications and mutations of viruses, antigen recognitions, activations and proliferations of lymphocytes, and diffusions, encounters and interactions of virions and lymphocytes. Our model successfully reproduces the three-phase pattern observed in HIV infection, and the simulation results for the time distribution from infection to AIDS onset are also in good agreement with the clinical data. The interactions of viruses and the immune system in all the three phases are investigated. We assess the relative importance of various immune system components in the acute phase. The dynamics of how the two important factors, namely the viral diversity and the asymmetric battle between HIV and the immune system, result in AIDS are investigated in detail with the model.

  14. Stochastic Control Model on Rent Seeking

    Institute of Scientific and Technical Information of China (English)

    2008-01-01

    A continuous-time stochastic model is constructed to analyze how to control rent seeking behaviors. Using the stochastic optimization methods based on the modern risky theory, a unique positive solution to the dynamic model is derived. The effects of preference-related parameters on the optimal control level of rent seeking are discussed, and some policy measures are given. The results show that there exists a unique solution to the stochastic dynamic model under some macroeconomic assumptions, and that raising public expenditure may have reverse effects on rent seeking in an underdeveloped or developed economic environment.

  15. Application of users’ light-switch stochastic models to dynamic energy simulation

    DEFF Research Database (Denmark)

    Camisassi, V.; Fabi, V.; Andersen, Rune Korsholm;

    2015-01-01

    deterministic inputs, due to the uncertain nature of human behaviour. In this paper, new stochastic models of users’ interaction with artificial lighting systems are developed and implemented in the energy simulation software IDA ICE. They were developed from field measurements in an office building in Prague....... The aim is to evaluate the impact of a user's switching action over whole building energy consumption. Indeed, it is interesting not only to see the variance related to electric energy consumption, but the overall effect on a building's energy load....

  16. Identifiability in stochastic models

    CERN Document Server

    1992-01-01

    The problem of identifiability is basic to all statistical methods and data analysis, occurring in such diverse areas as Reliability Theory, Survival Analysis, and Econometrics, where stochastic modeling is widely used. Mathematics dealing with identifiability per se is closely related to the so-called branch of ""characterization problems"" in Probability Theory. This book brings together relevant material on identifiability as it occurs in these diverse fields.

  17. Strong ground-motion prediction from Stochastic-dynamic source models

    Science.gov (United States)

    Guatteri, Mariagiovanna; Mai, P.M.; Beroza, G.C.; Boatwright, J.

    2003-01-01

    In the absence of sufficient data in the very near source, predictions of the intensity and variability of ground motions from future large earthquakes depend strongly on our ability to develop realistic models of the earthquake source. In this article we simulate near-fault strong ground motion using dynamic source models. We use a boundary integral method to simulate dynamic rupture of earthquakes by specifying dynamic source parameters (fracture energy and stress drop) as spatial random fields. We choose these quantities such that they are consistent with the statistical properties of slip heterogeneity found in finite-source models of past earthquakes. From these rupture models we compute theoretical strong-motion seismograms up to a frequency of 2 Hz for several realizations of a scenario strike-slip Mw 7.0 earthquake and compare empirical response spectra, spectra obtained from our dynamic models, and spectra determined from corresponding kinematic simulations. We find that spatial and temporal variations in slip, slip rise time, and rupture propagation consistent with dynamic rupture models exert a strong influence on near-source ground motion. Our results lead to a feasible approach to specify the variability in the rupture time distribution in kinematic models through a generalization of Andrews' (1976) result relating rupture speed to apparent fracture energy, stress drop, and crack length to 3D dynamic models. This suggests that a simplified representation of dynamic rupture may be obtained to approximate the effects of dynamic rupture without having to do full dynamic simulations.

  18. Simple stochastic dynamical models capturing the statistical diversity of El Niño Southern Oscillation

    Science.gov (United States)

    Chen, Nan; Majda, Andrew J.

    2017-01-01

    The El Niño Southern Oscillation (ENSO) has significant impact on global climate and seasonal prediction. A simple modeling framework is developed here that automatically captures the statistical diversity of ENSO. First, a stochastic parameterization of the wind bursts including both westerly and easterly winds is coupled to a simple ocean–atmosphere model that is otherwise deterministic, linear, and stable. Second, a simple nonlinear zonal advection with no ad hoc parameterization of the background sea-surface temperature (SST) gradient and a mean easterly trade wind anomaly representing the multidecadal acceleration of the trade wind are both incorporated into the coupled model that enables anomalous warm SST in the central Pacific. Then a three-state stochastic Markov jump process is used to drive the wind burst activity that depends on the strength of the western Pacific warm pool in a simple and effective fashion. It allows the coupled model to simulate the quasi-regular moderate traditional El Niño, the super El Niño, and the central Pacific (CP) El Niño as well as the La Niña with realistic features. In addition to the anomalous SST, the Walker circulation anomalies at different ENSO phases all resemble those in nature. In particular, the coupled model succeeds in reproducing the observed episode during the 1990s, where a series of 5-y CP El Niños is followed by a super El Niño and then a La Niña. Importantly, both the variance and the non-Gaussian statistical features in different Niño regions spanning from the western to the eastern Pacific are captured by the coupled model. PMID:28137886

  19. Stochastic modeling analysis and simulation

    CERN Document Server

    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

  20. A hybrid stochastic-deterministic computational model accurately describes spatial dynamics and virus diffusion in HIV-1 growth competition assay.

    Science.gov (United States)

    Immonen, Taina; Gibson, Richard; Leitner, Thomas; Miller, Melanie A; Arts, Eric J; Somersalo, Erkki; Calvetti, Daniela

    2012-11-01

    We present a new hybrid stochastic-deterministic, spatially distributed computational model to simulate growth competition assays on a relatively immobile monolayer of peripheral blood mononuclear cells (PBMCs), commonly used for determining ex vivo fitness of human immunodeficiency virus type-1 (HIV-1). The novel features of our approach include incorporation of viral diffusion through a deterministic diffusion model while simulating cellular dynamics via a stochastic Markov chain model. The model accounts for multiple infections of target cells, CD4-downregulation, and the delay between the infection of a cell and the production of new virus particles. The minimum threshold level of infection induced by a virus inoculum is determined via a series of dilution experiments, and is used to determine the probability of infection of a susceptible cell as a function of local virus density. We illustrate how this model can be used for estimating the distribution of cells infected by either a single virus type or two competing viruses. Our model captures experimentally observed variation in the fitness difference between two virus strains, and suggests a way to minimize variation and dual infection in experiments.

  1. Computational Methods in Stochastic Dynamics Volume 2

    CERN Document Server

    Stefanou, George; Papadopoulos, Vissarion

    2013-01-01

    The considerable influence of inherent uncertainties on structural behavior has led the engineering community to recognize the importance of a stochastic approach to structural problems. Issues related to uncertainty quantification and its influence on the reliability of the computational models are continuously gaining in significance. In particular, the problems of dynamic response analysis and reliability assessment of structures with uncertain system and excitation parameters have been the subject of continuous research over the last two decades as a result of the increasing availability of powerful computing resources and technology.   This book is a follow up of a previous book with the same subject (ISBN 978-90-481-9986-0) and focuses on advanced computational methods and software tools which can highly assist in tackling complex problems in stochastic dynamic/seismic analysis and design of structures. The selected chapters are authored by some of the most active scholars in their respective areas and...

  2. Dynamic range of hypercubic stochastic excitable media

    CERN Document Server

    de Assis, Vladimir R V

    2007-01-01

    We study the response properties of d-dimensional hypercubic excitable networks to a stochastic stimulus. Each site, modelled either by a three-state stochastic susceptible-infected-recovered-susceptible (SIRS) system or by the probabilistic Greenberg-Hastings cellular automaton (GHCA), is continuously and independently stimulated by an external Poisson rate h. The response function (mean density of active sites rho versus h) is obtained via simulations (for d=1, 2, 3, 4) and mean field approximations at the single-site and pair levels (for all d). In any dimension, the dynamic range of the response function is maximized precisely at the nonequilibrium phase transition to self-sustained activity, in agreement with a reasoning recently proposed. Moreover, the maximum dynamic range attained at a given dimension d is a decreasing function of d.

  3. Stochastic string models with continuous semimartingales

    Science.gov (United States)

    Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F.

    2015-09-01

    This paper reformulates the stochastic string model of Santa-Clara and Sornette using stochastic calculus with continuous semimartingales. We present some new results, such as: (a) the dynamics of the short-term interest rate, (b) the PDE that must be satisfied by the bond price, and (c) an analytic expression for the price of a European bond call option. Additionally, we clarify some important features of the stochastic string model and show its relevance to price derivatives and the equivalence with an infinite dimensional HJM model to price European options.

  4. Uncovering wind turbine properties through two-dimensional stochastic modeling of wind dynamics.

    Science.gov (United States)

    Raischel, Frank; Scholz, Teresa; Lopes, Vitor V; Lind, Pedro G

    2013-10-01

    Using a method for stochastic data analysis borrowed from statistical physics, we analyze synthetic data from a Markov chain model that reproduces measurements of wind speed and power production in a wind park in Portugal. We show that our analysis retrieves indeed the power performance curve, which yields the relationship between wind speed and power production, and we discuss how this procedure can be extended for extracting unknown functional relationships between pairs of physical variables in general. We also show how specific features, such as the rated speed of the wind turbine or the descriptive wind speed statistics, can be related to the equations describing the evolution of power production and wind speed at single wind turbines.

  5. Second Quantization Approach to Stochastic Epidemic Models

    CERN Document Server

    Mondaini, Leonardo

    2015-01-01

    We show how the standard field theoretical language based on creation and annihilation operators may be used for a straightforward derivation of closed master equations describing the population dynamics of multivariate stochastic epidemic models. In order to do that, we introduce an SIR-inspired stochastic model for hepatitis C virus epidemic, from which we obtain the time evolution of the mean number of susceptible, infected, recovered and chronically infected individuals in a population whose total size is allowed to change.

  6. Analysing Social Epidemics by Delayed Stochastic Models

    Directory of Open Access Journals (Sweden)

    Francisco-José Santonja

    2012-01-01

    Full Text Available We investigate the dynamics of a delayed stochastic mathematical model to understand the evolution of the alcohol consumption in Spain. Sufficient condition for stability in probability of the equilibrium point of the dynamic model with aftereffect and stochastic perturbations is obtained via Kolmanovskii and Shaikhet general method of Lyapunov functionals construction. We conclude that alcohol consumption in Spain will be constant (with stability in time with around 36.47% of nonconsumers, 62.94% of nonrisk consumers, and 0.59% of risk consumers. This approach allows us to emphasize the possibilities of the dynamical models in order to study human behaviour.

  7. Stochastic Phenomena in One-Dimensional Rulkov Model of Neuronal Dynamics

    Directory of Open Access Journals (Sweden)

    Irina Bashkirtseva

    2015-01-01

    transitions in a zone of bistability are considered. It is shown how such random transitions can generate a new neuronal regime of the stochastic bursting and transfer the system from order to chaos. A transient zone of values of noise intensity corresponding to the onset of noise-induced bursting and chaotization is localized by the stochastic sensitivity functions technique.

  8. Geometric integrators for stochastic rigid body dynamics

    KAUST Repository

    Tretyakov, Mikhail

    2016-01-05

    Geometric integrators play an important role in simulating dynamical systems on long time intervals with high accuracy. We will illustrate geometric integration ideas within the stochastic context, mostly on examples of stochastic thermostats for rigid body dynamics. The talk will be mainly based on joint recent work with Rusland Davidchak and Tom Ouldridge.

  9. Identification and stochastic control of helicopter dynamic modes

    Science.gov (United States)

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

    1983-01-01

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

  10. Stochastic Dynamics of the Multi-State Voter Model over a Network based on Interacting Cliques and Zealot Candidates

    CERN Document Server

    Palombi, Filippo

    2013-01-01

    The stochastic dynamics of the multi-state voter model is investigated on a class of complex networks made of non-overlapping cliques, each hosting a political candidate and interacting with the others via Erd\\H{o}s-R\\'enyi links. Numerical simulations of the model are interpreted in terms of an ad-hoc mean field theory, specifically tuned to resolve the inter/intra-clique interactions. Under a proper definition of the thermodynamic limit (with the average degree of the agents kept fixed while increasing the network size), the model is found to display the empirical scaling discovered by Fortunato and Castellano (2007) [1] and the vote distribution resembles qualitatively that observed in Brazilian elections.

  11. Stochastic Dynamics of the Multi-State Voter Model Over a Network Based on Interacting Cliques and Zealot Candidates

    Science.gov (United States)

    Palombi, Filippo; Toti, Simona

    2014-07-01

    The stochastic dynamics of the multi-state voter model is investigated on a class of complex networks made of non-overlapping cliques, each hosting a political candidate and interacting with the others via Erdős-Rényi links. Numerical simulations of the model are interpreted in terms of an ad-hoc mean field theory, specifically tuned to resolve the inter/intra-clique interactions. Under a proper definition of the thermodynamic limit (with the average degree of the agents kept fixed while increasing the network size), the model is found to display the empirical scaling discovered by Fortunato and Castellano (Phys Rev Lett 99(13):138701, 2007) , while the vote distribution resembles roughly that observed in Brazilian elections.

  12. Stochastic power flow modeling

    Energy Technology Data Exchange (ETDEWEB)

    1980-06-01

    The stochastic nature of customer demand and equipment failure on large interconnected electric power networks has produced a keen interest in the accurate modeling and analysis of the effects of probabilistic behavior on steady state power system operation. The principle avenue of approach has been to obtain a solution to the steady state network flow equations which adhere both to Kirchhoff's Laws and probabilistic laws, using either combinatorial or functional approximation techniques. Clearly the need of the present is to develop sound techniques for producing meaningful data to serve as input. This research has addressed this end and serves to bridge the gap between electric demand modeling, equipment failure analysis, etc., and the area of algorithm development. Therefore, the scope of this work lies squarely on developing an efficient means of producing sensible input information in the form of probability distributions for the many types of solution algorithms that have been developed. Two major areas of development are described in detail: a decomposition of stochastic processes which gives hope of stationarity, ergodicity, and perhaps even normality; and a powerful surrogate probability approach using proportions of time which allows the calculation of joint events from one dimensional probability spaces.

  13. Stochastic modeling of the dynamics of incident-induced lane traffic states for incident-responsive local ramp control

    Science.gov (United States)

    Sheu, Jiuh-Biing

    2007-12-01

    Incident-induced traffic congestion has been recognized as a critical issue to solve in the development of advanced freeway incident management systems. This paper investigates the applicability of a stochastic optimal control approach to real-time incident-responsive local ramp control on freeways. The architecture of the proposed ramp control system embeds two primary functions including (1) real-time estimation of incident-induced lane traffic states and (2) dynamic prediction of ramp-metering rates in response to the changes of incident impacts. To accomplish the above two goals, a discrete-time nonlinear stochastic optimal control model is proposed, followed by the development of a recursive prediction algorithm. Based on the simulation data, the numerical results of model tests indicate that the proposed method permits relieving incident impacts particularly under low-volume and medium-volume conditions, relative to high-volume lane-blocking conditions. Particularly, the incident-induced queue lengths can be improved by 50.1% and 67.9%, compared to the existing ramp control and control-free strategies, respectively.

  14. Recovering kinetics from a simplified protein folding model using replica exchange simulations: a kinetic network and effective stochastic dynamics.

    Science.gov (United States)

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

    2009-08-27

    We present an approach to recover kinetics from a simplified protein folding model at different temperatures using the combined power of replica exchange (RE), a kinetic network, and effective stochastic dynamics. While RE simulations generate a large set of discrete states with the correct thermodynamics, kinetic information is lost due to the random exchange of temperatures. We show how we can recover the kinetics of a 2D continuous potential with an entropic barrier by using RE-generated discrete states as nodes of a kinetic network. By choosing the neighbors and the microscopic rates between the neighbors appropriately, the correct kinetics of the system can be recovered by running a kinetic simulation on the network. We fine-tune the parameters of the network by comparison with the effective drift velocities and diffusion coefficients of the system determined from short-time stochastic trajectories. One of the advantages of the kinetic network model is that the network can be built on a high-dimensional discretized state space, which can consist of multiple paths not consistent with a single reaction coordinate.

  15. Microtubules: dynamically unstable stochastic phase-switching polymers

    Science.gov (United States)

    Zakharov, P. N.; Arzhanik, V. K.; Ulyanov, E. V.; Gudimchuk, N. B.; Ataullakhanov, F. I.

    2016-08-01

    One of the simplest molecular motors, a biological microtubule, is reviewed as an example of a highly nonequilibrium molecular machine capable of stochastic transitions between slow growth and rapid disassembly phases. Basic properties of microtubules are described, and various approaches to simulating their dynamics, from statistical chemical kinetics models to molecular dynamics models using the Metropolis Monte Carlo and Brownian dynamics methods, are outlined.

  16. Double inverse stochastic resonance with dynamic synapses

    Science.gov (United States)

    Uzuntarla, Muhammet; Torres, Joaquin J.; So, Paul; Ozer, Mahmut; Barreto, Ernest

    2017-01-01

    We investigate the behavior of a model neuron that receives a biophysically realistic noisy postsynaptic current based on uncorrelated spiking activity from a large number of afferents. We show that, with static synapses, such noise can give rise to inverse stochastic resonance (ISR) as a function of the presynaptic firing rate. We compare this to the case with dynamic synapses that feature short-term synaptic plasticity and show that the interval of presynaptic firing rate over which ISR exists can be extended or diminished. We consider both short-term depression and facilitation. Interestingly, we find that a double inverse stochastic resonance (DISR), with two distinct wells centered at different presynaptic firing rates, can appear.

  17. Quantum Dynamics as a Stochastic Process

    CERN Document Server

    Figueiredo, J M A

    2002-01-01

    We study the classical motion of a particle subject to a stochastic force. We then present a perturbative schema for the associated Fokker-Planck equation where, in the limit of a vanishingly small noise source, a consistent dynamical model is obtained. The resulting theory is similar to Quantum Mechanics, having the same field equations for probability measures, the same operator structure and symmetric ordering of operators. The model is valid for general electromagnetic interaction as well as many body systems with mutual interactions of general nature.

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

    Science.gov (United States)

    Truccolo, Wilson

    2017-01-01

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

  19. Global dynamics of a stochastic neuronal oscillator

    Science.gov (United States)

    Yamanobe, Takanobu

    2013-11-01

    Nonlinear oscillators have been used to model neurons that fire periodically in the absence of input. These oscillators, which are called neuronal oscillators, share some common response structures with other biological oscillations such as cardiac cells. In this study, we analyze the dependence of the global dynamics of an impulse-driven stochastic neuronal oscillator on the relaxation rate to the limit cycle, the strength of the intrinsic noise, and the impulsive input parameters. To do this, we use a Markov operator that both reflects the density evolution of the oscillator and is an extension of the phase transition curve, which describes the phase shift due to a single isolated impulse. Previously, we derived the Markov operator for the finite relaxation rate that describes the dynamics of the entire phase plane. Here, we construct a Markov operator for the infinite relaxation rate that describes the stochastic dynamics restricted to the limit cycle. In both cases, the response of the stochastic neuronal oscillator to time-varying impulses is described by a product of Markov operators. Furthermore, we calculate the number of spikes between two consecutive impulses to relate the dynamics of the oscillator to the number of spikes per unit time and the interspike interval density. Specifically, we analyze the dynamics of the number of spikes per unit time based on the properties of the Markov operators. Each Markov operator can be decomposed into stationary and transient components based on the properties of the eigenvalues and eigenfunctions. This allows us to evaluate the difference in the number of spikes per unit time between the stationary and transient responses of the oscillator, which we show to be based on the dependence of the oscillator on past activity. Our analysis shows how the duration of the past neuronal activity depends on the relaxation rate, the noise strength, and the impulsive input parameters.

  20. The Stochastic Search Dynamics of Interneuron Migration

    Science.gov (United States)

    Britto, Joanne M.; Johnston, Leigh A.; Tan, Seong-Seng

    2009-01-01

    Abstract Migration is a dynamic process in which a cell searches the environment and translates acquired information into somal advancement. In particular, interneuron migration during development is accomplished by two distinct processes: the extension of neurites tipped with growth cones; and nucleus translocation, termed nucleokinesis. The primary purpose of our study is to investigate neurite branching and nucleokinesis using high-resolution time-lapse confocal microscopy and computational modeling. We demonstrate that nucleokinesis is accurately modeled by a spring-dashpot system and that neurite branching is independent of the nucleokinesis event, and displays the dynamics of a stochastic birth-death process. This is in contrast to traditional biological descriptions, which suggest a closer relationship between the two migratory mechanisms. Our models are validated on independent data sets acquired using two different imaging protocols, and are shown to be robust to alterations in guidance cues and cellular migratory mechanisms, through treatment with brain-derived neurotrophic factor, neurotrophin-4, and blebbistatin. We postulate that the stochastic branch dynamics exhibited by interneurons undergoing guidance-directed migration permit efficient exploration of the environment. PMID:19651028

  1. Solution of deterministic-stochastic epidemic models by dynamical Monte Carlo method

    Science.gov (United States)

    Aièllo, O. E.; Haas, V. J.; daSilva, M. A. A.; Caliri, A.

    2000-07-01

    This work is concerned with dynamical Monte Carlo (MC) method and its application to models originally formulated in a continuous-deterministic approach. Specifically, a susceptible-infected-removed-susceptible (SIRS) model is used in order to analyze aspects of the dynamical MC algorithm and achieve its applications in epidemic contexts. We first examine two known approaches to the dynamical interpretation of the MC method and follow with the application of one of them in the SIRS model. The working method chosen is based on the Poisson process where hierarchy of events, properly calculated waiting time between events, and independence of the events simulated, are the basic requirements. To verify the consistence of the method, some preliminary MC results are compared against exact steady-state solutions and other general numerical results (provided by Runge-Kutta method): good agreement is found. Finally, a space-dependent extension of the SIRS model is introduced and treated by MC. The results are interpreted under and in accordance with aspects of the herd-immunity concept.

  2. Stochasticity in cell biology: Modeling across levels

    Science.gov (United States)

    Pedraza, Juan Manuel

    2009-03-01

    Effective modeling of biological processes requires focusing on a particular level of description, and this requires summarizing de details of lower levels into effective variables and properly accounting for the constrains that other levels impose. In the context of stochasticity in gene expression, I will show how the details of the stochastic process can be characterized by a few effective parameters, which facilitates modeling but complicates interpretation of current experiments. I will show how the resulting noise can provide advantageous or deleterious phenotypic fluctuation and how noise control in the copy number control system of plasmids can change the selective pressures. This system illustrates the direct connection between molecular dynamics and evolutionary dynamics.

  3. Stochastic dynamic simulation modeling including multitrait genetics to estimate genetic, technical, and financial consequences of dairy farm reproduction and selection strategies

    Science.gov (United States)

    The objective of this study was to develop a daily stochastic dynamic dairy simulation model which included multi-trait genetics, and to evaluate the effects of various reproduction and selection strategies on the genetic, technical and financial performance of a dairy herd. The 12 correlated geneti...

  4. Fisher information metric for the Langevin equation and least informative models of continuous stochastic dynamics.

    Science.gov (United States)

    Haas, Kevin R; Yang, Haw; Chu, Jhih-Wei

    2013-09-28

    The evaluation of the Fisher information matrix for the probability density of trajectories generated by the over-damped Langevin dynamics at equilibrium is presented. The framework we developed is general and applicable to any arbitrary potential of mean force where the parameter set is now the full space dependent function. Leveraging an innovative Hermitian form of the corresponding Fokker-Planck equation allows for an eigenbasis decomposition of the time propagation probability density. This formulation motivates the use of the square root of the equilibrium probability density as the basis for evaluating the Fisher information of trajectories with the essential advantage that the Fisher information matrix in the specified parameter space is constant. This outcome greatly eases the calculation of information content in the parameter space via a line integral. In the continuum limit, a simple analytical form can be derived to explicitly reveal the physical origin of the information content in equilibrium trajectories. This methodology also allows deduction of least informative dynamics models from known or available observables that are either dynamical or static in nature. The minimum information optimization of dynamics is performed for a set of different constraints to illustrate the generality of the proposed methodology.

  5. Stochastic single-molecule dynamics of synaptic membrane protein domains

    CERN Document Server

    Kahraman, Osman; Haselwandter, Christoph A

    2016-01-01

    Motivated by single-molecule experiments on synaptic membrane protein domains, we use a stochastic lattice model to study protein reaction and diffusion processes in crowded membranes. We find that the stochastic reaction-diffusion dynamics of synaptic proteins provide a simple physical mechanism for collective fluctuations in synaptic domains, the molecular turnover observed at synaptic domains, key features of the single-molecule trajectories observed for synaptic proteins, and spatially inhomogeneous protein lifetimes at the cell membrane. Our results suggest that central aspects of the single-molecule and collective dynamics observed for membrane protein domains can be understood in terms of stochastic reaction-diffusion processes at the cell membrane.

  6. Nonlinear stochastic inflation modelling using SEASETARs

    NARCIS (Netherlands)

    de Gooijer, J.G.; Vidiella-i-Anguera, A.

    2003-01-01

    The development of stochastic inflation models for actuarial and investment applications has become an important topic to actuaries since Wilkie [Transactions of the Faculty of Actuaries 39 (1986) 341] introduced his first investment model. Two empirical features of monthly inflation rates are dynam

  7. A Stochastic Finite Element Model for the Dynamics of Globular Macromolecules

    CERN Document Server

    Oliver, Robin; Harlen, Oliver G; Harris, Sarah A

    2012-01-01

    We describe a novel coarse-grained simulation method for modelling the dynamics of globular macromolecules, such as proteins. The macromolecule is treated as a continuum that is subject to thermal fluctuations. The model includes a non-linear treatment of elasticity and viscosity with thermal noise that is solved using finite element analysis. We have validated the method by demonstrating that the model provides average kinetic and potential energies that are in agreement with the classical equipartition theorem. In addition, we have performed Fourier analysis on the simulation trajectories obtained for a series of linear beams to confirm that the correct average energies are present in the first two Fourier bending modes. We have then used the new modelling method to simulate the thermal fluctuations of a representative protein over 500ns timescales. Using reasonable parameters for the material properties, we have demonstrated that the overall deformation of the biomolecule is consistent with the results obt...

  8. Stochastic Dynamic Model on the Consumption – Saving Decision for Adjusting Products and Services Supply According with Consumers` Attainability

    Directory of Open Access Journals (Sweden)

    Gabriela Prelipcean

    2014-02-01

    Full Text Available The recent crisis and turbulences have significantly changed the consumers’ behavior, especially through its access possibility and satisfaction, but also the new dynamic flexible adjustment of the supply of goods and services. The access possibility and consumer satisfaction should be analyzed in a broader context of corporate responsibility, including financial institutions. This contribution gives an answer to the current situation in Romania as an emerging country, strongly affected by the global crisis. Empowering producers and harmonize their interests with the interests of consumers really require a significant revision of the quantitative models used to study long-term consumption-saving behavior, with a new model, adapted to the current conditions in Romania in the post-crisis context. Based on the general idea of the model developed by Hai, Krueger, Postlewaite (2013 we propose a new way of exploiting the results considering the dynamics of innovative adaptation based on Brownian motion, but also the integration of the cyclicality concept, the stochastic shocks analyzed by Lèvy and extensive interaction with capital markets characterized by higher returns and volatility.

  9. Models for microtubule cargo transport coupling the Langevin equation to stochastic stepping motor dynamics: Caring about fluctuations.

    Science.gov (United States)

    Bouzat, Sebastián

    2016-01-01

    One-dimensional models coupling a Langevin equation for the cargo position to stochastic stepping dynamics for the motors constitute a relevant framework for analyzing multiple-motor microtubule transport. In this work we explore the consistence of these models focusing on the effects of the thermal noise. We study how to define consistent stepping and detachment rates for the motors as functions of the local forces acting on them in such a way that the cargo velocity and run-time match previously specified functions of the external load, which are set on the base of experimental results. We show that due to the influence of the thermal fluctuations this is not a trivial problem, even for the single-motor case. As a solution, we propose a motor stepping dynamics which considers memory on the motor force. This model leads to better results for single-motor transport than the approaches previously considered in the literature. Moreover, it gives a much better prediction for the stall force of the two-motor case, highly compatible with the experimental findings. We also analyze the fast fluctuations of the cargo position and the influence of the viscosity, comparing the proposed model to the standard one, and we show how the differences on the single-motor dynamics propagate to the multiple motor situations. Finally, we find that the one-dimensional character of the models impede an appropriate description of the fast fluctuations of the cargo position at small loads. We show how this problem can be solved by considering two-dimensional models.

  10. A Dynamic Model of Stochastic Innovation Race: Leader-Follower Case

    OpenAIRE

    Aseev, S.M.; Katsumoto, M.

    2004-01-01

    We provide steps towards analysis of rational behaviors of innovators acting on a market of a technological product. The situation when a technological leader competes with a large number of identical followers is in the focus. The process of development of new generations of the product is treated as a Poisson-type cyclic stochastic process. The technology spillovers effect acts as a driving force of the technological progress. We obtain an analytic characterization of optimal leaders R&D an...

  11. Stochastic Modelling of Hydrologic Systems

    DEFF Research Database (Denmark)

    Jonsdottir, Harpa

    2007-01-01

    In this PhD project several stochastic modelling methods are studied and applied on various subjects in hydrology. The research was prepared at Informatics and Mathematical Modelling at the Technical University of Denmark. The thesis is divided into two parts. The first part contains an introduct......In this PhD project several stochastic modelling methods are studied and applied on various subjects in hydrology. The research was prepared at Informatics and Mathematical Modelling at the Technical University of Denmark. The thesis is divided into two parts. The first part contains...... an introduction and an overview of the papers published. Then an introduction to basic concepts in hydrology along with a description of hydrological data is given. Finally an introduction to stochastic modelling is given. The second part contains the research papers. In the research papers the stochastic methods...

  12. Stochastic Still Water Response Model

    DEFF Research Database (Denmark)

    Friis-Hansen, Peter; Ditlevsen, Ove Dalager

    2002-01-01

    In this study a stochastic field model for the still water loading is formulated where the statistics (mean value, standard deviation, and correlation) of the sectional forces are obtained by integration of the load field over the relevant part of the ship structure. The objective of the model...... is to establish the stochastic load field conditional on a given draft and trim of the vessel. The model contributes to a realistic modelling of the stochastic load processes to be used in a reliability evaluation of the ship hull. Emphasis is given to container vessels. The formulation of the model for obtaining...... the stochastic cargo container load field is based on a queuing and loading policy that assumes containers are handled by a first-come-first-serve policy. The load field is assumed to be Gaussian. The ballast system is imposed to counteract the angle of heel and to regulate both the draft and the trim caused...

  13. Stochastic epidemic dynamics on extremely heterogeneous networks

    CERN Document Server

    Parra-Rojas, César; McKane, Alan J

    2016-01-01

    Networks of contacts capable of spreading infectious diseases are often observed to be highly heterogeneous, with the majority of individuals having fewer contacts than the mean, and a significant minority having relatively very many contacts. We derive a two-dimensional diffusion model for the full temporal behavior of the stochastic susceptible-infectious-recovered (SIR) model on such a network, by making use of a time-scale separation in the deterministic limit of the dynamics. This low-dimensional process is an accurate approximation to the full model in the limit of large populations, even for cases when the time-scale separation is not too pronounced, provided the maximum degree is not of the order of the population size.

  14. Stochastic epidemic dynamics on extremely heterogeneous networks

    Science.gov (United States)

    Parra-Rojas, César; House, Thomas; McKane, Alan J.

    2016-12-01

    Networks of contacts capable of spreading infectious diseases are often observed to be highly heterogeneous, with the majority of individuals having fewer contacts than the mean, and a significant minority having relatively very many contacts. We derive a two-dimensional diffusion model for the full temporal behavior of the stochastic susceptible-infectious-recovered (SIR) model on such a network, by making use of a time-scale separation in the deterministic limit of the dynamics. This low-dimensional process is an accurate approximation to the full model in the limit of large populations, even for cases when the time-scale separation is not too pronounced, provided the maximum degree is not of the order of the population size.

  15. Stochastic synchronization for time-varying complex dynamical networks

    Institute of Scientific and Technical Information of China (English)

    Guo Xiao-Yong; Li Jun-Min

    2012-01-01

    This paper studies the stochastic synchronization problem for time-varying complex dynamical networks. This model is totally different from some existing network models. Based on the Lyapunov stability theory, inequality techniques, and the properties of the Weiner process, some controllers and adaptive laws are designed to ensure achieving stochastic synchronization of a complex dynamical network model. A sufficient synchronization condition is given to ensure that the proposed network model is mean-square stable. Theoretical analysis and numerical simulation fully verify the main results.

  16. Survey of Bayesian Models for Modelling of Stochastic Temporal Processes

    Energy Technology Data Exchange (ETDEWEB)

    Ng, B

    2006-10-12

    This survey gives an overview of popular generative models used in the modeling of stochastic temporal systems. In particular, this survey is organized into two parts. The first part discusses the discrete-time representations of dynamic Bayesian networks and dynamic relational probabilistic models, while the second part discusses the continuous-time representation of continuous-time Bayesian networks.

  17. Dynamic phase transition in the two-dimensional kinetic Ising model in an oscillating field: universality with respect to the stochastic dynamics.

    Science.gov (United States)

    Buendía, G M; Rikvold, P A

    2008-11-01

    We study the dynamical response of a two-dimensional Ising model subject to a square-wave oscillating external field. In contrast to earlier studies, the system evolves under a so-called soft Glauber dynamic [Rikvold and Kolesik, J. Phys. A 35, L117 (2002)], for which both nucleation and interface propagation are slower and the interfaces smoother than for the standard Glauber dynamic. We choose the temperature and magnitude of the external field such that the metastable decay of the system following field reversal occurs through nucleation and growth of many droplets of the stable phase, i.e., the multidroplet regime. Using kinetic Monte Carlo simulations, we find that the system undergoes a nonequilibrium phase transition, in which the symmetry-broken dynamic phase corresponds to an asymmetric stationary limit cycle for the time-dependent magnetization. The critical point is located where the half period of the external field is approximately equal to the metastable lifetime of the system. We employ finite-size scaling analysis to investigate the characteristics of this dynamical phase transition. The critical exponents and the fixed-point value of the fourth-order cumulant are found to be consistent with the universality class of the two-dimensional equilibrium Ising model. This universality class has previously been established for the same nonequilibrium model evolving under the standard Glauber dynamic, as well as in a different nonequilibrium model of CO oxidation. The results reported in the present paper support the hypothesis that this far-from-equilibrium phase transition is universal with respect to the choice of the stochastic dynamics.

  18. Predicting Footbridge Response using Stochastic Load Models

    DEFF Research Database (Denmark)

    Pedersen, Lars; Frier, Christian

    2013-01-01

    Walking parameters such as step frequency, pedestrian mass, dynamic load factor, etc. are basically stochastic, although it is quite common to adapt deterministic models for these parameters. The present paper considers a stochastic approach to modeling the action of pedestrians, but when doing s...... as it pinpoints which decisions to be concerned about when the goal is to predict footbridge response. The studies involve estimating footbridge responses using Monte-Carlo simulations and focus is on estimating vertical structural response to single person loading....

  19. Stochastic epidemic models: a survey

    CERN Document Server

    Britton, Tom

    2009-01-01

    This paper is a survey paper on stochastic epidemic models. A simple stochastic epidemic model is defined and exact and asymptotic model properties (relying on a large community) are presented. The purpose of modelling is illustrated by studying effects of vaccination and also in terms of inference procedures for important parameters, such as the basic reproduction number and the critical vaccination coverage. Several generalizations towards realism, e.g. multitype and household epidemic models, are also presented, as is a model for endemic diseases.

