Argolo, C.; Barros, P.; Tomé, T.; Arashiro, E.; Gleria, Iram; Lyra, M. L.
2016-08-01
We investigate a stochastic lattice model describing a predator-prey system in a fractal scale-free landscape, mimicked by the fractal Sierpinski carpet. We determine the threshold of species coexistence, that is, the critical phase boundary related to the transition between an active state, where both species coexist and an absorbing state where one of the species is extinct. We show that the predators must live longer in order to persist in a fractal habitat. We further performed a finite-size scaling analysis in the vicinity of the absorbing-state phase transition to compute a set of stationary and dynamical critical exponents. Our results indicate that the transition belongs to the directed percolation universality class exhibited by the usual contact process model on the same fractal landscape.
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 ...
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...
Deal, Eric; Braun, Jean
2015-04-01
A current challenge in landscape evolution modelling is to integrate realistic precipitation patterns and behaviour into longterm fluvial erosion models. The effect of precipitation on fluvial erosion can be subtle as well as nonlinear, implying that changes in climate (e.g. precipitation magnitude or storminess) may have unexpected outcomes in terms of erosion rates. For example Tucker and Bras (2000) show theoretically that changes in the variability of precipitation (storminess) alone can influence erosion rate across a landscape. To complicate the situation further, topography, ultimately driven by tectonic uplift but shaped by erosion, has a major influence on the distribution and style of precipitation. Therefore, in order to untangle the coupling between climate, erosion and tectonics in an actively uplifting orogen where fluvial erosion is dominant it is important to understand how the 'rain dial' used in a landscape evolution model (LEM) corresponds to real precipitation patterns. One issue with the parameterisation of rainfall for use in an LEM is the difference between the timescales for precipitation (≤ 1 year) and landscape evolution (> 103 years). As a result, precipitation patterns must be upscaled before being integrated into a model. The relevant question then becomes: What is the most appropriate measure of precipitation on a millennial timescale? Previous work (Tucker and Bras, 2000; Lague, 2005) has shown that precipitation can be properly upscaled by taking into account its variable nature, along with its average magnitude. This captures the relative size and frequency of extreme events, ensuring a more accurate characterisation of the integrated effects of precipitation on erosion over long periods of time. In light of this work, we present a statistical parameterisation that accurately models the mean and daily variability of ground based (APHRODITE) and remotely sensed (TRMM) precipitation data in the Himalayan orogen with only a few
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...
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...
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...
Stochasticity Modeling in Memristors
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.
Identifiability in stochastic models
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.
Stochastic ontogenetic growth model
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.
Appropriate complexity landscape modeling
Larsen, Laurel G.; Eppinga, Maarten B.|info:eu-repo/dai/nl/304834971; Passalacqua, Paola; Getz, Wayne M.; Rose, Kenneth A.; Liang, Man
2016-01-01
Advances in computing technology, new and ongoing restoration initiatives, concerns about climate change's effects, and the increasing interdisciplinarity of research have encouraged the development of landscape-scale mechanistic models of coupled ecological-geophysical systems. However, communicati
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.
Stochastic Climate Theory and Modelling
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...
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.
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...
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...
Baselga, Andrés; Bonthoux, Sébastien; Balent, Gérard
2015-01-01
Temporal variation in the composition of species assemblages could be the result of deterministic processes driven by environmental change and/or stochastic processes of colonization and local extinction. Here, we analyzed the relative roles of deterministic and stochastic processes on bird assemblages in an agricultural landscape of southwestern France. We first assessed the impact of land cover change that occurred between 1982 and 2007 on (i) the species composition (presence/absence) of bird assemblages and (ii) the spatial pattern of taxonomic beta diversity. We also compared the observed temporal change of bird assemblages with a null model accounting for the effect of stochastic dynamics on temporal beta diversity. Temporal assemblage dissimilarity was partitioned into two separate components, accounting for the replacement of species (i.e. turnover) and for the nested species losses (or gains) from one time to the other (i.e. nestedness-resultant dissimilarity), respectively. Neither the turnover nor the nestedness-resultant components of temporal variation were accurately explained by any of the measured variables accounting for land cover change (r(2)turnover and 13% of sites for nestedness-resultant dissimilarity. Taken together, our results suggest that land cover change in this agricultural landscape had little impact on temporal beta diversity of bird assemblages. Although other unmeasured deterministic process could be driving the observed patterns, it is also possible that the observed changes in presence/absence species composition of local bird assemblages might be the consequence of stochastic processes in which species populations appeared and disappeared from specific localities in a random-like way. Our results might be case-specific, but if stochastic dynamics are generally dominant, the ability of correlative and mechanistic models to predict land cover change effects on species composition would be compromised.
Stochastic epidemic models: a survey
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.
Fixation, transient landscape, and diffusion dilemma in stochastic evolutionary game dynamics.
Zhou, Da; Qian, Hong
2011-09-01
Agent-based stochastic models for finite populations have recently received much attention in the game theory of evolutionary dynamics. Both the ultimate fixation and the pre-fixation transient behavior are important to a full understanding of the dynamics. In this paper, we study the transient dynamics of the well-mixed Moran process through constructing a landscape function. It is shown that the landscape playing a central theoretical "device" that integrates several lines of inquiries: the stable behavior of the replicator dynamics, the long-time fixation, and continuous diffusion approximation associated with asymptotically large population. Several issues relating to the transient dynamics are discussed: (i) multiple time scales phenomenon associated with intra- and inter-attractoral dynamics; (ii) discontinuous transition in stochastically stationary process akin to Maxwell construction in equilibrium statistical physics; and (iii) the dilemma diffusion approximation facing as a continuous approximation of the discrete evolutionary dynamics. It is found that rare events with exponentially small probabilities, corresponding to the uphill movements and barrier crossing in the landscape with multiple wells that are made possible by strong nonlinear dynamics, plays an important role in understanding the origin of the complexity in evolutionary, nonlinear biological systems.
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.
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.
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...
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...
Landscape Evolution Modelling-LAPSUS
Energy Technology Data Exchange (ETDEWEB)
Baartman, J. E. M.; Temme, A. J. A. M.; Schoorl, J. M.; Claessens, L.; Viveen, W.; Gorp, W. van; Veldkamp, A.
2009-07-01
Landscape evolution modelling can make the consequences of landscape evolution hypotheses explicit and theoretically allows for their falsification and improvement. ideally, landscape evolution models (LEMs) combine the results of all relevant landscape forming processes into an ever-adapting digital landscape (e.g. DEM). These processes may act on different spatial and temporal scales. LAPSUS is such a LEM. Processes that have in different studies been included in LAPSUS are water erosion and deposition, landslide activity, creep, solidification, weathering, tectonics and tillage. Process descriptions are as simple and generic as possible, ensuring wide applicability. (Author) 25 refs.
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...
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...
A Fractionally Integrated Wishart Stochastic Volatility Model
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
Transport properties of stochastic Lorentz models
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
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...
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.
Stochastic-field cavitation model
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.
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...
Floral morphogenesis: stochastic explorations of a gene network epigenetic landscape.
Directory of Open Access Journals (Sweden)
Elena R Alvarez-Buylla
Full Text Available In contrast to the classical view of development as a preprogrammed and deterministic process, recent studies have demonstrated that stochastic perturbations of highly non-linear systems may underlie the emergence and stability of biological patterns. Herein, we address the question of whether noise contributes to the generation of the stereotypical temporal pattern in gene expression during flower development. We modeled the regulatory network of organ identity genes in the Arabidopsis thaliana flower as a stochastic system. This network has previously been shown to converge to ten fixed-point attractors, each with gene expression arrays that characterize inflorescence cells and primordial cells of sepals, petals, stamens, and carpels. The network used is binary, and the logical rules that govern its dynamics are grounded in experimental evidence. We introduced different levels of uncertainty in the updating rules of the network. Interestingly, for a level of noise of around 0.5-10%, the system exhibited a sequence of transitions among attractors that mimics the sequence of gene activation configurations observed in real flowers. We also implemented the gene regulatory network as a continuous system using the Glass model of differential equations, that can be considered as a first approximation of kinetic-reaction equations, but which are not necessarily equivalent to the Boolean model. Interestingly, the Glass dynamics recover a temporal sequence of attractors, that is qualitatively similar, although not identical, to that obtained using the Boolean model. Thus, time ordering in the emergence of cell-fate patterns is not an artifact of synchronous updating in the Boolean model. Therefore, our model provides a novel explanation for the emergence and robustness of the ubiquitous temporal pattern of floral organ specification. It also constitutes a new approach to understanding morphogenesis, providing predictions on the population dynamics of
Models and algorithms for stochastic online scheduling
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
Directory of Open Access Journals (Sweden)
Andrés Baselga
Full Text Available Temporal variation in the composition of species assemblages could be the result of deterministic processes driven by environmental change and/or stochastic processes of colonization and local extinction. Here, we analyzed the relative roles of deterministic and stochastic processes on bird assemblages in an agricultural landscape of southwestern France. We first assessed the impact of land cover change that occurred between 1982 and 2007 on (i the species composition (presence/absence of bird assemblages and (ii the spatial pattern of taxonomic beta diversity. We also compared the observed temporal change of bird assemblages with a null model accounting for the effect of stochastic dynamics on temporal beta diversity. Temporal assemblage dissimilarity was partitioned into two separate components, accounting for the replacement of species (i.e. turnover and for the nested species losses (or gains from one time to the other (i.e. nestedness-resultant dissimilarity, respectively. Neither the turnover nor the nestedness-resultant components of temporal variation were accurately explained by any of the measured variables accounting for land cover change (r(2<0.06 in all cases. Additionally, the amount of spatial assemblage heterogeneity in the region did not significantly change between 1982 and 2007, and site-specific observed temporal dissimilarities were larger than null expectations in only 1% of sites for temporal turnover and 13% of sites for nestedness-resultant dissimilarity. Taken together, our results suggest that land cover change in this agricultural landscape had little impact on temporal beta diversity of bird assemblages. Although other unmeasured deterministic process could be driving the observed patterns, it is also possible that the observed changes in presence/absence species composition of local bird assemblages might be the consequence of stochastic processes in which species populations appeared and disappeared from specific
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.