  20. Nonequilibrium dynamic transition in a kinetic Ising model driven by both deterministic modulation and correlated stochastic noises

    Institute of Scientific and Technical Information of China (English)

    SHAO Yuanzhi; ZHONG Weirong; HE Zhenhui

    2005-01-01

    We report the nonequilibrium dynamical phase transition (NDPT) appearing in a kinetic Ising spin system (ISS) subject to the joint application of a deterministic external field and the stochastic mutually correlated noises simultaneously. A time-dependent Ginzburg-Landau stochastic differential equation, including an oscillating modulation and the correlated multiplicative and additive white noises, was addressed and the numerical solution to the relevant Fokker-Planck equation was presented on the basis of an average-period approach of driven field. The correlated white noises and the deterministic modulation induce a kind of dynamic symmetry-breaking order, analogous to the stochastic resonance in trend, in the kinetic ISS, and the reentrant transition has been observed between the dynamic disorder and order phases when the intensities of multiplicative and additive noises were changing. The dependencies of a dynamic order parameter Q upon the intensities of additive noise A and multiplicative noise M, the correlation λ between two noises, and the amplitude of applied external field h were investigated quantitatively and visualized vividly. Here a brief discussion is given to outline the underlying mechanism of the NDPT in a kinetic ISS driven by an external force and correlated noises.

  1. Additive N-step Markov chains as prototype model of symbolic stochastic dynamical systems with long-range correlations

    Energy Technology Data Exchange (ETDEWEB)

    Mayzelis, Z.A. [Department of Physics, Kharkov National University, 4 Svoboda Sq., Kharkov 61077 (Ukraine); Apostolov, S.S. [Department of Physics, Kharkov National University, 4 Svoboda Sq., Kharkov 61077 (Ukraine); Melnyk, S.S. [A. Ya. Usikov Institute for Radiophysics and Electronics, Ukrainian Academy of Science, 12 Proskura Street, 61085 Kharkov (Ukraine); Usatenko, O.V. [A. Ya. Usikov Institute for Radiophysics and Electronics, Ukrainian Academy of Science, 12 Proskura Street, 61085 Kharkov (Ukraine)]. E-mail: usatenko@ire.kharkov.ua; Yampol' skii, V.A. [A. Ya. Usikov Institute for Radiophysics and Electronics, Ukrainian Academy of Science, 12 Proskura Street, 61085 Kharkov (Ukraine)

    2007-10-15

    A theory of symbolic dynamic systems with long-range correlations based on the consideration of the binary N-step Markov chains developed earlier in Phys Rev Lett 2003;90:110601 is generalized to the biased case (non-equal numbers of zeros and unities in the chain). In the model, the conditional probability that the ith symbol in the chain equals zero (or unity) is a linear function of the number of unities (zeros) among the preceding N symbols. The correlation and distribution functions as well as the variance of number of symbols in the words of arbitrary length L are obtained analytically and verified by numerical simulations. A self-similarity of the studied stochastic process is revealed and the similarity group transformation of the chain parameters is presented. The diffusion Fokker-Planck equation governing the distribution function of the L-words is explored. If the persistent correlations are not extremely strong, the distribution function is shown to be the Gaussian with the variance being nonlinearly dependent on L. An equation connecting the memory and correlation function of the additive Markov chain is presented. This equation allows reconstructing a memory function using a correlation function of the system. Effectiveness and robustness of the proposed method is demonstrated by simple model examples. Memory functions of concrete coarse-grained literary texts are found and their universal power-law behavior at long distances is revealed.

  2. Dynamically orthogonal field equations for stochastic flows and particle dynamics

    Science.gov (United States)

    2011-02-01

    turbulence. Cambridge University Press, 1959. [10] G.K. Batchelor . An Introduction to Fluid Dynamics . Cambridge University Press, 2000. [11] D. Bau III... Dynamically orthogonal field equations for stochastic fluid flows and particle dynamics by Themistoklis P. Sapsis Dipl., National Technical...unclassified Standard Form 298 (Rev. 8-98) Prescribed by ANSI Std Z39-18 2 Dynamically orthogonal field equations for stochastic fluid flows and particle

  3. Extended-Range Prediction with Low-Dimensional, Stochastic-Dynamic Models: A Data-driven Approach

    Science.gov (United States)

    2013-09-30

    Dmitri Kondrashov Dept. of Atmospheric & Oceanic Sciences and Institute of Geophysics and Planetary Physics, University of California, Los Angeles, CA...chaotic and dissipative dynamical systems, Chekroun et al. (2013c) have shown that the recurrences observed in planetary flows can play a key role...are the most energetic and correlations decay slowly. Parameterizing manifolds for stochastic partial differential equations Chekroun et al. (2013a,b

  4. Dynamical large deviations for a boundary driven stochastic lattice gas model with many conserved quantities

    CERN Document Server

    Farfan, Jonathan; Valentim, Fabio J

    2009-01-01

    We prove the dynamical large deviations for a particle system in which particles may have different velocities. We assume that we have two infinite reservoirs of particles at the boundary: this is the so-called boundary driven process. The dynamics we considered consists of a weakly asymmetric simple exclusion process with collision among particles having different velocities.

  5. Litchi freshness rapid non-destructive evaluating method using electronic nose and non-linear dynamics stochastic resonance model.

    Science.gov (United States)

    Ying, Xiaoguo; Liu, Wei; Hui, Guohua

    2015-01-01

    In this paper, litchi freshness rapid non-destructive evaluating method using electronic nose (e-nose) and non-linear stochastic resonance (SR) was proposed. EN responses to litchi samples were continuously detected for 6 d Principal component analysis (PCA) and non-linear stochastic resonance (SR) methods were utilized to analyze EN detection data. PCA method could not totally discriminate litchi samples, while SR signal-to-noise ratio (SNR) eigen spectrum successfully discriminated all litchi samples. Litchi freshness predictive model developed using SNR eigen values shows high predictive accuracy with regression coefficients R(2) = 0 .99396.

  6. Inhibitory behavioral control: A stochastic dynamic causal modeling study comparing cocaine dependent subjects and controls

    Directory of Open Access Journals (Sweden)

    Liangsuo Ma

    2015-01-01

    Full Text Available Cocaine dependence is associated with increased impulsivity in humans. Both cocaine dependence and impulsive behavior are under the regulatory control of cortico-striatal networks. One behavioral laboratory measure of impulsivity is response inhibition (ability to withhold a prepotent response in which altered patterns of regional brain activation during executive tasks in service of normal performance are frequently found in cocaine dependent (CD subjects studied with functional magnetic resonance imaging (fMRI. However, little is known about aberrations in specific directional neuronal connectivity in CD subjects. The present study employed fMRI-based dynamic causal modeling (DCM to study the effective (directional neuronal connectivity associated with response inhibition in CD subjects, elicited under performance of a Go/NoGo task with two levels of NoGo difficulty (Easy and Hard. The performance on the Go/NoGo task was not significantly different between CD subjects and controls. The DCM analysis revealed that prefrontal–striatal connectivity was modulated (influenced during the NoGo conditions for both groups. The effective connectivity from left (L anterior cingulate cortex (ACC to L caudate was similarly modulated during the Easy NoGo condition for both groups. During the Hard NoGo condition in controls, the effective connectivity from right (R dorsolateral prefrontal cortex (DLPFC to L caudate became more positive, and the effective connectivity from R ventrolateral prefrontal cortex (VLPFC to L caudate became more negative. In CD subjects, the effective connectivity from L ACC to L caudate became more negative during the Hard NoGo conditions. These results indicate that during Hard NoGo trials in CD subjects, the ACC rather than DLPFC or VLPFC influenced caudate during response inhibition.

  7. Stochastic dynamics for reinfection by transmitted diseases

    Science.gov (United States)

    Barros, Alessandro S.; Pinho, Suani T. R.

    2017-06-01

    The use of stochastic models to study the dynamics of infectious diseases is an important tool to understand the epidemiological process. For several directly transmitted diseases, reinfection is a relevant process, which can be expressed by endogenous reactivation of the pathogen or by exogenous reinfection due to direct contact with an infected individual (with smaller reinfection rate σ β than infection rate β ). In this paper, we examine the stochastic susceptible, infected, recovered, infected (SIRI) model simulating the endogenous reactivation by a spontaneous reaction, while exogenous reinfection by a catalytic reaction. Analyzing the mean-field approximations of a site and pairs of sites, and Monte Carlo (MC) simulations for the particular case of exogenous reinfection, we obtained continuous phase transitions involving endemic, epidemic, and no transmission phases for the simple approach; the approach of pairs is better to describe the phase transition from endemic phase (susceptible, infected, susceptible (SIS)-like model) to epidemic phase (susceptible, infected, and removed or recovered (SIR)-like model) considering the comparison with MC results; the reinfection increases the peaks of outbreaks until the system reaches endemic phase. For the particular case of endogenous reactivation, the approach of pairs leads to a continuous phase transition from endemic phase (SIS-like model) to no transmission phase. Finally, there is no phase transition when both effects are taken into account. We hope the results of this study can be generalized for the susceptible, exposed, infected, and removed or recovered (SEIRIE) model, for which the state exposed (infected but not infectious), describing more realistically transmitted diseases such as tuberculosis. In future work, we also intend to investigate the effect of network topology on phase transitions when the SIRI model describes both transmitted diseases (σ 1 ).

  8. Housing demand or money supply? A new Keynesian dynamic stochastic general equilibrium model on China's housing market fluctuations

    Science.gov (United States)

    Wen, Xing-Chun; He, Ling-Yun

    2015-08-01

    There is a bitter controversy over what drives the housing price in China in the existing literature. In this paper, we investigate the underlying driving force behind housing price fluctuations in China, especially focusing on the role of housing demand shock with that of money supply shock in explaining housing price movements, by a new Keynesian dynamic stochastic general equilibrium model. Empirical results suggest that it is housing demand, instead of money supply, that mainly drives China's housing price movements. Relevant policy implication is further discussed, namely, whether to consider the housing price fluctuations in the conduct of monetary policy. By means of the policy simulations, we find that a real house price-augmented money supply rule is a better monetary policy for China's economy stabilization. 1. Investment refers to fixed capital investment. 2. Housing price refers to national average housing price. Quarterly data on housing price during the period of our work are not directly available. However, monthly data of the value of sales on housing and sale volume on housing can be directly obtained from National Bureau of Statistics of China. We add up the monthly data and calculate one quarter's housing price by dividing the value of housing sales by its sale volume in one quarter. 3. M2 means the broad money supply in China.

  9. Stochastic models: theory and simulation.

    Energy Technology Data Exchange (ETDEWEB)

    Field, Richard V., Jr.

    2008-03-01

    Many problems in applied science and engineering involve physical phenomena that behave randomly in time and/or space. Examples are diverse and include turbulent flow over an aircraft wing, Earth climatology, material microstructure, and the financial markets. Mathematical models for these random phenomena are referred to as stochastic processes and/or random fields, and Monte Carlo simulation is the only general-purpose tool for solving problems of this type. The use of Monte Carlo simulation requires methods and algorithms to generate samples of the appropriate stochastic model; these samples then become inputs and/or boundary conditions to established deterministic simulation codes. While numerous algorithms and tools currently exist to generate samples of simple random variables and vectors, no cohesive simulation tool yet exists for generating samples of stochastic processes and/or random fields. There are two objectives of this report. First, we provide some theoretical background on stochastic processes and random fields that can be used to model phenomena that are random in space and/or time. Second, we provide simple algorithms that can be used to generate independent samples of general stochastic models. The theory and simulation of random variables and vectors is also reviewed for completeness.

  10. Stochastic model in microwave propagation

    Energy Technology Data Exchange (ETDEWEB)

    Ranfagni, A. [“Nello Carrara” Institute of Applied Physics, CNR Florence Research Area, Via Madonna del Piano 10, 50019 Sesto Fiorentino (Italy); Mugnai, D., E-mail: d.mugnai@ifac.cnr.it [“Nello Carrara” Institute of Applied Physics, CNR Florence Research Area, Via Madonna del Piano 10, 50019 Sesto Fiorentino (Italy)

    2011-11-28

    Further experimental results of delay time in microwave propagation are reported in the presence of a lossy medium (wood). The measurements show that the presence of a lossy medium makes the propagation slightly superluminal. The results are interpreted on the basis of a stochastic (or path integral) model, showing how this model is able to describe each kind of physical system in which multi-path trajectories are present. -- Highlights: ► We present new experimental results on electromagnetic “anomalous” propagation. ► We apply a path integral theoretical model to wave propagation. ► Stochastic processes and multi-path trajectories in propagation are considered.

  11. Wolbachia spread dynamics in stochastic environments.

    Science.gov (United States)

    Hu, Linchao; Huang, Mugen; Tang, Moxun; Yu, Jianshe; Zheng, Bo

    2015-12-01

    Dengue fever is a mosquito-borne viral disease with 100 million people infected annually. A novel strategy for dengue control uses the bacterium Wolbachia to invade dengue vector Aedes mosquitoes. As the impact of environmental heterogeneity on Wolbachia spread dynamics in natural areas has been rarely quantified, we develop a model of differential equations for which the environmental conditions switch randomly between two regimes. We find some striking phenomena that random regime transitions could drive Wolbachia to extinction from certain initial states confirmed Wolbachia fixation in homogeneous environments, and mosquito releasing facilitates Wolbachia invasion more effectively when the regimes transit frequently. By superimposing the phase spaces of the ODE systems defined in each regime, we identify the threshold curves below which Wolbachia invades the whole population, which extends the theory of threshold infection frequency to stochastic environments.

  12. Stochastic evolutionary dynamics of direct reciprocity.

    Science.gov (United States)

    Imhof, Lorens A; Nowak, Martin A

    2010-02-01

    Evolutionary game theory is the study of frequency-dependent selection. The success of an individual depends on the frequencies of strategies that are used in the population. We propose a new model for studying evolutionary dynamics in games with a continuous strategy space. The population size is finite. All members of the population use the same strategy. A mutant strategy is chosen from some distribution over the strategy space. The fixation probability of the mutant strategy in the resident population is calculated. The new mutant takes over the population with this probability. In this case, the mutant becomes the new resident. Otherwise, the existing resident remains. Then, another mutant is generated. These dynamics lead to a stationary distribution over the entire strategy space. Our new approach generalizes classical adaptive dynamics in three ways: (i) the population size is finite; (ii) mutants can be drawn non-locally and (iii) the dynamics are stochastic. We explore reactive strategies in the repeated Prisoner's Dilemma. We perform 'knock-out experiments' to study how various strategies affect the evolution of cooperation. We find that 'tit-for-tat' is a weak catalyst for the emergence of cooperation, while 'always cooperate' is a strong catalyst for the emergence of defection. Our analysis leads to a new understanding of the optimal level of forgiveness that is needed for the evolution of cooperation under direct reciprocity.

  13. Nonlinear and stochastic dynamics in the heart

    Energy Technology Data Exchange (ETDEWEB)

    Qu, Zhilin, E-mail: zqu@mednet.ucla.edu [Department of Medicine (Cardiology), David Geffen School of Medicine, University of California, Los Angeles, CA 90095 (United States); Hu, Gang [Department of Physics, Beijing Normal University, Beijing 100875 (China); Garfinkel, Alan [Department of Medicine (Cardiology), David Geffen School of Medicine, University of California, Los Angeles, CA 90095 (United States); Department of Integrative Biology and Physiology, University of California, Los Angeles, CA 90095 (United States); Weiss, James N. [Department of Medicine (Cardiology), David Geffen School of Medicine, University of California, Los Angeles, CA 90095 (United States); Department of Physiology, David Geffen School of Medicine, University of California, Los Angeles, CA 90095 (United States)

    2014-10-10

    In a normal human life span, the heart beats about 2–3 billion times. Under diseased conditions, a heart may lose its normal rhythm and degenerate suddenly into much faster and irregular rhythms, called arrhythmias, which may lead to sudden death. The transition from a normal rhythm to an arrhythmia is a transition from regular electrical wave conduction to irregular or turbulent wave conduction in the heart, and thus this medical problem is also a problem of physics and mathematics. In the last century, clinical, experimental, and theoretical studies have shown that dynamical theories play fundamental roles in understanding the mechanisms of the genesis of the normal heart rhythm as well as lethal arrhythmias. In this article, we summarize in detail the nonlinear and stochastic dynamics occurring in the heart and their links to normal cardiac functions and arrhythmias, providing a holistic view through integrating dynamics from the molecular (microscopic) scale, to the organelle (mesoscopic) scale, to the cellular, tissue, and organ (macroscopic) scales. We discuss what existing problems and challenges are waiting to be solved and how multi-scale mathematical modeling and nonlinear dynamics may be helpful for solving these problems.

  14. Stochastic models for atmospheric dispersion

    DEFF Research Database (Denmark)

    Ditlevsen, Ove Dalager

    2003-01-01

    Simple stochastic differential equation models have been applied by several researchers to describe the dispersion of tracer particles in the planetary atmospheric boundary layer and to form the basis for computer simulations of particle paths. To obtain the drift coefficient, empirical vertical...... positions close to the boundaries. Different rules have been suggested in the literature with justifications based on simulation studies. Herein the relevant stochastic differential equation model is formulated in a particular way. The formulation is based on the marginal transformation of the position...... dependent particle velocity into a position independent Gaussian velocity. Boundary conditions are obtained from Itos rule of stochastic differentiation. The model directly point at a canonical rule of reflection for the approximating random walk with finite time step. This reflection rule is different from...

  15. Stochastic models of cell motility

    DEFF Research Database (Denmark)

    Gradinaru, Cristian

    2012-01-01

    Cell motility and migration are central to the development and maintenance of multicellular organisms, and errors during this process can lead to major diseases. Consequently, the mechanisms and phenomenology of cell motility are currently under intense study. In recent years, a new...... interdisciplinary field focusing on the study of biological processes at the nanoscale level, with a range of technological applications in medicine and biological research, has emerged. The work presented in this thesis is at the interface of cell biology, image processing, and stochastic modeling. The stochastic...... models introduced here are based on persistent random motion, which I apply to real-life studies of cell motility on flat and nanostructured surfaces. These models aim to predict the time-dependent position of cell centroids in a stochastic manner, and conversely determine directly from experimental...

  16. Spatial stochastic dynamics enable robust cell polarization.

    Directory of Open Access Journals (Sweden)

    Michael J Lawson

    Full Text Available Although cell polarity is an essential feature of living cells, it is far from being well-understood. Using a combination of computational modeling and biological experiments we closely examine an important prototype of cell polarity: the pheromone-induced formation of the yeast polarisome. Focusing on the role of noise and spatial heterogeneity, we develop and investigate two mechanistic spatial models of polarisome formation, one deterministic and the other stochastic, and compare the contrasting predictions of these two models against experimental phenotypes of wild-type and mutant cells. We find that the stochastic model can more robustly reproduce two fundamental characteristics observed in wild-type cells: a highly polarized phenotype via a mechanism that we refer to as spatial stochastic amplification, and the ability of the polarisome to track a moving pheromone input. Moreover, we find that only the stochastic model can simultaneously reproduce these characteristics of the wild-type phenotype and the multi-polarisome phenotype of a deletion mutant of the scaffolding protein Spa2. Significantly, our analysis also demonstrates that higher levels of stochastic noise results in increased robustness of polarization to parameter variation. Furthermore, our work suggests a novel role for a polarisome protein in the stabilization of actin cables. These findings elucidate the intricate role of spatial stochastic effects in cell polarity, giving support to a cellular model where noise and spatial heterogeneity combine to achieve robust biological function.

  17. Stochastic Modelling of Energy Systems

    DEFF Research Database (Denmark)

    Andersen, Klaus Kaae

    2001-01-01

    equations are expressed in terms of stochastic differential equations. From a theoretical viewpoint the techniques for experimental design, parameter estimation and model validation are considered. From the practical viewpoint emphasis is put on how this methods can be used to construct models adequate...

  18. Stochastic Modelling of River Geometry

    DEFF Research Database (Denmark)

    Sørensen, John Dalsgaard; Schaarup-Jensen, K.

    1996-01-01

    Numerical hydrodynamic river models are used in a large number of applications to estimate critical events for rivers. These estimates are subject to a number of uncertainties. In this paper, the problem to evaluate these estimates using probabilistic methods is considered. Stochastic models...

  19. Stochastic hard-sphere dynamics for hydrodynamics of nonideal fluids.

    Science.gov (United States)

    Donev, Aleksandar; Alder, Berni J; Garcia, Alejandro L

    2008-08-15

    A novel stochastic fluid model is proposed with a nonideal structure factor consistent with compressibility, and adjustable transport coefficients. This stochastic hard-sphere dynamics (SHSD) algorithm is a modification of the direct simulation Monte Carlo algorithm and has several computational advantages over event-driven hard-sphere molecular dynamics. Surprisingly, SHSD results in an equation of state and a pair correlation function identical to that of a deterministic Hamiltonian system of penetrable spheres interacting with linear core pair potentials. The fluctuating hydrodynamic behavior of the SHSD fluid is verified for the Brownian motion of a nanoparticle suspended in a compressible solvent.

  20. A Fractionally Integrated Wishart Stochastic Volatility Model

    NARCIS (Netherlands)

    M. Asai (Manabu); M.J. McAleer (Michael)

    2013-01-01

    textabstractThere has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of

  1. Transport properties of stochastic Lorentz models

    NARCIS (Netherlands)

    Beijeren, H. van

    1982-01-01

    Diffusion processes are considered for one-dimensional stochastic Lorentz models, consisting of randomly distributed fixed scatterers and one moving light particle. In waiting time Lorentz models the light particle makes instantaneous jumps between scatterers after a stochastically distributed waiti

  2. Stochastic Volatility and DSGE Models

    DEFF Research Database (Denmark)

    Andreasen, Martin Møller

    This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE models may not be appropriate, because the level of a process with this specification does not have conditional or unconditional moments. This is unfortunate because agents may...

  3. Stochastic-field cavitation model

    Energy Technology Data Exchange (ETDEWEB)

    Dumond, J., E-mail: julien.dumond@areva.com [AREVA Nuclear Professional School, Karlsruhe Institute of Technology, Hermann-von-Helmholtz-Platz 1, D-76344 Eggenstein-Leopoldshafen (Germany); AREVA GmbH, Erlangen, Paul-Gossen-Strasse 100, D-91052 Erlangen (Germany); Magagnato, F. [Institute of Fluid Mechanics, Karlsruhe Institute of Technology, Kaiserstrasse 12, D-76131 Karlsruhe (Germany); Class, A. [AREVA Nuclear Professional School, Karlsruhe Institute of Technology, Hermann-von-Helmholtz-Platz 1, D-76344 Eggenstein-Leopoldshafen (Germany); Institute for Nuclear and Energy Technologies, Karlsruhe Institute of Technology, Hermann-von-Helmholtz-Platz 1, D-76344 Eggenstein-Leopoldshafen (Germany)

    2013-07-15

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

  4. Stochastic-field cavitation model

    Science.gov (United States)

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

    2013-07-01

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

  5. Discrete-State Stochastic Models of Calcium-Regulated Calcium Influx and Subspace Dynamics Are Not Well-Approximated by ODEs That Neglect Concentration Fluctuations

    Directory of Open Access Journals (Sweden)

    Seth H. Weinberg

    2012-01-01

    Full Text Available 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.

  6. Dynamic and stochastic planning problems with online decision making : a novel class of models

    NARCIS (Netherlands)

    Cremers, M.L.A.G.

    2009-01-01

    In this thesis we study planning problems in the area of routing and scheduling by means of mathematical models and (numerical) optimization. Characteristic for this class of problems is that here-and-now decisions have to be made while only probabilistic information is available on the relevant

  7. Dynamic and stochastic planning problems with online decision making : a novel class of models

    NARCIS (Netherlands)

    Cremers, M.L.A.G.

    2009-01-01

    In this thesis we study planning problems in the area of routing and scheduling by means of mathematical models and (numerical) optimization. Characteristic for this class of problems is that here-and-now decisions have to be made while only probabilistic information is available on the relevant pla

  8. A Stochastic Approach for Automatic and Dynamic Modeling of Students' Learning Styles in Adaptive Educational Systems

    Science.gov (United States)

    Dorça, Fabiano Azevedo; Lima, Luciano Vieira; Fernandes, Márcia Aparecida; Lopes, Carlos Roberto

    2012-01-01

    Considering learning and how to improve students' performances, an adaptive educational system must know how an individual learns best. In this context, this work presents an innovative approach for student modeling through probabilistic learning styles combination. Experiments have shown that our approach is able to automatically detect and…

  9. Simulation of stochastic network dynamics via entropic matching.

    Science.gov (United States)

    Ramalho, Tiago; Selig, Marco; Gerland, Ulrich; Ensslin, Torsten A

    2013-02-01

    The simulation of complex stochastic network dynamics arising, for instance, from models of coupled biomolecular processes remains computationally challenging. Often, the necessity to scan a model's dynamics over a large parameter space renders full-fledged stochastic simulations impractical, motivating approximation schemes. Here we propose an approximation scheme which improves upon the standard linear noise approximation while retaining similar computational complexity. The underlying idea is to minimize, at each time step, the Kullback-Leibler divergence between the true time evolved probability distribution and a Gaussian approximation (entropic matching). This condition leads to ordinary differential equations for the mean and the covariance matrix of the Gaussian. For cases of weak nonlinearity, the method is more accurate than the linear method when both are compared to stochastic simulations.

  10. Dynamic analysis of stochastic transcription cycles.

    Directory of Open Access Journals (Sweden)

    Claire V Harper

    2011-04-01

    Full Text Available In individual mammalian cells the expression of some genes such as prolactin is highly variable over time and has been suggested to occur in stochastic pulses. To investigate the origins of this behavior and to understand its functional relevance, we quantitatively analyzed this variability using new mathematical tools that allowed us to reconstruct dynamic transcription rates of different reporter genes controlled by identical promoters in the same living cell. Quantitative microscopic analysis of two reporter genes, firefly luciferase and destabilized EGFP, was used to analyze the dynamics of prolactin promoter-directed gene expression in living individual clonal and primary pituitary cells over periods of up to 25 h. We quantified the time-dependence and cyclicity of the transcription pulses and estimated the length and variation of active and inactive transcription phases. We showed an average cycle period of approximately 11 h and demonstrated that while the measured time distribution of active phases agreed with commonly accepted models of transcription, the inactive phases were differently distributed and showed strong memory, with a refractory period of transcriptional inactivation close to 3 h. Cycles in transcription occurred at two distinct prolactin-promoter controlled reporter genes in the same individual clonal or primary cells. However, the timing of the cycles was independent and out-of-phase. For the first time, we have analyzed transcription dynamics from two equivalent loci in real-time in single cells. In unstimulated conditions, cells showed independent transcription dynamics at each locus. A key result from these analyses was the evidence for a minimum refractory period in the inactive-phase of transcription. The response to acute signals and the result of manipulation of histone acetylation was consistent with the hypothesis that this refractory period corresponded to a phase of chromatin remodeling which significantly

  11. Stochastic models of intracellular calcium signals

    Energy Technology Data Exchange (ETDEWEB)

    Rüdiger, Sten, E-mail: sten.ruediger@physik.hu-berlin.de

    2014-01-10

    Cellular signaling operates in a noisy environment shaped by low molecular concentrations and cellular heterogeneity. For calcium release through intracellular channels–one of the most important cellular signaling mechanisms–feedback by liberated calcium endows fluctuations with critical functions in signal generation and formation. In this review it is first described, under which general conditions the environment makes stochasticity relevant, and which conditions allow approximating or deterministic equations. This analysis provides a framework, in which one can deduce an efficient hybrid description combining stochastic and deterministic evolution laws. Within the hybrid approach, Markov chains model gating of channels, while the concentrations of calcium and calcium binding molecules (buffers) are described by reaction–diffusion equations. The article further focuses on the spatial representation of subcellular calcium domains related to intracellular calcium channels. It presents analysis for single channels and clusters of channels and reviews the effects of buffers on the calcium release. For clustered channels, we discuss the application and validity of coarse-graining as well as approaches based on continuous gating variables (Fokker–Planck and chemical Langevin equations). Comparison with recent experiments substantiates the stochastic and spatial approach, identifies minimal requirements for a realistic modeling, and facilitates an understanding of collective channel behavior. At the end of the review, implications of stochastic and local modeling for the generation and properties of cell-wide release and the integration of calcium dynamics into cellular signaling models are discussed.

  12. Identifcation of a Linear COntinuous Time Stochastic Model of the Heat Dynamics of a Greenhouse

    DEFF Research Database (Denmark)

    Nielsen, Bjarne; Madsen, Henrik

    1998-01-01

    The purpose of this paper is to describe the basis for improving the control of air temperature and heat supply in greenhouses using a method which controls the energy supply by a model-based prediction of the air temperature in the greenhouse. Controllers of this type are the minimum variance co...... controller, the generalized predictive controller and the proportional-integral-plus(PIP) controller. Prediction-based controllers have proved to be powerful in controlling the supply temperature in a distinct heating system....

  13. Long term dynamics of stochastic evolution equations

    NARCIS (Netherlands)

    Bierkens, Gregorius Nicolaas Johannes Cornelis

    2010-01-01

    Stochastic differential equations with delay are the inspiration for this thesis. Examples of such equations arise in population models, control systems with delay and noise, lasers, economical models, neural networks, environmental pollution and in many other situations. In such models we are often

  14. Long term dynamics of stochastic evolution equations

    NARCIS (Netherlands)

    Bierkens, Gregorius Nicolaas Johannes Cornelis

    2010-01-01

    Stochastic differential equations with delay are the inspiration for this thesis. Examples of such equations arise in population models, control systems with delay and noise, lasers, economical models, neural networks, environmental pollution and in many other situations. In such models we are often

  15. Pricing decisions in an experimental dynamic stochastic general equilibrium economy

    NARCIS (Netherlands)

    Noussair, C.N.; Pfajfar, D.; Zsiros, J.

    2015-01-01

    We construct experimental economies, populated with human subjects, with a structure based on a nonlinear version of the New Keynesian dynamic stochastic general equilibrium (DSGE) model. We analyze the behavior of firms’ pricing decisions in four different experimental economies. We consider how we

  16. Pricing decisions in an experimental dynamic stochastic general equilibrium economy

    NARCIS (Netherlands)

    Noussair, C.N.; Pfajfar, D.; Zsiros, J.

    We construct experimental economies, populated with human subjects, with a structure based on a nonlinear version of the New Keynesian dynamic stochastic general equilibrium (DSGE) model. We analyze the behavior of firms’ pricing decisions in four different experimental economies. We consider how

  17. Modelling the heat dynamics of a monitored Test Reference Environment for Building Integrated Photovoltaic systems using stochastic differential equations

    DEFF Research Database (Denmark)

    Lodi, C.; Bacher, Peder; Cipriano, J.

    2012-01-01

    This paper deals with grey-box modelling of the energy transfer of a double skin Building Integrated Photovoltaic (BIPV) system. Grey-box models are based on a combination of prior physical knowledge and statistics, which enable identification of the unknown parameters in the system and accurate...... and heat transfer coefficients is fundamental in order to improve the thermo-electrical production.The considered grey-box models are composed of a set of continuous time stochastic differential equations, holding the physical description of the system, combined with a set of discrete time measurement...

  18. Models and algorithms for stochastic online scheduling

    NARCIS (Netherlands)

    Megow, N.; Uetz, Marc Jochen; Vredeveld, T.

    We consider a model for scheduling under uncertainty. In this model, we combine the main characteristics of online and stochastic scheduling in a simple and natural way. Job processing times are assumed to be stochastic, but in contrast to traditional stochastic scheduling models, we assume that

  19. Stochastic effects in a seasonally forced epidemic model

    Science.gov (United States)

    Rozhnova, G.; Nunes, A.

    2010-10-01

    The interplay of seasonality, the system’s nonlinearities and intrinsic stochasticity, is studied for a seasonally forced susceptible-exposed-infective-recovered stochastic model. The model is explored in the parameter region that corresponds to childhood infectious diseases such as measles. The power spectrum of the stochastic fluctuations around the attractors of the deterministic system that describes the model in the thermodynamic limit is computed analytically and validated by stochastic simulations for large system sizes. Size effects are studied through additional simulations. Other effects such as switching between coexisting attractors induced by stochasticity often mentioned in the literature as playing an important role in the dynamics of childhood infectious diseases are also investigated. The main conclusion is that stochastic amplification, rather than these effects, is the key ingredient to understand the observed incidence patterns.

  20. Stochastic effects in a seasonally forced epidemic model

    CERN Document Server

    Rozhnova, Ganna

    2010-01-01

    The interplay of seasonality, the system's nonlinearities and intrinsic stochasticity is studied for a seasonally forced susceptible-exposed-infective-recovered stochastic model. The model is explored in the parameter region that corresponds to childhood infectious diseases such as measles. The power spectrum of the stochastic fluctuations around the attractors of the deterministic system that describes the model in the thermodynamic limit is computed analytically and validated by stochastic simulations for large system sizes. Size effects are studied through additional simulations. Other effects such as switching between coexisting attractors induced by stochasticity often mentioned in the literature as playing an important role in the dynamics of childhood infectious diseases are also investigated. The main conclusion is that stochastic amplification, rather than these effects, is the key ingredient to understand the observed incidence patterns.

  1. Model predictive control classical, robust and stochastic

    CERN Document Server

    Kouvaritakis, Basil

    2016-01-01

    For the first time, a textbook that brings together classical predictive control with treatment of up-to-date robust and stochastic techniques. Model Predictive Control describes the development of tractable algorithms for uncertain, stochastic, constrained systems. The starting point is classical predictive control and the appropriate formulation of performance objectives and constraints to provide guarantees of closed-loop stability and performance. Moving on to robust predictive control, the text explains how similar guarantees may be obtained for cases in which the model describing the system dynamics is subject to additive disturbances and parametric uncertainties. Open- and closed-loop optimization are considered and the state of the art in computationally tractable methods based on uncertainty tubes presented for systems with additive model uncertainty. Finally, the tube framework is also applied to model predictive control problems involving hard or probabilistic constraints for the cases of multiplic...

  2. Stochastic Resonance in Protein Folding Dynamics.

    Science.gov (United States)

    Davtyan, Aram; Platkov, Max; Gruebele, Martin; Papoian, Garegin A

    2016-05-04

    Although protein folding reactions are usually studied under static external conditions, it is likely that proteins fold in a locally fluctuating cellular environment in vivo. To mimic such behavior in in vitro experiments, the local temperature of the solvent can be modulated either harmonically or using correlated noise. In this study, coarse-grained molecular simulations are used to investigate these possibilities, and it is found that both periodic and correlated random fluctuations of the environment can indeed accelerate folding kinetics if the characteristic frequencies of the applied fluctuations are commensurate with the internal timescale of the folding reaction; this is consistent with the phenomenon of stochastic resonance observed in many other condensed-matter processes. To test this theoretical prediction, the folding dynamics of phosphoglycerate kinase under harmonic temperature fluctuations are experimentally probed using Förster resonance energy transfer fluorescence measurements. To analyze these experiments, a combination of theoretical approaches is developed, including stochastic simulations of folding kinetics and an analytical mean-field kinetic theory. The experimental observations are consistent with the theoretical predictions of stochastic resonance in phosphoglycerate kinase folding. When combined with an alternative experiment on the protein VlsE using a power spectrum analysis, elaborated in Dave et al., ChemPhysChem 2016, 10.1002/cphc.201501041, the overall data overwhelmingly point to the experimental confirmation of stochastic resonance in protein folding dynamics.

  3. Lagrangian Descriptors for Stochastic Differential Equations: A Tool for Revealing the Phase Portrait of Stochastic Dynamical Systems

    Science.gov (United States)

    Balibrea-Iniesta, Francisco; Lopesino, Carlos; Wiggins, Stephen; Mancho, Ana M.

    2016-12-01

    In this paper, we introduce a new technique for depicting the phase portrait of stochastic differential equations. Following previous work for deterministic systems, we represent the phase space by means of a generalization of the method of Lagrangian descriptors to stochastic differential equations. Analogously to the deterministic differential equations setting, the Lagrangian descriptors graphically provide the distinguished trajectories and hyperbolic structures arising within the stochastic dynamics, such as random fixed points and their stable and unstable manifolds. We analyze the sense in which structures form barriers to transport in stochastic systems. We apply the method to several benchmark examples where the deterministic phase space structures are well-understood. In particular, we apply our method to the noisy saddle, the stochastically forced Duffing equation, and the stochastic double gyre model that is a benchmark for analyzing fluid transport.

  4. Relating the dynamics of road traffic in a stochastic cellular automaton to a macroscopic first-order model

    CERN Document Server

    Maerivoet, S; Immers, B; De Moor, B; Maerivoet, Sven; Logghe, Steven; Immers, Ben; Moor, Bart De

    2005-01-01

    In this paper, we describe a relation between a microscopic traffic cellular automaton (TCA) model (i.e., the stochastic TCA model of Nagel and Schreckenberg) and the macroscopic first-order hydrodynamic model of Lighthill, Whitham, and Richards (LWR). The innovative aspect of our approach, is that we explicitly derive the LWR's fundamental diagram directly from the STCA's rule set, by assuming a stationarity condition that converts the STCA's rules into a set of linear inequalities. In turn, these constraints define the shape of the fundamental diagram, which is then specified to the LWR model. Application of our methodology to a simulation case study, allows us to compare the tempo-spatial behavior of both models. Our results indicate that, in the presence of noise, the capacity flows in the derived fundamental diagram are overestimations of those of the STCA model. Directly specifying the STCA's capacity flows to the LWR fundamental diagram, effectively remedies most of the mismatches between both approach...

  5. NONLINEAR STOCHASTIC DYNAMICS: A SURVEY OF RECENT DEVELOPMENTS

    Institute of Scientific and Technical Information of China (English)

    朱位秋; 蔡国强

    2002-01-01

    This paper provides an overview of significant advances in nonlinearstochastic dynamics during the past two decades, including random response, stochas-tic stability, stochastic bifurcation, first passage problem and nonlinear stochasticcontrol. Topics for future research are also suggested.

  6. Effective "Gluon" Dynamics in a Stochastic Vacuum

    CERN Document Server

    Magpantay, J A

    2002-01-01

    Using the new scalar and vector degrees of freedom derived from the non-linear gauge condition (grad-dot-D)(grad-dot-A)=0, we show that the effective dynamics of the vector fields (identified as ``gluons'') in the stochastic vacuum defined by the scalars result in the vector fields acquiring a mass. We also find the vector fields losing their self-interactions.

  7. An example of the stochastic dynamics of a causal set

    CERN Document Server

    Krugly, Alexey L

    2011-01-01

    An example of a discrete pregeometry on a microscopic scale is introduced. The model is a directed dyadic acyclic graph. This is the particular case of a causal set. The particles in this model must be self-organized repetitive structures. The dynamics of this model is a stochastic sequential growth dynamics. New vertexes are added one by one. The probability of this addition depends on the structure of existed graph. The particular case of the dynamics is considered. The numerical simulation provides some symptoms of self-organization.

  8. Stochastic and coherent dynamics of single and coupled beta cells

    DEFF Research Database (Denmark)

    phenomenon, modeled by a slow-fast nonlinear system of ordinary differential equations (ODEs). The single cell oscillations are complex as the dynamical behavior is a result of traversing a series of saddle node and homoclinic bifurcations, controlled by the slow variable. We shall present results...... is the simplest reaction-diffusion partial differential equation....... on the burst period as function of an external applied stochastic term and use a technique for reducing the stochastic differential equations to ODEs for the average and higher order moments. The later method is approximate and we shall discuss the limits of validity. The individual beta cells are coupled...

  9. Stability of stochastic switched SIRS models

    Science.gov (United States)

    Meng, Xiaoying; Liu, Xinzhi; Deng, Feiqi

    2011-11-01

    Stochastic stability problems of a stochastic switched SIRS model with or without distributed time delay are considered. By utilizing the Lyapunov methods, sufficient stability conditions of the disease-free equilibrium are established. Stability conditions about the subsystem of the stochastic switched SIRS systems are also obtained.

  10. e-Dairy: a dynamic and stochastic whole-farm model that predicts biophysical and economic performance of grazing dairy systems.

    Science.gov (United States)

    Baudracco, J; Lopez-Villalobos, N; Holmes, C W; Comeron, E A; Macdonald, K A; Barry, T N

    2013-05-01

    A whole-farm, stochastic and dynamic simulation model was developed to predict biophysical and economic performance of grazing dairy systems. Several whole-farm models simulate grazing dairy systems, but most of them work at a herd level. This model, named e-Dairy, differs from the few models that work at an animal level, because it allows stochastic behaviour of the genetic merit of individual cows for several traits, namely, yields of milk, fat and protein, live weight (LW) and body condition score (BCS) within a whole-farm model. This model accounts for genetic differences between cows, is sensitive to genotype × environment interactions at an animal level and allows pasture growth, milk and supplements price to behave stochastically. The model includes an energy-based animal module that predicts intake at grazing, mammary gland functioning and body lipid change. This whole-farm model simulates a 365-day period for individual cows within a herd, with cow parameters randomly generated on the basis of the mean parameter values, defined as input and variance and co-variances from experimental data sets. The main inputs of e-Dairy are farm area, use of land, type of pasture, type of crops, monthly pasture growth rate, supplements offered, nutritional quality of feeds, herd description including herd size, age structure, calving pattern, BCS and LW at calving, probabilities of pregnancy, average genetic merit and economic values for items of income and costs. The model allows to set management policies to define: dry-off cows (ceasing of lactation), target pre- and post-grazing herbage mass and feed supplementation. The main outputs are herbage dry matter intake, annual pasture utilisation, milk yield, changes in BCS and LW, economic farm profit and return on assets. The model showed satisfactory accuracy of prediction when validated against two data sets from farmlet system experiments. Relative prediction errors were profit and the associated risk.

  11. Stochastic modeling and analysis of telecoms networks

    CERN Document Server

    Decreusefond, Laurent

    2012-01-01

    This book addresses the stochastic modeling of telecommunication networks, introducing the main mathematical tools for that purpose, such as Markov processes, real and spatial point processes and stochastic recursions, and presenting a wide list of results on stability, performances and comparison of systems.The authors propose a comprehensive mathematical construction of the foundations of stochastic network theory: Markov chains, continuous time Markov chains are extensively studied using an original martingale-based approach. A complete presentation of stochastic recursions from an

  12. Stochastic Modeling of Soil Salinity

    CERN Document Server

    Suweis, S; Van der Zee, S E A T M; Daly, E; Maritan, A; Porporato, A; 10.1029/2010GL042495

    2012-01-01

    A minimalist stochastic model of primary soil salinity is proposed, in which the rate of soil salinization is determined by the balance between dry and wet salt deposition and the intermittent leaching events caused by rainfall events. The long term probability density functions of salt mass and concentration are found by reducing the coupled soil moisture and salt mass balance equation to a single stochastic differential equation driven by multiplicative Poisson noise. The novel analytical solutions provide insight on the interplay of the main soil, plant and climate parameters responsible for long-term soil salinization. In particular, they show the existence of two distinct regimes, one where the mean salt mass remains nearly constant (or decreases) with increasing rainfall frequency, and another where mean salt content increases markedly with increasing rainfall frequency. As a result, relatively small reductions of rainfall in drier climates may entail dramatic shifts in long-term soil salinization trend...

  13. Effect of signal modulating noise in bistable stochastic dynamical systems

    Institute of Scientific and Technical Information of China (English)

    肖方红; 闫桂荣; 张新武

    2003-01-01

    The effect of signal modulating noise in bistable stochastic dynamical systems is studied.The concept of instan taneous steady state is proposed for bistable dynamical systems.By making a dynamical analysis of bistable stochastic systems,we find that global and local effect of signal modulating noise as well as stochastic resonance can occur in bistable dynamical systems on which both a weak sinusoidal signal and noise are forced.The effect is demonstrated by numerical simulation.

  14. Multivariate moment closure techniques for stochastic kinetic models

    Science.gov (United States)

    Lakatos, Eszter; Ale, Angelique; Kirk, Paul D. W.; Stumpf, Michael P. H.

    2015-09-01

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

  15. Multivariate moment closure techniques for stochastic kinetic models

    Energy Technology Data Exchange (ETDEWEB)

    Lakatos, Eszter, E-mail: e.lakatos13@imperial.ac.uk; Ale, Angelique; Kirk, Paul D. W.; Stumpf, Michael P. H., E-mail: m.stumpf@imperial.ac.uk [Department of Life Sciences, Centre for Integrative Systems Biology and Bioinformatics, Imperial College London, London SW7 2AZ (United Kingdom)

    2015-09-07

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

  16. Multivariate moment closure techniques for stochastic kinetic models.

    Science.gov (United States)

    Lakatos, Eszter; Ale, Angelique; Kirk, Paul D W; Stumpf, Michael P H

    2015-09-07

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

  17. Modelling conjugation with stochastic differential equations.

    Science.gov (United States)

    Philipsen, K R; Christiansen, L E; Hasman, H; Madsen, H

    2010-03-07

    Conjugation is an important mechanism involved in the transfer of resistance between bacteria. In this article a stochastic differential equation based model consisting of a continuous time state equation and a discrete time measurement equation is introduced to model growth and conjugation of two Enterococcus faecium strains in a rich exhaustible media. The model contains a new expression for a substrate dependent conjugation rate. A maximum likelihood based method is used to estimate the model parameters. Different models including different noise structure for the system and observations are compared using a likelihood-ratio test and Akaike's information criterion. Experiments indicating conjugation on the agar plates selecting for transconjugants motivates the introduction of an extended model, for which conjugation on the agar plate is described in the measurement equation. This model is compared to the model without plate conjugation. The modelling approach described in this article can be applied generally when modelling dynamical systems.

  18. Hybrid Differential Dynamic Programming with Stochastic Search

    Science.gov (United States)

    Aziz, Jonathan; Parker, Jeffrey; Englander, Jacob

    2016-01-01

    Differential dynamic programming (DDP) has been demonstrated as a viable approach to low-thrust trajectory optimization, namely with the recent success of NASAs Dawn mission. The Dawn trajectory was designed with the DDP-based Static Dynamic Optimal Control algorithm used in the Mystic software. Another recently developed method, Hybrid Differential Dynamic Programming (HDDP) is a variant of the standard DDP formulation that leverages both first-order and second-order state transition matrices in addition to nonlinear programming (NLP) techniques. Areas of improvement over standard DDP include constraint handling, convergence properties, continuous dynamics, and multi-phase capability. DDP is a gradient based method and will converge to a solution nearby an initial guess. In this study, monotonic basin hopping (MBH) is employed as a stochastic search method to overcome this limitation, by augmenting the HDDP algorithm for a wider search of the solution space.

  19. Consistent Stochastic Modelling of Meteocean Design Parameters

    DEFF Research Database (Denmark)

    Sørensen, John Dalsgaard; Sterndorff, M. J.

    2000-01-01

    Consistent stochastic models of metocean design parameters and their directional dependencies are essential for reliability assessment of offshore structures. In this paper a stochastic model for the annual maximum values of the significant wave height, and the associated wind velocity, current...... velocity, and water level is presented. The stochastic model includes statistical uncertainty and dependency between the four stochastic variables. Further, a new stochastic model for annual maximum directional significant wave heights is presented. The model includes dependency between the maximum wave...... height from neighboring directional sectors. Numerical examples are presented where the models are calibrated using the Maximum Likelihood method to data from the central part of the North Sea. The calibration of the directional distributions is made such that the stochastic model for the omnidirectional...

  20. Stochastic waves in a Brusselator model with nonlocal interaction.

    Science.gov (United States)

    Biancalani, Tommaso; Galla, Tobias; McKane, Alan J

    2011-08-01

    We show that intrinsic noise can induce spatiotemporal phenomena such as Turing patterns and traveling waves in a Brusselator model with nonlocal interaction terms. In order to predict and to characterize these stochastic waves we analyze the nonlocal model using a system-size expansion. The resulting theory is used to calculate the power spectra of the stochastic waves analytically and the outcome is tested successfully against simulations. We discuss the possibility that nonlocal models in other areas, such as epidemic spread or social dynamics, may contain similar stochastically induced patterns.

  1. Tangent map intermittency as an approximate analysis of intermittency in a high dimensional fully stochastic dynamical system: The Tangled Nature model

    Science.gov (United States)

    Diaz-Ruelas, Alvaro; Jeldtoft Jensen, Henrik; Piovani, Duccio; Robledo, Alberto

    2016-12-01

    It is well known that low-dimensional nonlinear deterministic maps close to a tangent bifurcation exhibit intermittency and this circumstance has been exploited, e.g., by Procaccia and Schuster [Phys. Rev. A 28, 1210 (1983)], to develop a general theory of 1/f spectra. This suggests it is interesting to study the extent to which the behavior of a high-dimensional stochastic system can be described by such tangent maps. The Tangled Nature (TaNa) Model of evolutionary ecology is an ideal candidate for such a study, a significant model as it is capable of reproducing a broad range of the phenomenology of macroevolution and ecosystems. The TaNa model exhibits strong intermittency reminiscent of punctuated equilibrium and, like the fossil record of mass extinction, the intermittency in the model is found to be non-stationary, a feature typical of many complex systems. We derive a mean-field version for the evolution of the likelihood function controlling the reproduction of species and find a local map close to tangency. This mean-field map, by our own local approximation, is able to describe qualitatively only one episode of the intermittent dynamics of the full TaNa model. To complement this result, we construct a complete nonlinear dynamical system model consisting of successive tangent bifurcations that generates time evolution patterns resembling those of the full TaNa model in macroscopic scales. The switch from one tangent bifurcation to the next in the sequences produced in this model is stochastic in nature, based on criteria obtained from the local mean-field approximation, and capable of imitating the changing set of types of species and total population in the TaNa model. The model combines full deterministic dynamics with instantaneous parameter random jumps at stochastically drawn times. In spite of the limitations of our approach, which entails a drastic collapse of degrees of freedom, the description of a high-dimensional model system in terms of a low

  2. Stochastic models for atmospheric dispersion

    DEFF Research Database (Denmark)

    Ditlevsen, Ove Dalager

    2003-01-01

    Simple stochastic differential equation models have been applied by several researchers to describe the dispersion of tracer particles in the planetary atmospheric boundary layer and to form the basis for computer simulations of particle paths. To obtain the drift coefficient, empirical vertical...... velocity distributions that depend on height above the ground both with respect to standard deviation and skewness are substituted into the stationary Fokker/Planck equation. The particle position distribution is taken to be uniform *the well/mixed condition( and also a given dispersion coefficient...

  3. Stochastic Circumplanetary Dynamics of Rotating Non-Spherical Dust Particles

    Science.gov (United States)

    Makuch, Martin; Brilliantov, N. V.; Sremcevic, M.; Spahn, F.; Krivov, A. V.

    2006-12-01

    Influence of stochastically fluctuating radiation pressure on the dynamics of dust grains on circumplanetary orbits was studied. Stochasticity stems from the permanent change of the particle cross-section due to rotation of nonspherical grains, exposed to the solar radiation. We found that stochasticity depends on the characteristic angular velocity of particles which, according to our estimates, spins very fast on the time scale of the orbital motion. According to this we modelled the stochastic part of the radiation pressure by a Gaussian white noise. Gauss perturbation equations with the radiation pressure being a sum of the deterministic and stochastic component have been used. We observed monotonous increasing standard deviation of the orbital elements, that is, the diffusive-like behaviour of the ensemble, which results in a spatial spreading of initially confined set of particles. By linear approximation we obtained expression for the effective diffusion coefficients and estimate their dependence on the geometrical characteristics of particles and their spin. Teoretical results were compared with numerical simulations performed for the putative dust tori of Mars. Our theory agrees fairly well with simulations for the initial period of the system evolution. The agreement however deteriorates with increasing time where impact of the non-linear terms of the perturbation equations becomes important. Analysis shows that the theoretical results may estimate the low boundary of the time-dependent standard deviation of the orbital elements. In the case of dust ejected from Martian moon Deimos we observed a change of orbital elements up to 10% of their initial values during the first 1000 years of orbital evolution. Our results indicate that the stochastic modulation of the radiation pressure can play an important role in the circumplanetary dynamics of dust and may, together with further noise sources (shadow, planetary bowshock, charge fluctuations, etc

  4. Output Feedback for Stochastic Nonlinear Systems with Unmeasurable Inverse Dynamics

    Institute of Scientific and Technical Information of China (English)

    Xin Yu; Na Duan

    2009-01-01

    This paper considers a concrete stochastic nonlinear system with stochastic unmeasurable inverse dynamics. Motivated by the concept of integral input-to-state stability (iISS) in deterministic systems and stochastic input-to-state stability (SISS) in stochastic systems, a concept of stochastic integral input-to-state stability (SiISS) using Lyapunov functions is first introduced. A constructive strategy is proposed to design a dynamic output feedback control law, which drives the state to the origin almost surely while keeping all other closed-loop signals almost surely bounded. At last, a simulation is given to verify the effectiveness of the control law.

  5. Stochastic Dynamics through Hierarchically Embedded Markov Chains

    Science.gov (United States)

    Vasconcelos, Vítor V.; Santos, Fernando P.; Santos, Francisco C.; Pacheco, Jorge M.

    2017-02-01

    Studying dynamical phenomena in finite populations often involves Markov processes of significant mathematical and/or computational complexity, which rapidly becomes prohibitive with increasing population size or an increasing number of individual configuration states. Here, we develop a framework that allows us to define a hierarchy of approximations to the stationary distribution of general systems that can be described as discrete Markov processes with time invariant transition probabilities and (possibly) a large number of states. This results in an efficient method for studying social and biological communities in the presence of stochastic effects—such as mutations in evolutionary dynamics and a random exploration of choices in social systems—including situations where the dynamics encompasses the existence of stable polymorphic configurations, thus overcoming the limitations of existing methods. The present formalism is shown to be general in scope, widely applicable, and of relevance to a variety of interdisciplinary problems.

  6. Stochastic effects on biodiversity in cyclic coevolutionary dynamics

    CERN Document Server

    Reichenbach, Tobias; Frey, Erwin

    2008-01-01

    Finite-size fluctuations arising in the dynamics of competing populations may have dramatic influence on their fate. As an example, in this article, we investigate a model of three species which dominate each other in a cyclic manner. Although the deterministic approach predicts (neutrally) stable coexistence of all species, for any finite population size, the intrinsic stochasticity unavoidably causes the eventual extinction of two of them.

  7. Assessment of buckling-restrained braced frame reliability using an experimental limit-state model and stochastic dynamic analysis

    Science.gov (United States)

    Andrews, Blake M.; Song, Junho; Fahnestock, Larry A.

    2009-09-01

    Buckling-restrained braces (BRBs) have recently become popular in the United States for use as primary members of seismic lateral-force-resisting systems. A BRB is a steel brace that does not buckle in compression but instead yields in both tension and compression. Although design guidelines for BRB applications have been developed, systematic procedures for assessing performance and quantifying reliability are still needed. This paper presents an analytical framework for assessing buckling-restrained braced frame (BRBF) reliability when subjected to seismic loads. This framework efficiently quantifies the risk of BRB failure due to low-cycle fatigue fracture of the BRB core. The procedure includes a series of components that: (1) quantify BRB demand in terms of BRB core deformation histories generated through stochastic dynamic analyses; (2) quantify the limit-state of a BRB in terms of its remaining cumulative plastic ductility capacity based on an experimental database; and (3) evaluate the probability of BRB failure, given the quantified demand and capacity, through structural reliability analyses. Parametric studies were conducted to investigate the effects of the seismic load, and characteristics of the BRB and BRBF on the probability of brace failure. In addition, fragility curves (i.e., conditional probabilities of brace failure given ground shaking intensity parameters) were created by the proposed framework. While the framework presented in this paper is applied to the assessment of BRBFs, the modular nature of the framework components allows for application to other structural components and systems.

  8. Assessment of buckling-restrained braced frame reliability using an experimental limit-state model and stochastic dynamic analysis

    Institute of Scientific and Technical Information of China (English)

    Blake M. Andrews; Junho Song; Larry A. Fahnestock

    2009-01-01

    Buckling-restrained braces (BRBs) have recently become popular in the United :States for use as primary members of seismic lateral-force-resisting systems. A BRB is a steel brace that does not buckle in compression but instead yields in both tension and compression. Although design guidelines for BRB applications have been developed, systematic procedures for assessing performance and quantifying reliability are still needed. This paper presents an analytical framework for assessing buckling-restrained braced frame (BRBF) reliability when subjected to seismic loads. This framework efficiently quantifies the risk of BRB failure due to low-cycle fatigue fracture of the BRB core. The procedure includes a series of components that: (1) quantify BRB demand in terms of BRB core deformation histories generated through stochastic dynamic analyses; (2) quantify the limit-state of a BRB in terms of its remaining cumulative plastic ductility capacity based on an experimental database; and (3) evaluate the probability of BRB failure, given the quantified demand and capacity, through structural reliability analyses. Parametric studies were conducted to investigate the effects of the seismic load, and characteristics of the BRB and BRBF on the probability of brace failure. In addition, fragility curves (i.e., conditional probabilities of brace failure given ground shaking intensity parameters) were created by the proposed framework. While the framework presented in this paper is applied to the assessment of BRBFs, the modular nature of the framework components allows for application to other structural components and systems.

  9. The Physics of Decision Making:. Stochastic Differential Equations as Models for Neural Dynamics and Evidence Accumulation in Cortical Circuits

    Science.gov (United States)

    Holmes, Philip; Eckhoff, Philip; Wong-Lin, K. F.; Bogacz, Rafal; Zacksenhouse, Miriam; Cohen, Jonathan D.

    2010-03-01

    We describe how drift-diffusion (DD) processes - systems familiar in physics - can be used to model evidence accumulation and decision-making in two-alternative, forced choice tasks. We sketch the derivation of these stochastic differential equations from biophysically-detailed models of spiking neurons. DD processes are also continuum limits of the sequential probability ratio test and are therefore optimal in the sense that they deliver decisions of specified accuracy in the shortest possible time. This leaves open the critical balance of accuracy and speed. Using the DD model, we derive a speed-accuracy tradeoff that optimizes reward rate for a simple perceptual decision task, compare human performance with this benchmark, and discuss possible reasons for prevalent sub-optimality, focussing on the question of uncertain estimates of key parameters. We present an alternative theory of robust decisions that allows for uncertainty, and show that its predictions provide better fits to experimental data than a more prevalent account that emphasises a commitment to accuracy. The article illustrates how mathematical models can illuminate the neural basis of cognitive processes.

  10. A Stochastic Dynamic Programming Approach Based on Bounded Rationality and Application to Dynamic Portfolio Choice

    Directory of Open Access Journals (Sweden)

    Wenjie Bi

    2014-01-01

    Full Text Available Dynamic portfolio choice is an important problem in finance, but the optimal strategy analysis is difficult when considering multiple stochastic volatility variables such as the stock price, interest rate, and income. Besides, recent research in experimental economics indicates that the agent shows limited attention, considering only the variables with high fluctuations but ignoring those with small ones. By extending the sparse max method, we propose an approach to solve dynamic programming problem with small stochastic volatility and the agent’s bounded rationality. This approach considers the agent’s behavioral factors and avoids effectively the “Curse of Dimensionality” in a dynamic programming problem with more than a few state variables. We then apply it to Merton dynamic portfolio choice model with stochastic volatility and get a tractable solution. Finally, the numerical analysis shows that the bounded rational agent may pay no attention to the varying equity premium and interest rate with small variance.

  11. Multiscale Stochastic Simulation and Modeling

    Energy Technology Data Exchange (ETDEWEB)

    James Glimm; Xiaolin Li

    2006-01-10

    Acceleration driven instabilities of fluid mixing layers include the classical cases of Rayleigh-Taylor instability, driven by a steady acceleration and Richtmyer-Meshkov instability, driven by an impulsive acceleration. Our program starts with high resolution methods of numerical simulation of two (or more) distinct fluids, continues with analytic analysis of these solutions, and the derivation of averaged equations. A striking achievement has been the systematic agreement we obtained between simulation and experiment by using a high resolution numerical method and improved physical modeling, with surface tension. Our study is accompanies by analysis using stochastic modeling and averaged equations for the multiphase problem. We have quantified the error and uncertainty using statistical modeling methods.

  12. 3D discrete angiogenesis dynamic model and stochastic simulation for the assessment of blood perfusion coefficient and impact on heat transfer between nanoparticles and malignant tumors.

    Science.gov (United States)

    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.

  13. Stochastic differential equation model for cerebellar granule cell excitability.

    Science.gov (United States)

    Saarinen, Antti; Linne, Marja-Leena; Yli-Harja, Olli

    2008-02-29

    Neurons in the brain express intrinsic dynamic behavior which is known to be stochastic in nature. A crucial question in building models of neuronal excitability is how to be able to mimic the dynamic behavior of the biological counterpart accurately and how to perform simulations in the fastest possible way. The well-established Hodgkin-Huxley formalism has formed to a large extent the basis for building biophysically and anatomically detailed models of neurons. However, the deterministic Hodgkin-Huxley formalism does not take into account the stochastic behavior of voltage-dependent ion channels. Ion channel stochasticity is shown to be important in adjusting the transmembrane voltage dynamics at or close to the threshold of action potential firing, at the very least in small neurons. In order to achieve a better understanding of the dynamic behavior of a neuron, a new modeling and simulation approach based on stochastic differential equations and Brownian motion is developed. The basis of the work is a deterministic one-compartmental multi-conductance model of the cerebellar granule cell. This model includes six different types of voltage-dependent conductances described by Hodgkin-Huxley formalism and simple calcium dynamics. A new model for the granule cell is developed by incorporating stochasticity inherently present in the ion channel function into the gating variables of conductances. With the new stochastic model, the irregular electrophysiological activity of an in vitro granule cell is reproduced accurately, with the same parameter values for which the membrane potential of the original deterministic model exhibits regular behavior. The irregular electrophysiological activity includes experimentally observed random subthreshold oscillations, occasional spontaneous spikes, and clusters of action potentials. As a conclusion, the new stochastic differential equation model of the cerebellar granule cell excitability is found to expand the range of dynamics

  14. Models of the stochastic activity of neurones

    CERN Document Server

    Holden, Arun Vivian

    1976-01-01

    These notes have grown from a series of seminars given at Leeds between 1972 and 1975. They represent an attempt to gather together the different kinds of model which have been proposed to account for the stochastic activity of neurones, and to provide an introduction to this area of mathematical biology. A striking feature of the electrical activity of the nervous system is that it appears stochastic: this is apparent at all levels of recording, ranging from intracellular recordings to the electroencephalogram. The chapters start with fluctuations in membrane potential, proceed through single unit and synaptic activity and end with the behaviour of large aggregates of neurones: L have chgaen this seque~~e\\/~~';uggest that the interesting behaviourr~f :the nervous system - its individuality, variability and dynamic forms - may in part result from the stochastic behaviour of its components. I would like to thank Dr. Julio Rubio for reading and commenting on the drafts, Mrs. Doris Beighton for producing the fin...

  15. CAM Stochastic Volatility Model for Option Pricing

    Directory of Open Access Journals (Sweden)

    Wanwan Huang

    2016-01-01

    Full Text Available The coupled additive and multiplicative (CAM noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks of the model. We also derive an approximation for the characteristic function of the model.

  16. Stochastic dynamics of active swimmers in linear flows

    CERN Document Server

    Sandoval, Mario; Subramanian, Ganesh; Lauga, Eric

    2014-01-01

    Most classical work on the hydrodynamics of low-Reynolds-number swimming addresses deterministic locomotion in quiescent environments. Thermal fluctuations in fluids are known to lead to a Brownian loss of the swimming direction. As most cells or synthetic swimmers are immersed in external flows, we consider theoretically in this paper the stochastic dynamics of a model active particle (a self-propelled sphere) in a steady general linear flow. The stochasticity arises both from translational diffusion in physical space, and from a combination of rotary diffusion and run-and-tumble dynamics in orientation space. We begin by deriving a general formulation for all components of the long-time mean square displacement tensor for a swimmer with a time-dependent swimming velocity and whose orientation decorrelates due to rotary diffusion alone. This general framework is applied to obtain the convectively enhanced mean-squared displacements of a steadily-swimming particle in three canonical linear flows (extension, s...

  17. Selective recoupling and stochastic dynamical decoupling

    CERN Document Server

    Kern, O

    2006-01-01

    An embedded selective recoupling method is proposed which is based on the idea of embedding the recently proposed deterministic selective recoupling scheme of Yamaguchi et al. [quant-ph/0411099] into a stochastic dynamical decoupling method, such as the recently proposed Pauli-random-error-correction-(PAREC) scheme [Eur. Phys. J. D 32, 153, quant-ph/0407262]. The recoupling scheme enables the implementation of elementary quantum gates in a quantum information processor by partial suppression of the unwanted interactions. The random dynamical decoupling method cancels a significant part of the residual interactions. Thus the time scale of reliable quantum computation is increased significantly. Numerical simulations are presented for a conditional two-qubit swap gate and for a complex iterative quantum algorithm.

  18. Systematic parameter inference in stochastic mesoscopic modeling

    CERN Document Server

    Lei, Huan; Li, Zhen; Karniadakis, George

    2016-01-01

    We propose a method to efficiently determine the optimal coarse-grained force field in mesoscopic stochastic simulations of Newtonian fluid and polymer melt systems modeled by dissipative particle dynamics (DPD) and energy conserving dissipative particle dynamics (eDPD). The response surfaces of various target properties (viscosity, diffusivity, pressure, etc.) with respect to model parameters are constructed based on the generalized polynomial chaos (gPC) expansion using simulation results on sampling points (e.g., individual parameter sets). To alleviate the computational cost to evaluate the target properties, we employ the compressive sensing method to compute the coefficients of the dominant gPC terms given the prior knowledge that the coefficients are sparse. The proposed method shows comparable accuracy with the standard probabilistic collocation method (PCM) while it imposes a much weaker restriction on the number of the simulation samples especially for systems with high dimensional parametric space....

  19. Stochastic P systems and the simulation of biochemical processes with dynamic compartments.

    Science.gov (United States)

    Spicher, Antoine; Michel, Olivier; Cieslak, Mikolaj; Giavitto, Jean-Louis; Prusinkiewicz, Przemyslaw

    2008-03-01

    We introduce a sequential rewriting strategy for P systems based on Gillespie's stochastic simulation algorithm, and show that the resulting formalism of stochastic P systems makes it possible to simulate biochemical processes in dynamically changing, nested compartments. Stochastic P systems have been implemented using the spatially explicit programming language MGS. Implementation examples include models of the Lotka-Volterra auto-catalytic system, and the life cycle of the Semliki Forest virus.

  20. Statistical Model Checking for Stochastic Hybrid Systems

    DEFF Research Database (Denmark)

    David, Alexandre; Du, Dehui; Larsen, Kim Guldstrand

    2012-01-01

    This paper presents novel extensions and applications of the UPPAAL-SMC model checker. The extensions allow for statistical model checking of stochastic hybrid systems. We show how our race-based stochastic semantics extends to networks of hybrid systems, and indicate the integration technique ap...

  1. Stochastic daily modeling of arctic tundra ecosystems

    Science.gov (United States)

    Erler, A.; Epstein, H. E.; Frazier, J.

    2011-12-01

    ArcVeg is a dynamic vegetation model that has simulated interannual variability of production and abundance of arctic tundra plant types in previous studies. In order to address the effects of changing seasonality on tundra plant community composition and productivity, we have uniquely adapted the model to operate on the daily timescale. Each section of the model-weather generation, nitrogen mineralization, and plant growth dynamics-are driven by daily fluctuations in simulated temperature conditions. These simulation dynamics are achieved by calibrating stochastic iterative loops and mathematical functions with raw field data. Air temperature is the fundamental driver in the model, parameterized by climate data collected in the field across numerous arctic tundra sites, and key daily statistics are extracted (mean and standard deviation of temperature for each day of the year). Nitrogen mineralization is calculated as an exponential function from the simulated temperature. The seasonality of plant growth is driven by the availability of nitrogen and constrained by historical patterns and dynamics of the remotely sensed normalized difference vegetation index (NDVI), as they pertain to the seasonal onset of growth. Here we describe the methods used for daily weather generation, nitrogen mineralization, and the daily competition among twelve plant functional types for nitrogen and subsequent growth. This still rather simple approach to vegetation dynamics has the capacity to generate complex relationships between seasonal patterns of temperature and arctic tundra vegetation community structure and function.

  2. Optimization Model of Hirmand River Basin Water Resources in the Agricultural Sector Using Stochastic Dynamic Programming under Uncertainty Conditions

    Directory of Open Access Journals (Sweden)

    Mahmoud Mohammadghasemi

    2016-06-01

    Full Text Available I n this study, water management allocated to the agricultural sector’was analyzed using stochastic dynamic programming under uncertainty conditions. The technical coefficients used in the study referred to the agricultural years, 2013-2014. They were obtained through the use of simple random sampling of 250 farmers in the region for crops wheat, barley, melon, watermelon and ruby grapes under the scenarios of drought, wet, normal, and water required in the most sensitive growth stages. Production function and profit function were obtained from the yield-water-product function of crops using Eviews software. Expected net profit of the system and optimal allocation of water were also calculated based on the GAMS economic analysis software. The results revealed that 14% of the cases over the past 30 years had wet years (high, 47% of the time and that 39% had experienced drought (low and normal (average years. In the best case, i.e. with high current levels, respectively at, 58, 67, 54, and 48% of water requirements for these crops and, in the worst case (with low current levels, 47, 35, 49, 53 and 48% of the water requirements provided during the most sensitive growth stages. Moreover, the results showed that the cultivation of the ruby grape was the best product with the highest expected profit in normal and rainfall conditions. In general, when the expected value of net profit is positive, managers would act optimistically and they would promise the optimal level of water provided to the farmers. Conversely, when the net value is negative they would prefer to be more conservative and would promise a lesser amount of water provided to the farmers. Hence, if the promised water to the farmer is not wasted, he will choose the loss incurred from a lesser harvest.

  3. The Use of Dynamic Stochastic Social Behavior Models to Produce Likelihood Functions for Risk Modeling of Proliferation and Terrorist Attacks

    Energy Technology Data Exchange (ETDEWEB)

    Young, Jonathan; Thompson, Sandra E.; Brothers, Alan J.; Whitney, Paul D.; Coles, Garill A.; Henderson, Cindy L.; Wolf, Katherine E.; Hoopes, Bonnie L.

    2008-12-01

    The ability to estimate the likelihood of future events based on current and historical data is essential to the decision making process of many government agencies. Successful predictions related to terror events and characterizing the risks will support development of options for countering these events. The predictive tasks involve both technical and social component models. The social components have presented a particularly difficult challenge. This paper outlines some technical considerations of this modeling activity. Both data and predictions associated with the technical and social models will likely be known with differing certainties or accuracies – a critical challenge is linking across these model domains while respecting this fundamental difference in certainty level. This paper will describe the technical approach being taken to develop the social model and identification of the significant interfaces between the technical and social modeling in the context of analysis of diversion of nuclear material.

  4. A stochastic surplus production model in continuous time

    DEFF Research Database (Denmark)

    Pedersen, Martin Wæver; Berg, Casper Willestofte

    2017-01-01

    Surplus production modelling has a long history as a method for managing data-limited fish stocks. Recent advancements have cast surplus production models as state-space models that separate random variability of stock dynamics from error in observed indices of biomass. We present a stochastic su...

  5. A Dynamic Berth Allocation Problem with Priority Considerations under Stochastic Nature

    NARCIS (Netherlands)

    Ursavas, Evrim; Bulut, Onder; Tasgetiren, Fatih

    2012-01-01

    Stochastic nature of vessel arrivals and handling times adds to the complexity of the well-known NP-hard berth allocation problem. To aid real decision-making under customer differentiations, a dynamic stochastic model designed to reflect different levels of vessel priorities is put forward. For

  6. A Dynamic Berth Allocation Problem with Priority Considerations under Stochastic Nature

    NARCIS (Netherlands)

    Ursavas, Evrim; Bulut, Onder; Tasgetiren, Fatih

    2012-01-01

    Stochastic nature of vessel arrivals and handling times adds to the complexity of the well-known NP-hard berth allocation problem. To aid real decision-making under customer differentiations, a dynamic stochastic model designed to reflect different levels of vessel priorities is put forward. For exp

  7. Condition-dependent mate choice: A stochastic dynamic programming approach.

    Science.gov (United States)

    Frame, Alicia M; Mills, Alex F

    2014-09-01

    We study how changing female condition during the mating season and condition-dependent search costs impact female mate choice, and what strategies a female could employ in choosing mates to maximize her own fitness. We address this problem via a stochastic dynamic programming model of mate choice. In the model, a female encounters males sequentially and must choose whether to mate or continue searching. As the female searches, her own condition changes stochastically, and she incurs condition-dependent search costs. The female attempts to maximize the quality of the offspring, which is a function of the female's condition at mating and the quality of the male with whom she mates. The mating strategy that maximizes the female's net expected reward is a quality threshold. We compare the optimal policy with other well-known mate choice strategies, and we use simulations to examine how well the optimal policy fares under imperfect information.