Stability of stochastic switched SIRS models
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.
Stochastic modeling and analysis of telecoms networks
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
Stochastic Modeling of Soil Salinity
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...
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....
Stochastic modeling analysis and simulation
Nelson, Barry L
1995-01-01
A coherent introduction to the techniques for modeling dynamic stochastic systems, this volume also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Suitable for advanced undergraduates and graduate-level industrial engineers and management science majors, it proposes modeling systems in terms of their simulation, regardless of whether simulation is employed for analysis. Beginning with a view of the conditions that permit a mathematical-numerical analysis, the text explores Poisson and renewal processes, Markov chains in discrete and continuous time, se
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...
Enhanced stochastic fluctuations to measure steep adhesive energy landscapes.
Haider, Ahmad; Potter, Daniel; Sulchek, Todd A
2016-12-13
Free-energy landscapes govern the behavior of all interactions in the presence of thermal fluctuations in the fields of physical chemistry, materials sciences, and the biological sciences. From the energy landscape, critical information about an interaction, such as the reaction kinetic rates, bond lifetimes, and the presence of intermediate states, can be determined. Despite the importance of energy landscapes to understanding reaction mechanisms, most experiments do not directly measure energy landscapes, particularly for interactions with steep force gradients that lead to premature jump to contact of the probe and insufficient sampling of transition regions. Here we present an atomic force microscopy (AFM) approach for measuring energy landscapes that increases sampling of strongly adhesive interactions by using white-noise excitation to enhance the cantilever's thermal fluctuations. The enhanced fluctuations enable the recording of subtle deviations from a harmonic potential to accurately reconstruct interfacial energy landscapes with steep gradients. Comparing the measured energy landscape with adhesive force measurements reveals the existence of an optimal excitation voltage that enables the cantilever fluctuations to fully sample the shape and depth of the energy surface.
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...
Stochastic Model of Microtubule Dynamics
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.
Stochastic models, estimation, and control
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.
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.
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.
Efficient numerical integrators for stochastic models
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.
From Complex to Simple: Interdisciplinary Stochastic Models
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…
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...
Energy Technology Data Exchange (ETDEWEB)
Wu, Wei [Department of Physics and Astronomy and Department of Chemistry, State University of New York at Stony Brook, Stony Brook, New York 11794 (United States); Wang, Jin, E-mail: jin.wang.1@stonybrook.edu [Department of Physics and Astronomy and Department of Chemistry, State University of New York at Stony Brook, Stony Brook, New York 11794 (United States); State Key Laboratory of Electroanalytical Chemistry, Changchun Institute of Applied Chemistry, Chinese Academy of Sciences, 130022 Changchun, China and College of Physics, Jilin University, 130021 Changchun (China)
2014-09-14
We have established a general non-equilibrium thermodynamic formalism consistently applicable to both spatially homogeneous and, more importantly, spatially inhomogeneous systems, governed by the Langevin and Fokker-Planck stochastic dynamics with multiple state transition mechanisms, using the potential-flux landscape framework as a bridge connecting stochastic dynamics with non-equilibrium thermodynamics. A set of non-equilibrium thermodynamic equations, quantifying the relations of the non-equilibrium entropy, entropy flow, entropy production, and other thermodynamic quantities, together with their specific expressions, is constructed from a set of dynamical decomposition equations associated with the potential-flux landscape framework. The flux velocity plays a pivotal role on both the dynamic and thermodynamic levels. On the dynamic level, it represents a dynamic force breaking detailed balance, entailing the dynamical decomposition equations. On the thermodynamic level, it represents a thermodynamic force generating entropy production, manifested in the non-equilibrium thermodynamic equations. The Ornstein-Uhlenbeck process and more specific examples, the spatial stochastic neuronal model, in particular, are studied to test and illustrate the general theory. This theoretical framework is particularly suitable to study the non-equilibrium (thermo)dynamics of spatially inhomogeneous systems abundant in nature. This paper is the second of a series.
Stochastic models for uncertain flexible systems
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
Stochastic Modelling and Analysis of Warehouse Operations
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
Normal forms for reduced stochastic climate models
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
Stochastic biomathematical models with applications to neuronal modeling
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.
Stochastic models of intracellular transport
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.
Stochastic string models with continuous semimartingales
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.
Stochastic transition model for pedestrian dynamics
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.
Modeling and analysis of stochastic systems
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
Stochastic Control Model on Rent Seeking
Institute of Scientific and Technical Information of China (English)
无
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.
Modelling and application of stochastic processes
1986-01-01
The subject of modelling and application of stochastic processes is too vast to be exhausted in a single volume. In this book, attention is focused on a small subset of this vast subject. The primary emphasis is on realization and approximation of stochastic systems. Recently there has been considerable interest in the stochastic realization problem, and hence, an attempt has been made here to collect in one place some of the more recent approaches and algorithms for solving the stochastic realiza tion problem. Various different approaches for realizing linear minimum-phase systems, linear nonminimum-phase systems, and bilinear systems are presented. These approaches range from time-domain methods to spectral-domain methods. An overview of the chapter contents briefly describes these approaches. Also, in most of these chapters special attention is given to the problem of developing numerically ef ficient algorithms for obtaining reduced-order (approximate) stochastic realizations. On the application side,...
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....
Second Quantization Approach to Stochastic Epidemic Models
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.
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.
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...
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...
Model checking mobile stochastic logic.
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
Model checking mobile stochastic logic.
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
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.
Ma, Chihua; Luciani, Timothy; Terebus, Anna; Liang, Jie; Marai, G Elisabeta
2017-02-15
Visualizing the complex probability landscape of stochastic gene regulatory networks can further biologists' understanding of phenotypic behavior associated with specific genes. We present PRODIGEN (PRObability DIstribution of GEne Networks), a web-based visual analysis tool for the systematic exploration of probability distributions over simulation time and state space in such networks. PRODIGEN was designed in collaboration with bioinformaticians who research stochastic gene networks. The analysis tool combines in a novel way existing, expanded, and new visual encodings to capture the time-varying characteristics of probability distributions: spaghetti plots over one dimensional projection, heatmaps of distributions over 2D projections, enhanced with overlaid time curves to display temporal changes, and novel individual glyphs of state information corresponding to particular peaks. We demonstrate the effectiveness of the tool through two case studies on the computed probabilistic landscape of a gene regulatory network and of a toggle-switch network. Domain expert feedback indicates that our visual approach can help biologists: 1) visualize probabilities of stable states, 2) explore the temporal probability distributions, and 3) discover small peaks in the probability landscape that have potential relation to specific diseases.
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...
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...
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...
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.
Stochastic differential equation model to Prendiville processes
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.
Level Crossing Methods in Stochastic Models
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
Robert E. Keane; Lisa M. Holsinger; Sarah D. Pratt
2006-01-01
The range and variation of historical landscape dynamics could provide a useful reference for designing fuel treatments on today's landscapes. Simulation modeling is a vehicle that can be used to estimate the range of conditions experienced on historical landscapes. A landscape fire succession model called LANDSUMv4 (LANDscape SUccession Model version 4.0) is...
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.
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.
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.
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...
Nonlinear stochastic inflation modelling using SEASETARs
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
Regulation mechanisms in spatial stochastic development models
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.
Stochasticity in cell biology: Modeling across levels
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.
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....
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.
Modeling stochasticity in biochemical reaction networks
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.
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.
Stochastic linear programming models, theory, and computation
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...
Vaccination Control in a Stochastic SVIR Epidemic Model.
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.
A stochastic model for bacteriophage therapies
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.
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.
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.
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...
Stochastic biophysical modeling of irradiated cells
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 ...
Stochastic models in reliability and maintenance
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...
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.
Stochastic discrete model of karstic networks
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.
Model predictive control classical, robust and stochastic
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...
Dynamic optimization deterministic and stochastic models
Hinderer, Karl; Stieglitz, Michael
2016-01-01
This book explores discrete-time dynamic optimization and provides a detailed introduction to both deterministic and stochastic models. Covering problems with finite and infinite horizon, as well as Markov renewal programs, Bayesian control models and partially observable processes, the book focuses on the precise modelling of applications in a variety of areas, including operations research, computer science, mathematics, statistics, engineering, economics and finance. Dynamic Optimization is a carefully presented textbook which starts with discrete-time deterministic dynamic optimization problems, providing readers with the tools for sequential decision-making, before proceeding to the more complicated stochastic models. The authors present complete and simple proofs and illustrate the main results with numerous examples and exercises (without solutions). With relevant material covered in four appendices, this book is completely self-contained.
INTRUSION DETECTION BASED ON THE SECOND-ORDER STOCHASTIC MODEL
Institute of Scientific and Technical Information of China (English)
无
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.
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.
Modelling Coagulation Systems: A Stochastic Approach
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.
Stochastic models for atomic clocks
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.
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.
The Stochastic Modelling of Endemic Diseases
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.
Brain-inspired Stochastic Models and Implementations
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.
Solvable stochastic dealer models for financial markets.
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.
Dynamic landscape models of coevolutionary games
Richter, Hendrik
2016-01-01
Players of coevolutionary games may update not only their strategies but also their networks of interaction. Based on interpreting the payoff of players as fitness, dynamic landscape models are proposed. The modeling procedure is carried out for Prisoner's Dilemma (PD) and Snowdrift (SD) games that both use either birth-death (BD) or death-birth (DB) strategy updating. With the main focus on using dynamic fitness landscapes as an alternative tool for analyzing coevolutionary games, landscape measures such as modality, ruggedness and information content are computed and analyzed. In addition, fixation properties of the games and quantifiers characterizing the network of interaction are calculated numerically. Relations are established between landscape properties expressed by landscape measures and quantifiers of coevolutionary game dynamics such as fixation probabilities, fixation times and network properties
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...
Development of A Stochastic Bedload Transport Model
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.
Fuzzy Stochastic Optimization Theory, Models and Applications
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...
From cusps to cores: a stochastic model
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...
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....
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.
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...
A stochastic model of human gait dynamics
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.
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...
ON NONSTATIONARY STOCHASTIC MODELS FOR EARTHQUAKES.
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.
Modelling conjugation with stochastic differential equations.
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.
A stochastic evolutionary model for survival dynamics
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.
Stochastic Modelling of Gompertzian Tumor Growth
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.
Stochastic Models of Polymer Systems
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
Representing Turbulence Model Uncertainty with Stochastic PDEs
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].
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...
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.
Universality Class in Abelian Sandpile Models with Stochastic Toppling Rules
Institute of Scientific and Technical Information of China (English)
无
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.
Models of the stochastic activity of neurones
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...
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.
Stochastic Gompertz model of tumour cell growth.
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.
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.
Stochastic Optimal Control Models for Online Stores
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.
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.
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...
Stochastic multiscale modeling of polycrystalline materials
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
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
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.
Stochastic modeling of thermal fatigue crack growth
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...
Stochastic effects in a seasonally forced epidemic model
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.
Stochastic effects in a seasonally forced epidemic model
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.
Double diffusivity model under stochastic forcing
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
Stochastic Gompertzian model for breast cancer growth process
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.
A Stochastic Skeleton Model for the MJO
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
Stochastic inverse problems: Models and metrics
Energy Technology Data Exchange (ETDEWEB)
Sabbagh, Elias H.; Sabbagh, Harold A.; Murphy, R. Kim [Victor Technologies, LLC, Bloomington, IN 47407-7706 (United States); Aldrin, John C. [Computational Tools, Gurnee, IL 60031 (United States); Annis, Charles [Statistical Engineering, Palm Beach Gardens, FL 33418 (United States); Knopp, Jeremy S. [Air Force Research Laboratory (AFRL/RXCA), Wright Patterson AFB, OH 45433-7817 (United States)
2015-03-31
In past work, we introduced model-based inverse methods, and applied them to problems in which the anomaly could be reasonably modeled by simple canonical shapes, such as rectangular solids. In these cases the parameters to be inverted would be length, width and height, as well as the occasional probe lift-off or rotation. We are now developing a formulation that allows more flexibility in modeling complex flaws. The idea consists of expanding the flaw in a sequence of basis functions, and then solving for the expansion coefficients of this sequence, which are modeled as independent random variables, uniformly distributed over their range of values. There are a number of applications of such modeling: 1. Connected cracks and multiple half-moons, which we have noted in a POD set. Ideally we would like to distinguish connected cracks from one long shallow crack. 2. Cracks of irregular profile and shape which have appeared in cold work holes during bolt-hole eddy-current inspection. One side of such cracks is much deeper than other. 3. L or C shaped crack profiles at the surface, examples of which have been seen in bolt-hole cracks. By formulating problems in a stochastic sense, we are able to leverage the stochastic global optimization algorithms in NLSE, which is resident in VIC-3D®, to answer questions of global minimization and to compute confidence bounds using the sensitivity coefficient that we get from NLSE. We will also address the issue of surrogate functions which are used during the inversion process, and how they contribute to the quality of the estimation of the bounds.
Systematic parameter inference in stochastic mesoscopic modeling
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....
Optimal information diffusion in stochastic block models
Curato, Gianbiagio
2016-01-01
We use the linear threshold model to study the diffusion of information on a network generated by the stochastic block model. We focus our analysis on a two community structure where the initial set of informed nodes lies only in one of the two communities and we look for optimal network structures, i.e. those maximizing the asymptotic extent of the diffusion. We find that, constraining the mean degree and the fraction of initially informed nodes, the optimal structure can be assortative (modular), core-periphery, or even disassortative. We then look for minimal cost structures, i.e. those such that a minimal fraction of initially informed nodes is needed to trigger a global cascade. We find that the optimal networks are assortative but with a structure very close to a core-periphery graph, i.e. a very dense community linked to a much more sparsely connected periphery.
Sensitivity Study of Stochastic Walking Load Models
DEFF Research Database (Denmark)
Pedersen, Lars; Frier, Christian
2010-01-01
On flexible structures such as footbridges and long-span floors, walking loads may generate excessive structural vibrations and serviceability problems. The problem is increasing because of the growing tendency to employ long spans in structural design. In many design codes, the vibration...... serviceability limit state is assessed using a walking load model in which the walking parameters are modelled deterministically. However, the walking parameters are stochastic (for instance the weight of the pedestrian is not likely to be the same for every footbridge crossing), and a natural way forward...... investigates whether statistical distributions of bridge response are sensitive to some of the decisions made by the engineer doing the analyses. For the paper a selected part of potential influences are examined and footbridge responses are extracted using Monte-Carlo simulations and focus is on estimating...
From cusps to cores: a stochastic model
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.
Viscosity methods for multiscale financial models with stochastic volatility
Bardi, Martino; Cesaroni, Annalisa; Ghilli, Daria; Scotti, Andrea
2014-01-01
Parallel session; International audience; Introduction on models Financial models and stochastic volatility, Gaussian or with jumps Fast stochastic volatility Part 1 Control systems with random parameters and multiple scales The Hamilton-Jacobi-Bellman approach to Singular Perturbations I Tools I Assumptions I A convergence result Applications to finance Part 2 Large deviations for small time to maturity: see also Daria Ghilli's poster tomorrow
Integrating forest ecosystem services into the farming landscape: A stochastic economic assessment.
Monge, Juan J; Parker, Warren J; Richardson, James W
2016-06-01
The objective of this study was to assess how payments for ecosystem services could assist plantation forestry's integration into pastoral dairy farming in order to improve environmental outcomes and increase business resilience to both price uncertainty and production limits imposed by environmental policies. Stochastic Dominance (SD) criteria and portfolio analysis, accounting for farmers' risk aversion levels, were used to rank different land-use alternatives and landscapes with different levels of plantation forestry integration. The study was focused on a modal 200-ha dairy farm in the Lake Rotorua Catchment of the Central North Island region of New Zealand, where national environmental policies are being implemented to improve water quality and reduce greenhouse gas emissions. Nitrogen and carbon payments would help farmers improve early cash flows for forestry, provide financial leverage to undertake afforestation projects and contribute to improved environmental outcomes for the catchment. The SD criteria demonstrated that although dairy farming generates the highest returns, plantation forestry with nitrogen and carbon payments would be a preferred alternative for landowners with relatively low risk aversion levels who consider return volatility and environmental limits within their land-use change criteria. Using the confidence premium concept, environmental payments to encourage plantation forestry into the landscape were shown to be lower when the majority of landowners are risk averse. The certainty equivalence approach helped to identify the optimal dairy-forestry portfolio arrangements for landowners of different levels of risk aversion, intensities of dairy farming (status quo and intensified) and nitrogen prices. At low nitrogen prices, risk neutral farmers would choose to afforest less than half of the farm and operate at the maximum nitrogen allowance, because dairy farming at both intensities provides the highest return among the different land
Spatial Stochastic Point Models for Reservoir Characterization
Energy Technology Data Exchange (ETDEWEB)
Syversveen, Anne Randi
1997-12-31
The main part of this thesis discusses stochastic modelling of geology in petroleum reservoirs. A marked point model is defined for objects against a background in a two-dimensional vertical cross section of the reservoir. The model handles conditioning on observations from more than one well for each object and contains interaction between objects, and the objects have the correct length distribution when penetrated by wells. The model is developed in a Bayesian setting. The model and the simulation algorithm are demonstrated by means of an example with simulated data. The thesis also deals with object recognition in image analysis, in a Bayesian framework, and with a special type of spatial Cox processes called log-Gaussian Cox processes. In these processes, the logarithm of the intensity function is a Gaussian process. The class of log-Gaussian Cox processes provides flexible models for clustering. The distribution of such a process is completely characterized by the intensity and the pair correlation function of the Cox process. 170 refs., 37 figs., 5 tabs.