  8. An integral analysis for second generation bioethanol production via a dynamic model-based simulation approach: stochastic nonlinear optimisation

    DEFF Research Database (Denmark)

    Morales Rodriguez, Ricardo; Meyer, Anne S.; Gernaey, Krist

    -effectiveness. The objective of this study is to perform an integral analysis for bioethanol production from lignocellulosic feedstock using a rigorous dynamic modelling approach for the whole process. The bioethanol production includes different sections such as, pre-treatment of the substrate, enzymatic hydrolysis...

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

    DEFF Research Database (Denmark)

    Klim, Søren; Mortensen, Stig Bousgaard; Kristensen, Niels Rode

    2009-01-01

    likelihood estimation of a time-inhomogeneous stochastic differential model of glucose dynamics, Math. Med. Biol. 25 (June(2)) (2008) 141-155]. PK/PD models are traditionally based ordinary differential equations (ODES) with an observation link that incorporates noise. This state-space formulation only......The extension from ordinary to stochastic differential equations (SDEs) in pharmacokinetic and pharmacodynamic (PK/PD) modelling is an emerging field and has been motivated in a number of articles [N.R. Kristensen, H. Madsen, S.H. Ingwersen, Using stochastic differential equations for PK/PD model...... development, J. Pharmacokinet. Pharmacodyn. 32 (February(l)) (2005) 109-141; C.W. Tornoe, R.V Overgaard, H. Agerso, H.A. Nielsen, H. Madsen, E.N. Jonsson, Stochastic differential equations in NONMEM: implementation, application, and comparison with ordinary differential equations, Pharm. Res. 22 (August(8...

  10. Indirect Identification of Linear Stochastic Systems with Known Feedback Dynamics

    Science.gov (United States)

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

    1996-01-01

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

  11. A stochastic dynamic model to assess land use change scenarios on the ecological status of fluvial water bodies under the Water Framework Directive

    Energy Technology Data Exchange (ETDEWEB)

    Hughes, Samantha Jane, E-mail: shughes@utad.pt [Fluvial Ecology Laboratory, CITAB – Centre for the Research and Technology of Agro-Environment and Biological Sciences, University of Trás-os-Montes e Alto Douro, Vila Real (Portugal); Cabral, João Alexandre, E-mail: jcabral@utad.pt [Laboratory of Applied Ecology, CITAB – Centre for the Research and Technology of Agro-Environment and Biological Sciences, University of Trás-os-Montes e Alto Douro, Vila Real (Portugal); Bastos, Rita, E-mail: ritabastos@utad.pt [Laboratory of Applied Ecology, CITAB – Centre for the Research and Technology of Agro-Environment and Biological Sciences, University of Trás-os-Montes e Alto Douro, Vila Real (Portugal); Cortes, Rui, E-mail: rcortes@utad.pt [Fluvial Ecology Laboratory, CITAB – Centre for the Research and Technology of Agro-Environment and Biological Sciences, University of Trás-os-Montes e Alto Douro, Vila Real (Portugal); Vicente, Joana, E-mail: jsvicente@fc.up.pt [Centro de Investigacão em Biodiversidade e Recursos Genéticos (CIBIO), Faculdade de Ciências, Universidade do Porto, Porto (Portugal); Eitelberg, David, E-mail: d.a.eitelberg@vu.nl [Faculty of Earth and Life Sciences, VU University Amsterdam, De Boelelaan 1087, 1081 HV Amsterdam (Netherlands); Yu, Huirong, E-mail: h.yu@vu.nl [Faculty of Earth and Life Sciences, VU University Amsterdam, De Boelelaan 1087, 1081 HV Amsterdam (Netherlands); College of Resources and Environmental Sciences, China Agricultural University, 2 Yuanmingyuan W. Road, Haidian District, Beijing 100193 (China); and others

    2016-09-15

    This method development paper outlines an integrative stochastic dynamic methodology (StDM) framework to anticipate land use (LU) change effects on the ecological status of monitored and non-monitored lotic surface waters under the Water Framework Directive (WFD). Tested in the Alto Minho River Basin District in North West Portugal, the model is an innovative step towards developing a decision-making and planning tool to assess the influence impacts such as LU change and climate change on these complex systems. Comprising a series of sequential steps, a Generalized Linear Model based, competing model Multi Model Inference (MMI) approach was used for parameter estimation to identify principal land use types (distal factors) driving change in biological and physicochemical support elements (proximal factors) in monitored water bodies. The framework integrated MMI constants and coefficients of selected LU categories in the StDM simulations and spatial projections to simulate the ecological status of monitored and non-monitored lotic waterbodies in the test area under 2 scenarios of (1) LU intensification and (2) LU extensification. A total of 100 simulations were run for a 50 year period for each scenario. Spatially dynamic projections of WFD metrics were obtained, taking into account the occurrence of stochastic wildfire events which typically occur in the study region and are exacerbated by LU change. A marked projected decline to “Moderate” ecological status for most waterbodies was detected under intensification but little change under extensification; only a few waterbodies fell to “moderate” status. The latter scenario describes the actual regional socio-economic situation of agricultural abandonment due to rural poverty, partly explaining the projected lack of change in ecological status. Based on the WFD “one out all out” criterion, projected downward shifts in ecological status were due to physicochemical support elements, namely increased

  12. Dynamic Stochastic Superresolution of sparsely observed turbulent systems

    Energy Technology Data Exchange (ETDEWEB)

    Branicki, M., E-mail: branicki@cims.nyu.edu [Department of Mathematics and Center for Atmosphere Ocean Science, Courant Institute of Mathematical Sciences, New York University (United States); Majda, A.J. [Department of Mathematics and Center for Atmosphere Ocean Science, Courant Institute of Mathematical Sciences, New York University (United States)

    2013-05-15

    Real-time capture of the relevant features of the unresolved turbulent dynamics of complex natural systems from sparse noisy observations and imperfect models is a notoriously difficult problem. The resulting lack of observational resolution and statistical accuracy in estimating the important turbulent processes, which intermittently send significant energy to the large-scale fluctuations, hinders efficient parameterization and real-time prediction using discretized PDE models. This issue is particularly subtle and important when dealing with turbulent geophysical systems with an vast range of interacting spatio-temporal scales and rough energy spectra near the mesh scale of numerical models. Here, we introduce and study a suite of general Dynamic Stochastic Superresolution (DSS) algorithms and show that, by appropriately filtering sparse regular observations with the help of cheap stochastic exactly solvable models, one can derive stochastically ‘superresolved’ velocity fields and gain insight into the important characteristics of the unresolved dynamics, including the detection of the so-called black swans. The DSS algorithms operate in Fourier domain and exploit the fact that the coarse observation network aliases high-wavenumber information into the resolved waveband. It is shown that these cheap algorithms are robust and have significant skill on a test bed of turbulent solutions from realistic nonlinear turbulent spatially extended systems in the presence of a significant model error. In particular, the DSS algorithms are capable of successfully capturing time-localized extreme events in the unresolved modes, and they provide good and robust skill for recovery of the unresolved processes in terms of pattern correlation. Moreover, we show that DSS improves the skill for recovering the primary modes associated with the sparse observation mesh which is equally important in applications. The skill of the various DSS algorithms depends on the energy spectrum

  13. Stability analysis of associative memory network composed of stochastic neurons and dynamic synapses.

    Science.gov (United States)

    Katori, Yuichi; Otsubo, Yosuke; Okada, Masato; Aihara, Kazuyuki

    2013-01-01

    We investigate the dynamical properties of an associative memory network consisting of stochastic neurons and dynamic synapses that show short-term depression and facilitation. In the stochastic neuron model used in this study, the efficacy of the synaptic transmission changes according to the short-term depression or facilitation mechanism. We derive a macroscopic mean field model that captures the overall dynamical properties of the stochastic model. We analyze the stability and bifurcation structure of the mean field model, and show the dependence of the memory retrieval performance on the noise intensity and parameters that determine the properties of the dynamic synapses, i.e., time constants for depressing and facilitating processes. The associative memory network exhibits a variety of dynamical states, including the memory and pseudo-memory states, as well as oscillatory states among memory patterns. This study provides comprehensive insight into the dynamical properties of the associative memory network with dynamic synapses.

  14. Nambu mechanics for stochastic magnetization dynamics

    CERN Document Server

    Thibaudeau, Pascal; Nicolis, Stam

    2016-01-01

    The Landau-Lifshitz-Gilbert (LLG) equation describes the dynamics of a damped magnetization vector that can be understood as a generalization of Larmor spin precession. The LLG equation cannot be deduced from the Hamiltonian framework, by introducing a coupling to a usual bath, but requires the introduction of additional constraints. It is shown that these constraints can be formulated elegantly and consistently in the framework of dissipative Nambu mechanics. This has many consequences for both the variational principle and for topological aspects of hidden symmetries that control conserved quantities. We particularly study how the damping terms of dissipative Nambu mechanics affect the consistent interaction of magnetic systems with stochastic reservoirs and derive a master equation for the magnetization. The proposals are supported by numerical studies using symplectic integrators that preserve the topological structure of Nambu equations. These results are compared to computations performed by direct samp...

  15. Stochastic models for uncertain flexible systems

    NARCIS (Netherlands)

    Curtain, R.F.; Kotelenez, P.

    1987-01-01

    If a spectral operator is perturbed by an infinite-dimensional white noise process, it generates a stochastic evolution operator which has well defined second order properties. This type of stochastic bilinear spectral evolution equation may be used to model uncertainty of the higher modes in flexib

  16. Stochastic Modelling and Analysis of Warehouse Operations

    NARCIS (Netherlands)

    Y. Gong (Yeming)

    2009-01-01

    textabstractThis thesis has studied stochastic models and analysis of warehouse operations. After an overview of stochastic research in warehouse operations, we explore the following topics. Firstly, we search optimal batch sizes in a parallel-aisle warehouse with online order arrivals. We employ a

  17. A Stochastic Skeleton Model for the MJO

    Science.gov (United States)

    Stechmann, S. N.; Thual, S.; Majda, A.

    2014-12-01

    The Madden-Julian oscillation (MJO) is the dominant mode of variability in the tropical atmosphere on intraseasonal time scales and planetary spatial scales. Despite the primary importance of the MJO and the decades of research progress since its original discovery, a generally accepted theory for its essential mechanisms has remained elusive. In recent work by two of the authors, a minimal dynamical model has been proposed that recovers robustly the most fundamental MJO features of (i) a slow eastward speed of roughly 5 m/s, (ii) a peculiar dispersion relation with dω/dk≈0, and (iii) a horizontal quadrupole vortex structure. This model, the skeleton model, depicts the MJO as a neutrally stable atmospheric wave that involves a simple multiscale interaction between planetary dry dynamics, planetary lower-tropospheric moisture, and the planetary envelope of synoptic-scale activity. In this article, it is shown that the skeleton model can further account for (iv) the intermittent generation of MJO events and (v) the organization of MJO events into wave trains with growth and demise, as seen in nature. The goal is achieved by developing a simple stochastic parameterization for the unresolved details of synoptic-scale activity, which is coupled to otherwise deterministic processes in the skeleton model. In particular, the intermittent initiation, propagation, and shut down of MJO wave trains in the skeleton model occur through these stochastic effects. This includes examples with a background warm pool where some initial MJO-like disturbances propagate through the western region but stall at the peak of background convection/heating corresponding to the Maritime Continent in nature. Also shown are examples with an idealized seasonal cycle, namely a background warm pool state of heating/moistening displacing meridionally during the year. This seasonally varying case considers both equatorial and off-equatorial components of the envelope of synoptic scale convective

  18. Normal forms for reduced stochastic climate models

    NARCIS (Netherlands)

    Majda, A.J.; Franzke, C.; Crommelin, D.T.

    The systematic development of reduced low-dimensional stochastic climate models from observations or comprehensive highdimensional climate models is an important topic for atmospheric low-frequency variability, climate sensitivity, and improved extended range forecasting. Here techniques from

  19. Stochastic biomathematical models with applications to neuronal modeling

    CERN Document Server

    Batzel, Jerry; Ditlevsen, Susanne

    2013-01-01

    Stochastic biomathematical models are becoming increasingly important as new light is shed on the role of noise in living systems. In certain biological systems, stochastic effects may even enhance a signal, thus providing a biological motivation for the noise observed in living systems. Recent advances in stochastic analysis and increasing computing power facilitate the analysis of more biophysically realistic models, and this book provides researchers in computational neuroscience and stochastic systems with an overview of recent developments. Key concepts are developed in chapters written by experts in their respective fields. Topics include: one-dimensional homogeneous diffusions and their boundary behavior, large deviation theory and its application in stochastic neurobiological models, a review of mathematical methods for stochastic neuronal integrate-and-fire models, stochastic partial differential equation models in neurobiology, and stochastic modeling of spreading cortical depression.

  20. Stochastic models of intracellular transport

    KAUST Repository

    Bressloff, Paul C.

    2013-01-09

    The interior of a living cell is a crowded, heterogenuous, fluctuating environment. Hence, a major challenge in modeling intracellular transport is to analyze stochastic processes within complex environments. Broadly speaking, there are two basic mechanisms for intracellular transport: passive diffusion and motor-driven active transport. Diffusive transport can be formulated in terms of the motion of an overdamped Brownian particle. On the other hand, active transport requires chemical energy, usually in the form of adenosine triphosphate hydrolysis, and can be direction specific, allowing biomolecules to be transported long distances; this is particularly important in neurons due to their complex geometry. In this review a wide range of analytical methods and models of intracellular transport is presented. In the case of diffusive transport, narrow escape problems, diffusion to a small target, confined and single-file diffusion, homogenization theory, and fractional diffusion are considered. In the case of active transport, Brownian ratchets, random walk models, exclusion processes, random intermittent search processes, quasi-steady-state reduction methods, and mean-field approximations are considered. Applications include receptor trafficking, axonal transport, membrane diffusion, nuclear transport, protein-DNA interactions, virus trafficking, and the self-organization of subcellular structures. © 2013 American Physical Society.

  1. Nonlinear dynamic characteristics of SMA intravascular stent under radial stochastic loads.

    Science.gov (United States)

    Zhu, Zhiwen; Zhang, Qingxin; Xu, Jia

    2014-01-01

    Nonlinear dynamic characteristics of shape memory alloy (SMA) intravascular stent under radial stochastic loads were studied in this paper. Von de Pol item was improved to interpret the hysteretic phenomena of SMA, and the nonlinear dynamic model of SMA intravascular stent under radial stochastic loads was developed. The conditions of stochastic stability of the system were obtained in singular boundary theory. The steady-state probability density function of the dynamic response of the system was given, and the stochastic Hopf bifurcation characteristics of the system were analyzed. Theoretical analysis and numerical simulation show that the stability of the trivial solution varies with bifurcation parameters, and stochastic Hopf bifurcation appears in the process, which can cause stent fracture or loss. The results of this paper are helpful to application of SMA intravascular stent in biomedical engineering fields.

  2. The stochastic resonance mechanism in the Aerosol Index dynamics

    CERN Document Server

    De Martino, S; Mona, L

    2002-01-01

    We consider Aerosol Index (AI) time-series extracted from TOMS archive for an area covering Italy $(7-18^o E ; 36-47^o N)$. The missing of convergence in estimating the embedding dimension of the system and the inability of the Independent Component Analysis (ICA) in separating the fluctuations from deterministic component of the signals are evidences of an intrinsic link between the periodic behavior of AI and its fluctuations. We prove that these time series are well described by a stochastic dynamical model. Moreover, the principal peak in the power spectrum of these signals can be explained whereby a stochastic resonance, linking variable external factors, such as Sun-Earth radiation budget and local insolation, and fluctuations on smaller spatial and temporal scale due to internal weather and antrophic components.

  3. Modeling and analysis of stochastic systems

    CERN Document Server

    Kulkarni, Vidyadhar G

    2011-01-01

    Based on the author's more than 25 years of teaching experience, Modeling and Analysis of Stochastic Systems, Second Edition covers the most important classes of stochastic processes used in the modeling of diverse systems, from supply chains and inventory systems to genetics and biological systems. For each class of stochastic process, the text includes its definition, characterization, applications, transient and limiting behavior, first passage times, and cost/reward models. Along with reorganizing the material, this edition revises and adds new exercises and examples. New to the second edi

  4. Stochastic Modeling and Deterministic Limit of Catalytic Surface Processes

    DEFF Research Database (Denmark)

    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......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...... with low pressure experiments. Furthermore, for intermediate pressures, noise-induced pattern formation, which has not been captured by earlier models, can be reproduced in stochastic simulations with the mesoscopic model....

  5. Can Strange Nonchaotic Dynamics be induced through Stochastic Driving?

    CERN Document Server

    Prasad, A K; Prasad, Awadhesh; Ramaswamy, Ramakrishna

    1999-01-01

    Upon addition of noise, chaotic motion in low-dimensional dynamical systems can sometimes be transformed into nonchaotic dynamics: namely, the largest Lyapunov exponent can be made nonpositive. We study this phenomenon in model systems with a view to understanding the circumstances when such behaviour is possible. This technique for inducing ``order'' through stochastic driving works by modifying the invariant measure on the attractor: by appropriately increasing measure on those portions of the attractor where the dynamics is contracting, the overall dynamics can be made nonchaotic, however {\\it not} a strange nonchaotic attractor. Alternately, by decreasing measure on contracting regions, the largest Lyapunov exponent can be enhanced. A number of different chaos control and anticontrol techniques are known to function on this paradigm.

  6. Modelling and application of stochastic processes

    CERN Document Server

    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,...

  7. Extended Plefka expansion for stochastic dynamics

    Science.gov (United States)

    Bravi, B.; Sollich, P.; Opper, M.

    2016-05-01

    We propose an extension of the Plefka expansion, which is well known for the dynamics of discrete spins, to stochastic differential equations with continuous degrees of freedom and exhibiting generic nonlinearities. The scenario is sufficiently general to allow application to e.g. biochemical networks involved in metabolism and regulation. The main feature of our approach is to constrain in the Plefka expansion not just first moments akin to magnetizations, but also second moments, specifically two-time correlations and responses for each degree of freedom. The end result is an effective equation of motion for each single degree of freedom, where couplings to other variables appear as a self-coupling to the past (i.e. memory term) and a coloured noise. This constitutes a new mean field approximation that should become exact in the thermodynamic limit of a large network, for suitably long-ranged couplings. For the analytically tractable case of linear dynamics we establish this exactness explicitly by appeal to spectral methods of random matrix theory, for Gaussian couplings with arbitrary degree of symmetry.

  8. Stochastic Model of Maturation and Vesicular Exchange in Cellular Organelles

    CERN Document Server

    Vagne, Quentin

    2016-01-01

    The dynamical organization of membrane-bound organelles along intracellular transport pathways relies on vesicular exchange between organelles and on biochemical maturation of the organelle content by specific enzymes. The relative importance of each mechanism in controlling organelle dynamics remains controversial, in particular for transport through the Golgi apparatus. Using a stochastic model, we show that full maturation of membrane-bound compartments can be seen as the stochastic escape from a steady-state in which export is dominated by vesicular exchange. We show that full maturation can contribute a significant fraction of the total out-flux for small organelles such as endosomes and Golgi cisternae.

  9. Reliability-based Dynamic Network Design with Stochastic Networks

    NARCIS (Netherlands)

    Li, H.

    2009-01-01

    Transportation systems are stochastic and dynamic systems. The road capacities and the travel demand are fluctuating from time to time within a day and at the same time from day to day. For road users, the travel time and travel costs experienced over time and space are stochastic, thus desire relia

  10. Stochastic Hard-Sphere Dynamics for Hydrodynamics of Non-Ideal Fluids

    OpenAIRE

    Donev, Aleksandar; Alder, Berni J.; Garcia, Alejandro L.

    2008-01-01

    A novel stochastic fluid model is proposed with non-ideal structure factor consistent with compressibility, and adjustable transport coefficients. This Stochastic Hard Sphere Dynamics (SHSD) algorithm is a modification of the Direct Simulation Monte Carlo (DSMC) algorithm and has several computational advantages over event-driven hard-sphere molecular dynamics. Surprisingly, SHSD results in an equation of state and pair correlation function identical to that of a deterministic Hamiltonian sys...

  11. A stochastic boundary forcing for dissipative particle dynamics

    Science.gov (United States)

    Altenhoff, Adrian M.; Walther, Jens H.; Koumoutsakos, Petros

    2007-07-01

    The method of dissipative particle dynamics (DPD) is an effective, coarse grained model of the hydrodynamics of complex fluids. DPD simulations of wall-bounded flows are however often associated with spurious fluctuations of the fluid properties near the wall. We present a novel stochastic boundary forcing for DPD simulations of wall-bounded flows, based on the identification of fluctuations in simulations of the corresponding homogeneous system at equilibrium. The present method is shown to enforce accurately the no-slip boundary condition, while minimizing spurious fluctuations of material properties, in a number of benchmark problems.

  12. Stochastic Time Models of Syllable Structure

    Science.gov (United States)

    Shaw, Jason A.; Gafos, Adamantios I.

    2015-01-01

    Drawing on phonology research within the generative linguistics tradition, stochastic methods, and notions from complex systems, we develop a modelling paradigm linking phonological structure, expressed in terms of syllables, to speech movement data acquired with 3D electromagnetic articulography and X-ray microbeam methods. The essential variable in the models is syllable structure. When mapped to discrete coordination topologies, syllabic organization imposes systematic patterns of variability on the temporal dynamics of speech articulation. We simulated these dynamics under different syllabic parses and evaluated simulations against experimental data from Arabic and English, two languages claimed to parse similar strings of segments into different syllabic structures. Model simulations replicated several key experimental results, including the fallibility of past phonetic heuristics for syllable structure, and exposed the range of conditions under which such heuristics remain valid. More importantly, the modelling approach consistently diagnosed syllable structure proving resilient to multiple sources of variability in experimental data including measurement variability, speaker variability, and contextual variability. Prospects for extensions of our modelling paradigm to acoustic data are also discussed. PMID:25996153

  13. A stochastic evolutionary model generating a mixture of exponential distributions

    CERN Document Server

    Fenner, Trevor; Loizou, George

    2015-01-01

    Recent interest in human dynamics has stimulated the investigation of the stochastic processes that explain human behaviour in various contexts, such as mobile phone networks and social media. In this paper, we extend the stochastic urn-based model proposed in \\cite{FENN15} so that it can generate mixture models,in particular, a mixture of exponential distributions. The model is designed to capture the dynamics of survival analysis, traditionally employed in clinical trials, reliability analysis in engineering, and more recently in the analysis of large data sets recording human dynamics. The mixture modelling approach, which is relatively simple and well understood, is very effective in capturing heterogeneity in data. We provide empirical evidence for the validity of the model, using a data set of popular search engine queries collected over a period of 114 months. We show that the survival function of these queries is closely matched by the exponential mixture solution for our model.

  14. Statistical Model Checking for Stochastic Hybrid Systems

    DEFF Research Database (Denmark)

    David, Alexandre; Du, Dehui; Larsen, Kim Guldstrand

    2012-01-01

    This paper presents novel extensions and applications of the UPPAAL-SMC model checker. The extensions allow for statistical model checking of stochastic hybrid systems. We show how our race-based stochastic semantics extends to networks of hybrid systems, and indicate the integration technique...... applied for implementing this semantics in the UPPAAL-SMC simulation engine. We report on two applications of the resulting tool-set coming from systems biology and energy aware buildings....

  15. A Stochastic Energy Budget Model Using Physically Based Red Noise

    CERN Document Server

    Weniger, Michael; Hense, Andreas

    2011-01-01

    A method to describe unresolved processes in meteorological models by physically based stochastic processes (SP) is proposed by the example of an energy budget model (EBM). Contrary to the common approach using additive white noise, a suitable variable within the model is chosen to be represented by a SP. Spectral analysis of ice core time series shows a red noise character of the underlying fluctuations. Fitting Ornstein Uhlenbeck processes to the observed spectrum defines the parameters for the stochastic dynamic model (SDM). Numerical simulations for different sets of ice core data lead to three sets of strongly differing systems. Pathwise, statistical and spectral analysis of these models show the importance of carefully choosing suitable stochastic terms in order to get a physically meaningful SDM.

  16. Interactive macroeconomics stochastic aggregate dynamics with heterogeneous and interacting agents

    CERN Document Server

    Di Guilmi, Corrado

    2017-01-01

    One of the major problems of macroeconomic theory is the way in which the people exchange goods in decentralized market economies. There are major disagreements among macroeconomists regarding tools to influence required outcomes. Since the mainstream efficient market theory fails to provide an internal coherent framework, there is a need for an alternative theory. The book provides an innovative approach for the analysis of agent based models, populated by the heterogeneous and interacting agents in the field of financial fragility. The text is divided in two parts; the first presents analytical developments of stochastic aggregation and macro-dynamics inference methods. The second part introduces macroeconomic models of financial fragility for complex systems populated by heterogeneous and interacting agents. The concepts of financial fragility and macroeconomic dynamics are explained in detail in separate chapters. The statistical physics approach is applied to explain theories of macroeconomic modelling a...

  17. Medical imaging technology shock and volatility of macro economics: Analysis using a three-sector dynamical stochastic general equilibrium REC model.

    Science.gov (United States)

    Han, Shurong; Huang, Yeqing

    2017-07-07

    The study analysed the medical imaging technology business cycle from 1981 to 2009 and found that the volatility of consumption in Chinese medical imaging business was higher than that of the developed countries. The volatility of gross domestic product (GDP) and the correlation between consumption and GDP is also higher than that of the developed countries. Prior to the early 1990s the volatility of consumption is even higher than GDP. This fact makes it difficult to explain the volatile market using the standard one sector real economic cycle (REC) model. Contrary to the other domestic studies, this study considers a three-sector dynamical stochastic general equilibrium REC model. In this model there are two consumption sectors, whereby one is labour intensive and another is capital intensive. The more capital intensive investment sector only introduces technology shocks in the medical imaging market. Our response functions and Monte-Carlo simulation results show that the model can explain 90% of the volatility of consummation relative to GDP, and explain the correlation between consumption and GDP. The results demonstrated the significant correlation between the technological reform in medical imaging and volatility in the labour market on Chinese macro economy development.

  18. Stability and multiattractor dynamics of a toggle switch based on a two-stage model of stochastic gene expression.

    Science.gov (United States)

    Strasser, Michael; Theis, Fabian J; Marr, Carsten

    2012-01-04

    A toggle switch consists of two genes that mutually repress each other. This regulatory motif is active during cell differentiation and is thought to act as a memory device, being able to choose and maintain cell fate decisions. Commonly, this switch has been modeled in a deterministic framework where transcription and translation are lumped together. In this description, bistability occurs for transcription factor cooperativity, whereas autoactivation leads to a tristable system with an additional undecided state. In this contribution, we study the stability and dynamics of a two-stage gene expression switch within a probabilistic framework inspired by the properties of the Pu/Gata toggle switch in myeloid progenitor cells. We focus on low mRNA numbers, high protein abundance, and monomeric transcription-factor binding. Contrary to the expectation from a deterministic description, this switch shows complex multiattractor dynamics without autoactivation and cooperativity. Most importantly, the four attractors of the system, which only emerge in a probabilistic two-stage description, can be identified with committed and primed states in cell differentiation. To begin, we study the dynamics of the system and infer the mechanisms that move the system between attractors using both the quasipotential and the probability flux of the system. Next, we show that the residence times of the system in one of the committed attractors are geometrically distributed. We derive an analytical expression for the parameter of the geometric distribution, therefore completely describing the statistics of the switching process and elucidate the influence of the system parameters on the residence time. Moreover, we find that the mean residence time increases linearly with the mean protein level. This scaling also holds for a one-stage scenario and for autoactivation. Finally, we study the implications of this distribution for the stability of a switch and discuss the influence of the

  19. Modelling Cow Behaviour Using Stochastic Automata

    DEFF Research Database (Denmark)

    Jónsson, Ragnar Ingi

    This report covers an initial study on the modelling of cow behaviour using stochastic automata with the aim of detecting lameness. Lameness in cows is a serious problem that needs to be dealt with because it results in less profitable production units and in reduced quality of life...... of which describe the cows' activity in the two regarded behavioural scenarios, non-lame and lame. Using the experimental measurement data the different behavioural relations for the two regarded behavioural scenarios are assessed. The three models comprise activity within last hour, activity within last...... for the affected livestock. By featuring training data consisting of measurements of cow activity, three different models are obtained, namely an autonomous stochastic automaton, a stochastic automaton with coinciding state and output and an autonomous stochastic automaton with coinciding state and output, all...

  20. A stochastic dynamic model to assess land use change scenarios on the ecological status of fluvial water bodies under the Water Framework Directive.

    Science.gov (United States)

    Hughes, Samantha Jane; Cabral, João Alexandre; Bastos, Rita; Cortes, Rui; Vicente, Joana; Eitelberg, David; Yu, Huirong; Honrado, João; Santos, Mário

    2016-09-15

    This method development paper outlines an integrative stochastic dynamic methodology (StDM) framework to anticipate land use (LU) change effects on the ecological status of monitored and non-monitored lotic surface waters under the Water Framework Directive (WFD). Tested in the Alto Minho River Basin District in North West Portugal, the model is an innovative step towards developing a decision-making and planning tool to assess the influence impacts such as LU change and climate change on these complex systems. Comprising a series of sequential steps, a Generalized Linear Model based, competing model Multi Model Inference (MMI) approach was used for parameter estimation to identify principal land use types (distal factors) driving change in biological and physicochemical support elements (proximal factors) in monitored water bodies. The framework integrated MMI constants and coefficients of selected LU categories in the StDM simulations and spatial projections to simulate the ecological status of monitored and non-monitored lotic waterbodies in the test area under 2 scenarios of (1) LU intensification and (2) LU extensification. A total of 100 simulations were run for a 50year period for each scenario. Spatially dynamic projections of WFD metrics were obtained, taking into account the occurrence of stochastic wildfire events which typically occur in the study region and are exacerbated by LU change. A marked projected decline to "Moderate" ecological status for most waterbodies was detected under intensification but little change under extensification; only a few waterbodies fell to "moderate" status. The latter scenario describes the actual regional socio-economic situation of agricultural abandonment due to rural poverty, partly explaining the projected lack of change in ecological status. Based on the WFD "one out all out" criterion, projected downward shifts in ecological status were due to physicochemical support elements, namely increased phosphorus levels

  1. Safety Analysis of Stochastic Dynamical Systems

    DEFF Research Database (Denmark)

    Sloth, Christoffer; Wisniewski, Rafael

    2015-01-01

    This paper presents a method for verifying the safety of a stochastic system. In particular, we show how to compute the largest set of initial conditions such that a given stochastic system is safe with probability p. To compute the set of initial conditions we rely on the moment method that via...

  2. Predicting dynamic range and intensity discrimination for electrical pulse-train stimuli using a stochastic auditory nerve model: the effects of stimulus noise.

    Science.gov (United States)

    Xu, Yifang; Collins, Leslie M

    2005-06-01

    This work investigates dynamic range and intensity discrimination for electrical pulse-train stimuli that are modulated by noise using a stochastic auditory nerve model. Based on a hypothesized monotonic relationship between loudness and the number of spikes elicited by a stimulus, theoretical prediction of the uncomfortable level has previously been determined by comparing spike counts to a fixed threshold, Nucl. However, no specific rule for determining Nucl has been suggested. Our work determines the uncomfortable level based on the excitation pattern of the neural response in a normal ear. The number of fibers corresponding to the portion of the basilar membrane driven by a stimulus at an uncomfortable level in a normal ear is related to Nucl at an uncomfortable level of the electrical stimulus. Intensity discrimination limens are predicted using signal detection theory via the probability mass function of the neural response and via experimental simulations. The results show that the uncomfortable level for pulse-train stimuli increases slightly as noise level increases. Combining this with our previous threshold predictions, we hypothesize that the dynamic range for noise-modulated pulse-train stimuli should increase with additive noise. However, since our predictions indicate that intensity discrimination under noise degrades, overall intensity coding performance may not improve significantly.

  3. Dynamic consistency for Stochastic Optimal Control problems

    CERN Document Server

    Carpentier, Pierre; Cohen, Guy; De Lara, Michel; Girardeau, Pierre

    2010-01-01

    For a sequence of dynamic optimization problems, we aim at discussing a notion of consistency over time. This notion can be informally introduced as follows. At the very first time step $t_0$, the decision maker formulates an optimization problem that yields optimal decision rules for all the forthcoming time step $t_0, t_1, ..., T$; at the next time step $t_1$, he is able to formulate a new optimization problem starting at time $t_1$ that yields a new sequence of optimal decision rules. This process can be continued until final time $T$ is reached. A family of optimization problems formulated in this way is said to be time consistent if the optimal strategies obtained when solving the original problem remain optimal for all subsequent problems. The notion of time consistency, well-known in the field of Economics, has been recently introduced in the context of risk measures, notably by Artzner et al. (2007) and studied in the Stochastic Programming framework by Shapiro (2009) and for Markov Decision Processes...

  4. Extending Newtonian Dynamics to Include Stochastic Processes

    Science.gov (United States)

    Zak, Michail

    2009-01-01

    A paper presents further results of continuing research reported in several previous NASA Tech Briefs articles, the two most recent being Stochastic Representations of Chaos Using Terminal Attractors (NPO-41519), [Vol. 30, No. 5 (May 2006), page 57] and Physical Principle for Generation of Randomness (NPO-43822) [Vol. 33, No. 5 (May 2009), page 56]. This research focuses upon a mathematical formalism for describing post-instability motions of a dynamical system characterized by exponential divergences of trajectories leading to chaos (including turbulence as a form of chaos). The formalism involves fictitious control forces that couple the equations of motion of the system with a Liouville equation that describes the evolution of the probability density of errors in initial conditions. These stabilizing forces create a powerful terminal attractor in probability space that corresponds to occurrence of a target trajectory with probability one. The effect in configuration space (ordinary three-dimensional space as commonly perceived) is to suppress exponential divergences of neighboring trajectories without affecting the target trajectory. As a result, the post-instability motion is represented by a set of functions describing the evolution of such statistical quantities as expectations and higher moments, and this representation is stable.

  5. From cusps to cores: a stochastic model

    Science.gov (United States)

    El-Zant, Amr A.; Freundlich, Jonathan; Combes, Françoise

    2016-09-01

    The cold dark matter model of structure formation faces apparent problems on galactic scales. Several threads point to excessive halo concentration, including central densities that rise too steeply with decreasing radius. Yet, random fluctuations in the gaseous component can `heat' the centres of haloes, decreasing their densities. We present a theoretical model deriving this effect from first principles: stochastic variations in the gas density are converted into potential fluctuations that act on the dark matter; the associated force correlation function is calculated and the corresponding stochastic equation solved. Assuming a power-law spectrum of fluctuations with maximal and minimal cutoff scales, we derive the velocity dispersion imparted to the halo particles and the relevant relaxation time. We further perform numerical simulations, with fluctuations realized as a Gaussian random field, which confirm the formation of a core within a time-scale comparable to that derived analytically. Non-radial collective modes enhance the energy transport process that erases the cusp, though the parametrizations of the analytical model persist. In our model, the dominant contribution to the dynamical coupling driving the cusp-core transformation comes from the largest scale fluctuations. Yet, the efficiency of the transformation is independent of the value of the largest scale and depends weakly (linearly) on the power-law exponent; it effectively depends on two parameters: the gas mass fraction and the normalization of the power spectrum. This suggests that cusp-core transformations observed in hydrodynamic simulations of galaxy formation may be understood and parametrized in simple terms, the physical and numerical complexities of the various implementations notwithstanding.