12th Workshop on Stochastic Models, Statistics and Their Applications
Rafajłowicz, Ewaryst; Szajowski, Krzysztof
2015-01-01
This volume presents the latest advances and trends in stochastic models and related statistical procedures. Selected peer-reviewed contributions focus on statistical inference, quality control, change-point analysis and detection, empirical processes, time series analysis, survival analysis and reliability, statistics for stochastic processes, big data in technology and the sciences, statistical genetics, experiment design, and stochastic models in engineering. Stochastic models and related statistical procedures play an important part in furthering our understanding of the challenging problems currently arising in areas of application such as the natural sciences, information technology, engineering, image analysis, genetics, energy and finance, to name but a few. This collection arises from the 12th Workshop on Stochastic Models, Statistics and Their Applications, Wroclaw, Poland.
Stochastic Time Models of Syllable Structure
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
Stochastic TDHF in an exactly solvable model
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.
Stochastic spatial models of plant diseases
Brown, D H
2001-01-01
I present three models of plant--pathogen interactions. The models are stochastic and spatially explicit at the scale of individual plants. For each model, I use a version of pair approximation or moment closure along with a separation of timescales argument to determine the effects of spatial clustering on threshold structure. By computing the spatial structure early in an invasion, I find explicit corrections to mean field theory. In the first chapter, I present a lattice model of a disease that is not directly lethal to its host, but affects its ability to compete with neighbors. I use a type of pair approximation to determine conditions for invasions and coexistence. In the second chapter, I study a basic SIR epidemic point process in continuous space. I implement a multiplicative moment closure scheme to compute the threshold transmission rate as a function of spatial parameters. In the final chapter, I model the evolution of pathogen resistance when two plant species share a pathogen. Evolution may lead...
Modeling Departure Time Choice with Stochastic Networks
Li, H.; Bliemer, M.C.J.; Bovy, P.H.L.
2010-01-01
Stochastic supply and fluctuating travel demand lead to stochasticity in travel times and travel costs experienced by travelers from time to time within a day and at the same time from day to day. Many studies show that travel time un-reliability has significant impacts on traveler’s choice behavior
Gompertzian stochastic model with delay effect to cervical cancer growth
Energy Technology Data Exchange (ETDEWEB)
Mazlan, Mazma Syahidatul Ayuni binti; Rosli, Norhayati binti [Faculty of Industrial Sciences and Technology, Universiti Malaysia Pahang, Lebuhraya Tun Razak, 26300 Gambang, Pahang (Malaysia); Bahar, Arifah [Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor and UTM Centre for Industrial and Applied Mathematics (UTM-CIAM), Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia)
2015-02-03
In this paper, a Gompertzian stochastic model with time delay is introduced to describe the cervical cancer growth. The parameters values of the mathematical model are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic model numerically. The efficiency of mathematical model is measured by comparing the simulated result and the clinical data of cervical cancer growth. Low values of Mean-Square Error (MSE) of Gompertzian stochastic model with delay effect indicate good fits.
Gompertzian stochastic model with delay effect to cervical cancer growth
Mazlan, Mazma Syahidatul Ayuni binti; Rosli, Norhayati binti; Bahar, Arifah
2015-02-01
In this paper, a Gompertzian stochastic model with time delay is introduced to describe the cervical cancer growth. The parameters values of the mathematical model are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic model numerically. The efficiency of mathematical model is measured by comparing the simulated result and the clinical data of cervical cancer growth. Low values of Mean-Square Error (MSE) of Gompertzian stochastic model with delay effect indicate good fits.
Stochastic growth logistic model with aftereffect for batch fermentation process
Energy Technology Data Exchange (ETDEWEB)
Rosli, Norhayati; Ayoubi, Tawfiqullah [Faculty of Industrial Sciences and Technology, Universiti Malaysia Pahang, Lebuhraya Tun Razak, 26300 Gambang, Pahang (Malaysia); Bahar, Arifah; Rahman, Haliza Abdul [Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia); Salleh, Madihah Md [Department of Biotechnology Industry, Faculty of Biosciences and Bioengineering, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia)
2014-06-19
In this paper, the stochastic growth logistic model with aftereffect for the cell growth of C. acetobutylicum P262 and Luedeking-Piret equations for solvent production in batch fermentation system is introduced. The parameters values of the mathematical models are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic models numerically. The effciency of mathematical models is measured by comparing the simulated result and the experimental data of the microbial growth and solvent production in batch system. Low values of Root Mean-Square Error (RMSE) of stochastic models with aftereffect indicate good fits.
Stochastic growth logistic model with aftereffect for batch fermentation process
Rosli, Norhayati; Ayoubi, Tawfiqullah; Bahar, Arifah; Rahman, Haliza Abdul; Salleh, Madihah Md
2014-06-01
In this paper, the stochastic growth logistic model with aftereffect for the cell growth of C. acetobutylicum P262 and Luedeking-Piret equations for solvent production in batch fermentation system is introduced. The parameters values of the mathematical models are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic models numerically. The effciency of mathematical models is measured by comparing the simulated result and the experimental data of the microbial growth and solvent production in batch system. Low values of Root Mean-Square Error (RMSE) of stochastic models with aftereffect indicate good fits.
Stochastic 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
On the small-time behavior of stochastic logistic models
Directory of Open Access Journals (Sweden)
Dung Tien Nguyen
2017-09-01
Full Text Available In this paper we investigate the small-time behaviors of the solution to a stochastic logistic model. The obtained results allow us to estimate the number of individuals in the population and can be used to study stochastic prey-predator systems.
A stochastic model for early placental development.
Cotter, Simon L
2014-08-01
In the human, placental structure is closely related to placental function and consequent pregnancy outcome. Studies have noted abnormal placental shape in small-for-gestational-age infants which extends to increased lifetime risk of cardiovascular disease. The origins and determinants of placental shape are incompletely understood and are difficult to study in vivo. In this paper, we model the early development of the human placenta, based on the hypothesis that this is driven by a chemoattractant effect emanating from proximal spiral arteries in the decidua. We derive and explore a two-dimensional stochastic model, and investigate the effects of loss of spiral arteries in regions near to the cord insertion on the shape of the placenta. This model demonstrates that disruption of spiral arteries can exert profound effects on placental shape, particularly if this is close to the cord insertion. Thus, placental shape reflects the underlying maternal vascular bed. Abnormal placental shape may reflect an abnormal uterine environment, predisposing to pregnancy complications. Through statistical analysis of model placentas, we are able to characterize the probability that a given placenta grew in a disrupted environment, and even able to distinguish between different disruptions.
Stochastic daily modeling of arctic tundra ecosystems
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.
Simultaneous perturbation stochastic approximation for tidal models
Altaf, M.U.
2011-05-12
The Dutch continental shelf model (DCSM) is a shallow sea model of entire continental shelf which is used operationally in the Netherlands to forecast the storm surges in the North Sea. The forecasts are necessary to support the decision of the timely closure of the moveable storm surge barriers to protect the land. In this study, an automated model calibration method, simultaneous perturbation stochastic approximation (SPSA) is implemented for tidal calibration of the DCSM. The method uses objective function evaluations to obtain the gradient approximations. The gradient approximation for the central difference method uses only two objective function evaluation independent of the number of parameters being optimized. The calibration parameter in this study is the model bathymetry. A number of calibration experiments is performed. The effectiveness of the algorithm is evaluated in terms of the accuracy of the final results as well as the computational costs required to produce these results. In doing so, comparison is made with a traditional steepest descent method and also with a newly developed proper orthogonal decompositionbased calibration method. The main findings are: (1) The SPSA method gives comparable results to steepest descent method with little computational cost. (2) The SPSA method with little computational cost can be used to estimate large number of parameters.
Stochastic Modeling of Reinforced Concrete Structures Exposed to Chloride Attack
DEFF Research Database (Denmark)
Sørensen, John Dalsgaard; Frier, Christian
2003-01-01
concentration and reinforcement cover depth are modeled by stochastic fields. The paper contains a description of the parameters to be included in a stochastic model and a proposal for the information needed to obtain values for the parameters in order to be ab le to perform reliability investigations...... the reinforcement exceeds a critical threshold value. In the present paper a stochastic model is described by which the chloride content in a reinforced concrete structure can be estimated. The chloride ingress is modeled by a 2-dimensional diffusion process and the diffusion coefficient, surface chloride...
Reservoir Stochastic Modeling Constrained by Quantitative Geological Conceptual Patterns
Institute of Scientific and Technical Information of China (English)
无
2006-01-01
This paper discusses the principles of geologic constraints on reservoir stochastic modeling. By using the system science theory, two kinds of uncertainties, including random uncertainty and fuzzy uncertainty, are recognized. In order to improve the precision of stochastic modeling and reduce the uncertainty in realization, the fuzzy uncertainty should be stressed, and the "geological genesis-controlled modeling" is conducted under the guidance of a quantitative geological pattern. An example of the Pingqiao horizontal-well division of the Ansai Oilfield in the Ordos Basin is taken to expound the method of stochastic modeling.
Sensitivity of resource selection and connectivity models to landscape definition
Katherine A. Zeller; Kevin McGarigal; Samuel A. Cushman; Paul Beier; T. Winston Vickers; Walter M. Boyce
2017-01-01
Context: The definition of the geospatial landscape is the underlying basis for species-habitat models, yet sensitivity of habitat use inference, predicted probability surfaces, and connectivity models to landscape definition has received little attention. Objectives: We evaluated the sensitivity of resource selection and connectivity models to four landscape...