  6. Two-strain competition in quasineutral stochastic disease dynamics

    Science.gov (United States)

    Kogan, Oleg; Khasin, Michael; Meerson, Baruch; Schneider, David; Myers, Christopher R.

    2014-10-01

    We develop a perturbation method for studying quasineutral competition in a broad class of stochastic competition models and apply it to the analysis of fixation of competing strains in two epidemic models. The first model is a two-strain generalization of the stochastic susceptible-infected-susceptible (SIS) model. Here we extend previous results due to Parsons and Quince [Theor. Popul. Biol. 72, 468 (2007), 10.1016/j.tpb.2007.04.002], Parsons et al. [Theor. Popul. Biol. 74, 302 (2008), 10.1016/j.tpb.2008.09.001], and Lin, Kim, and Doering [J. Stat. Phys. 148, 646 (2012), 10.1007/s10955-012-0479-9]. The second model, a two-strain generalization of the stochastic susceptible-infected-recovered (SIR) model with population turnover, has not been studied previously. In each of the two models, when the basic reproduction numbers of the two strains are identical, a system with an infinite population size approaches a point on the deterministic coexistence line (CL): a straight line of fixed points in the phase space of subpopulation sizes. Shot noise drives one of the strain populations to fixation, and the other to extinction, on a time scale proportional to the total population size. Our perturbation method explicitly tracks the dynamics of the probability distribution of the subpopulations in the vicinity of the CL. We argue that, whereas the slow strain has a competitive advantage for mathematically "typical" initial conditions, it is the fast strain that is more likely to win in the important situation when a few infectives of both strains are introduced into a susceptible population.

  7. Modeling the stochastic dynamics of moving turbulent spots over a slender cone at Mach 5 during laminar-turbulent transition

    Science.gov (United States)

    Robbins, Brian; Field, Rich; Grigoriu, Mircea; Jamison, Ryan; Mesh, Mikhail; Casper, Katya; Dechant, Lawrence

    2016-11-01

    During reentry, a hypersonic vehicle undergoes a period in which the flow about the vehicle transitions from laminar to turbulent flow. During this transitional phase, the flow is characterized by intermittent formations of localized turbulent behavior. These localized regions of turbulence are born at the onset of transition and grow as they move to the aft end of the flight vehicle. Throughout laminar-turbulent transition, the moving turbulent spots cause pressure fluctuations on the outer surface of the vehicle, which leads to the random vibration of the structure and its internal components. In light of this, it is of great interest to study the dynamical response of a flight vehicle undergoing transitional flow so that aircraft can be better designed to prevent structural failure. In this talk, we present a statistical model that calculates the birth, evolution, and pressure field of turbulent spots over a generic slender cone structure. We then illustrate that the model appropriately quantifies intermittency behavior and pressure loading by comparing the intermittency and root-mean-square pressure fluctuations produced by the model with theory and experiment. Finally, we present results pertaining to the structural response of a housing panel on the slender cone. Sandia is a multiprogram laboratory operated by Sandia Corporation, a Lockheed Martin Company, for the United States Department of Energy's National Nuclear Security Administration under Contract DE-AC04-94AL85000.

  8. Computer Aided Continuous Time Stochastic Process Modelling

    DEFF Research Database (Denmark)

    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...

  9. Stochastic Models of Polymer Systems

    Science.gov (United States)

    2016-01-01

    field limit of a dynamical model for polymer systems, Science China Mathematics , (11 2012): 0. doi: TOTAL: 1 Number of Non Peer-Reviewed Conference...4.0 (4.0 max scale): Number of graduating undergraduates funded by a DoD funded Center of Excellence grant for Education , Research and Engineering...undergraduates funded by your agreement who graduated during this period and will receive scholarships or fellowships for further studies in science

  10. Model checking mobile stochastic logic.

    NARCIS (Netherlands)

    De Nicola, Rocco; Katoen, Joost P.; Latella, Diego; Loreti, Michele; Massink, Mieke

    2007-01-01

    The Temporal Mobile Stochastic Logic (MOSL) has been introduced in previous work by the authors for formulating properties of systems specified in STOKLAIM, a Markovian extension of KLAIM. The main purpose of MOSL is to address key functional aspects of global computing such as distribution

  11. Model checking mobile stochastic logic.

    NARCIS (Netherlands)

    De Nicola, Rocco; Katoen, Joost-Pieter; Latella, Diego; Loreti, Michele; Massink, Mieke

    2007-01-01

    The Temporal Mobile Stochastic Logic (MOSL) has been introduced in previous work by the authors for formulating properties of systems specified in STOKLAIM, a Markovian extension of KLAIM. The main purpose of MOSL is to address key functional aspects of global computing such as distribution awarenes

  12. Quantitative sociodynamics stochastic methods and models of social interaction processes

    CERN Document Server

    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...

  13. Quantitative Sociodynamics Stochastic Methods and Models of Social Interaction Processes

    CERN Document Server

    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...

  14. Assessing predictability of a hydrological stochastic-dynamical system

    Science.gov (United States)

    Gelfan, Alexander

    2014-05-01

    The water cycle includes the processes with different memory that creates potential for predictability of hydrological system based on separating its long and short memory components and conditioning long-term prediction on slower evolving components (similar to approaches in climate prediction). In the face of the Panta Rhei IAHS Decade questions, it is important to find a conceptual approach to classify hydrological system components with respect to their predictability, define predictable/unpredictable patterns, extend lead-time and improve reliability of hydrological predictions based on the predictable patterns. Representation of hydrological systems as the dynamical systems subjected to the effect of noise (stochastic-dynamical systems) provides possible tool for such conceptualization. A method has been proposed for assessing predictability of hydrological system caused by its sensitivity to both initial and boundary conditions. The predictability is defined through a procedure of convergence of pre-assigned probabilistic measure (e.g. variance) of the system state to stable value. The time interval of the convergence, that is the time interval during which the system losses memory about its initial state, defines limit of the system predictability. The proposed method was applied to assess predictability of soil moisture dynamics in the Nizhnedevitskaya experimental station (51.516N; 38.383E) located in the agricultural zone of the central European Russia. A stochastic-dynamical model combining a deterministic one-dimensional model of hydrothermal regime of soil with a stochastic model of meteorological inputs was developed. The deterministic model describes processes of coupled heat and moisture transfer through unfrozen/frozen soil and accounts for the influence of phase changes on water flow. The stochastic model produces time series of daily meteorological variables (precipitation, air temperature and humidity), whose statistical properties are similar

  15. A Method for Systematic Improvement of Stochastic Grey-Box Models

    DEFF Research Database (Denmark)

    Kristensen, Niels Rode; Madsen, Henrik; Jørgensen, Sten Bay

    2004-01-01

    A systematic framework for improving the quality of continuous time models of dynamic systems based on experimental data is presented. The framework is based on an interplay between stochastic differential equation modelling, statistical tests and nonparametric modelling and provides features...

  16. Stochastic system identification in structural dynamics

    Science.gov (United States)

    Safak, Erdal

    1988-01-01

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

  17. Dynamics of a rotating flat ellipsoid with a stochastic oblateness

    CERN Document Server

    Behar, Etienne; Pierret, Frédéric

    2014-01-01

    We derive a model for the motion of a rotating flat ellispoid with a stochastic flattening based on an invariance theorem for stochastic differential equations. A numerical study of a toy-model is performed leading to an intriguing coincidence with observational data.

  18. Models and Algorithm for Stochastic Network Designs

    Institute of Scientific and Technical Information of China (English)

    Anthony Chen; Juyoung Kim; Seungjae Lee; Jaisung Choi

    2009-01-01

    The network design problem (NDP) is one of the most difficult and challenging problems in trans-portation. Traditional NDP models are often posed as a deterministic bilevel program assuming that all rele-vant inputs are known with certainty. This paper presents three stochastic models for designing transporta-tion networks with demand uncertainty. These three stochastic NDP models were formulated as the ex-pected value model, chance-constrained model, and dependent-chance model in a bilevel programming framework using different criteria to hedge against demand uncertainty. Solution procedures based on the traffic assignment algorithm, genetic algorithm, and Monte-Cado simulations were developed to solve these stochastic NDP models. The nonlinear and nonconvex nature of the bilevel program was handled by the genetic algorithm and traffic assignment algorithm, whereas the stochastic nature was addressed through simulations. Numerical experiments were conducted to evaluate the applicability of the stochastic NDP models and the solution procedure. Results from the three experiments show that the solution procedures are quite robust to different parameter settings.

  19. Dynamic option pricing with endogenous stochastic arbitrage

    Science.gov (United States)

    Contreras, Mauricio; Montalva, Rodrigo; Pellicer, Rely; Villena, Marcelo

    2010-09-01

    Only few efforts have been made in order to relax one of the key assumptions of the Black-Scholes model: the no-arbitrage assumption. This is despite the fact that arbitrage processes usually exist in the real world, even though they tend to be short-lived. The purpose of this paper is to develop an option pricing model with endogenous stochastic arbitrage, capable of modelling in a general fashion any future and underlying asset that deviate itself from its market equilibrium. Thus, this investigation calibrates empirically the arbitrage on the futures on the S&P 500 index using transaction data from September 1997 to June 2009, from here a specific type of arbitrage called “arbitrage bubble”, based on a t-step function, is identified and hence used in our model. The theoretical results obtained for Binary and European call options, for this kind of arbitrage, show that an investment strategy that takes advantage of the identified arbitrage possibility can be defined, whenever it is possible to anticipate in relative terms the amplitude and timespan of the process. Finally, the new trajectory of the stock price is analytically estimated for a specific case of arbitrage and some numerical illustrations are developed. We find that the consequences of a finite and small endogenous arbitrage not only change the trajectory of the asset price during the period when it started, but also after the arbitrage bubble has already gone. In this context, our model will allow us to calibrate the B-S model to that new trajectory even when the arbitrage already started.

  20. Stochastic differential equations used to model conjugation

    DEFF Research Database (Denmark)

    Philipsen, Kirsten Riber; Christiansen, Lasse Engbo

    Stochastic differential equations (SDEs) are used to model horizontal transfer of antibiotic resis- tance by conjugation. The model describes the concentration of donor, recipient, transconjugants and substrate. The strength of the SDE model over the traditional ODE models is that the noise can...

  1. Stochastic Modeling of Traffic Air Pollution

    DEFF Research Database (Denmark)

    Thoft-Christensen, Palle

    2014-01-01

    In this paper, modeling of traffic air pollution is discussed with special reference to infrastructures. A number of subjects related to health effects of air pollution and the different types of pollutants are briefly presented. A simple model for estimating the social cost of traffic related air...... and using simple Monte Carlo techniques to obtain a stochastic estimate of the costs of traffic air pollution for infrastructures....... pollution is derived. Several authors have published papers on this very complicated subject, but no stochastic modelling procedure have obtained general acceptance. The subject is discussed basis of a deterministic model. However, it is straightforward to modify this model to include uncertain parameters...

  2. Stochastic Modeling of Traffic Air Pollution

    DEFF Research Database (Denmark)

    Thoft-Christensen, Palle

    2014-01-01

    In this paper, modeling of traffic air pollution is discussed with special reference to infrastructures. A number of subjects related to health effects of air pollution and the different types of pollutants are briefly presented. A simple model for estimating the social cost of traffic related air...... and using simple Monte Carlo techniques to obtain a stochastic estimate of the costs of traffic air pollution for infrastructures....... pollution is derived. Several authors have published papers on this very complicated subject, but no stochastic modelling procedure have obtained general acceptance. The subject is discussed basis of a deterministic model. However, it is straightforward to modify this model to include uncertain parameters...

  3. Winter NH low-frequency variability in a hierarchy of low-order stochastic dynamical models of earth-atmosphere system

    Science.gov (United States)

    Zhao, Nan

    2017-01-01

    The origin of winter Northern Hemispheric low-frequency variability (hereafter, LFV) is regarded to be related to the coupled earth-atmosphere system characterized by the interaction of the jet stream with mid-latitude mountain ranges. On the other hand, observed LFV usually appears as transitions among multiple planetary-scale flow regimes of Northern Hemisphere like NAO + , AO +, AO - and NAO - . Moreover, the interaction between synoptic-scale eddies and the planetary-scale disturbance is also inevitable in the origin of LFV. These raise a question regarding how to incorporate all these aspects into just one framework to demonstrate (1) a planetary-scale dynamics of interaction of the jet stream with mid-latitude mountain ranges can really produce LFV, (2) such a dynamics can be responsible for the existence of above multiple flow regimes, and (3) the role of interaction with eddy is also clarified. For this purpose, a hierarchy of low-order stochastic dynamical models of the coupled earth-atmosphere system derived empirically from different timescale ranges of indices of Arctic Oscillation (AO), North Atlantic Oscillation (NAO), Pacific/North American (PNA), and length of day (LOD) and related probability density function (PDF) analysis are employed in this study. The results seem to suggest that the origin of LFV cannot be understood completely within the planetary-scale dynamics of the interaction of the jet stream with mid-latitude mountain ranges, because (1) the existence of multiple flow regimes such as NAO+, AO+, AO- and NAO- resulted from processes with timescales much longer than LFV itself, which may have underlying dynamics other than topography-jet stream interaction, and (2) we find LFV seems not necessarily to come directly from the planetary-scale dynamics of the interaction of the jet stream with mid-latitude mountain, although it can produce similar oscillatory behavior. The feedback/forcing of synoptic-scale eddies on the planetary

  4. Stochastic differential equation model to Prendiville processes

    Energy Technology Data Exchange (ETDEWEB)

    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.

  5. Stochastic differential equation model to Prendiville processes

    Science.gov (United States)

    Granita, Bahar, Arifah

    2015-10-01

    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.

  6. Stochastic TDHF in an exactly solvable model

    CERN Document Server

    Lacombe, Lionel; Suraud, Eric; Dinh, Phuong Mai

    2016-01-01

    We apply in a schematic model a theory beyond mean-field, namely Stochastic Time-Dependent Hartree-Fock (STDHF), which includes dynamical electron-electron collisions on top of an incoherent ensemble of mean-field states by occasional 2-particle-2-hole ($2p2h$) jumps. The model considered here is inspired by a Lipkin-Meshkov-Glick model of $\\Omega$ particles distributed into two bands of energy and coupled by a two-body interaction. Such a model can be exactly solved (numerically though) for small $\\Omega$. It therefore allows a direct comparison of STDHF and the exact propagation. The systematic impact of the model parameters as the density of states, the excitation energy and the bandwidth is presented and discussed. The time evolution of the STDHF compares fairly well with the exact entropy, as soon as the excitation energy is sufficiently large to allow $2p2h$ transitions. Limitations concerning low energy excitations and memory effects are also discussed.

  7. Stochastic dynamics of Arctic sea ice Part I: Additive noise

    CERN Document Server

    Moon, Woosok

    2015-01-01

    We analyze the numerical solutions of a stochastic Arctic sea ice model with constant additive noise over a wide range of external heat-fluxes, $\\Delta F_0$, which correspond to greenhouse gas forcing. The variability that the stochasticity provides to the deterministic steady state solutions (perennial and seasonal ice states) is illustrated by examining both the stochastic paths and probability density functions (PDFs). The principal stochastic moments (standard deviation, mean and skewness) are calculated and compared with those determined from a stochastic perturbation theory described previously by Moon and Wettlaufer (2013). We examine in detail the competing roles of the destabilizing sea ice-albedo-feedback and the stabilizing long-wave radiative loss contributions to the variability of the ice cover under increased greenhouse-gas forcing. In particular, the variability of the stochastic paths at the end of summer shows a clear maximum, which is due to the combination of the increasing importance of t...

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

    Science.gov (United States)

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

    2016-03-01

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

  9. Level Crossing Methods in Stochastic Models

    CERN Document Server

    Brill, Percy H

    2008-01-01

    Since its inception in 1974, the level crossing approach for analyzing a large class of stochastic models has become increasingly popular among researchers. This volume traces the evolution of level crossing theory for obtaining probability distributions of state variables and demonstrates solution methods in a variety of stochastic models including: queues, inventories, dams, renewal models, counter models, pharmacokinetics, and the natural sciences. Results for both steady-state and transient distributions are given, and numerous examples help the reader apply the method to solve problems fa

  10. Systematic parameter inference in stochastic mesoscopic modeling

    Science.gov (United States)

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

    2017-02-01

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

  11. Computational stochastic model of ions implantation

    Energy Technology Data Exchange (ETDEWEB)

    Zmievskaya, Galina I., E-mail: zmi@gmail.ru; Bondareva, Anna L., E-mail: bal310775@yandex.ru [M.V. Keldysh Institute of Applied Mathematics RAS, 4,Miusskaya sq., 125047 Moscow (Russian Federation); Levchenko, Tatiana V., E-mail: tatlevchenko@mail.ru [VNII Geosystem Russian Federal Center, Varshavskoye roadway, 8, Moscow (Russian Federation); Maino, Giuseppe, E-mail: giuseppe.maino@enea.it [Scuola di Lettere e BeniCulturali, University di Bologna, sede di Ravenna, via Mariani 5, 48100 Ravenna (Italy)

    2015-03-10

    Implantation flux ions into crystal leads to phase transition /PT/ 1-st kind. Damaging lattice is associated with processes clustering vacancies and gaseous bubbles as well their brownian motion. System of stochastic differential equations /SDEs/ Ito for evolution stochastic dynamical variables corresponds to the superposition Wiener processes. The kinetic equations in partial derivatives /KE/, Kolmogorov-Feller and Einstein-Smolukhovskii, were formulated for nucleation into lattice of weakly soluble gases. According theory, coefficients of stochastic and kinetic equations uniquely related. Radiation stimulated phase transition are characterized by kinetic distribution functions /DFs/ of implanted clusters versus their sizes and depth of gas penetration into lattice. Macroscopic parameters of kinetics such as the porosity and stress calculated in thin layers metal/dielectric due to Xe{sup ++} irradiation are attracted as example. Predictions of porosity, important for validation accumulation stresses in surfaces, can be applied at restoring of objects the cultural heritage.

  12. Evolution of cooperation on stochastic dynamical networks.

    Directory of Open Access Journals (Sweden)

    Bin Wu

    Full Text Available Cooperative behavior that increases the fitness of others at a cost to oneself can be promoted by natural selection only in the presence of an additional mechanism. One such mechanism is based on population structure, which can lead to clustering of cooperating agents. Recently, the focus has turned to complex dynamical population structures such as social networks, where the nodes represent individuals and links represent social relationships. We investigate how the dynamics of a social network can change the level of cooperation in the network. Individuals either update their strategies by imitating their partners or adjust their social ties. For the dynamics of the network structure, a random link is selected and breaks with a probability determined by the adjacent individuals. Once it is broken, a new one is established. This linking dynamics can be conveniently characterized by a Markov chain in the configuration space of an ever-changing network of interacting agents. Our model can be analytically solved provided the dynamics of links proceeds much faster than the dynamics of strategies. This leads to a simple rule for the evolution of cooperation: The more fragile links between cooperating players and non-cooperating players are (or the more robust links between cooperators are, the more likely cooperation prevails. Our approach may pave the way for analytically investigating coevolution of strategy and structure.

  13. Stochastic modeling of sunshine number data

    Energy Technology Data Exchange (ETDEWEB)

    Brabec, Marek, E-mail: mbrabec@cs.cas.cz [Department of Nonlinear Modeling, Institute of Computer Science, Academy of Sciences of the Czech Republic, Pod Vodarenskou vezi 2, 182 07 Prague 8 (Czech Republic); Paulescu, Marius [Physics Department, West University of Timisoara, V. Parvan 4, 300223 Timisoara (Romania); Badescu, Viorel [Candida Oancea Institute, Polytechnic University of Bucharest, Spl. Independentei 313, 060042 Bucharest (Romania)

    2013-11-13

    In this paper, we will present a unified statistical modeling framework for estimation and forecasting sunshine number (SSN) data. Sunshine number has been proposed earlier to describe sunshine time series in qualitative terms (Theor Appl Climatol 72 (2002) 127-136) and since then, it was shown to be useful not only for theoretical purposes but also for practical considerations, e.g. those related to the development of photovoltaic energy production. Statistical modeling and prediction of SSN as a binary time series has been challenging problem, however. Our statistical model for SSN time series is based on an underlying stochastic process formulation of Markov chain type. We will show how its transition probabilities can be efficiently estimated within logistic regression framework. In fact, our logistic Markovian model can be relatively easily fitted via maximum likelihood approach. This is optimal in many respects and it also enables us to use formalized statistical inference theory to obtain not only the point estimates of transition probabilities and their functions of interest, but also related uncertainties, as well as to test of various hypotheses of practical interest, etc. It is straightforward to deal with non-homogeneous transition probabilities in this framework. Very importantly from both physical and practical points of view, logistic Markov model class allows us to test hypotheses about how SSN dependents on various external covariates (e.g. elevation angle, solar time, etc.) and about details of the dynamic model (order and functional shape of the Markov kernel, etc.). Therefore, using generalized additive model approach (GAM), we can fit and compare models of various complexity which insist on keeping physical interpretation of the statistical model and its parts. After introducing the Markovian model and general approach for identification of its parameters, we will illustrate its use and performance on high resolution SSN data from the Solar

  14. Stochastic Modelling Of The Repairable System

    Directory of Open Access Journals (Sweden)

    Andrzejczak Karol

    2015-11-01

    Full Text Available All reliability models consisting of random time factors form stochastic processes. In this paper we recall the definitions of the most common point processes which are used for modelling of repairable systems. Particularly this paper presents stochastic processes as examples of reliability systems for the support of the maintenance related decisions. We consider the simplest one-unit system with a negligible repair or replacement time, i.e., the unit is operating and is repaired or replaced at failure, where the time required for repair and replacement is negligible. When the repair or replacement is completed, the unit becomes as good as new and resumes operation. The stochastic modelling of recoverable systems constitutes an excellent method of supporting maintenance related decision-making processes and enables their more rational use.

  15. The Theory of Dynamic Public Transit Priority with Dynamic Stochastic Park and Ride

    Directory of Open Access Journals (Sweden)

    Chengming Zhu

    2014-01-01

    Full Text Available Public transit priority is very important for relieving traffic congestion. The connotation of dynamic public transit priority and dynamic stochastic park and ride is presented. Based on the point that the travel cost of public transit is not higher than the travel cost of car, how to determine the level of dynamic public transit priority is discussed. The traffic organization method of dynamic public transit priority is introduced. For dynamic stochastic park and ride, layout principle, scale, and charging standard are discussed. Traveler acceptability is high through the analysis of questionnaire survey. Dynamic public transit priority with dynamic stochastic park and ride has application feasibility.

  16. Stochastic modeling and performance monitoring of wind farm power production

    CERN Document Server

    Milan, Patrick; Peinke, Joachim

    2015-01-01

    We present a new stochastic approach to describe and remodel the conversion process of a wind farm at a sampling frequency of 1Hz. When conditioning on various wind direction sectors, the dynamics of the conversion process appear as a fluctuating trajectory around an average IEC-like power curve, see section II. Our approach is to consider the wind farm as a dynamical system that can be described as a stochastic drift/diffusion model, where a drift coefficient describes the attraction towards the power curve and a diffusion coefficient quantifies additional turbulent fluctuations. These stochastic coefficients are inserted into a Langevin equation that, once properly adapted to our particular system, models a synthetic signal of power output for any given wind speed/direction signals, see section III. When combined with a pre-model for turbulent wind fluctuations, the stochastic approach models the power output of the wind farm at a sampling frequency of 1Hz using only ten-minute average values of wind speed ...

  17. Refining Dynamics of Gene Regulatory Networks in a Stochastic π-Calculus Framework

    OpenAIRE

    Paulevé, Loïc; Magnin, Morgan; Roux, Olivier

    2011-01-01

    International audience; In this paper, we introduce a framework allowing to model and analyse efficiently Gene Regulatory Networks in their temporal and stochastic aspects. The analysis of stable states and inference of René Thomas' discrete parameters derives from this logical formalism. We offer a compositional approach which comes with a natural translation to the Stochastic π-Calculus. The method we propose consists in successive refinements of generalized dynamics of Gene Regulatory Netw...

  18. Stochastic Euler Equations of Fluid Dynamics with Lvy Noise

    Science.gov (United States)

    2016-08-10

    Asymptotic Analysis 99 (2016) 67–103 67 DOI 10.3233/ASY-161376 IOS Press Stochastic Euler equations of fluid dynamics with Lévy noise Manil T. Mohan...References [1] D. Applebaum, Lévy Processes and Stochastic Calculus , Cambridge Studies in Advanced Mathematics, Vol. 93, Cam- bridge University Press...2004. [2] H. Bessaih and F. Flandoli, 2-D Euler equation perturbed by noise, Nonlinear Differential Equations and Applications 6 (1998), 35–54. doi

  19. Time averages, recurrence and transience in the stochastic replicator dynamics

    CERN Document Server

    Hofbauer, Josef; 10.1214/08-AAP577

    2009-01-01

    We investigate the long-run behavior of a stochastic replicator process, which describes game dynamics for a symmetric two-player game under aggregate shocks. We establish an averaging principle that relates time averages of the process and Nash equilibria of a suitably modified game. Furthermore, a sufficient condition for transience is given in terms of mixed equilibria and definiteness of the payoff matrix. We also present necessary and sufficient conditions for stochastic stability of pure equilibria.

  20. DSamala toolbox software for analysing and simulating discrete, continuous, stochastic dynamic systems

    Directory of Open Access Journals (Sweden)

    Angelica María Atehortúa Labrador

    2012-09-01

    Full Text Available This article describes DSamala toolbox, a computational tool for simulating and analysing discrete, continuous, stochastic dynamic systems; It is presented as a MATLAB toolbox. DSamala toolbox makes a significant contribution to studying dynamic systems through the use of information and communication technology (ICT, especially when equations modelling these systems are difficult or impossible to solve analytically.

  1. Hidden Symmetries of Stochastic Models

    Directory of Open Access Journals (Sweden)

    Boyka Aneva

    2007-05-01

    Full Text Available In the matrix product states approach to $n$ species diffusion processes the stationary probability distribution is expressed as a matrix product state with respect to a quadratic algebra determined by the dynamics of the process. The quadratic algebra defines a noncommutative space with a $SU_q(n$ quantum group action as its symmetry. Boundary processes amount to the appearance of parameter dependent linear terms in the algebraic relations and lead to a reduction of the $SU_q(n$ symmetry. We argue that the boundary operators of the asymmetric simple exclusion process generate a tridiagonal algebra whose irriducible representations are expressed in terms of the Askey-Wilson polynomials. The Askey-Wilson algebra arises as a symmetry of the boundary problem and allows to solve the model exactly.

  2. Stochastic models for turbulent reacting flows

    Energy Technology Data Exchange (ETDEWEB)

    Kerstein, A. [Sandia National Laboratories, Livermore, CA (United States)

    1993-12-01

    The goal of this program is to develop and apply stochastic models of various processes occurring within turbulent reacting flows in order to identify the fundamental mechanisms governing these flows, to support experimental studies of these flows, and to further the development of comprehensive turbulent reacting flow models.

  3. Some recent developments in stochastic volatility modelling

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole Eiler; Nicolato, Elisa; Shephard, N.

    2002-01-01

    This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation...

  4. Regulation mechanisms in spatial stochastic development models

    CERN Document Server

    Finkelshtein, Dmitri

    2008-01-01

    The aim of this paper is to analyze different regulation mechanisms in spatial continuous stochastic development models. We describe the density behavior for models with global mortality and local establishment rates. We prove that the local self-regulation via a competition mechanism (density dependent mortality) may suppress a unbounded growth of the averaged density if the competition kernel is superstable.

  5. Distributive Disturbance and Optimai Policy in Stochastic Control Model

    Institute of Scientific and Technical Information of China (English)

    Wang Hongchu; Hu Shigeng; Zhang Xueqing

    2006-01-01

    To investigate the equilibrium relationships between the volatility of capital and income, taxation, and macroeconomic performance in a stochastic control model, the uniqueness of the solution to this model was proved by using the method of dynamic programming under the introduction of distributive disturbance and elastic labor supply. Furthermore, the effects of two types of shocks on labor-leisure choice, economic growth rate and welfare were numerically analyzed, and then the optimal tax policy was derived.

  6. The dynamical system of weathering: deterministic and stochastic analysis

    Science.gov (United States)

    Calabrese, S.; Parolari, A.; Porporato, A. M.

    2016-12-01

    The critical zone is fundamental to human society as it provides most of the ecosystem services such as food and fresh water. However, climate change and intense land use are threatening the critical zone, so that theoretical frameworks, to predict its future response, are needed. In this talk, a new modeling approach to evaluate the effect of hydrologic fluctuations on soil water chemistry and weathering reactions is analyzed by means of a dynamical system approach. In this model, equilibrium is assumed for the aqueous carbonate system while a kinetic law is adopted for the weathering reaction. Also, through an algebraic manipulation, we eliminate the equilibrium reactions and reduce the order of the system. We first analyze the deterministic temporal evolution, and study the stability of the nonlinear system and its trajectories, as a function of the hydro-climatic parameters. By introducing a stochastic rainfall forcing, we then analyze the system probabilistically, and through averaging techniques determine the inter-annual response of the nonlinear stochastic system to the climatic regime and hydrologic parameters (e.g., ET, soil texture). Some fundamental thermodynamic aspects of the chemical reactions are also discussed. By introducing the weathering reaction into the system, any mineral, such as calcium carbonate or a silicate mineral, can be considered.

  7. Fuzzy stochastic neural network model for structural system identification

    Science.gov (United States)

    Jiang, Xiaomo; Mahadevan, Sankaran; Yuan, Yong

    2017-01-01

    This paper presents a dynamic fuzzy stochastic neural network model for nonparametric system identification using ambient vibration data. The model is developed to handle two types of imprecision in the sensed data: fuzzy information and measurement uncertainties. The dimension of the input vector is determined by using the false nearest neighbor approach. A Bayesian information criterion is applied to obtain the optimum number of stochastic neurons in the model. A fuzzy C-means clustering algorithm is employed as a data mining tool to divide the sensed data into clusters with common features. The fuzzy stochastic model is created by combining the fuzzy clusters of input vectors with the radial basis activation functions in the stochastic neural network. A natural gradient method is developed based on the Kullback-Leibler distance criterion for quick convergence of the model training. The model is validated using a power density pseudospectrum approach and a Bayesian hypothesis testing-based metric. The proposed methodology is investigated with numerically simulated data from a Markov Chain model and a two-story planar frame, and experimentally sensed data from ambient vibration data of a benchmark structure.

  8. Stochastic model updating using distance discrimination analysis

    Institute of Scientific and Technical Information of China (English)

    Deng Zhongmin; Bi Sifeng; Sez Atamturktur

    2014-01-01

    This manuscript presents a stochastic model updating method, taking both uncertainties in models and variability in testing into account. The updated finite element (FE) models obtained through the proposed technique can aid in the analysis and design of structural systems. The authors developed a stochastic model updating method integrating distance discrimination analysis (DDA) and advanced Monte Carlo (MC) technique to (1) enable more efficient MC by using a response surface model, (2) calibrate parameters with an iterative test-analysis correlation based upon DDA, and (3) utilize and compare different distance functions as correlation metrics. Using DDA, the influence of distance functions on model updating results is analyzed. The proposed sto-chastic method makes it possible to obtain a precise model updating outcome with acceptable cal-culation cost. The stochastic method is demonstrated on a helicopter case study updated using both Euclidian and Mahalanobis distance metrics. It is observed that the selected distance function influ-ences the iterative calibration process and thus, the calibration outcome, indicating that an integra-tion of different metrics might yield improved results.

  9. Modeling stochasticity in biochemical reaction networks

    Science.gov (United States)

    Constantino, P. H.; Vlysidis, M.; Smadbeck, P.; Kaznessis, Y. N.

    2016-03-01

    Small biomolecular systems are inherently stochastic. Indeed, fluctuations of molecular species are substantial in living organisms and may result in significant variation in cellular phenotypes. The chemical master equation (CME) is the most detailed mathematical model that can describe stochastic behaviors. However, because of its complexity the CME has been solved for only few, very small reaction networks. As a result, the contribution of CME-based approaches to biology has been very limited. In this review we discuss the approach of solving CME by a set of differential equations of probability moments, called moment equations. We present different approaches to produce and to solve these equations, emphasizing the use of factorial moments and the zero information entropy closure scheme. We also provide information on the stability analysis of stochastic systems. Finally, we speculate on the utility of CME-based modeling formalisms, especially in the context of synthetic biology efforts.

  10. A LEAP-FROG ALGORITHM FOR STOCHASTIC DYNAMICS

    NARCIS (Netherlands)

    Van Gunsteren, W. F.; Berendsen, H. J. C.

    1988-01-01

    A third-order algorithm for stochastic dynamics (SD) simulations is proposed, identical to the powerful molecular dynamics leapfrog algorithm in the limit of infinitely small friction coefficient gamma. It belongs to the class of SD algorithms, in which the integration time step Delta t is not

  11. A LEAP-FROG ALGORITHM FOR STOCHASTIC DYNAMICS

    NARCIS (Netherlands)

    Van Gunsteren, W. F.; Berendsen, H. J. C.

    1988-01-01

    A third-order algorithm for stochastic dynamics (SD) simulations is proposed, identical to the powerful molecular dynamics leapfrog algorithm in the limit of infinitely small friction coefficient gamma. It belongs to the class of SD algorithms, in which the integration time step Delta t is not limit

  12. Path integral methods for the dynamics of stochastic and disordered systems

    DEFF Research Database (Denmark)

    Hertz, John A.; Roudi, Yasser; Sollich, Peter

    2017-01-01

    We review some of the techniques used to study the dynamics of disordered systems subject to both quenched and fast (thermal) noise. Starting from the Martin–Siggia–Rose/Janssen–De Dominicis–Peliti path integral formalism for a single variable stochastic dynamics, we provide a pedagogical survey...... in studying the disorder-averaged dynamics. Finally, we discuss the path integral approach for the case of hard Ising spins and review some recent developments in the dynamics of such kinetic Ising models....

  13. A stochastic differential equation model for transcriptional regulatory networks

    Directory of Open Access Journals (Sweden)

    Quirk Michelle D

    2007-05-01

    Full Text Available Abstract Background This work explores the quantitative characteristics of the local transcriptional regulatory network based on the availability of time dependent gene expression data sets. The dynamics of the gene expression level are fitted via a stochastic differential equation model, yielding a set of specific regulators and their contribution. Results We show that a beta sigmoid function that keeps track of temporal parameters is a novel prototype of a regulatory function, with the effect of improving the performance of the profile prediction. The stochastic differential equation model follows well the dynamic of the gene expression levels. Conclusion When adapted to biological hypotheses and combined with a promoter analysis, the method proposed here leads to improved models of the transcriptional regulatory networks.

  14. Stochastic linear programming models, theory, and computation

    CERN Document Server

    Kall, Peter

    2011-01-01

    This new edition of Stochastic Linear Programming: Models, Theory and Computation has been brought completely up to date, either dealing with or at least referring to new material on models and methods, including DEA with stochastic outputs modeled via constraints on special risk functions (generalizing chance constraints, ICC’s and CVaR constraints), material on Sharpe-ratio, and Asset Liability Management models involving CVaR in a multi-stage setup. To facilitate use as a text, exercises are included throughout the book, and web access is provided to a student version of the authors’ SLP-IOR software. Additionally, the authors have updated the Guide to Available Software, and they have included newer algorithms and modeling systems for SLP. The book is thus suitable as a text for advanced courses in stochastic optimization, and as a reference to the field. From Reviews of the First Edition: "The book presents a comprehensive study of stochastic linear optimization problems and their applications. … T...

  15. Vaccination Control in a Stochastic SVIR Epidemic Model.

    Science.gov (United States)

    Witbooi, Peter J; Muller, Grant E; Van Schalkwyk, Garth J

    2015-01-01

    For a stochastic differential equation SVIR epidemic model with vaccination, we prove almost sure exponential stability of the disease-free equilibrium for ℛ(0) stochastic model as well as for the underlying deterministic model. In order to solve the stochastic problem numerically, we use an approximation based on the solution of the deterministic model.

  16. Stochastic and dynamical downscaling of ensemble precipitation forecasts

    Science.gov (United States)

    Brussolo, E.; von Hardenberg, J.; Rebora, N.

    2009-04-01

    Forecasting hydrogeological risk in small basins requires quantitative forecasts and an estimate of the probability of occurrence of severe, localized precipitation events at spatial scales of the order of tens of kilometers or less, significantly smaller than those currently provided by large scale, global, ensemble forecasting systems (EPS). Dynamically based forecasts at these scales can be obtained extending EPS scenarios with high-resolution, non-hydrostatic, limited area ensemble prediction systems. An alternative is represented by the direct application of stochastic downscaling techniques to the large scale ensemble forecasts. This work compares the performances of these two very different ensemble forecast downscaling approaches. To this purpose we consider ensemble forecasts provided by the ECMWF EPS, downscaled in space using the RainFARM stochastic technique [1], and ensembles of forecasts obtained from the COSMO-LEPS limited area prediction system (which also uses ECMWF EPS ensemble members as boundary conditions), for three intense precipitation events over northern Italy in 2006. The statistical properties of the fields produced with these two techniques are compared and the skill of the resulting ensembles is verified against direct precipitation measurements from a dense network of rain gauges. Reference: 1. Rebora, N., L. Ferraris, J. von Hardenberg, and A. Provenzale, 2006: The RainFARM: Rainfall Downscaling by a Filtered AutoRegressive Model. J. Hydrometeorol., 7, 724-738.

  17. Exponential Stability of Stochastic Nonlinear Dynamical Price System with Delay

    Directory of Open Access Journals (Sweden)

    Wenli Zhu

    2013-01-01

    Full Text Available Based on Lyapunov stability theory, Itô formula, stochastic analysis, and matrix theory, we study the exponential stability of the stochastic nonlinear dynamical price system. Using Taylor's theorem, the stochastic nonlinear system with delay is reduced to an n-dimensional semilinear stochastic differential equation with delay. Some sufficient conditions of exponential stability and corollaries for such price system are established by virtue of Lyapunov function. The time delay upper limit is solved by using our theoretical results when the system is exponentially stable. Our theoretical results show that if the classical price Rayleigh equation is exponentially stable, so is its perturbed system with delay provided that both the time delay and the intensity of perturbations are small enough. Two examples are presented to illustrate our results.

  18. Stochastic Lattice Gas Model for a Predator-Prey System

    CERN Document Server

    Satulovsky, J E; Satulovsky, Javier; Tome, Tania

    1994-01-01

    We propose a stochastic lattice gas model to describe the dynamics of two animal species population, one being a predator and the other a prey. This model comprehends the mechanisms of the Lotka-Volterra model. Our analysis was performed by using a dynamical mean-field approximation and computer simulations. Our results show that the system exhibits an oscillatory behavior of the population densities of prey and predators. For the sets of parameters used in our computer simulations, these oscillations occur at a local level. Mean-field results predict synchronized collective oscillations.

  19. Identifying effective connectivity parameters in simulated fMRI: a direct comparison of switching linear dynamic system, stochastic dynamic causal, and multivariate autoregressive models

    Science.gov (United States)

    Smith, Jason F.; Chen, Kewei; Pillai, Ajay S.; Horwitz, Barry

    2013-01-01

    The number and variety of connectivity estimation methods is likely to continue to grow over the coming decade. Comparisons between methods are necessary to prune this growth to only the most accurate and robust methods. However, the nature of connectivity is elusive with different methods potentially attempting to identify different aspects of connectivity. Commonalities of connectivity definitions across methods upon which base direct comparisons can be difficult to derive. Here, we explicitly define “effective connectivity” using a common set of observation and state equations that are appropriate for three connectivity methods: dynamic causal modeling (DCM), multivariate autoregressive modeling (MAR), and switching linear dynamic systems for fMRI (sLDSf). In addition while deriving this set, we show how many other popular functional and effective connectivity methods are actually simplifications of these equations. We discuss implications of these connections for the practice of using one method to simulate data for another method. After mathematically connecting the three effective connectivity methods, simulated fMRI data with varying numbers of regions and task conditions is generated from the common equation. This simulated data explicitly contains the type of the connectivity that the three models were intended to identify. Each method is applied to the simulated data sets and the accuracy of parameter identification is analyzed. All methods perform above chance levels at identifying correct connectivity parameters. The sLDSf method was superior in parameter estimation accuracy to both DCM and MAR for all types of comparisons. PMID:23717258

  20. Identifying effective connectivity parameters in simulated fMRI: a direct comparison of switching linear dynamic system, stochastic dynamic causal, and multivariate autoregressive models.

    Science.gov (United States)

    Smith, Jason F; Chen, Kewei; Pillai, Ajay S; Horwitz, Barry

    2013-01-01

    The number and variety of connectivity estimation methods is likely to continue to grow over the coming decade. Comparisons between methods are necessary to prune this growth to only the most accurate and robust methods. However, the nature of connectivity is elusive with different methods potentially attempting to identify different aspects of connectivity. Commonalities of connectivity definitions across methods upon which base direct comparisons can be difficult to derive. Here, we explicitly define "effective connectivity" using a common set of observation and state equations that are appropriate for three connectivity methods: dynamic causal modeling (DCM), multivariate autoregressive modeling (MAR), and switching linear dynamic systems for fMRI (sLDSf). In addition while deriving this set, we show how many other popular functional and effective connectivity methods are actually simplifications of these equations. We discuss implications of these connections for the practice of using one method to simulate data for another method. After mathematically connecting the three effective connectivity methods, simulated fMRI data with varying numbers of regions and task conditions is generated from the common equation. This simulated data explicitly contains the type of the connectivity that the three models were intended to identify. Each method is applied to the simulated data sets and the accuracy of parameter identification is analyzed. All methods perform above chance levels at identifying correct connectivity parameters. The sLDSf method was superior in parameter estimation accuracy to both DCM and MAR for all types of comparisons.

  1. Identifying effective connectivity parameters in simulated fMRI: a direct comparison of switching linear dynamic system, stochastic dynamic causal, and multivariate autoregressive models

    Directory of Open Access Journals (Sweden)

    Jason Fitzgerald Smith

    2013-05-01

    Full Text Available The number and variety of connectivity estimation methods is likely to continue to grow over the coming decade. Comparisons between methods are necessary to prune this growth to only the most accurate and robust methods. However, the nature of connectivity is elusive with different methods potentially attempting to identify different aspects of connectivity. Commonalities of connectivity definitions across methods upon which base direct comparisons can be difficult to derive. Here we explicitly define effective connectivity using a common set of observation and state equations that are appropriate for three connectivity methods: Dynamic Causal Modeling (DCM, Multivariate Autoregressive Modeling (MAR, and Switching Linear Dynamic Systems for fMRI (sLDSf. In addition while deriving this set, we show how many other popular functional and effective connectivity methods are actually simplifications of these equations. We discuss implications of these connections for the practice of using one method to simulate data for another method. After mathematically connecting the three effective connectivity methods, simulated fMRI data with varying numbers of regions and task conditions is generated from the common equation. This simulated data explicitly contains the type of the connectivity that the three models were intended to identify. Each method is applied to the simulated data sets and the accuracy of parameter identification is analyzed. All methods perform above chance levels at identifying correct connectivity parameters. The sLDSf method was superior in parameter estimation accuracy to both DCM and MAR for all types of comparisons.

  2. A stochastic model for bacteriophage therapies

    CERN Document Server

    Bardina, Xavier; Rovira, Carles; Tindel, Samy

    2011-01-01

    In this article, we analyze a system modeling bacteriophage treatments for infections in a noisy context. In the small noise regime, we show that after a reasonable amount of time the system is close to a sane equilibrium (which is a relevant biologic information) with high probability. Mathematically speaking, our study hinges on concentration techniques for delayed stochastic differential equations.

  3. The stochastic network dynamics underlying perceptual discrimination

    Directory of Open Access Journals (Sweden)

    Genis Prat-Ortega

    2015-04-01

    Full Text Available The brain is able to interpret streams of high-dimensional ambiguous information and yield coherent percepts. The mechanisms governing sensory integration have been extensively characterized using time-varying visual stimuli (Britten et al. 1996; Roitman and Shadlen 2002, but some of the basic principles regarding the network dynamics underlying this process remain largely unknown. We captured the basic features of a neural integrator using three canonical one-dimensional models: (1 the Drift Diffusion Model (DDM, (2 the Perfect Integrator (PI which is a particular case of the DDM where the bounds are set to infinity and (3 the double-well potential (DW which captures the dynamics of the attractor networks (Wang 2002; Roxin and Ledberg 2008. Although these models has been widely studied (Bogacz et al. 2006; Roxin and Ledberg 2008; Gold and Shadlen 2002, it has been difficult to experimentally discriminate among them because most of the observables measured are only quantitatively different among these models (e.g. psychometric curves. Here we aim to find experimentally measurable quantities that can yield qualitatively different behaviors depending on the nature of the underlying network dynamics. We examined the categorization dynamics of these models in response to fluctuating stimuli of different duration (T. On each time step, stimuli are drawn from a Gaussian distribution N(μ, σ and the two stimulus categories are defined by μ > 0 and μ < 0. Psychometric curves can therefore be obtained by quantifying the probability of the integrator to yield one category versus μ . We find however that varying σ can reveal more clearly the differences among the different integrators. In the small σ regime, both the DW and the DDM perform transient integration and exhibit a decaying stimulus reverse correlation kernel revealing a primacy effect (Nienborg and Cumming 2009; Wimmer et al. 2015 . In the large σ regime, the integration in the DDM

  4. Multiscale dynamics of biological cells with chemotactic interactions: from a discrete stochastic model to a continuous description

    CERN Document Server

    Alber, M; Glimm, T; Lushnikov, P M; Alber, Mark; Chen, Nan; Glimm, Tilmann; Lushnikov, Pavel M.

    2006-01-01

    The Cellular Potts Model (CPM) has been used for simulating various biological phenomena such as differential adhesion, fruiting body formation of the slime mold Dictyostelium discoideum, angiogenesis, cancer invasion, chondrogenesis in embryonic vertebrate limbs, and many others. In this paper, we derive continuous limit of discrete one dimensional CPM with the chemotactic interactions between cells in the form of a Fokker-Planck equation for the evolution of the cell probability density function. This equation is then reduced to the classical macroscopic Keller-Segel model. In particular, all coefficients of the Keller-Segel model are obtained from parameters of the CPM. Theoretical results are verified numerically by comparing Monte Carlo simulations for the CPM with numerics for the Keller-Segel model.

  5. Average quantum dynamics of closed systems over stochastic Hamiltonians

    CERN Document Server

    Yu, Li

    2011-01-01

    We develop a master equation formalism to describe the evolution of the average density matrix of a closed quantum system driven by a stochastic Hamiltonian. The average over random processes generally results in decoherence effects in closed system dynamics, in addition to the usual unitary evolution. We then show that, for an important class of problems in which the Hamiltonian is proportional to a Gaussian random process, the 2nd-order master equation yields exact dynamics. The general formalism is applied to study the examples of a two-level system, two atoms in a stochastic magnetic field and the heating of a trapped ion.

  6. Infinite-degree-corrected stochastic block model

    DEFF Research Database (Denmark)

    Herlau, Tue; Schmidt, Mikkel Nørgaard; Mørup, Morten

    2014-01-01

    In stochastic block models, which are among the most prominent statistical models for cluster analysis of complex networks, clusters are defined as groups of nodes with statistically similar link probabilities within and between groups. A recent extension by Karrer and Newman [Karrer and Newman......, Phys. Rev. E 83, 016107 (2011)] incorporates a node degree correction to model degree heterogeneity within each group. Although this demonstrably leads to better performance on several networks, it is not obvious whether modeling node degree is always appropriate or necessary. We formulate the degree...... corrected stochastic block model as a nonparametric Bayesian model, incorporating a parameter to control the amount of degree correction that can then be inferred from data. Additionally, our formulation yields principled ways of inferring the number of groups as well as predicting missing links...

  7. Stochastic biophysical modeling of irradiated cells

    CERN Document Server

    Fornalski, Krzysztof Wojciech

    2014-01-01

    The paper presents a computational stochastic model of virtual cells irradiation, based on Quasi-Markov Chain Monte Carlo method and using biophysical input. The model is based on a stochastic tree of probabilities for each cell of the entire colony. Biophysics of the cells is described by probabilities and probability distributions provided as the input. The adaptation of nucleation and catastrophe theories, well known in physics, yields sigmoidal relationships for carcinogenic risk as a function of the irradiation. Adaptive response and bystander effect, incorporated into the model, improves its application. The results show that behavior of virtual cells can be successfully modeled, e.g. cancer transformation, creation of mutations, radioadaptation or radiotherapy. The used methodology makes the model universal and practical for simulations of general processes. Potential biophysical curves and relationships are also widely discussed in the paper. However, the presented theoretical model does not describe ...

  8. Automatic identification of model reductions for discrete stochastic simulation

    Science.gov (United States)

    Wu, Sheng; Fu, Jin; Li, Hong; Petzold, Linda

    2012-07-01

    Multiple time scales in cellular chemical reaction systems present a challenge for the efficiency of stochastic simulation. Numerous model reductions have been proposed to accelerate the simulation of chemically reacting systems by exploiting time scale separation. However, these are often identified and deployed manually, requiring expert knowledge. This is time-consuming, prone to error, and opportunities for model reduction may be missed, particularly for large models. We propose an automatic model analysis algorithm using an adaptively weighted Petri net to dynamically identify opportunities for model reductions for both the stochastic simulation algorithm and tau-leaping simulation, with no requirement of expert knowledge input. Results are presented to demonstrate the utility and effectiveness of this approach.

  9. Dysconnectivity within the default mode in first-episode schizophrenia: a stochastic dynamic causal modeling study with functional magnetic resonance imaging.

    Science.gov (United States)

    Bastos-Leite, António J; Ridgway, Gerard R; Silveira, Celeste; Norton, Andreia; Reis, Salomé; Friston, Karl J

    2015-01-01

    We report the first stochastic dynamic causal modeling (sDCM) study of effective connectivity within the default mode network (DMN) in schizophrenia. Thirty-three patients (9 women, mean age = 25.0 years, SD = 5) with a first episode of psychosis and diagnosis of schizophrenia--according to the Diagnostic and Statistic Manual of Mental Disorders, 4th edition, revised criteria--were studied. Fifteen healthy control subjects (4 women, mean age = 24.6 years, SD = 4) were included for comparison. All subjects underwent resting state functional magnetic resonance imaging (fMRI) interspersed with 2 periods of continuous picture viewing. The anterior frontal (AF), posterior cingulate (PC), and the left and right parietal nodes of the DMN were localized in an unbiased fashion using data from 16 independent healthy volunteers (using an identical fMRI protocol). We used sDCM to estimate directed connections between and within nodes of the DMN, which were subsequently compared with t tests at the between subject level. The excitatory effect of the PC node on the AF node and the inhibitory self-connection of the AF node were significantly weaker in patients (mean values = 0.013 and -0.048 Hz, SD = 0.09 and 0.05, respectively) relative to healthy subjects (mean values = 0.084 and -0.088 Hz, SD = 0.15 and 0.77, respectively; P < .05). In summary, sDCM revealed reduced effective connectivity to the AF node of the DMN--reflecting a reduced postsynaptic efficacy of prefrontal afferents--in patients with first-episode schizophrenia.

  10. Stochastic models in reliability and maintenance

    CERN Document Server

    2002-01-01

    Our daily lives can be maintained by the high-technology systems. Computer systems are typical examples of such systems. We can enjoy our modern lives by using many computer systems. Much more importantly, we have to maintain such systems without failure, but cannot predict when such systems will fail and how to fix such systems without delay. A stochastic process is a set of outcomes of a random experiment indexed by time, and is one of the key tools needed to analyze the future behavior quantitatively. Reliability and maintainability technologies are of great interest and importance to the maintenance of such systems. Many mathematical models have been and will be proposed to describe reliability and maintainability systems by using the stochastic processes. The theme of this book is "Stochastic Models in Reliability and Main­ tainability. " This book consists of 12 chapters on the theme above from the different viewpoints of stochastic modeling. Chapter 1 is devoted to "Renewal Processes," under which cla...

  11. Inference of a nonlinear stochastic model of the cardiorespiratory interaction

    CERN Document Server

    Smelyanskiy, V N; Stefanovska, A; McClintock, P V E

    2005-01-01

    A new technique is introduced to reconstruct a nonlinear stochastic model of the cardiorespiratory interaction. Its inferential framework uses a set of polynomial basis functions representing the nonlinear force governing the system oscillations. The strength and direction of coupling, and the noise intensity are simultaneously inferred from a univariate blood pressure signal, monitored in a clinical environment. The technique does not require extensive global optimization and it is applicable to a wide range of complex dynamical systems subject to noise.

  12. The Dynamic Programming Method of Stochastic Differential Game for Functional Forward-Backward Stochastic System

    Directory of Open Access Journals (Sweden)

    Shaolin Ji

    2013-01-01

    Full Text Available This paper is devoted to a stochastic differential game (SDG of decoupled functional forward-backward stochastic differential equation (FBSDE. For our SDG, the associated upper and lower value functions of the SDG are defined through the solution of controlled functional backward stochastic differential equations (BSDEs. Applying the Girsanov transformation method introduced by Buckdahn and Li (2008, the upper and the lower value functions are shown to be deterministic. We also generalize the Hamilton-Jacobi-Bellman-Isaacs (HJBI equations to the path-dependent ones. By establishing the dynamic programming principal (DPP, we derive that the upper and the lower value functions are the viscosity solutions of the corresponding upper and the lower path-dependent HJBI equations, respectively.

  13. Mapping of the stochastic Lotka-Volterra model to models of population genetics and game theory

    Science.gov (United States)

    Constable, George W. A.; McKane, Alan J.

    2017-08-01

    The relationship between the M -species stochastic Lotka-Volterra competition (SLVC) model and the M -allele Moran model of population genetics is explored via timescale separation arguments. When selection for species is weak and the population size is large but finite, precise conditions are determined for the stochastic dynamics of the SLVC model to be mappable to the neutral Moran model, the Moran model with frequency-independent selection, and the Moran model with frequency-dependent selection (equivalently a game-theoretic formulation of the Moran model). We demonstrate how these mappings can be used to calculate extinction probabilities and the times until a species' extinction in the SLVC model.

  14. 基于CVaR与矩匹配方法的外汇储备资产配置动态随机优化模型%Assets Allocation of Foreign Reserve Based on Dynamic Stochastic Optimization Model

    Institute of Scientific and Technical Information of China (English)

    宋晓东; 韩立岩

    2011-01-01

    本文建立了一个动态的随机优化模型,对我国外汇储备在国际资产中的配置问题进行研究.采用基于矩匹配方法生成的情景树代表资产价格波动与币种间汇率变动的不确定性,将管理当局对于外汇储备安全性、流动性、收益性的要求统一纳入模型中,最终计算出外汇储备各资产的动态配置比例.结果表明,运用动态随机优化模型对我国外汇资产进行动态配置灵活、有效.%In this paper, we present a dynamic stochastic optimization model to study the international allocation problem of the foreign exchange reserves. We use scenario tree generated by moment matching method to show the uncertainty in asset price and exchange rates, and take the safety, liquidity and profitability required by management authority into the dynamic model. Finally, we calculate the dynamic asset allocation of foreign exchange reserves. The results indicate that it's flexible and effective to use dynamic stochastic optimization model in the dynamic allocation of the foreign exchange reserves.

  15. A stochastic mathematical model of the within-herd transmission dynamics of Porcine Reproductive and Respiratory Syndrome Virus (PRRSV): fade-out and persistence.

    Science.gov (United States)

    Evans, C M; Medley, G F; Creasey, S J; Green, L E

    2010-03-01

    A stochastic, mathematical model of a farrow-finish pig herd was developed and used to investigate the within-herd transmission dynamics of PRRSV, and to examine patterns of on-farm persistence and fade-out. The model was structured to represent the management of a typical European pig herd. Three parameters determining the natural history of infection were derived from the literature. Transmission parameters were chosen using PRRSV antibody data from a cross-sectional study of 103 pig herds (Evans et al., 2008). The seroprevalence by age was generated from the model at 21-day intervals and was compared to the cross-sectional field data using log-likelihood, accounting for the accuracy of the ELISA test used. The model was run for various isolation practices of purchased gilts, contact structure, herd size and the frequency of re-introduction of infectious gilts. The time-dependent log-likelihood patterns varied between herds in a similar way to patterns observed from serological values from the 103 farms. Essentially they indicated two patterns of seroprevalence: herds in which PRRSV was stably persistent, and herds in which PRRSV was unstable, either recently introduced or recently faded-out. With a herd size of 327 sows with identical management, fade-out of virus occurred within 4 weeks in 21.9% of simulations. Without isolation of gilts from sows, fade-out within 250 days decreased from 81.6% to 14.3% and for herd sizes of 75, 150, 300 and 600, the probability of persistence of virus for >1200 days was 4%, 13.4%, 20.4% and 18.2%, respectively. Introduction of virus at a rate of approximately 0.37 times per year resulted in virus persisting for >1200 days in 32.4% of simulations, compared with 17.6% for no re-introduction. Fade-out of virus was most likely to occur within breeding females before virus reached young stock. Persistence was more likely once PRRSV was present in piglets which in turn infected rearing-pigs. The probability of persistence was higher

  16. Frictions, Persistence, and Central Bank Policy in an Experimental Dynamic Stochastic General Equilibrium Economy

    NARCIS (Netherlands)

    Noussair, C.N.; Pfajfar, D.; Zsiros, J.

    2011-01-01

    New Keynesian dynamic stochastic general equilibrium models are the principal paradigm currently employed for central bank policymaking. In this paper, we construct experimental economies, populated with human subjects, with the structure of a New Keynesian DSGE model. We give individuals monetary

  17. Frictions, Persistence, and Central Bank Policy in an Experimental Dynamic Stochastic General Equilibrium Economy

    NARCIS (Netherlands)

    Noussair, C.N.; Pfajfar, D.; Zsiros, J.

    2011-01-01

    New Keynesian dynamic stochastic general equilibrium models are the principal paradigm currently employed for central bank policymaking. In this paper, we construct experimental economies, populated with human subjects, with the structure of a New Keynesian DSGE model. We give individuals monetary i

  18. Numerical solution of stochastic SIR model by Bernstein polynomials

    Directory of Open Access Journals (Sweden)

    N. Rahmani

    2016-01-01

    Full Text Available In this paper, we present numerical method based on Bernstein polynomials for solving the stochastic SIR model. By use of Bernstein operational matrix and its stochastic operational matrix we convert stochastic SIR model to a nonlinear system that can be solved by Newton method. Finally, a test problem of SIR model is presented to illustrate our mathematical findings.

  19. Stochastic discrete model of karstic networks

    Science.gov (United States)

    Jaquet, O.; Siegel, P.; Klubertanz, G.; Benabderrhamane, H.

    Karst aquifers are characterised by an extreme spatial heterogeneity that strongly influences their hydraulic behaviour and the transport of pollutants. These aquifers are particularly vulnerable to contamination because of their highly permeable networks of conduits. A stochastic model is proposed for the simulation of the geometry of karstic networks at a regional scale. The model integrates the relevant physical processes governing the formation of karstic networks. The discrete simulation of karstic networks is performed with a modified lattice-gas cellular automaton for a representative description of the karstic aquifer geometry. Consequently, more reliable modelling results can be obtained for the management and the protection of karst aquifers. The stochastic model was applied jointly with groundwater modelling techniques to a regional karst aquifer in France for the purpose of resolving surface pollution issues.

  20. Stochastic State Space Modelling of Nonlinear systems - With application to Marine Ecosystems

    DEFF Research Database (Denmark)

    Møller, Jan Kloppenborg

    to conflict with the concept of mass balances. One of the central conclusions of the thesis is that the stochastic formulations should be an integral part of the model formulation. As discrete-time stochastic processes are simpler to handle numerically than continuous-time stochastic processes, I start......This thesis deals with stochastic dynamical systems in discrete and continuous time. Traditionally dynamical systems in continuous time are modelled using Ordinary Differential Equations (ODEs). Even the most complex system of ODEs will not be able to capture every detail of a complex system like...... a natural ecosystem, and hence residual variation between the model and observations will always remain. In stochastic state-space models the residual variation is separated into observation and system noise and a main theme of the thesis is a proper description of the system noise. Additive Gaussian noise...

  1. Extinction in neutrally stable stochastic Lotka-Volterra models.

    Science.gov (United States)

    Dobrinevski, Alexander; Frey, Erwin

    2012-05-01

    Populations of competing biological species exhibit a fascinating interplay between the nonlinear dynamics of evolutionary selection forces and random fluctuations arising from the stochastic nature of the interactions. The processes leading to extinction of species, whose understanding is a key component in the study of evolution and biodiversity, are influenced by both of these factors. Here, we investigate a class of stochastic population dynamics models based on generalized Lotka-Volterra systems. In the case of neutral stability of the underlying deterministic model, the impact of intrinsic noise on the survival of species is dramatic: It destroys coexistence of interacting species on a time scale proportional to the population size. We introduce a new method based on stochastic averaging which allows one to understand this extinction process quantitatively by reduction to a lower-dimensional effective dynamics. This is performed analytically for two highly symmetrical models and can be generalized numerically to more complex situations. The extinction probability distributions and other quantities of interest we obtain show excellent agreement with simulations.

  2. Etiology and treatment of hematological neoplasms: stochastic mathematical models.

    Science.gov (United States)

    Radivoyevitch, Tomas; Li, Huamin; Sachs, Rainer K

    2014-01-01

    Leukemias are driven by stemlike cancer cells (SLCC), whose initiation, growth, response to treatment, and posttreatment behavior are often "stochastic", i.e., differ substantially even among very similar patients for reasons not observable with present techniques. We review the probabilistic mathematical methods used to analyze stochastics and give two specific examples. The first example concerns a treatment protocol, e.g., for acute myeloid leukemia (AML), where intermittent cytotoxic drug dosing (e.g., once each weekday) is used with intent to cure. We argue mathematically that, if independent SLCC are growing stochastically during prolonged treatment, then, other things being equal, front-loading doses are more effective for tumor eradication than back loading. We also argue that the interacting SLCC dynamics during treatment is often best modeled by considering SLCC in microenvironmental niches, with SLCC-SLCC interactions occurring only among SLCC within the same niche, and we present a stochastic dynamics formalism, involving "Poissonization," applicable in such situations. Interactions at a distance due to partial control of total cell numbers are also considered. The second half of this chapter concerns chromosomal aberrations, lesions known to cause some leukemias. A specific example is the induction of a Philadelphia chromosome by ionizing radiation, subsequent development of chronic myeloid leukemia (CML), CML treatment, and treatment outcome. This time evolution involves a coordinated sequence of > 10 steps, each stochastic in its own way, at the subatomic, molecular, macromolecular, cellular, tissue, and population scales, with corresponding time scales ranging from picoseconds to decades. We discuss models of these steps and progress in integrating models across scales.

  3. Population viability analysis of plant and animal populations with stochastic integral projection models.

    Science.gov (United States)

    Jaffré, Malo; Le Galliard, Jean-François

    2016-12-01

    Integral projection models (IPM) make it possible to study populations structured by continuous traits. Recently, Vindenes et al. (Ecology 92:1146-1156, 2011) proposed an extended IPM to analyse the dynamics of small populations in stochastic environments, but this model has not yet been used to conduct population viability analyses. Here, we used the extended IPM to analyse the stochastic dynamics of IPM of small size-structured populations in one plant and one animal species (evening primrose and common lizard) including demographic stochasticity in both cases and environmental stochasticity in the lizard model. We also tested the accuracy of a diffusion approximation of the IPM for the two empirical systems. In both species, the elasticity for λ was higher with respect to parameters linked to body growth and size-dependent reproduction rather than survival. An analytical approach made it possible to quantify demographic and environmental variance to calculate the average stochastic growth rate. Demographic variance was further decomposed to gain insights into the most important size classes and demographic components. A diffusion approximation provided a remarkable fit to the stochastic dynamics and cumulative extinction risk, except for very small populations where stochastic growth rate was biased upward or downward depending on the model. These results confirm that the extended IPM provides a powerful tool to assess the conservation status and compare the stochastic demography of size-structured species, but should be complemented with individual based models to obtain unbiased estimates for very small populations of conservation concern.

  4. INTRUSION DETECTION BASED ON THE SECOND-ORDER STOCHASTIC MODEL

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    This paper presents a new method based on a second-order stochastic model for computer intrusion detection. The results show that the performance of the second-order stochastic model is better than that of a first-order stochastic model. In this study, different window sizes are also used to test the performance of the model. The detection results show that the second-order stochastic model is not so sensitive to the window size, comparing with the first-order stochastic model and other previous researches. The detection result of window sizes 6 and 10 is the same.

  5. Stochastic resonance in a financial model

    Institute of Scientific and Technical Information of China (English)

    毛晓明; 孙锴; 欧阳颀

    2002-01-01

    We report on our model study of stochastic resonance in the stock market using numerical simulation and analysis.In the model, we take the interest rate as the external signal, the randomness of traders' behaviour as the noise, andthe stock price as the output. With computer simulations, we find that the system demonstrates a characteristic ofstochastic resonance as noise intensity varies. An analytical explanation is proposed.

  6. Modelling Coagulation Systems: A Stochastic Approach

    CERN Document Server

    Ryazanov, V V

    2011-01-01

    A general stochastic approach to the description of coagulating aerosol system is developed. As the object of description one can consider arbitrary mesoscopic values (number of aerosol clusters, their size etc). The birth-and-death formalism for a number of clusters can be regarded as a partial case of the generalized storage model. An application of the storage model to the number of monomers in a cluster is discussed.

  7. Nonlinear stochastic modeling of river dissolved-oxygen

    Energy Technology Data Exchange (ETDEWEB)

    Tabios, G.Q. III.

    1984-01-01

    An important aspect of water quality modeling is forecasting water quality variables for real-time management and control applications to enhance, maintain and sustain desirable water qualities. The major objective of this research is to develop daily time series models for forecasting river dissolved-oxygen (DO). The modeling approach adopted herein combines deterministic and stochastic concepts for determining properties of the DO process based on time series data and dynamic mechanisms governing the said process. This is accomplished by deriving a general DO stochastic model structure based on a modified Streeter-Phelps DO-BOD dynamic model. Then some types of nonlinear models namely, self-exciting threshold autoregressive-moving average (SETARMA), amplitude-dependent autoregressive (ADAR) and bilinear (BL) models, and the class of linear autoregressive-moving average (ARMA) models are adopted for model identification and parameter estimation. Six stream-water quality gaging stations located in the eastern portion of the continental U.S.A. are utilized in this study. Various orders of ARMA, SETARMA, ADAR and BL models are fitted to the data. Results obtained indicated that ADAR and BL models are superior for one-step ahead forecasts, while SETARMA models are better for forecasts of longer lead times. In general, the SETARMA, ADAR and BL models show promise as alternative models for river DO time series modeling and forecasting with unique advantages in each.

  8. Sampling-Based RBDO Using Stochastic Sensitivity and Dynamic Kriging for Broader Army Applications

    Science.gov (United States)

    2011-08-09

    AND DYNAMIC KRIGING FOR BROADER ARMY APPLICATIONS K.K. Choi, Ikjin Lee, Liang Zhao, and Yoojeong Noh Department of Mechanical and Industrial...Thus, for broader Army applications, a sampling-based RBDO method using surrogate model has been developed recently. The Dynamic Kriging (DKG) method...Uuing Stochastic Sensitivity and Dynamic Kriging for Broader Army Applications 5a. CONTRACT NUMBER 5b. GRANT NUMBER 5c. PROGRAM ELEMENT NUMBER 6

  9. Langevin approach for stochastic Hodgkin-Huxley dynamics with discretization of channel open fraction

    Science.gov (United States)

    Huang, Yandong; Rüdiger, Sten; Shuai, Jianwei

    2013-12-01

    The random opening and closing of ion channels establishes channel noise, which can be approximated and included into stochastic differential equations (Langevin approach). The Langevin approach is often incorporated to model stochastic ion channel dynamics for systems with a large number of channels. Here, we introduce a discretization procedure of a channel-based Langevin approach to simulate the stochastic channel dynamics with small and intermediate numbers of channels. We show that our Langevin approach with discrete channel open fractions can give a good approximation of the original Markov dynamics even for only 10 K channels. We suggest that the better approximation by the discretized Langevin approach originates from the improved representation of events that trigger action potentials.

  10. Langevin approach for stochastic Hodgkin–Huxley dynamics with discretization of channel open fraction

    Energy Technology Data Exchange (ETDEWEB)

    Huang, Yandong [Department of Physics and Institute of Theoretical Physics and Astrophysics, Xiamen University, Xiamen 361005 (China); Rüdiger, Sten [Institute of Physics, Humboldt-Universität zu Berlin (Germany); Shuai, Jianwei, E-mail: jianweishuai@xmu.edu.cn [Department of Physics and Institute of Theoretical Physics and Astrophysics, Xiamen University, Xiamen 361005 (China)

    2013-12-13

    The random opening and closing of ion channels establishes channel noise, which can be approximated and included into stochastic differential equations (Langevin approach). The Langevin approach is often incorporated to model stochastic ion channel dynamics for systems with a large number of channels. Here, we introduce a discretization procedure of a channel-based Langevin approach to simulate the stochastic channel dynamics with small and intermediate numbers of channels. We show that our Langevin approach with discrete channel open fractions can give a good approximation of the original Markov dynamics even for only 10 K{sup +} channels. We suggest that the better approximation by the discretized Langevin approach originates from the improved representation of events that trigger action potentials.

  11. Stochastic models for atomic clocks

    Science.gov (United States)

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

    1983-01-01

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

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

    Science.gov (United States)

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

    2009-06-01

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

  13. Rural Poverty Dynamics in Kenya: Structural Declines and Stochastic Escapes

    NARCIS (Netherlands)

    Radeny, M.A.O.; Berg, van den M.M.; Schipper, R.A.

    2012-01-01

    We use panel survey data and household event-histories to explore patterns of rural poverty dynamics in Kenya over the period 2000–2009. We find substantial mobility across poverty categories using economic transition matrices. Drawing on asset-based approaches, we distinguish stochastic from struct

  14. Dynamical Epidemic Suppression Using Stochastic Prediction and Control

    Science.gov (United States)

    2004-10-28

    reduce the rate of input of susceptibles. By using the PDF flux, we are able to distinguish regions used in other chaos control schemes that are...use this information in a control algo- stochastic chaos control methods that account specifically for rithm to prevent bursting dynamics (that is, to

  15. Stochastic Processes via the Pathway Model

    Directory of Open Access Journals (Sweden)

    Arak M. Mathai

    2015-04-01

    Full Text Available After collecting data from observations or experiments, the next step is to analyze the data to build an appropriate mathematical or stochastic model to describe the data so that further studies can be done with the help of the model. In this article, the input-output type mechanism is considered first, where reaction, diffusion, reaction-diffusion, and production-destruction type physical situations can fit in. Then techniques are described to produce thicker or thinner tails (power law behavior in stochastic models. Then the pathway idea is described where one can switch to different functional forms of the probability density function through a parameter called the pathway parameter. The paper is a continuation of related solar neutrino research published previously in this journal.

  16. Prediction of mortality rates using a model with stochastic parameters

    Science.gov (United States)

    Tan, Chon Sern; Pooi, Ah Hin

    2016-10-01

    Prediction of future mortality rates is crucial to insurance companies because they face longevity risks while providing retirement benefits to a population whose life expectancy is increasing. In the past literature, a time series model based on multivariate power-normal distribution has been applied on mortality data from the United States for the years 1933 till 2000 to forecast the future mortality rates for the years 2001 till 2010. In this paper, a more dynamic approach based on the multivariate time series will be proposed where the model uses stochastic parameters that vary with time. The resulting prediction intervals obtained using the model with stochastic parameters perform better because apart from having good ability in covering the observed future mortality rates, they also tend to have distinctly shorter interval lengths.