Directory of Open Access Journals (Sweden)
Kostas Alexandridis
2013-06-01
Full Text Available Assessing spatial model performance often presents challenges related to the choice and suitability of traditional statistical methods in capturing the true validity and dynamics of the predicted outcomes. The stochastic nature of many of our contemporary spatial models of land use change necessitate the testing and development of new and innovative methodologies in statistical spatial assessment. In many cases, spatial model performance depends critically on the spatially-explicit prior distributions, characteristics, availability and prevalence of the variables and factors under study. This study explores the statistical spatial characteristics of statistical model assessment of modeling land use change dynamics in a seven-county study area in South-Eastern Wisconsin during the historical period of 1963–1990. The artificial neural network-based Land Transformation Model (LTM predictions are used to compare simulated with historical land use transformations in urban/suburban landscapes. We introduce a range of Bayesian information entropy statistical spatial metrics for assessing the model performance across multiple simulation testing runs. Bayesian entropic estimates of model performance are compared against information-theoretic stochastic entropy estimates and theoretically-derived accuracy assessments. We argue for the critical role of informational uncertainty across different scales of spatial resolution in informing spatial landscape model assessment. Our analysis reveals how incorporation of spatial and landscape information asymmetry estimates can improve our stochastic assessments of spatial model predictions. Finally our study shows how spatially-explicit entropic classification accuracy estimates can work closely with dynamic modeling methodologies in improving our scientific understanding of landscape change as a complex adaptive system and process.
Systematic parameter inference in stochastic mesoscopic modeling
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.
Supersymmetric Theory of Stochastic ABC Model: A Numerical Study
Ovchinnikov, Igor V; Ensslin, Torsten A; Wang, Kang L
2016-01-01
In this paper, we investigate numerically the stochastic ABC model, a toy model in the theory of astrophysical kinematic dynamos, within the recently proposed supersymmetric theory of stochastics (STS). STS characterises stochastic differential equations (SDEs) by the spectrum of the stochastic evolution operator (SEO) on elements of the exterior algebra or differentials forms over the system's phase space, X. STS can thereby classify SDEs as chaotic or non-chaotic by identifying the phenomenon of stochastic chaos with the spontaneously broken topological supersymmetry that all SDEs possess. We demonstrate the following three properties of the SEO, deduced previously analytically and from physical arguments: the SEO spectra for zeroth and top degree forms never break topological supersymmetry, all SDEs possesses pseudo-time-reversal symmetry, and each de Rahm cohomology class provides one supersymmetric eigenstate. Our results also suggests that the SEO spectra for forms of complementary degrees, i.e., k and ...
Constructing stochastic models from deterministic process equations by propensity adjustment
Directory of Open Access Journals (Sweden)
Wu Jialiang
2011-11-01
Full Text Available Abstract Background Gillespie's stochastic simulation algorithm (SSA for chemical reactions admits three kinds of elementary processes, namely, mass action reactions of 0th, 1st or 2nd order. All other types of reaction processes, for instance those containing non-integer kinetic orders or following other types of kinetic laws, are assumed to be convertible to one of the three elementary kinds, so that SSA can validly be applied. However, the conversion to elementary reactions is often difficult, if not impossible. Within deterministic contexts, a strategy of model reduction is often used. Such a reduction simplifies the actual system of reactions by merging or approximating intermediate steps and omitting reactants such as transient complexes. It would be valuable to adopt a similar reduction strategy to stochastic modelling. Indeed, efforts have been devoted to manipulating the chemical master equation (CME in order to achieve a proper propensity function for a reduced stochastic system. However, manipulations of CME are almost always complicated, and successes have been limited to relative simple cases. Results We propose a rather general strategy for converting a deterministic process model into a corresponding stochastic model and characterize the mathematical connections between the two. The deterministic framework is assumed to be a generalized mass action system and the stochastic analogue is in the format of the chemical master equation. The analysis identifies situations: where a direct conversion is valid; where internal noise affecting the system needs to be taken into account; and where the propensity function must be mathematically adjusted. The conversion from deterministic to stochastic models is illustrated with several representative examples, including reversible reactions with feedback controls, Michaelis-Menten enzyme kinetics, a genetic regulatory motif, and stochastic focusing. Conclusions The construction of a stochastic
Stochastic waves in a Brusselator model with nonlocal interaction.
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.
Prediction horizon effects on stochastic modelling hints for neural networks
Energy Technology Data Exchange (ETDEWEB)
Drossu, R.; Obradovic, Z. [Washington State Univ., Pullman, WA (United States)
1995-12-31
The objective of this paper is to investigate the relationship between stochastic models and neural network (NN) approaches to time series modelling. Experiments on a complex real life prediction problem (entertainment video traffic) indicate that prior knowledge can be obtained through stochastic analysis both with respect to an appropriate NN architecture as well as to an appropriate sampling rate, in the case of a prediction horizon larger than one. An improvement of the obtained NN predictor is also proposed through a bias removal post-processing, resulting in much better performance than the best stochastic model.
Stochastic Modeling of Airlines' Scheduled Services Revenue
Hamed, M. M.
1999-01-01
Airlines' revenue generated from scheduled services account for the major share in the total revenue. As such, predicting airlines' total scheduled services revenue is of great importance both to the governments (in case of national airlines) and private airlines. This importance stems from the need to formulate future airline strategic management policies, determine government subsidy levels, and formulate governmental air transportation policies. The prediction of the airlines' total scheduled services revenue is dealt with in this paper. Four key components of airline's scheduled services are considered. These include revenues generated from passenger, cargo, mail, and excess baggage. By addressing the revenue generated from each schedule service separately, air transportation planners and designers are able to enhance their ability to formulate specific strategies for each component. Estimation results clearly indicate that the four stochastic processes (scheduled services components) are represented by different Box-Jenkins ARIMA models. The results demonstrate the appropriateness of the developed models and their ability to provide air transportation planners with future information vital to the planning and design processes.
Determining Reduced Order Models for Optimal Stochastic Reduced Order Models
Energy Technology Data Exchange (ETDEWEB)
Bonney, Matthew S. [Sandia National Lab. (SNL-CA), Livermore, CA (United States); Brake, Matthew R.W. [Sandia National Lab. (SNL-CA), Livermore, CA (United States)
2015-08-01
The use of parameterized reduced order models(PROMs) within the stochastic reduced order model (SROM) framework is a logical progression for both methods. In this report, five different parameterized reduced order models are selected and critiqued against the other models along with truth model for the example of the Brake-Reuss beam. The models are: a Taylor series using finite difference, a proper orthogonal decomposition of the the output, a Craig-Bampton representation of the model, a method that uses Hyper-Dual numbers to determine the sensitivities, and a Meta-Model method that uses the Hyper-Dual results and constructs a polynomial curve to better represent the output data. The methods are compared against a parameter sweep and a distribution propagation where the first four statistical moments are used as a comparison. Each method produces very accurate results with the Craig-Bampton reduction having the least accurate results. The models are also compared based on time requirements for the evaluation of each model where the Meta- Model requires the least amount of time for computation by a significant amount. Each of the five models provided accurate results in a reasonable time frame. The determination of which model to use is dependent on the availability of the high-fidelity model and how many evaluations can be performed. Analysis of the output distribution is examined by using a large Monte-Carlo simulation along with a reduced simulation using Latin Hypercube and the stochastic reduced order model sampling technique. Both techniques produced accurate results. The stochastic reduced order modeling technique produced less error when compared to an exhaustive sampling for the majority of methods.
On changes of measure in stochastic volatility models
Directory of Open Access Journals (Sweden)
Bernard Wong
2006-01-01
models. This had led many researchers to “assume the condition away,” even though the condition is not innocuous, and nonsensical results can occur if it is in fact not satisfied. We provide an applicable theorem to check the conditions for a general class of Markovian stochastic volatility models. As an example we will also provide a detailed analysis of the Stein and Stein and Heston stochastic volatility models.
Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
Jiang, G.J.; van der Sluis, P.J.
2000-01-01
This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate the
Applications of Little's Law to stochastic models of gene expression
Elgart, Vlad; Kulkarni, Rahul V
2010-01-01
The intrinsic stochasticity of gene expression can lead to large variations in protein levels across a population of cells. To explain this variability, different sources of mRNA fluctuations ('Poisson' and 'Telegraph' processes) have been proposed in stochastic models of gene expression. Both Poisson and Telegraph scenario models explain experimental observations of noise in protein levels in terms of 'bursts' of protein expression. Correspondingly, there is considerable interest in establishing relations between burst and steady-state protein distributions for general stochastic models of gene expression. In this work, we address this issue by considering a mapping between stochastic models of gene expression and problems of interest in queueing theory. By applying a general theorem from queueing theory, Little's Law, we derive exact relations which connect burst and steady-state distribution means for models with arbitrary waiting-time distributions for arrival and degradation of mRNAs and proteins. The de...
Stochastic modeling of the diffusion coefficient for concrete
DEFF Research Database (Denmark)
Thoft-Christensen, Palle
In the paper, a new stochastic modelling of the diffusion coefficient D is presented. The modelling is based on a physical understanding of the diffusion process and on some recent experimental results. The diffusion coefficient D is strongly dependent on the w/c ratio and the temperature....... A deterministic relationship between the diffusion coefficient and the w/c ratio and the temperature is used for the stochastic modelling. The w/c ratio and the temperature are modelled by log-normally and normally distributed stochastic variables, respectively. It is then shown by Monte Carlo simulation...... that the diffusion coefficient D may be modelled by a normally distributed stochastic variable. The sensitivities of D with regard to the mean values and the standard deviations are evaluated....