  17. Nonlinear Stochastic Modelling of Antimicrobial resistance in Bacterial Populations

    DEFF Research Database (Denmark)

    Philipsen, Kirsten Riber

    in humans and animals. To prevent the evolution and spread of resistance, there is a need for further understanding of its dynamics. A grey-box modelling approach based on stochastic differential equations is the main and innovative method applied to study bacterial systems in this thesis. Through...... development consist mainly of optical density measurements of bacterial concentrations. At high cell densities the optical density measurements will be effected by shadow effects from the bacteria leading to an underestimation of the concentration. To circumvent this problem a exponential calibration curve...... for bacterial growth in an environment with multiple substrates. Models based on stochastic differential equations are also used in studies of mutation and conjugation. Mutation and conjugation are important mechanisms for the development of resistance. Earlier models for conjugation have described systems...

  18. The Stochastic Modelling of Endemic Diseases

    Science.gov (United States)

    Susvitasari, Kurnia; Siswantining, Titin

    2017-01-01

    A study about epidemic has been conducted since a long time ago, but genuine progress was hardly forthcoming until the end of the 19th century (Bailey, 1975). Both deterministic and stochastic models were used to describe these. Then, from 1927 to 1939 Kermack and McKendrick introduced a generality of this model, including some variables to consider such as rate of infection and recovery. The purpose of this project is to investigate the behaviour of the models when we set the basic reproduction number, R0. This quantity is defined as the expected number of contacts made by a typical infective to susceptibles in the population. According to the epidemic threshold theory, when R0 ≤ 1, minor epidemic occurs with probability one in both approaches, but when R0 > 1, the deterministic and stochastic models have different interpretation. In the deterministic approach, major epidemic occurs with probability one when R0 > 1 and predicts that the disease will settle down to an endemic equilibrium. Stochastic models, on the other hand, identify that the minor epidemic can possibly occur. If it does, then the epidemic will die out quickly. Moreover, if we let the population size be large and the major epidemic occurs, then it will take off and then reach the endemic level and move randomly around the deterministic’s equilibrium.

  19. Brain-inspired Stochastic Models and Implementations

    KAUST Repository

    Al-Shedivat, Maruan

    2015-05-12

    One of the approaches to building artificial intelligence (AI) is to decipher the princi- ples of the brain function and to employ similar mechanisms for solving cognitive tasks, such as visual perception or natural language understanding, using machines. The recent breakthrough, named deep learning, demonstrated that large multi-layer networks of arti- ficial neural-like computing units attain remarkable performance on some of these tasks. Nevertheless, such artificial networks remain to be very loosely inspired by the brain, which rich structures and mechanisms may further suggest new algorithms or even new paradigms of computation. In this thesis, we explore brain-inspired probabilistic mechanisms, such as neural and synaptic stochasticity, in the context of generative models. The two questions we ask here are: (i) what kind of models can describe a neural learning system built of stochastic components? and (ii) how can we implement such systems e ̆ciently? To give specific answers, we consider two well known models and the corresponding neural architectures: the Naive Bayes model implemented with a winner-take-all spiking neural network and the Boltzmann machine implemented in a spiking or non-spiking fashion. We propose and analyze an e ̆cient neuromorphic implementation of the stochastic neu- ral firing mechanism and study the e ̄ects of synaptic unreliability on learning generative energy-based models implemented with neural networks.

  20. Developing Itô stochastic differential equation models for neuronal signal transduction pathways.

    Science.gov (United States)

    Manninen, Tiina; Linne, Marja-Leena; Ruohonen, Keijo

    2006-08-01

    Mathematical modeling and simulation of dynamic biochemical systems are receiving considerable attention due to the increasing availability of experimental knowledge of complex intracellular functions. In addition to deterministic approaches, several stochastic approaches have been developed for simulating the time-series behavior of biochemical systems. The problem with stochastic approaches, however, is the larger computational time compared to deterministic approaches. It is therefore necessary to study alternative ways to incorporate stochasticity and to seek approaches that reduce the computational time needed for simulations, yet preserve the characteristic behavior of the system in question. In this work, we develop a computational framework based on the Itô stochastic differential equations for neuronal signal transduction networks. There are several different ways to incorporate stochasticity into deterministic differential equation models and to obtain Itô stochastic differential equations. Two of the developed models are found most suitable for stochastic modeling of neuronal signal transduction. The best models give stable responses which means that the variances of the responses with time are not increasing and negative concentrations are avoided. We also make a comparative analysis of different kinds of stochastic approaches, that is the Itô stochastic differential equations, the chemical Langevin equation, and the Gillespie stochastic simulation algorithm. Different kinds of stochastic approaches can be used to produce similar responses for the neuronal protein kinase C signal transduction pathway. The fine details of the responses vary slightly, depending on the approach and the parameter values. However, when simulating great numbers of chemical species, the Gillespie algorithm is computationally several orders of magnitude slower than the Itô stochastic differential equations and the chemical Langevin equation. Furthermore, the chemical

  1. Molecular dynamics with deterministic and stochastic numerical methods

    CERN Document Server

    Leimkuhler, Ben

    2015-01-01

    This book describes the mathematical underpinnings of algorithms used for molecular dynamics simulation, including both deterministic and stochastic numerical methods. Molecular dynamics is one of the most versatile and powerful methods of modern computational science and engineering and is used widely in chemistry, physics, materials science and biology. Understanding the foundations of numerical methods means knowing how to select the best one for a given problem (from the wide range of techniques on offer) and how to create new, efficient methods to address particular challenges as they arise in complex applications.  Aimed at a broad audience, this book presents the basic theory of Hamiltonian mechanics and stochastic differential equations, as well as topics including symplectic numerical methods, the handling of constraints and rigid bodies, the efficient treatment of Langevin dynamics, thermostats to control the molecular ensemble, multiple time-stepping, and the dissipative particle dynamics method...

  2. Solvable stochastic dealer models for financial markets.

    Science.gov (United States)

    Yamada, Kenta; Takayasu, Hideki; Ito, Takatoshi; Takayasu, Misako

    2009-05-01

    We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise generator, the model becomes fairly realistic by adding only two effects: the self-modulation of transaction intervals and a forecasting tendency, which uses a moving average of the latest market price changes. Based on the present microscopic model of markets, we find a quantitative relation with market potential forces, which have recently been discovered in the study of market price modeling based on random walks.

  3. Short-term synaptic depression and stochastic vesicle dynamics reduce and shape neuronal correlations.

    Science.gov (United States)

    Rosenbaum, Robert; Rubin, Jonathan E; Doiron, Brent

    2013-01-01

    Correlated neuronal activity is an important feature in many neural codes, a neural correlate of a variety of cognitive states, as well as a signature of several disease states in the nervous system. The cellular and circuit mechanics of neural correlations is a vibrant area of research. Synapses throughout the cortex exhibit a form of short-term depression where increased presynaptic firing rates deplete neurotransmitter vesicles, which transiently reduces synaptic efficacy. The release and recovery of these vesicles are inherently stochastic, and this stochasticity introduces variability into the conductance elicited by depressing synapses. The impact of spiking and subthreshold membrane dynamics on the transfer of neuronal correlations has been studied intensively, but an investigation of the impact of short-term synaptic depression and stochastic vesicle dynamics on correlation transfer is lacking. We find that short-term synaptic depression and stochastic vesicle dynamics can substantially reduce correlations, shape the timescale over which these correlations occur, and alter the dependence of spiking correlations on firing rate. Our results show that short-term depression and stochastic vesicle dynamics need to be taken into account when modeling correlations in neuronal populations.

  4. Multiparameter Stochastic Dynamics of Ecological Tourism System with Continuous Visitor Education Interventions

    Directory of Open Access Journals (Sweden)

    Dongping Wei

    2015-01-01

    Full Text Available Management of ecological tourism in protected areas faces many challenges, with visitation-related resource degradations and cultural impacts being two of them. To address those issues, several strategies including regulations, site managements, and visitor education programs have been commonly used in China and other countries. This paper presents a multiparameter stochastic differential equation model of an Ecological Tourism System to study how the populations of stakeholders vary in a finite time. The solution of Ordinary Differential Equation of Ecological Tourism System reveals that the system collapses when there is a lack of visitor educational intervention. Hence, the Stochastic Dynamic of Ecological Tourism System is introduced to suppress the explosion of the system. But the simulation results of the Stochastic Dynamic of Ecological Tourism System show that the system is still unstable and chaos in some small time interval. The Multiparameters Stochastic Dynamics of Ecological Tourism System is proposed to improve the performance in this paper. The Multiparameters Stochastic Dynamics of Ecological Tourism System not only suppresses the explosion of the system in a finite time, but also keeps the populations of stakeholders in an acceptable level. In conclusion, the Ecological Tourism System develops steadily and sustainably when land managers employ effective visitor education intervention programs to deal with recreation impacts.

  5. Mixed effects in stochastic differential equation models

    DEFF Research Database (Denmark)

    Ditlevsen, Susanne; De Gaetano, Andrea

    2005-01-01

    maximum likelihood; pharmacokinetics; population estimates; random effects; repeated measurements; stochastic processes......maximum likelihood; pharmacokinetics; population estimates; random effects; repeated measurements; stochastic processes...

  6. Approximation of stochastic equilibria for dynamic systems with colored noise

    Energy Technology Data Exchange (ETDEWEB)

    Bashkirtseva, Irina [Ural Federal University, Lenina 51, Ekaterinburg, 620083 (Russian Federation)

    2015-03-10

    We consider nonlinear dynamic systems forced by colored noise. Using first approximation systems, we study dynamics of deviations of stochastic solutions from stable deterministic equilibria. Equations for the stationary second moments of deviations of random states are derived. An application of the elaborated theory to Van der Pol system driven by colored noise is given. A dependence of the dispersion on the time correlation of the colored noise is studied.

  7. Stochastic differential equations with variable structure driven by multiplicative Gaussian noise and sliding mode dynamic

    OpenAIRE

    Barbu, Viorel; Bonaccorsi, Stefano; Tubaro, Luciano

    2015-01-01

    This work is concerned with existence of weak solutions to discon- tinuous stochastic differential equations driven by multiplicative Gaus- sian noise and sliding mode control dynamics generated by stochastic differential equations with variable structure, that is with jump nonlin- earity. The treatment covers the finite dimensional stochastic systems and the stochastic diffusion equation with multiplicative noise.

  8. Development of A Stochastic Bedload Transport Model

    Science.gov (United States)

    Tsai, C. W.; Kuai, Z.

    2009-12-01

    Sediment particle transport can be viewed as a Markov chain process. In a non-equilibrium condition, the interchange of sediment particles occurs not only between the bedload layer and the bed surface, but also across the interface between bedload and suspended load. We can quantify the number of saltating particles by modeling the occupancy probabilities vector of particles staying in three states, namely, the bed surface, bedload layer, and suspended sediment layer. Most bedload transport models in the literature are formulated in terms of the mean bed shear stress or flow velocity. The proposed Markovian bedload model and the bedload transport rates are governed by various transition probabilities. These transition probabilities are all functions of the bed shear stress. The stochastic property of the bed shear stress can be incorporated into the above bedload transport model knowing the probability density function of the bed shear stress. This study presents a theoretical method to compute stochastic bedload transport rates considering the stochastic fluctuation of the bed shear stress.

  9. Fuzzy Stochastic Optimization Theory, Models and Applications

    CERN Document Server

    Wang, Shuming

    2012-01-01

    Covering in detail both theoretical and practical perspectives, this book is a self-contained and systematic depiction of current fuzzy stochastic optimization that deploys the fuzzy random variable as a core mathematical tool to model the integrated fuzzy random uncertainty. It proceeds in an orderly fashion from the requisite theoretical aspects of the fuzzy random variable to fuzzy stochastic optimization models and their real-life case studies.   The volume reflects the fact that randomness and fuzziness (or vagueness) are two major sources of uncertainty in the real world, with significant implications in a number of settings. In industrial engineering, management and economics, the chances are high that decision makers will be confronted with information that is simultaneously probabilistically uncertain and fuzzily imprecise, and optimization in the form of a decision must be made in an environment that is doubly uncertain, characterized by a co-occurrence of randomness and fuzziness. This book begins...

  10. From cusps to cores: a stochastic model

    CERN Document Server

    El-Zant, Amr; Combes, Francoise

    2016-01-01

    The cold dark matter model of structure formation faces apparent problems on galactic scales. Several threads point to excessive halo concentration, including central densities that rise too steeply with decreasing radius. Yet, random fluctuations in the gaseous component can 'heat' the centres of haloes, decreasing their densities. We present a theoretical model deriving this effect from first principles: stochastic variations in the gas density are converted into potential fluctuations that act on the dark matter; the associated force correlation function is calculated and the corresponding stochastic equation solved. Assuming a power law spectrum of fluctuations with maximal and minimal cutoff scales, we derive the velocity dispersion imparted to the halo particles and the relevant relaxation time. We further perform numerical simulations, with fluctuations realised as a Gaussian random field, which confirm the formation of a core within a timescale comparable to that derived analytically. Non-radial colle...

  11. Stochastic Load Models and Footbridge Response

    DEFF Research Database (Denmark)

    Pedersen, Lars; Frier, Christian

    2015-01-01

    Pedestrians may cause vibrations in footbridges and these vibrations may potentially be annoying. This calls for predictions of footbridge vibration levels and the paper considers a stochastic approach to modeling the action of pedestrians assuming walking parameters such as step frequency...... the footbridge and when describing the action of the pedestrians (such as for instance the number of load harmonics). Focus is on estimating vertical structural response to single person loading....

  12. Survival analysis of stochastic competitive models in a polluted environment and stochastic competitive exclusion principle.

    Science.gov (United States)

    Liu, Meng; Wang, Ke; Wu, Qiong

    2011-09-01

    Stochastic competitive models with pollution and without pollution are proposed and studied. For the first system with pollution, sufficient criteria for extinction, nonpersistence in the mean, weak persistence in the mean, strong persistence in the mean, and stochastic permanence are established. The threshold between weak persistence in the mean and extinction for each population is obtained. It is found that stochastic disturbance is favorable for the survival of one species and is unfavorable for the survival of the other species. For the second system with pollution, sufficient conditions for extinction and weak persistence are obtained. For the model without pollution, a partial stochastic competitive exclusion principle is derived.

  13. Stochastic Model Checking of the Stochastic Quality Calculus

    DEFF Research Database (Denmark)

    Nielson, Flemming; Nielson, Hanne Riis; Zeng, Kebin

    2015-01-01

    The Quality Calculus uses quality binders for input to express strategies for continuing the computation even when the desired input has not been received. The Stochastic Quality Calculus adds generally distributed delays for output actions and real-time constraints on the quality binders for input...

  14. Modelling conjugation with stochastic differential equations

    DEFF Research Database (Denmark)

    Philipsen, Kirsten Riber; Christiansen, Lasse Engbo; Hasman, Henrik

    2010-01-01

    Conjugation is an important mechanism involved in the transfer of resistance between bacteria. In this article a stochastic differential equation based model consisting of a continuous time state equation and a discrete time measurement equation is introduced to model growth and conjugation of two...... using a likelihood-ratio test and Akaike's information criterion. Experiments indicating conjugation on the agar plates selecting for transconjugants motivates the introduction of an extended model, for which conjugation on the agar plate is described in the measurement equation. This model is compared...

  15. ON NONSTATIONARY STOCHASTIC MODELS FOR EARTHQUAKES.

    Science.gov (United States)

    Safak, Erdal; Boore, David M.

    1986-01-01

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

  16. A stochastic differential equation framework for the timewise dynamics of turbulent velocities

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen

    2008-01-01

    We discuss a stochastic differential equation as a modeling framework for the timewise dynamics of turbulent velocities. The equation is capable of capturing basic stylized facts of the statistics of temporal velocity increments. In particular, we focus on the evolution of the probability density...

  17. Stochastic Seasonal Planning in Multireservoir Hydroelectric Power Systems by Differential Dynamic Programming

    Directory of Open Access Journals (Sweden)

    Anders Gjelsvik

    1982-07-01

    Full Text Available A first-order differential dynamic programming (DDP algorithm is used for computing optimal control for a five-reservoir system, where the stochastic inflow process has been approximated by a few discrete disturbance values in each time step. The method is found to be faster than linear programming, previously tried on the same system model.

  18. Systemic risk in dynamical networks with stochastic failure criterion

    Science.gov (United States)

    Podobnik, B.; Horvatic, D.; Bertella, M. A.; Feng, L.; Huang, X.; Li, B.

    2014-06-01

    Complex non-linear interactions between banks and assets we model by two time-dependent Erdős-Renyi network models where each node, representing a bank, can invest either to a single asset (model I) or multiple assets (model II). We use a dynamical network approach to evaluate the collective financial failure —systemic risk— quantified by the fraction of active nodes. The systemic risk can be calculated over any future time period, divided into sub-periods, where within each sub-period banks may contiguously fail due to links to either i) assets or ii) other banks, controlled by two parameters, probability of internal failure p and threshold Th (“solvency” parameter). The systemic risk decreases with the average network degree faster when all assets are equally distributed across banks than if assets are randomly distributed. The more inactive banks each bank can sustain (smaller Th), the smaller the systemic risk —for some Th values in I we report a discontinuity in systemic risk. When contiguous spreading becomes stochastic ii) controlled by probability p2 —a condition for the bank to be solvent (active) is stochastic— the systemic risk decreases with decreasing p2. We analyse the asset allocation for the U.S. banks.

  19. Particle dynamics in a relativistic invariant stochastic medium

    CERN Document Server

    Cabo-Bizet, A; Cabo-Bizet, Alejandro; Oca, Alejandro Cabo Montes de

    2005-01-01

    The dynamics of particles moving in a medium defined by its relativistically invariant stochastic properties is investigated. For this aim, the force exerted on the particles by the medium is defined by a stationary random variable as a function of the proper time of the particles. The equations of motion for a single one-dimensional particle are obtained and numerically solved. A conservation law for the drift momentum of the particle during its random motion is shown. Moreover, the conservation of the mean value of the total linear momentum for two particles repelling each other according with the Coulomb interaction is also following. Therefore, the results indicate the realization of a kind of stochastic Noether theorem in the system under study. Possible applications to the stochastic representation of Quantum Mechanics are advanced.

  20. Stochastic dynamic simulation modeling including multitrait genetics to estimate genetic, technical, and financial consequences of dairy farm reproduction and selection strategies.

    Science.gov (United States)

    Kaniyamattam, K; Elzo, M A; Cole, J B; De Vries, A

    2016-10-01

    The objective of this study was to develop a daily stochastic dynamic dairy simulation model that included multitrait genetics and to evaluate the effects of reduced genetic models and various reproduction and selection strategies on the genetic, technical, and financial performance of a dairy herd. The 12 correlated genetic traits included in the 2014 lifetime net merit (NM$) index were modeled for each animal. For each animal, a true breeding value (TBV) for each trait was calculated as the average of the sire's and dam's TBV, plus a fraction of the inbreeding and Mendelian sampling variability. Similarly, an environmental component for each trait was calculated and was partitioned into a permanent and a daily (temporary) effect. The combined TBV and environmental effects were converted into the phenotypic performance of each animal. Hence, genetics and phenotypic performances were associated. Estimated breeding values (EBV) were also simulated. Genetic trends for each trait for the service sire were based on expected trends in US Holsteins. Surplus heifers were culled based on various ranking criteria to maintain a herd size of 1,000 milking cows. In the first 8 scenarios, culling of surplus heifers was either random or based on the EBV of NM$. Four different genetic models, depending on the presence or absence of genetic trends or genetic and environmental correlations, or both, were evaluated to measure the effect of excluding multitrait genetics on animal performance. In the last 5 scenarios, the full genetic model was used and culling of surplus heifers was either random or based on the EBV of NM$ or the EBV of milk. Sexed semen use and reliability of the EBV were also varied. Each scenario was simulated for 15yr into the future. Results showed that genetic models without all 12 genetic trends and genetic and environmental correlations provided biased estimates of the genetic, technical, and financial performance of the dairy herd. Average TBV of NM$ of all

  1. Stability analysis of associative memory network composed of stochastic neurons and dynamic synapses

    Directory of Open Access Journals (Sweden)

    Yuichi eKatori

    2013-02-01

    Full Text Available We investigate the dynamical properties of an associative memory network consisting of stochastic neurons and dynamic synapses that show short-term depression and facilitation. In the stochastic neuron model used in this study, the efficacy of the synaptic transmission changes according to the short-term depression or facilitation mechanism. We derive a macroscopic mean field model that captures the overall dynamical properties of the stochastic model. We analyze the stability and bifurcation structure of the mean field model, and show the dependence of the memory retrieval performance on the noise intensity and parameters that determine the properties of the dynamic synapses, i.e., time constants for depressing and facilitating processes. The associative memory network exhibits a variety of dynamical states, including the memory and pseudo-memory states, as well as oscillatory states among memory patterns. This study provides comprehensive insight into the dynamical properties of the associative memory network with dynamic synapses.

  2. Emergence of stochastic dynamics in plane Couette flow

    CERN Document Server

    Gvalani, Rishabh

    2016-01-01

    Spatially localized states play an important role in transition to turbulence in shear flows (Kawahara, Uhlmann & van Veen, Annu. Rev. Fluid Mech. 44, 203 (2012)). Despite the fact that some of them are attractors on the separatrix between laminar and turbulent flows, little is known of their dynamics. We investigate here the temporal dynamics of such steady spatially localized solutions in the context of plane Couette flow. These solutions exist on oscillating branches in parameter space. We consider the saddle-nodes of these branches as initial conditions of simulations run with offset Reynolds numbers. We observe a relaminarization regime mostly characterized by deterministic dynamics and identify within this regime the existence of parameter intervals in which the results are stochastic and long-lived chaotic transients are observed. These results are obtained below the threshold for transition, shed light on the emergence of stochasticity in transitional plane Couette flow and will likely inform a ra...

  3. Stochastic dynamics of the prisoner's dilemma with cooperation facilitators.

    Science.gov (United States)

    Mobilia, Mauro

    2012-07-01

    In the framework of the paradigmatic prisoner's dilemma game, we investigate the evolutionary dynamics of social dilemmas in the presence of "cooperation facilitators." In our model, cooperators and defectors interact as in the classical prisoner's dilemma, where selection favors defection. However, here the presence of a small number of cooperation facilitators enhances the fitness (reproductive potential) of cooperators, while it does not alter that of defectors. In a finite population of size N, the dynamics of the prisoner's dilemma with facilitators is characterized by the probability that cooperation takes over (fixation probability) by the mean times to reach the absorbing states. These quantities are computed exactly using Fokker-Planck equations. Our findings, corroborated by stochastic simulations, demonstrate that the influence of facilitators crucially depends on the difference between their density z and the game's cost-to-benefit ratio r. When z > r, the fixation of cooperators is likely in a large population and, under weak selection pressure, invasion and replacement of defection by cooperation is favored by selection if b(z - r)(1 - z) > N(-1), where 0

  4. A stochastic evolutionary model generating a mixture of exponential distributions

    Science.gov (United States)

    Fenner, Trevor; Levene, Mark; Loizou, George

    2016-02-01

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

  5. Stochastic Modelling of Gompertzian Tumor Growth

    Science.gov (United States)

    O'Rourke, S. F. C.; Behera, A.

    2009-08-01

    We study the effect of correlated noise in the Gompertzian tumor growth model for non-zero correlation time. The steady state probability distributions and average population of tumor cells are analyzed within the Fokker-Planck formalism to investigate the importance of additive and multiplicative noise. We find that the correlation strength and correlation time have opposite effects on the steady state probability distributions. It is observed that the non-bistable Gompertzian model, driven by correlated noise exhibits a stochastic resonance and phase transition. This behaviour of the Gompertz model is unaffected with the change of correlation time and occurs as a result of multiplicative noise.

  6. Inter-species competition-facilitation in stochastic riparian vegetation dynamics.

    Science.gov (United States)

    Tealdi, Stefano; Camporeale, Carlo; Ridolfi, Luca

    2013-02-07

    Riparian vegetation is a highly dynamic community that lives on river banks and which depends to a great extent on the fluvial hydrology. The stochasticity of the discharge and erosion/deposition processes in fact play a key role in determining the distribution of vegetation along a riparian transect. These abiotic processes interact with biotic competition/facilitation mechanisms, such as plant competition for light, water, and nutrients. In this work, we focus on the dynamics of plants characterized by three components: (1) stochastic forcing due to river discharges, (2) competition for resources, and (3) inter-species facilitation due to the interplay between vegetation and fluid dynamics processes. A minimalist stochastic bio-hydrological model is proposed for the dynamics of the biomass of two vegetation species: one species is assumed dominant and slow-growing, the other is subdominant, but fast-growing. The stochastic model is solved analytically and the probability density function of the plant biomasses is obtained as a function of both the hydrologic and biologic parameters. The impact of the competition/facilitation processes on the distribution of vegetation species along the riparian transect is investigated and remarkable effects are observed. Finally, a good qualitative agreement is found between the model results and field data.

  7. Order and stochastic dynamics in Drosophila planar cell polarity.

    Directory of Open Access Journals (Sweden)

    Yoram Burak

    2009-12-01

    Full Text Available Cells in the wing blade of Drosophila melanogaster exhibit an in-plane polarization causing distal orientation of hairs. Establishment of the Planar Cell Polarity (PCP involves intercellular interactions as well as a global orienting signal. Many of the genetic and molecular components underlying this process have been experimentally identified and a recently advanced system-level model has suggested that the observed mutant phenotypes can be understood in terms of intercellular interactions involving asymmetric localization of membrane bound proteins. Among key open questions in understanding the emergence of ordered polarization is the effect of stochasticity and the role of the global orienting signal. These issues relate closely to our understanding of ferromagnetism in physical systems. Here we pursue this analogy to understand the emergence of PCP order. To this end we develop a semi-phenomenological representation of the underlying molecular processes and define a "phase diagram" of the model which provides a global view of the dependence of the phenotype on parameters. We show that the dynamics of PCP has two regimes: rapid growth in the amplitude of local polarization followed by a slower process of alignment which progresses from small to large scales. We discuss the response of the tissue to various types of orienting signals and show that global PCP order can be achieved with a weak orienting signal provided that it acts during the early phase of the process. Finally we define and discuss some of the experimental predictions of the model.

  8. Stochastic dynamics of interacting haematopoietic stem cell niche lineages.

    Directory of Open Access Journals (Sweden)

    Tamás Székely

    2014-09-01

    Full Text Available Since we still know very little about stem cells in their natural environment, it is useful to explore their dynamics through modelling and simulation, as well as experimentally. Most models of stem cell systems are based on deterministic differential equations that ignore the natural heterogeneity of stem cell populations. This is not appropriate at the level of individual cells and niches, when randomness is more likely to affect dynamics. In this paper, we introduce a fast stochastic method for simulating a metapopulation of stem cell niche lineages, that is, many sub-populations that together form a heterogeneous metapopulation, over time. By selecting the common limiting timestep, our method ensures that the entire metapopulation is simulated synchronously. This is important, as it allows us to introduce interactions between separate niche lineages, which would otherwise be impossible. We expand our method to enable the coupling of many lineages into niche groups, where differentiated cells are pooled within each niche group. Using this method, we explore the dynamics of the haematopoietic system from a demand control system perspective. We find that coupling together niche lineages allows the organism to regulate blood cell numbers as closely as possible to the homeostatic optimum. Furthermore, coupled lineages respond better than uncoupled ones to random perturbations, here the loss of some myeloid cells. This could imply that it is advantageous for an organism to connect together its niche lineages into groups. Our results suggest that a potential fruitful empirical direction will be to understand how stem cell descendants communicate with the niche and how cancer may arise as a result of a failure of such communication.

  9. Representing Turbulence Model Uncertainty with Stochastic PDEs

    Science.gov (United States)

    Oliver, Todd; Moser, Robert

    2012-11-01

    Validation of and uncertainty quantification for extrapolative predictions of RANS turbulence models are necessary to ensure that the models are not used outside of their domain of applicability and to properly inform decisions based on such predictions. In previous work, we have developed and calibrated statistical models for these purposes, but it has been found that incorporating all the knowledge of a domain expert--e.g., realizability, spatial smoothness, and known scalings--in such models is difficult. Here, we explore the use of stochastic PDEs for this purpose. The goal of this formulation is to pose the uncertainty model in a setting where it is easier for physical modelers to express what is known. To explore the approach, multiple stochastic models describing the error in the Reynolds stress are coupled with multiple deterministic turbulence models to make uncertain predictions of channel flow. These predictions are compared with DNS data to assess their credibility. This work is supported by the Department of Energy [National Nuclear Security Administration] under Award Number [DE-FC52-08NA28615].

  10. Stochastic Optimization of Wind Turbine Power Factor Using Stochastic Model of Wind Power

    DEFF Research Database (Denmark)

    Chen, Peiyuan; Siano, Pierluigi; Bak-Jensen, Birgitte

    2010-01-01

    . The optimization algorithm utilizes the stochastic models of wind power generation (WPG) and load demand to take into account their stochastic variation. The stochastic model of WPG is developed on the basis of a limited autoregressive integrated moving average (LARIMA) model by introducing a crosscorrelation......This paper proposes a stochastic optimization algorithm that aims to minimize the expectation of the system power losses by controlling wind turbine (WT) power factors. This objective of the optimization is subject to the probability constraints of bus voltage and line current requirements...... structure to the LARIMA model. The proposed stochastic optimization is carried out on a 69-bus distribution system. Simulation results confirm that, under various combinations of WPG and load demand, the system power losses are considerably reduced with the optimal setting of WT power factor as compared...

  11. Dynamic stochastic simulation as a tool for studying bovine virus diarrhoea virus infections at the herd level

    DEFF Research Database (Denmark)

    Sørensen, J.T.; Enevoldsen, Carsten

    1994-01-01

    Infectious diseases, such as bovine virus diarrhoea (BVD) virus infections in cattle, are often studied by Markov chain models. However, it is difficult to simulate dynamic interactions between production of a reproductive herd and the disease by this type of model. As an alternative, a dynamic...... stochastic model simulating the herd production was suggested. A dynamic stochastic model simulating the effect of BVD virus infection in a dairy cattle herd was used to exemplify how this type of model could be applied in research. The simulation example demonstrated that the effect of a BVD virus infection...

  12. Universality Class in Abelian Sandpile Models with Stochastic Toppling Rules

    Institute of Scientific and Technical Information of China (English)

    2005-01-01

    We present a stochastic critical slope sandpile model, where the amount of grains that fall in an overturning event is stochastic variable. The model is local, conservative, and Abelian. We apply the moment analysis to evaluate critical exponents and finite size scaling method to consistently test the obtained results. Numerical results show that this model, Oslo model, and one-dimensional Abelian Manna model have the same critical behavior although the three models have different stochastic toppling rules, which provides evidences suggesting that Abelian sandpile models with different stochastic toppling rules are in the same universality class.

  13. Stochastic sensitivity of a bistable energy model for visual perception

    Science.gov (United States)

    Pisarchik, Alexander N.; Bashkirtseva, Irina; Ryashko, Lev

    2017-01-01

    Modern trends in physiology, psychology and cognitive neuroscience suggest that noise is an essential component of brain functionality and self-organization. With adequate noise the brain as a complex dynamical system can easily access different ordered states and improve signal detection for decision-making by preventing deadlocks. Using a stochastic sensitivity function approach, we analyze how sensitive equilibrium points are to Gaussian noise in a bistable energy model often used for qualitative description of visual perception. The probability distribution of noise-induced transitions between two coexisting percepts is calculated at different noise intensity and system stability. Stochastic squeezing of the hysteresis range and its transition from positive (bistable regime) to negative (intermittency regime) are demonstrated as the noise intensity increases. The hysteresis is more sensitive to noise in the system with higher stability.

  14. Neural network connectivity and response latency modelled by stochastic processes

    DEFF Research Database (Denmark)

    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...

  15. Environmental versus demographic variability in stochastic predator-prey models

    Science.gov (United States)

    Dobramysl, U.; Täuber, U. C.

    2013-10-01

    In contrast to the neutral population cycles of the deterministic mean-field Lotka-Volterra rate equations, including spatial structure and stochastic noise in models for predator-prey interactions yields complex spatio-temporal structures associated with long-lived erratic population oscillations. Environmental variability in the form of quenched spatial randomness in the predation rates results in more localized activity patches. Our previous study showed that population fluctuations in rare favorable regions in turn cause a remarkable increase in the asymptotic densities of both predators and prey. Very intriguing features are found when variable interaction rates are affixed to individual particles rather than lattice sites. Stochastic dynamics with demographic variability in conjunction with inheritable predation efficiencies generate non-trivial time evolution for the predation rate distributions, yet with overall essentially neutral optimization.

  16. A Specification Test of Stochastic Diffusion Models

    Institute of Scientific and Technical Information of China (English)

    Shu-lin ZHANG; Zheng-hong WEI; Qiu-xiang BI

    2013-01-01

    In this paper,we propose a hypothesis testing approach to checking model mis-specification in continuous-time stochastic diffusion model.The key idea behind the development of our test statistic is rooted in the generalized information equality in the context of martingale estimating equations.We propose a bootstrap resampling method to implement numerically the proposed diagnostic procedure.Through intensive simulation studies,we show that our approach is well performed in the aspects of type Ⅰ error control,power improvement as well as computational efficiency.

  17. Stochastic Gompertz model of tumour cell growth.

    Science.gov (United States)

    Lo, C F

    2007-09-21

    In this communication, based upon the deterministic Gompertz law of cell growth, a stochastic model in tumour growth is proposed. This model takes account of both cell fission and mortality too. The corresponding density function of the size of the tumour cells obeys a functional Fokker--Planck equation which can be solved analytically. It is found that the density function exhibits an interesting "multi-peak" structure generated by cell fission as time evolves. Within this framework the action of therapy is also examined by simply incorporating a therapy term into the deterministic cell growth term.

  18. Stochastic Optimal Control Models for Online Stores

    CERN Document Server

    Bradonjić, Milan

    2011-01-01

    We present a model for the optimal design of an online auction/store by a seller. The framework we use is a stochastic optimal control problem. In our setting, the seller wishes to maximize her average wealth level, where she can control her price per unit via her reputation level. The corresponding Hamilton-Jacobi-Bellmann equation is analyzed for an introductory case. We then turn to an empirically justified model, and present introductory analysis. In both cases, {\\em pulsing} advertising strategies are recovered for resource allocation. Further numerical and functional analysis will appear shortly.

  19. Stability analysis of multi-group deterministic and stochastic epidemic models with vaccination rate

    Science.gov (United States)

    Wang, Zhi-Gang; Gao, Rui-Mei; Fan, Xiao-Ming; Han, Qi-Xing

    2014-09-01

    We discuss in this paper a deterministic multi-group MSIR epidemic model with a vaccination rate, the basic reproduction number ℛ0, a key parameter in epidemiology, is a threshold which determines the persistence or extinction of the disease. By using Lyapunov function techniques, we show if ℛ0 is greater than 1 and the deterministic model obeys some conditions, then the disease will prevail, the infective persists and the endemic state is asymptotically stable in a feasible region. If ℛ0 is less than or equal to 1, then the infective disappear so the disease dies out. In addition, stochastic noises around the endemic equilibrium will be added to the deterministic MSIR model in order that the deterministic model is extended to a system of stochastic ordinary differential equations. In the stochastic version, we carry out a detailed analysis on the asymptotic behavior of the stochastic model. In addition, regarding the value of ℛ0, when the stochastic system obeys some conditions and ℛ0 is greater than 1, we deduce the stochastic system is stochastically asymptotically stable. Finally, the deterministic and stochastic model dynamics are illustrated through computer simulations.

  20. Hierarchical Stochastic Simulation Algorithm for SBML Models of Genetic Circuits

    Directory of Open Access Journals (Sweden)

    Leandro eWatanabe

    2014-11-01

    Full Text Available This paper describes a hierarchical stochastic simulation algorithm which has been implemented within iBioSim, a tool used to model, analyze, and visualize genetic circuits. Many biological analysis tools flatten out hierarchy before simulation, but there are many disadvantages associated with this approach. First, the memory required to represent the model can quickly expand in the process. Second, the flattening process is computationally expensive. Finally, when modeling a dynamic cellular population within iBioSim, inlining the hierarchy of the model is inefficient since models must grow dynamically over time. This paper discusses a new approach to handle hierarchy on the fly to make the tool faster and more memory-efficient. This approach yields significant performance improvements as compared to the former flat analysis method.

  1. Solution Methods for Stochastic Dynamic Linear Programs.

    Science.gov (United States)

    1980-12-01

    Linear Programming, IIASA , Laxenburg, Austria, June 2-6, 1980. [2] Aghili, P., R.H., Cramer and H.W. Thompson, "On the applicability of two- stage...Laxenburg, Austria, May, 1978. [52] Propoi, A. and V. Krivonozhko, ’The simplex method for dynamic linear programs", RR-78-14, IIASA , Vienna, Austria

  2. Fuzzy-stochastic functor machine for general humanoid-robot dynamics.

    Science.gov (United States)

    Ivancevic, V G; Snoswell, M

    2001-01-01

    In this paper the fuzzy-stochastic-Hamiltonian functor-machine is proposed as a general model for the humanoid-robot dynamics, including all necessary degrees of freedom to match the "realistic" human-like motion. Starting with the continual-sequential generalization of the standard state equation for the linear MIMO-systems, the "meta-cybernetic" model of the "functor-machine" is developed as a three-stage nonlinear description of humanoid dynamics: (1) dissipative, muscle-driven Hamiltonian dynamics, (2) stochastic fluctuations and discrete jumps, and (3) fuzzy inputs, parameters and initial conditions. An example of symmetrical three-dimensional (3-D) load-lifting is used to illustrate all the phases in developing the functor-machine model.

  3. Stochastic variability and noise-induced generation of chaos in a climate feedback system including the carbon dioxide dynamics

    Science.gov (United States)

    Alexandrov, D. V.; Bashkirtseva, I. A.; Ryashko, L. B.

    2016-08-01

    In this work, a non-linear dynamics of a simple three-dimensional climate model in the presence of stochastic forcing is studied. We demonstrate that a dynamic scenario of mixed-mode stochastic oscillations of the climate system near its equilibrium can be formed. As this takes place, a growth of noise intensity increases the frequency of interspike intervals responsible for the abrupt climate changes. In addition, a certain enhancement of stochastic forcing abruptly increases the atmospheric carbon dioxide and decreases the Earth's ice mass. A transition from order to chaos occurring at a critical noise is shown.

  4. Stochastic neural network model for spontaneous bursting in hippocampal slices.

    Science.gov (United States)

    Biswal, B; Dasgupta, C

    2002-11-01

    A biologically plausible, stochastic, neural network model that exhibits spontaneous transitions between a low-activity (normal) state and a high-activity (epileptic) state is studied by computer simulation. Brief excursions of the network to the high-activity state lead to spontaneous population bursting similar to the behavior observed in hippocampal slices bathed in a high-potassium medium. Although the variability of interburst intervals in this model is due to stochasticity, first return maps of successive interburst intervals show trajectories that resemble the behavior expected near unstable periodic orbits (UPOs) of systems exhibiting deterministic chaos. Simulations of the effects of the application of chaos control, periodic pacing, and anticontrol to the network model yield results that are qualitatively similar to those obtained in experiments on hippocampal slices. Estimation of the statistical significance of UPOs through surrogate data analysis also leads to results that resemble those of similar analysis of data obtained from slice experiments and human epileptic activity. These results suggest that spontaneous population bursting in hippocampal slices may be a manifestation of stochastic bistable dynamics, rather than of deterministic chaos. Our results also question the reliability of some of the recently proposed, UPO-based, statistical methods for detecting determinism and chaos in experimental time-series data.

  5. Aerodynamic Noise Prediction Using stochastic Turbulence Modeling

    Directory of Open Access Journals (Sweden)

    Arash Ahmadzadegan

    2008-01-01

    Full Text Available Amongst many approaches to determine the sound propagated from turbulent flows, hybrid methods, in which the turbulent noise source field is computed or modeled separately from the far field calculation, are frequently used. For basic estimation of sound propagation, less computationally intensive methods can be developed using stochastic models of the turbulent fluctuations (turbulent noise source field. A simple and easy to use stochastic model for generating turbulent velocity fluctuations called continuous filter white noise (CFWN model was used. This method based on the use of classical Langevian-equation to model the details of fluctuating field superimposed on averaged computed quantities. The resulting sound field due to the generated unsteady flow field was evaluated using Lighthill's acoustic analogy. Volume integral method used for evaluating the acoustic analogy. This formulation presents an advantage, as it confers the possibility to determine separately the contribution of the different integral terms and also integration regions to the radiated acoustic pressure. Our results validated by comparing the directivity and the overall sound pressure level (OSPL magnitudes with the available experimental results. Numerical results showed reasonable agreement with the experiments, both in maximum directivity and magnitude of the OSPL. This method presents a very suitable tool for the noise calculation of different engineering problems in early stages of the design process where rough estimates using cheaper methods are needed for different geometries.

  6. Optimal control of stochastic magnetization dynamics by spin current

    Science.gov (United States)

    Wang, Yong; Zhang, Fu-Chun

    2013-05-01

    Fluctuation-induced stochastic magnetization dynamics plays an important role in spintronics devices. Here we propose that it can be optimally controlled by spin currents to minimize or maximize the Freidlin-Wentzell action functional of the system hence to increase or decrease the probability of the large fluctuations. We apply this method to study the thermally activated magnetization switching problem and to demonstrate the merits of the optimal control strategy.

  7. AN INVARIANCE PRINCIPLE IN LARGE POPULATION STOCHASTIC DYNAMIC GAMES

    Institute of Scientific and Technical Information of China (English)

    Minyi HUANG; Peter E. CAINES; Roland P. MALHAM(E)

    2007-01-01

    We study large population stochastic dynamic games where the so-called Nash certainty equivalence based control laws are implemented by the individual players. We first show a martingale property for the limiting control problem of a single agent and then perform averaging across the population; this procedure leads to a constant value for the martingale which shows an invariance property of the population behavior induced by the Nash strategies.

  8. Dynamical entropy for systems with stochastic perturbation

    Science.gov (United States)

    Ostruszka; Pakonski; Slomczynski; Zyczkowski

    2000-08-01

    Dynamics of deterministic systems perturbed by random additive noise is characterized quantitatively. Since for such systems the Kolmogorov-Sinai (KS) entropy diverges if the diameter of the partition tends to zero, we analyze the difference between the total entropy of a noisy system and the entropy of the noise itself. We show that this quantity is finite and non-negative and we call it the dynamical entropy of the noisy system. In the weak noise limit this quantity is conjectured to tend to the KS entropy of the deterministic system. In particular, we consider one-dimensional systems with noise described by a finite-dimensional kernel for which the Frobenius-Perron operator can be represented by a finite matrix.

  9. Stochastic model of forecasting spare parts demand

    Directory of Open Access Journals (Sweden)

    Ivan S. Milojević

    2012-01-01

    Full Text Available If demand is known for the whole planning period (complete information, then this type of demand or a supply system is deterministic. In the simplest cases, the demand per time unit is constant. If demand levels change over time following a precisely determined and pre-known principle, this type of demand is also classified as deterministic. This quality of demand is very rare. In most cases demand is the product of a process, for example TMS maintenance, whose progression cannot be predicted due to a number of factors influencing the process and causing random demand changes. In this case, a supply system must function according to the complete information and with a certain degree of uncertainty. In cases when demand may be defined by some of the laws of the probability theory, we are talking about stochastic demand and a stochastic supply system. Demand can be described by mathematical expectation, mathematical expectation and standard deviation, probability distribution or as a random process. However, there is usually a need for the most complex description, i.e. the complex random process because both intensity of demand and the probability distribution change during the observed intervals. The level of temporal (dynamic series is traditionally considered as a complex phenomenon consisting of four components: - basic tendency of phenomenon development - cyclical impact (long-term, 'ancient' - seasonal effects - random fluctuations. The basic tendency of phenomenon development means a long-term evolution of phenomena. A function that expresses the trajectory of changes of the basic tendency of a phenomenon development in the form of the equation is called a trend. Often, the trend involves time regression; i.e. the coefficients of the proposed functions are often determined by the least squares method. To roughly determine the coefficients of the proposed function, the sum of three and three-point methods are also used. After checking the

  10. A mathematical framework for critical transitions: bifurcations, fast-slow systems and stochastic dynamics

    CERN Document Server

    Kuehn, Christian

    2011-01-01

    Bifurcations can cause dynamical systems with slowly varying parameters to transition to far-away attractors. The terms "critical transition" or "tipping point" have been used to describe this situation. Critical transitions have been observed in an astonishingly diverse set of applications from ecosystems and climate change to medicine and finance. The goal of this paper is to bring together a variety of techniques from dynamical systems theory to analyze critical transitions. In particular, we shall focus on identifying indicators for catastrophic shifts in the dynamics. Starting from classical bifurcation theory and incorporating multiple time scale dynamics we are able to give a detailed analysis of local bifurcations that induce critical transitions. We characterize several early warning signs for a transition such as slowing down and bifurcation delay. Then we take into account stochastic effects and proceed to model critical transitions by fast-slow stochastic differential equations. The interplay betw...

  11. Economics from a Physicist's point of view Stochastic Dynamics of Supply and Demand in a Single Market. Part I

    CERN Document Server

    Granik, V

    2002-01-01

    Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive expectations that are made up of deterministic difference equations, the new model is cast in the form of stochastic differential equations. The stochasticity is due to random disturbances ("input") to endogenous variables. The disturbances are assumed to be stationary to the second order with zero means and given covariance functions. Two particular versions of the model with different endogenous variables are considered. The first version involves supply, demand, and price. In the second version the stock of commodity is added. Covariance functions and variances of the endogenous variables ("output") are obtained in terms of the spectral theory of stochastic stationary processes. The impact of both deterministic parameters of the model and the random input on the stochastic out...

  12. Modeling and Prediction Using Stochastic Differential Equations

    DEFF Research Database (Denmark)

    Juhl, Rune; Møller, Jan Kloppenborg; Jørgensen, John Bagterp

    2016-01-01

    Pharmacokinetic/pharmakodynamic (PK/PD) modeling for a single subject is most often performed using nonlinear models based on deterministic ordinary differential equations (ODEs), and the variation between subjects in a population of subjects is described using a population (mixed effects) setup...... that describes the variation between subjects. The ODE setup implies that the variation for a single subject is described by a single parameter (or vector), namely the variance (covariance) of the residuals. Furthermore the prediction of the states is given as the solution to the ODEs and hence assumed...... deterministic and can predict the future perfectly. A more realistic approach would be to allow for randomness in the model due to e.g., the model be too simple or errors in input. We describe a modeling and prediction setup which better reflects reality and suggests stochastic differential equations (SDEs...

  13. A Fractional Order Recovery SIR Model from a Stochastic Process.

    Science.gov (United States)

    Angstmann, C N; Henry, B I; McGann, A V

    2016-03-01

    Over the past several decades, there has been a proliferation of epidemiological models with ordinary derivatives replaced by fractional derivatives in an ad hoc manner. These models may be mathematically interesting, but their relevance is uncertain. Here we develop an SIR model for an epidemic, including vital dynamics, from an underlying stochastic process. We show how fractional differential operators arise naturally in these models whenever the recovery time from the disease is power-law distributed. This can provide a model for a chronic disease process where individuals who are infected for a long time are unlikely to recover. The fractional order recovery model is shown to be consistent with the Kermack-McKendrick age-structured SIR model, and it reduces to the Hethcote-Tudor integral equation SIR model. The derivation from a stochastic process is extended to discrete time, providing a stable numerical method for solving the model equations. We have carried out simulations of the fractional order recovery model showing convergence to equilibrium states. The number of infecteds in the endemic equilibrium state increases as the fractional order of the derivative tends to zero.

  14. Motion in a stochastic layer described by symbolic dynamics

    Energy Technology Data Exchange (ETDEWEB)

    Misguich, J.H.; Reuss, J.D. [Association Euratom-CEA, Centre d`Etudes Nucleaires de Cadarache, 13 - Saint-Paul-lez-Durance (France). Dept. de Recherches sur la Fusion Controlee; Elskens, Y. [Universite de Provence, 13 - Marseille (France); Balescu, R. [Association Euratom, Brussels (Belgium)

    1997-07-01

    The motion in the stochastic layer surrounding an island can be studied by using the standard map: this problem is of direct relevance to the diffusion of magnetic field lines in a tokamak. In a previous work it was shown that this process can be adequately modelled by a continuous time random walk (CTRW) describing transitions of the running point between three basins representing, respectively, trapped motion around the island, and passing motion above or below the island. The sticking property of the island deeply modifies the nature of the transport process, leading to sub-diffusive behavior. In the present work it is shown that the motion can be analyzed in terms of a symbolic dynamics which leads to the possibility of an automatic measurement of the data necessary for the construction of the CTRW. The logical features of the procedure are described, and the method is applied to an analysis of long time series, thus completing the results of the previous work. (author) 10 refs.

  15. Dynamical entropy for systems with stochastic perturbation

    CERN Document Server

    Ostruszka, A; Slomczynski, W; Zyczkowski, K; Ostruszka, Andrzej; Pakonski, Prot; Slomczynski, Wojciech; Zyczkowski, Karol

    1999-01-01

    Dynamics of deterministic systems perturbed by random additive noise is characterized quantitatively. Since for such systems the KS-entropy diverges we analyse the difference between the total entropy of a noisy system and the entropy of the noise itself. We show that this quantity is non negative and in the weak noise limit is conjectured to tend to the KS-entropy of the deterministic system. In particular, we consider one-dimensional systems with noise described by a finite-dimensional kernel, for which the Frobenius-Perron operator can be represented by a finite matrix.

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

    Science.gov (United States)

    Rusakov, Oleg; Laskin, Michael

    2017-06-01

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

  17. Mathematical modeling and stochastic simulation of soft materials

    Science.gov (United States)

    Zeng, Yun

    Soft materials are all around us; they may appear as consumer products, foods, or biological materials. The interest in studying the properties of soft materials both experimentally and theoretically has steadily increased due to their wide range of industrial applications. One example of a soft material is wormlike micellar solutions. Depending on the temperature and composition, these solvent-surfactant-salt mixtures may exhibit close to mono-exponential or, alternatively, power-law or stretched-exponential stress decay. Of particular interest to this thesis is the development of stochastic models that can capture the stress relaxation behavior of such materials in the small strain limit, which is non-exponential in time as opposed to exponential. Continuous time random walk (CTRW) or subordinated Langevin processes are utilized to model systems exhibiting non-exponential relaxation behavior or anomalous diffusion. Stochastic simulations using the CTRW approach or the subordination method are carried out in this thesis for one-dimensional systems in which the probability density distribution of particle positions is described by a fractional Fokker-Planck equation (FFPE). The equivalence of the CTRW simulation and the subordination simulation with that of the FFPE is analyzed through the simulation of an ensemble of particle trajectories. The simulated particle dynamics suggest that CTRW processes or subordinated Langevin dynamics can be included in soft material mesoscale dynamics to capture the anomalous transport. To model the non-exponential stress relaxation dynamics of soft gel systems (three-dimensional fluids), stochastic models are simulated using transient network theory as developed and combined with the CTRW and subordinated Langevin processes. This approach enables us to connect the microstructural dynamics of certain soft gel-like materials with macroscale experimental observations by examining the material properties under homogeneous shear flow

  18. Stochastic multiscale modeling of polycrystalline materials

    Science.gov (United States)

    Wen, Bin

    Mechanical properties of engineering materials are sensitive to the underlying random microstructure. Quantification of mechanical property variability induced by microstructure variation is essential for the prediction of extreme properties and microstructure-sensitive design of materials. Recent advances in high throughput characterization of polycrystalline microstructures have resulted in huge data sets of microstructural descriptors and image snapshots. To utilize these large scale experimental data for computing the resulting variability of macroscopic properties, appropriate mathematical representation of microstructures is needed. By exploring the space containing all admissible microstructures that are statistically similar to the available data, one can estimate the distribution/envelope of possible properties by employing efficient stochastic simulation methodologies along with robust physics-based deterministic simulators. The focus of this thesis is on the construction of low-dimensional representations of random microstructures and the development of efficient physics-based simulators for polycrystalline materials. By adopting appropriate stochastic methods, such as Monte Carlo and Adaptive Sparse Grid Collocation methods, the variability of microstructure-sensitive properties of polycrystalline materials is investigated. The primary outcomes of this thesis include: (1) Development of data-driven reduced-order representations of microstructure variations to construct the admissible space of random polycrystalline microstructures. (2) Development of accurate and efficient physics-based simulators for the estimation of material properties based on mesoscale microstructures. (3) Investigating property variability of polycrystalline materials using efficient stochastic simulation methods in combination with the above two developments. The uncertainty quantification framework developed in this work integrates information science and materials science, and

  19. Quantum mechanics emerging from stochastic dynamics of virtual particles

    CERN Document Server

    Tsekov, R

    2015-01-01

    It is demonstrated how quantum mechanics emerges from the stochastic dynamics of force-carriers. It is shown that the quantum Moyal equation corresponds to some dynamic correlations between the momentum of a real particle and the position of a virtual particle, which are not present in classical mechanics. The new concept throws light on the physical meaning of quantum theory, showing that the Planck constant square is a second-second cross-cumulant. The novel approach to quantum systems is extended to the relativistic case and an expression is derived for the relativistic mass in the Wigner quantum phase-space.

  20. Stochastic Model of TCP SYN Attacks

    Directory of Open Access Journals (Sweden)

    Simona Ramanauskaitė

    2011-08-01

    Full Text Available A great proportion of essential services are moving into internet space making the threat of DoS attacks even more actual. To estimate the real risk of some kind of denial of service (DoS attack in real world is difficult, but mathematical and software models make this task easier. In this paper we overview the ways of implementing DoS attack models and offer a stochastic model of SYN flooding attack. It allows evaluating the potential threat of SYN flooding attacks, taking into account both the legitimate system flow as well as the possible attack power. At the same time we can assess the effect of such parameters as buffer capacity, open connection storage in the buffer or filte­ring efficiency on the success of different SYN flooding attacks. This model can be used for other type of memory depletion denial of service attacks.Article in Lithuanian

  1. The Stochastic stability of a Logistic model with Poisson white noise

    Institute of Scientific and Technical Information of China (English)

    Duan Dong-Hai; Xu Wei; Su Jun; Zhou Bing-Chang

    2011-01-01

    The stochastic stability of a logistic model subjected to the effect of a random natural environment, modeled as Poisson white noise process, is investigated. The properties of the stochastic response are discussed for calculating the Lyapunov exponent, which had proven to be the most useful diagnostic tool for the stability of dynamical systems. The generalised It(o) differentiation formula is used to analyse the stochastic stability of the response. The results indicate that the stability of the response is related to the intensity and amplitude distribution of the environment noise and the growth rate of the species.

  2. Stochastic Simulator for modeling the transition to lasing

    CERN Document Server

    Puccioni, G P

    2014-01-01

    A Stochastic Simulator (SS) is proposed, based on a semiclassical description of the radiation-matter interaction, to obtain an efficient description of the lasing transition for devices ranging from the nanolaser to the traditional "macroscopic" laser. Steady-state predictions obtained with the SS agree both with more traditional laser modeling and with the description of phase transitions in small-sized systems, and provide additional information on fluctuations. Dynamical information can easily be obtained, with good computing time efficiency, which convincingly highlights the role of fluctuations at threshold.

  3. Parameter estimation in neuronal stochastic differential equation models from intracellular recordings of membrane potentials in single neurons

    DEFF Research Database (Denmark)

    Ditlevsen, Susanne; Samson, Adeline

    2016-01-01

    evolution. One-dimensional models are the stochastic integrate-and-fire neuronal diffusion models. Biophysical neuronal models take into account the dynamics of ion channels or synaptic activity, leading to multidimensional diffusion models. Since only the membrane potential can be measured......Dynamics of the membrane potential in a single neuron can be studied by estimating biophysical parameters from intracellular recordings. Diffusion processes, given as continuous solutions to stochastic differential equations, are widely applied as models for the neuronal membrane potential...

  4. Excitability in a stochastic differential equation model for calcium puffs.

    Science.gov (United States)

    Rüdiger, S

    2014-06-01

    Calcium dynamics are essential to a multitude of cellular processes. For many cell types, localized discharges of calcium through small clusters of intracellular channels are building blocks for all spatially extended calcium signals. Because of the large noise amplitude, the validity of noise-approximating model equations for this system has been questioned. Here we revisit the master equations for local calcium release, examine the multiple scales of calcium concentrations in the cluster domain, and derive adapted stochastic differential equations. We show by comparison of discrete and continuous trajectories that the Langevin equations can be made consistent with the master equations even for very small channel numbers. In its deterministic limit, the model reveals that excitability, a dynamical phenomenon observed in many natural systems, is at the core of calcium puffs. The model also predicts a bifurcation from transient to sustained release which may link local and global calcium signals in cells.

  5. Stochastic modeling of thermal fatigue crack growth

    CERN Document Server

    Radu, Vasile

    2015-01-01

    The book describes a systematic stochastic modeling approach for assessing thermal-fatigue crack-growth in mixing tees, based on the power spectral density of temperature fluctuation at the inner pipe surface. It shows the development of a frequency-temperature response function in the framework of single-input, single-output (SISO) methodology from random noise/signal theory under sinusoidal input. The frequency response of stress intensity factor (SIF) is obtained by a polynomial fitting procedure of thermal stress profiles at various instants of time. The method, which takes into account the variability of material properties, and has been implemented in a real-world application, estimates the probabilities of failure by considering a limit state function and Monte Carlo analysis, which are based on the proposed stochastic model. Written in a comprehensive and accessible style, this book presents a new and effective method for assessing thermal fatigue crack, and it is intended as a concise and practice-or...

  6. Stochastic Earthquake Rupture Modeling Using Nonparametric Co-Regionalization

    Science.gov (United States)

    Lee, Kyungbook; Song, Seok Goo

    2016-10-01

    Accurate predictions of the intensity and variability of ground motions are essential in simulation-based seismic hazard assessment. Advanced simulation-based ground motion prediction methods have been proposed to complement the empirical approach, which suffers from the lack of observed ground motion data, especially in the near-source region for large events. It is important to quantify the variability of the earthquake rupture process for future events and to produce a number of rupture scenario models to capture the variability in simulation-based ground motion predictions. In this study, we improved the previously developed stochastic earthquake rupture modeling method by applying the nonparametric co-regionalization, which was proposed in geostatistics, to the correlation models estimated from dynamically derived earthquake rupture models. The nonparametric approach adopted in this study is computationally efficient and, therefore, enables us to simulate numerous rupture scenarios, including large events (M > 7.0). It also gives us an opportunity to check the shape of true input correlation models in stochastic modeling after being deformed for permissibility. We expect that this type of modeling will improve our ability to simulate a wide range of rupture scenario models and thereby predict ground motions and perform seismic hazard assessment more accurately.

  7. Hybrid approaches for multiple-species stochastic reaction–diffusion models

    Energy Technology Data Exchange (ETDEWEB)

    Spill, Fabian, E-mail: fspill@bu.edu [Department of Biomedical Engineering, Boston University, 44 Cummington Street, Boston, MA 02215 (United States); Department of Mechanical Engineering, Massachusetts Institute of Technology, 77 Massachusetts Avenue, Cambridge, MA 02139 (United States); Guerrero, Pilar [Department of Mathematics, University College London, Gower Street, London WC1E 6BT (United Kingdom); Alarcon, Tomas [Centre de Recerca Matematica, Campus de Bellaterra, Edifici C, 08193 Bellaterra (Barcelona) (Spain); Departament de Matemàtiques, Universitat Atonòma de Barcelona, 08193 Bellaterra (Barcelona) (Spain); Maini, Philip K. [Wolfson Centre for Mathematical Biology, Mathematical Institute, University of Oxford, Oxford OX2 6GG (United Kingdom); Byrne, Helen [Wolfson Centre for Mathematical Biology, Mathematical Institute, University of Oxford, Oxford OX2 6GG (United Kingdom); Computational Biology Group, Department of Computer Science, University of Oxford, Oxford OX1 3QD (United Kingdom)

    2015-10-15

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

  8. Particle dynamics in a relativistic invariant stochastic medium

    Energy Technology Data Exchange (ETDEWEB)

    Cabo-Bizet, Alejandro [Facultad de Fisica, Universidad de La Habana, Colina Universitaria, Havana (Cuba); Cabo Montes de Oca, Alejandro [Grupo de Fisica Teorica, Instituto de Cibernetica, Matematica y Fisica, Havana (Cuba) and Abdus Salam International Center for Theoretical Physics, Strada Costiera 11, Miramare, Trieste (Italy)]. E-mail: cabo@fis.puc.cl

    2006-11-27

    The dynamics of particles moving in a medium defined by its relativistically invariant stochastic properties is investigated. For this aim, the force exerted on the particles by the medium is defined by a stationary random variable as a function of the proper time of the particles. The equations of motion for a single one-dimensional particle are obtained and numerically solved. A conservation law for the drift momentum of the particle during its random motion is shown. Moreover, the conservation of the mean value of the total linear momentum for two particles repelling each other according to the Coulomb interaction also follows. Therefore, the results indicate the realization of a kind of stochastic Noether theorem in the system under study.

  9. Stochastic Dynamics of Infrared Fluctuations in Accelerating Universe

    CERN Document Server

    Cho, Gihyuk; Kitamoto, Hiroyuki

    2015-01-01

    We extend investigations of infrared dynamics in accelerating universes. In the presence of massless and minimally coupled scalar fields, physical quantities may acquire growing time dependences through quantum fluctuations at super-horizon scales. From a semiclassical viewpoint, it was proposed that such infrared effects are described by a Langevin equation. In de Sitter space, the stochastic approach has been proved to be equivalent to resummation of the growing time dependences at the leading power. In this paper, we make the resummation derivation of the Langevin equation in a general accelerating universe. We first consider an accelerating universe whose slow-roll parameter is constant, and then extend the background as the slow-roll parameter becomes time dependent. The resulting Langevin equation contains a white noise term and the coefficient of each term is modified by the slow-roll parameter. Furthermore we find that the semiclassical description of the scalar fields leads to the same stochastic equ...

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

    Science.gov (United States)

    Sutrisno; Widowati; Solikhin

    2016-06-01

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

  11. Maximum caliber inference and the stochastic Ising model

    Science.gov (United States)

    Cafaro, Carlo; Ali, Sean Alan

    2016-11-01

    We investigate the maximum caliber variational principle as an inference algorithm used to predict dynamical properties of complex nonequilibrium, stationary, statistical systems in the presence of incomplete information. Specifically, we maximize the path entropy over discrete time step trajectories subject to normalization, stationarity, and detailed balance constraints together with a path-dependent dynamical information constraint reflecting a given average global behavior of the complex system. A general expression for the transition probability values associated with the stationary random Markov processes describing the nonequilibrium stationary system is computed. By virtue of our analysis, we uncover that a convenient choice of the dynamical information constraint together with a perturbative asymptotic expansion with respect to its corresponding Lagrange multiplier of the general expression for the transition probability leads to a formal overlap with the well-known Glauber hyperbolic tangent rule for the transition probability for the stochastic Ising model in the limit of very high temperatures of the heat reservoir.

  12. Exploring behaviors of stochastic differential equation models of biological systems using change of measures

    Directory of Open Access Journals (Sweden)

    Jha Sumit

    2012-04-01

    Full Text Available Abstract Stochastic Differential Equations (SDE are often used to model the stochastic dynamics of biological systems. Unfortunately, rare but biologically interesting behaviors (e.g., oncogenesis can be difficult to observe in stochastic models. Consequently, the analysis of behaviors of SDE models using numerical simulations can be challenging. We introduce a method for solving the following problem: given a SDE model and a high-level behavioral specification about the dynamics of the model, algorithmically decide whether the model satisfies the specification. While there are a number of techniques for addressing this problem for discrete-state stochastic models, the analysis of SDE and other continuous-state models has received less attention. Our proposed solution uses a combination of Bayesian sequential hypothesis testing, non-identically distributed samples, and Girsanov's theorem for change of measures to examine rare behaviors. We use our algorithm to analyze two SDE models of tumor dynamics. Our use of non-identically distributed samples sampling contributes to the state of the art in statistical verification and model checking of stochastic models by providing an effective means for exposing rare events in SDEs, while retaining the ability to compute bounds on the probability that those events occur.

  13. Exploring behaviors of stochastic differential equation models of biological systems using change of measures.

    Science.gov (United States)

    Jha, Sumit Kumar; Langmead, Christopher James

    2012-04-12

    Stochastic Differential Equations (SDE) are often used to model the stochastic dynamics of biological systems. Unfortunately, rare but biologically interesting behaviors (e.g., oncogenesis) can be difficult to observe in stochastic models. Consequently, the analysis of behaviors of SDE models using numerical simulations can be challenging. We introduce a method for solving the following problem: given a SDE model and a high-level behavioral specification about the dynamics of the model, algorithmically decide whether the model satisfies the specification. While there are a number of techniques for addressing this problem for discrete-state stochastic models, the analysis of SDE and other continuous-state models has received less attention. Our proposed solution uses a combination of Bayesian sequential hypothesis testing, non-identically distributed samples, and Girsanov's theorem for change of measures to examine rare behaviors. We use our algorithm to analyze two SDE models of tumor dynamics. Our use of non-identically distributed samples sampling contributes to the state of the art in statistical verification and model checking of stochastic models by providing an effective means for exposing rare events in SDEs, while retaining the ability to compute bounds on the probability that those events occur.

  14. Nonlinear and stochastic dynamics of coherent structures

    DEFF Research Database (Denmark)

    Rasmussen, Kim

    1997-01-01

    system described by a tight-binding Hamiltonian and a harmonic lattice coupled b y a deformation-type potential. This derivation results in a two-dimensional nonline ar Schrödinger model, and considering the harmonic lattice to be in thermal contact with a heat bath w e show that the nonlinear...... phenomenon. We find numerically and analytically that the collapse can be delayed and ultimatively arrested by the fluctuations. Allowing the system to reach thermal equilibrium we further augment the model by a nonlineardamping term and find that this prohibits collapse in the strict mathematical se nse....... However a collapse like behavior still persists in the presence of the nonlinear damping . Apart from the absence of the collapse in the strict mathematical sense we find that the nonlinear damping term has rather weak influence on the interplay between fluctuations and self-focusing. The study...

  15. Double diffusivity model under stochastic forcing

    Science.gov (United States)

    Chattopadhyay, Amit K.; Aifantis, Elias C.

    2017-05-01

    The "double diffusivity" model was proposed in the late 1970s, and reworked in the early 1980s, as a continuum counterpart to existing discrete models of diffusion corresponding to high diffusivity paths, such as grain boundaries and dislocation lines. It was later rejuvenated in the 1990s to interpret experimental results on diffusion in polycrystalline and nanocrystalline specimens where grain boundaries and triple grain boundary junctions act as high diffusivity paths. Technically, the model pans out as a system of coupled Fick-type diffusion equations to represent "regular" and "high" diffusivity paths with "source terms" accounting for the mass exchange between the two paths. The model remit was extended by analogy to describe flow in porous media with double porosity, as well as to model heat conduction in media with two nonequilibrium local temperature baths, e.g., ion and electron baths. Uncoupling of the two partial differential equations leads to a higher-ordered diffusion equation, solutions of which could be obtained in terms of classical diffusion equation solutions. Similar equations could also be derived within an "internal length" gradient (ILG) mechanics formulation applied to diffusion problems, i.e., by introducing nonlocal effects, together with inertia and viscosity, in a mechanics based formulation of diffusion theory. While being remarkably successful in studies related to various aspects of transport in inhomogeneous media with deterministic microstructures and nanostructures, its implications in the presence of stochasticity have not yet been considered. This issue becomes particularly important in the case of diffusion in nanopolycrystals whose deterministic ILG-based theoretical calculations predict a relaxation time that is only about one-tenth of the actual experimentally verified time scale. This article provides the "missing link" in this estimation by adding a vital element in the ILG structure, that of stochasticity, that takes into

  16. Stochastic Gompertzian model for breast cancer growth process

    Science.gov (United States)

    Mazlan, Mazma Syahidatul Ayuni Binti; Rosli, Norhayati

    2017-05-01

    In this paper, a stochastic Gompertzian model is developed to describe the growth process of a breast cancer by incorporating the noisy behavior into a deterministic Gompertzian model. The prediction quality of the stochastic Gompertzian model is measured by comparing the simulated result with the clinical data of breast cancer growth. The kinetic parameters of the model are estimated via maximum likelihood procedure. 4-stage stochastic Runge-Kutta (SRK4) is used to simulate the sample path of the model. Low values of mean-square error (MSE) of stochastic model indicate good fits. It is shown that the stochastic Gompertzian model is adequate in explaining the breast cancer growth process compared to the deterministic model counterpart.

  17. Metaheuristics for the dynamic stochastic dial-a-ride problem with expected return transports.

    Science.gov (United States)

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

    2011-12-01

    The problem of transporting patients or elderly people has been widely studied in literature and is usually modeled as a dial-a-ride problem (DARP). In this paper we analyze the corresponding problem arising in the daily operation of the Austrian Red Cross. This nongovernmental organization is the largest organization performing patient transportation in Austria. The aim is to design vehicle routes to serve partially dynamic transportation requests using a fixed vehicle fleet. Each request requires transportation from a patient's home location to a hospital (outbound request) or back home from the hospital (inbound request). Some of these requests are known in advance. Some requests are dynamic in the sense that they appear during the day without any prior information. Finally, some inbound requests are stochastic. More precisely, with a certain probability each outbound request causes a corresponding inbound request on the same day. Some stochastic information about these return transports is available from historical data. The purpose of this study is to investigate, whether using this information in designing the routes has a significant positive effect on the solution quality. The problem is modeled as a dynamic stochastic dial-a-ride problem with expected return transports. We propose four different modifications of metaheuristic solution approaches for this problem. In detail, we test dynamic versions of variable neighborhood search (VNS) and stochastic VNS (S-VNS) as well as modified versions of the multiple plan approach (MPA) and the multiple scenario approach (MSA). Tests are performed using 12 sets of test instances based on a real road network. Various demand scenarios are generated based on the available real data. Results show that using the stochastic information on return transports leads to average improvements of around 15%. Moreover, improvements of up to 41% can be achieved for some test instances.

  18. High order discretization schemes for stochastic volatility models

    CERN Document Server

    Jourdain, Benjamin

    2009-01-01

    In usual stochastic volatility models, the process driving the volatility of the asset price evolves according to an autonomous one-dimensional stochastic differential equation. We assume that the coefficients of this equation are smooth. Using It\\^o's formula, we get rid, in the asset price dynamics, of the stochastic integral with respect to the Brownian motion driving this SDE. Taking advantage of this structure, we propose - a scheme, based on the Milstein discretization of this SDE, with order one of weak trajectorial convergence for the asset price, - a scheme, based on the Ninomiya-Victoir discretization of this SDE, with order two of weak convergence for the asset price. We also propose a specific scheme with improved convergence properties when the volatility of the asset price is driven by an Orstein-Uhlenbeck process. We confirm the theoretical rates of convergence by numerical experiments and show that our schemes are well adapted to the multilevel Monte Carlo method introduced by Giles [2008a,b].

  19. An introduction to continuous-time stochastic processes theory, models, and applications to finance, biology, and medicine

    CERN Document Server

    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...

  20. Improved dimensionally-reduced visual cortical network using stochastic noise modeling.

    Science.gov (United States)

    Tao, Louis; Praissman, Jeremy; Sornborger, Andrew T

    2012-04-01

    In this paper, we extend our framework for constructing low-dimensional dynamical system models of large-scale neuronal networks of mammalian primary visual cortex. Our dimensional reduction procedure consists of performing a suitable linear change of variables and then systematically truncating the new set of equations. The extended framework includes modeling the effect of neglected modes as a stochastic process. By parametrizing and including stochasticity in one of two ways we show that we can improve the systems-level characterization of our dimensionally reduced neuronal network model. We examined orientation selectivity maps calculated from the firing rate distribution of large-scale simulations and stochastic dimensionally reduced models and found that by using stochastic processes to model the neglected modes, we were able to better reproduce the mean and variance of firing rates in the original large-scale simulations while still accurately predicting the orientation preference distribution.