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.
Frank, T D
2002-07-01
Using the method of steps, we describe stochastic processes with delays in terms of Markov diffusion processes. Thus, multivariate Langevin equations and Fokker-Planck equations are derived for stochastic delay differential equations. Natural, periodic, and reflective boundary conditions are discussed. Both Ito and Stratonovich calculus are used. In particular, our Fokker-Planck approach recovers the generalized delay Fokker-Planck equation proposed by Guillouzic et al. The results obtained are applied to a model for population growth: the Gompertz model with delay and multiplicative white noise.
Digital simulation and modeling of nonlinear stochastic systems
Energy Technology Data Exchange (ETDEWEB)
Richardson, J M; Rowland, J R
1981-04-01
Digitally generated solutions of nonlinear stochastic systems are not unique but depend critically on the numerical integration algorithm used. Some theoretical and practical implications of this dependence are examined. The Ito-Stratonovich controversy concerning the solution of nonlinear stochastic systems is shown to be more than a theoretical debate on maintaining Markov properties as opposed to utilizing the computational rules of ordinary calculus. The theoretical arguments give rise to practical considerations in the formation and solution of discrete models from continuous stochastic systems. Well-known numerical integration algorithms are shown not only to provide different solutions for the same stochastic system but also to correspond to different stochastic integral definitions. These correspondences are proved by considering first and second moments of solutions that result from different integration algorithms and then comparing the moments to those arising from various stochastic integral definitions. This algorithm-dependence of solutions is in sharp contrast to the deterministic and linear stochastic cases in which unique solutions are determined by any convergent numerical algorithm. Consequences of the relationship between stochastic system solutions and simulation procedures are presented for a nonlinear filtering example. Monte Carlo simulations and statistical tests are applied to the example to illustrate the determining role which computational procedures play in generating solutions.
Digital simulation and modeling of nonlinear stochastic systems
Energy Technology Data Exchange (ETDEWEB)
Richardson, J M; Rowland, J R
1980-01-01
Digitally generated solutions of nonlinear stochastic systems are not unique, but depend critically on the numerical integration algorithm used. Some theoretical and practical implications of this dependence are examined. The Ito-Stratonovich controversy concerning the solution of nonlinear stochastic systems is shown to be more than a theoretical debate on maintaining Markov properties as opposed to utilizing the computational rules of ordinary calculus. The theoretical arguments give rise to practical considerations in the formation and solution of discrete models from continuous stochastic systems. Well-known numerical integration algorithms are shown not only to provide different solutions for the same stochastic system, but also to correspond to different stochastic integral definitions. These correspondences are proved by considering first and second moments of solutions resulting from different integration algorithms and comparing the moments to those arising from various stochastic integral definitions. Monte Carlo simulations and statistical tests are applied to illustrate the determining role that computational procedures play in generating solutions. This algorithm dependence of solutions is in sharp contrast to the deterministic and linear stochastic cases, in which unique solutions are determined by any convergent numerical algorithm. Consequences of this relationship between stochastic system solutions and simulation procedures are presented for a nonlinear filtering example. 2 figures.
Overwinding in a stochastic model of an extended polymer
Energy Technology Data Exchange (ETDEWEB)
Bernido, Christopher C. [Research Center for Theoretical Physics, Central Visayan Institute Foundation, Jagna, Bohol 6308 (Philippines)], E-mail: cbernido@mozcom.com; Carpio-Bernido, M. Victoria [Research Center for Theoretical Physics, Central Visayan Institute Foundation, Jagna, Bohol 6308 (Philippines)
2007-09-10
We evaluate explicit expressions of length-dependent winding configuration probabilities for a biopolymer. The stochastic model incorporates several experimentally observed features. In particular, it exhibits overwinding under stretching forces until a critical length of the polymer is reached.
Stochastic Flocculation Model for Cohesive Sediment Suspended in Water
National Research Council Canada - National Science Library
Hyun Jung Shin; Minwoo Son; Guan-hong Lee
2015-01-01
.... A new stochastic approach to model the flocculation process is theoretically developed and incorporated into a deterministic FGM in this study in order to calculate a size distribution of flocs...
Introduction to Queueing Theory and Stochastic Teletraffic Models
Zukerman, Moshe
2013-01-01
The aim of this textbook is to provide students with basic knowledge of stochastic models that may apply to telecommunications research areas, such as traffic modelling, resource provisioning and traffic management. These study areas are often collectively called teletraffic. This book assumes prior knowledge of a programming language, mathematics, probability and stochastic processes normally taught in an electrical engineering course. For students who have some but not sufficiently strong b...
Modeling Aquatic Macroinvertebrate Richness Using Landscape Attributes
Directory of Open Access Journals (Sweden)
Marcia S. Meixler
2015-01-01
Full Text Available We used a rapid, repeatable, and inexpensive geographic information system (GIS approach to predict aquatic macroinvertebrate family richness using the landscape attributes stream gradient, riparian forest cover, and water quality. Stream segments in the Allegheny River basin were classified into eight habitat classes using these three landscape attributes. Biological databases linking macroinvertebrate families with habitat classes were developed using life habits, feeding guilds, and water quality preferences and tolerances for each family. The biological databases provided a link between fauna and habitat enabling estimation of family composition in each habitat class and hence richness predictions for each stream segment. No difference was detected between field collected and modeled predictions of macroinvertebrate families in a paired t-test. Further, predicted stream gradient, riparian forest cover, and total phosphorus, total nitrogen, and suspended sediment classifications matched observed classifications much more often than by chance alone. High gradient streams with forested riparian zones and good water quality were predicted to have the greatest macroinvertebrate family richness and changes in water quality were predicted to have the greatest impact on richness. Our findings indicate that our model can provide meaningful landscape scale macroinvertebrate family richness predictions from widely available data for use in focusing conservation planning efforts.
Directory of Open Access Journals (Sweden)
Christley Scott
2010-07-01
Full Text Available Abstract Background Stochastic effects can be important for the behavior of processes involving small population numbers, so the study of stochastic models has become an important topic in the burgeoning field of computational systems biology. However analysis techniques for stochastic models have tended to lag behind their deterministic cousins due to the heavier computational demands of the statistical approaches for fitting the models to experimental data. There is a continuing need for more effective and efficient algorithms. In this article we focus on the parameter inference problem for stochastic kinetic models of biochemical reactions given discrete time-course observations of either some or all of the molecular species. Results We propose an algorithm for inference of kinetic rate parameters based upon maximum likelihood using stochastic gradient descent (SGD. We derive a general formula for the gradient of the likelihood function given discrete time-course observations. The formula applies to any explicit functional form of the kinetic rate laws such as mass-action, Michaelis-Menten, etc. Our algorithm estimates the gradient of the likelihood function by reversible jump Markov chain Monte Carlo sampling (RJMCMC, and then gradient descent method is employed to obtain the maximum likelihood estimation of parameter values. Furthermore, we utilize flux balance analysis and show how to automatically construct reversible jump samplers for arbitrary biochemical reaction models. We provide RJMCMC sampling algorithms for both fully observed and partially observed time-course observation data. Our methods are illustrated with two examples: a birth-death model and an auto-regulatory gene network. We find good agreement of the inferred parameters with the actual parameters in both models. Conclusions The SGD method proposed in the paper presents a general framework of inferring parameters for stochastic kinetic models. The method is
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.
Blanquart, François; Bataillon, Thomas
2016-06-01
The fitness landscape defines the relationship between genotypes and fitness in a given environment and underlies fundamental quantities such as the distribution of selection coefficient and the magnitude and type of epistasis. A better understanding of variation in landscape structure across species and environments is thus necessary to understand and predict how populations will adapt. An increasing number of experiments investigate the properties of fitness landscapes by identifying mutations, constructing genotypes with combinations of these mutations, and measuring the fitness of these genotypes. Yet these empirical landscapes represent a very small sample of the vast space of all possible genotypes, and this sample is often biased by the protocol used to identify mutations. Here we develop a rigorous statistical framework based on Approximate Bayesian Computation to address these concerns and use this flexible framework to fit a broad class of phenotypic fitness models (including Fisher's model) to 26 empirical landscapes representing nine diverse biological systems. Despite uncertainty owing to the small size of most published empirical landscapes, the inferred landscapes have similar structure in similar biological systems. Surprisingly, goodness-of-fit tests reveal that this class of phenotypic models, which has been successful so far in interpreting experimental data, is a plausible in only three of nine biological systems. More precisely, although Fisher's model was able to explain several statistical properties of the landscapes-including the mean and SD of selection and epistasis coefficients-it was often unable to explain the full structure of fitness landscapes.
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...
Stochastic mutualism model with Lévy jumps
Liu, Qun; Jiang, Daqing; Shi, Ningzhong; Hayat, Tasawar; Alsaedi, Ahmed
2017-02-01
In this paper, we consider a stochastic mutualism model with Lévy jumps. First of all, we show that the positive solution of the system is stochastically ultimate bounded. Then under a simple assumption, we establish sufficient and necessary conditions for the stochastic permanence and extinction of the system. The results show an important property of the Lévy jumps: they are unfavorable for the permanence of the species. Moreover, when there are no Lévy jumps, we show that there is a unique ergodic stationary distribution of the corresponding system under certain conditions. Some numerical simulations are introduced to validate the theoretical results.
Modelling Chinese Smart Grid: A Stochastic Model Checking Case Study
Yüksel, Ender; Nielson, Flemming; Zhu, Huibiao; Huang, Heqing
2012-01-01
Cyber-physical systems integrate information and communication technology functions to the physical elements of a system for monitoring and controlling purposes. The conversion of traditional power grid into a smart grid, a fundamental example of a cyber-physical system, raises a number of issues that require novel methods and applications. In this context, an important issue is the verification of certain quantitative properties of the system. In this technical report, we consider a specific Chinese Smart Grid implementation and try to address the verification problem for certain quantitative properties including performance and battery consumption. We employ stochastic model checking approach and present our modelling and analysis study using PRISM model checker.
Bird-landscape relations in the Chihuahuan Desert: Coping with uncertainties about predictive models
Gutzwiller, K.J.; Barrow, W.C.
2001-01-01
During the springs of 1995-1997, we studied birds and landscapes in the Chihuahuan Desert along part of the Texas-Mexico border. Our objectives were to assess bird-landscape relations and their interannual consistency and to identify ways to cope with associated uncertainties that undermine confidence in using such relations in conservation decision processes. Bird distributions were often significantly associated with landscape features, and many bird-landscape models were valid and useful for predictive purposes. Differences in early spring rainfall appeared to influence bird abundance, but there was no evidence that annual differences in bird abundance affected model consistency. Model consistency for richness (42%) was higher than mean model consistency for 26 focal species (mean 30%, range 0-67%), suggesting that relations involving individual species are, on average, more subject to factors that cause variation than are richness-landscape relations. Consistency of bird-landscape relations may be influenced by such factors as plant succession, exotic species invasion, bird species' tolerances for environmental variation, habitat occupancy patterns, and variation in food density or weather. The low model consistency that we observed for most species indicates the high variation in bird-landscape relations that managers and other decision makers may encounter. The uncertainty of interannual variation in bird-landscape relations can be reduced by using projections of bird distributions from different annual models to determine the likely range of temporal and spatial variation in a species' distribution. Stochastic simulation models can be used to incorporate the uncertainty of random environmental variation into predictions of bird distributions based on bird-landscape relations and to provide probabilistic projections with which managers can weigh the costs and benefits of various decisions, Uncertainty about the true structure of bird-landscape relations
Multivariate moment closure techniques for stochastic kinetic models
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.
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.
Multivariate moment closure techniques for stochastic kinetic models.
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.
Analysis of stochastic effects in Kaldor-type business cycle discrete model
Bashkirtseva, Irina; Ryashko, Lev; Sysolyatina, Anna
2016-07-01
We study nonlinear stochastic phenomena in the discrete Kaldor model of business cycles. A numerical parametric analysis of stochastically forced attractors (equilibria, closed invariant curves, discrete cycles) of this model is performed using the stochastic sensitivity functions technique. A spatial arrangement of random states in stochastic attractors is modeled by confidence domains. The phenomenon of noise-induced transitions "chaos-order" is discussed.
Tsunamis: stochastic models of occurrence and generation mechanisms
Geist, Eric L.; Oglesby, David D.
2014-01-01
The devastating consequences of the 2004 Indian Ocean and 2011 Japan tsunamis have led to increased research into many different aspects of the tsunami phenomenon. In this entry, we review research related to the observed complexity and uncertainty associated with tsunami generation, propagation, and occurrence described and analyzed using a variety of stochastic methods. In each case, seismogenic tsunamis are primarily considered. Stochastic models are developed from the physical theories that govern tsunami evolution combined with empirical models fitted to seismic and tsunami observations, as well as tsunami catalogs. These stochastic methods are key to providing probabilistic forecasts and hazard assessments for tsunamis. The stochastic methods described here are similar to those described for earthquakes (Vere-Jones 2013) and volcanoes (Bebbington 2013) in this encyclopedia.
Stochastic von Bertalanffy models, with applications to fish recruitment.
Lv, Qiming; Pitchford, Jonathan W
2007-02-21
We consider three individual-based models describing growth in stochastic environments. Stochastic differential equations (SDEs) with identical von Bertalanffy deterministic parts are formulated, with a stochastic term which decreases, remains constant, or increases with organism size, respectively. Probability density functions for hitting times are evaluated in the context of fish growth and mortality. Solving the hitting time problem analytically or numerically shows that stochasticity can have a large positive impact on fish recruitment probability. It is also demonstrated that the observed mean growth rate of surviving individuals always exceeds the mean population growth rate, which itself exceeds the growth rate of the equivalent deterministic model. The consequences of these results in more general biological situations are discussed.
Stochastic Downscaling of Digital Elevation Models
Rasera, Luiz Gustavo; Mariethoz, Gregoire; Lane, Stuart N.
2016-04-01
High-resolution digital elevation models (HR-DEMs) are extremely important for the understanding of small-scale geomorphic processes in Alpine environments. In the last decade, remote sensing techniques have experienced a major technological evolution, enabling fast and precise acquisition of HR-DEMs. However, sensors designed to measure elevation data still feature different spatial resolution and coverage capabilities. Terrestrial altimetry allows the acquisition of HR-DEMs with centimeter to millimeter-level precision, but only within small spatial extents and often with dead ground problems. Conversely, satellite radiometric sensors are able to gather elevation measurements over large areas but with limited spatial resolution. In the present study, we propose an algorithm to downscale low-resolution satellite-based DEMs using topographic patterns extracted from HR-DEMs derived for example from ground-based and airborne altimetry. The method consists of a multiple-point geostatistical simulation technique able to generate high-resolution elevation data from low-resolution digital elevation models (LR-DEMs). Initially, two collocated DEMs with different spatial resolutions serve as an input to construct a database of topographic patterns, which is also used to infer the statistical relationships between the two scales. High-resolution elevation patterns are then retrieved from the database to downscale a LR-DEM through a stochastic simulation process. The output of the simulations are multiple equally probable DEMs with higher spatial resolution that also depict the large-scale geomorphic structures present in the original LR-DEM. As these multiple models reflect the uncertainty related to the downscaling, they can be employed to quantify the uncertainty of phenomena that are dependent on fine topography, such as catchment hydrological processes. The proposed methodology is illustrated for a case study in the Swiss Alps. A swissALTI3D HR-DEM (with 5 m resolution
STABILITY ANALYSIS OF TWO-SECTORS STOCHASTIC ECONOMIC GROWTH MODEL
Institute of Scientific and Technical Information of China (English)
Shaobo ZHOU; Shigeng HU
2007-01-01
In the paper, we investigate the stability of a two-sector economic growth model under stochastic case. A two-dimensional stochastic differential system is deduced by Ito's formula, by using Lyapunov function methods, whether the growth rates of physical capital and human capital are exponentially stable or unstable depends on the values for parameters. Finally, we also illustrate the results with two examples.
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....
A Stochastic Nonlinear Water Wave Model for Efficient Uncertainty Quantification
Bigoni, Daniele; Eskilsson, Claes
2014-01-01
A major challenge in next-generation industrial applications is to improve numerical analysis by quantifying uncertainties in predictions. In this work we present a stochastic formulation of a fully nonlinear and dispersive potential flow water wave model for the probabilistic description of the evolution waves. This model is discretized using the Stochastic Collocation Method (SCM), which provides an approximate surrogate of the model. This can be used to accurately and efficiently estimate the probability distribution of the unknown time dependent stochastic solution after the forward propagation of uncertainties. We revisit experimental benchmarks often used for validation of deterministic water wave models. We do this using a fully nonlinear and dispersive model and show how uncertainty in the model input can influence the model output. Based on numerical experiments and assumed uncertainties in boundary data, our analysis reveals that some of the known discrepancies from deterministic simulation in compa...
Asymptotic behavior of stochastic multi-group epidemic models with distributed delays
Liu, Qun; Jiang, Daqing; Shi, Ningzhong; Hayat, Tasawar; Alsaedi, Ahmed
2017-02-01
In this paper, we introduce stochasticity into multi-group epidemic models with distributed delays and general kernel functions. The stochasticity in the model is a standard technique in stochastic population modeling. When the perturbations are small, by using the method of stochastic Lyapunov functions, we carry out a detailed analysis on the asymptotic behavior of the stochastic model regarding of the basic reproduction number R0. If R0 ≤ 1, the solution of the stochastic system oscillates around the disease-free equilibrium E0, while if R0 > 1, the solution of the stochastic model fluctuates around the endemic equilibrium E∗. Moreover, we also establish sufficient conditions of these results.
The Landscape of Free Fermionic Gauge Models
Moore, Douglas G.
A software framework is developed to systematically construct a particular class of weakly coupled free fermionic heterotic string models, dubbed gauge models. In their purest form, these models are maximally supersymmetric (N = 4), and thus only contain superpartners in their matter sector. This feature makes their system- atic construction particularly efficient, and they are thus useful in their simplicity. We first provide a brisk introduction to heterotic strings and the spin-structure construction of free fermionic models. Three systematic surveys are then presented, and we conjecture that these surveys are exhaustive modulo redundancies. Finally we present a collection of metaheuristic algorithms for searching the landscape for models with a user-specified spectrum of phenomenological properties, e.g. gauge group and number of spacetime supersymmetries. Such algorithms provide the groundwork for extended generic free fermionic surveys.
Sanchez-Vila, X.; Fernàndez-Garcia, D.
2016-12-01
We address modern topics of stochastic hydrogeology from their potential relevance to real modeling efforts at the field scale. While the topics of stochastic hydrogeology and numerical modeling have become routine in hydrogeological studies, nondeterministic models have not yet permeated into practitioners. We point out a number of limitations of stochastic modeling when applied to real applications and comment on the reasons why stochastic models fail to become an attractive alternative for practitioners. We specifically separate issues corresponding to flow, conservative transport, and reactive transport. The different topics addressed are emphasis on process modeling, need for upscaling parameters and governing equations, relevance of properly accounting for detailed geological architecture in hydrogeological modeling, and specific challenges of reactive transport. We end up by concluding that the main responsible for nondeterministic models having not yet permeated in industry can be fully attributed to researchers in stochastic hydrogeology.
Stochastic differential equation model for cerebellar granule cell excitability.
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
On Local Homogeneity and Stochastically Ordered Mixed Rasch Models
Kreiner, Svend; Hansen, Mogens; Hansen, Carsten Rosenberg
2006-01-01
Mixed Rasch models add latent classes to conventional Rasch models, assuming that the Rasch model applies within each class and that relative difficulties of items are different in two or more latent classes. This article considers a family of stochastically ordered mixed Rasch models, with ordinal latent classes characterized by increasing total…
Stochastic models to simulate paratuberculosis in dairy herds
DEFF Research Database (Denmark)
Nielsen, S.S.; Weber, M.F.; Kudahl, Anne Margrethe Braad
2011-01-01
Stochastic simulation models are widely accepted as a means of assessing the impact of changes in daily management and the control of different diseases, such as paratuberculosis, in dairy herds. This paper summarises and discusses the assumptions of four stochastic simulation models and their use...... the models are somewhat different in their underlying principles and do put slightly different values on the different strategies, their overall findings are similar. Therefore, simulation models may be useful in planning paratuberculosis strategies in dairy herds, although as with all models caution...
Modeling Mosquito Distribution. Impact of the Landscape
Dumont, Y.
2011-09-01
In order to use efficiently vector control tools, like insecticides, and mechanical control, it is necessary to provide mosquito density estimate and mosquito distribution, taking into account the environment and entomological knowledges. Mosquito dispersal modeling, together with a compartmental approach, leads to a quasilinear parabolic system. Using the time splitting approach and appropriate numerical methods for each operator, we construct a reliable numerical scheme. Considering various landscapes, we show that the environment can have a strong influence on mosquito distribution and, thus, in the efficiency or not of vector control.
Stochastic stage-structured modeling of the adaptive immune system
Energy Technology Data Exchange (ETDEWEB)
Chao, D. L. (Dennis L.); Davenport, M. P. (Miles P.); Forrest, S. (Stephanie); Perelson, Alan S.,
2003-01-01
We have constructed a computer model of the cytotoxic T lymphocyte (CTL) response to antigen and the maintenance of immunological memory. Because immune responses often begin with small numbers of cells and there is great variation among individual immune systems, we have chosen to implement a stochastic model that captures the life cycle of T cells more faithfully than deterministic models. Past models of the immune response have been differential equation based, which do not capture stochastic effects, or agent-based, which are computationally expensive. We use a stochastic stage-structured approach that has many of the advantages of agent-based modeling but is more efficient. Our model can provide insights into the effect infections have on the CTL repertoire and the response to subsequent infections.
Stochastic and coherence resonance in an in silico neural model.
Chiu, Alan W L; Bardakjian, Berj L
2004-05-01
We show that it is possible for chaotic systems to display the main features of stochastic and coherence resonance. In particular, a model of coupled nonlinear oscillators which emulates the transmembrane voltage activities in CA3 neurons, operating in a chaotic regime and in the presence of noise, can exhibit coherence resonance and stochastic resonance. Certain firing frequencies become more "rhythmic" for some optimal values of noise intensity. The effect of noise in different coupling pathways is investigated. We found that the effect of coherence resonance and stochastic resonance are more prominent if noise is presented in either electric field or gap junction coupling pathways. Frequency sensitivity of the model is investigated as a preliminary step in illustrating the principles of possible epileptic seizure control strategies using "chaos control" concepts. Significant effects of stochastic resonance are observed in the 4-8 Hz range. Weaker effects can be found in the 1-4 Hz and 8-10 Hz ranges whereas 0.5 Hz does not exhibit any resonance phenomenon. Our results suggest that: (a) Stochastic resonance could enhance the intrinsic 4-8 Hz rhythms in CA3 neurons more prominently via field coupling pathways. It could also help explain why some reported seizure control strategies using pulse-trains would only be effective at 0.5 Hz. (b) Stochastic resonance-like behavior can occur in the gamma range only if noise is presented via chemical synaptic pathways.
A 'Turing' Test for Landscape Evolution Models
Parsons, A. J.; Wise, S. M.; Wainwright, J.; Swift, D. A.
2008-12-01
Resolving the interactions among tectonics, climate and surface processes at long timescales has benefited from the development of computer models of landscape evolution. However, testing these Landscape Evolution Models (LEMs) has been piecemeal and partial. We argue that a more systematic approach is required. What is needed is a test that will establish how 'realistic' an LEM is and thus the extent to which its predictions may be trusted. We propose a test based upon the Turing Test of artificial intelligence as a way forward. In 1950 Alan Turing posed the question of whether a machine could think. Rather than attempt to address the question directly he proposed a test in which an interrogator asked questions of a person and a machine, with no means of telling which was which. If the machine's answer could not be distinguished from those of the human, the machine could be said to demonstrate artificial intelligence. By analogy, if an LEM cannot be distinguished from a real landscape it can be deemed to be realistic. The Turing test of intelligence is a test of the way in which a computer behaves. The analogy in the case of an LEM is that it should show realistic behaviour in terms of form and process, both at a given moment in time (punctual) and in the way both form and process evolve over time (dynamic). For some of these behaviours, tests already exist. For example there are numerous morphometric tests of punctual form and measurements of punctual process. The test discussed in this paper provides new ways of assessing dynamic behaviour of an LEM over realistically long timescales. However challenges remain in developing an appropriate suite of challenging tests, in applying these tests to current LEMs and in developing LEMs that pass them.
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.
Impacts of Stochastic Modeling on GPS-derived ZTD Estimations
Jin, Shuanggen
2010-01-01
GPS-derived ZTD (Zenith Tropospheric Delay) plays a key role in near real-time weather forecasting, especially in improving the precision of Numerical Weather Prediction (NWP) models. The ZTD is usually estimated using the first-order Gauss-Markov process with a fairly large correlation, and under the assumption that all the GPS measurements, carrier phases or pseudo-ranges, have the same accuracy. However, these assumptions are unrealistic. This paper aims to investigate the impact of several stochastic modeling methods on GPS-derived ZTD estimations using Australian IGS data. The results show that the accuracy of GPS-derived ZTD can be improved using a suitable stochastic model for the GPS measurements. The stochastic model using satellite elevation angle-based cosine function is better than other investigated stochastic models. It is noted that, when different stochastic modeling strategies are used, the variations in estimated ZTD can reach as much as 1cm. This improvement of ZTD estimation is certainly c...
Assessment of stochastically updated finite element models using reliability indicator
Hua, X. G.; Wen, Q.; Ni, Y. Q.; Chen, Z. Q.
2017-01-01
Finite element (FE) model updating techniques have been a viable approach to correcting an initial mathematical model based on test data. Validation of the updated FE models is usually conducted by comparing model predictions with independent test data that have not been used for model updating. This approach of model validation cannot be readily applied in the case of a stochastically updated FE model. In recognizing that structural reliability is a major decision factor throughout the lifecycle of a structure, this study investigates the use of structural reliability as a measure for assessing the quality of stochastically updated FE models. A recently developed perturbation method for stochastic FE model updating is first applied to attain the stochastically updated models by using the measured modal parameters with uncertainty. The reliability index and failure probability for predefined limit states are computed for the initial and the stochastically updated models, respectively, and are compared with those obtained from the 'true' model to assess the quality of the two models. Numerical simulation of a truss bridge is provided as an example. The simulated modal parameters involving different uncertainty magnitudes are used to update an initial model of the bridge. It is shown that the reliability index obtained from the updated model is much closer to true reliability index than that obtained from the initial model in the case of small uncertainty magnitude; in the case of large uncertainty magnitude, the reliability index computed from the initial model rather than from the updated model is closer to the true value. The present study confirms the usefulness of measurement-calibrated FE models and at the same time also highlights the importance of the uncertainty reduction in test data for reliable model updating and reliability evaluation.
A Stochastic Energy Budget Model Using Physically Based Red Noise
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.
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
On impulsive integrated pest management models with stochastic effects.
Akman, Olcay; Comar, Timothy D; Hrozencik, Daniel
2015-01-01
We extend existing impulsive differential equation models for integrated pest management (IPM) by including stage structure for both predator and prey as well as by adding stochastic elements in the birth rate of the prey. Based on our model, we propose an approach that incorporates various competing stochastic components. This approach enables us to select a model with optimally determined weights for maximum accuracy and precision in parameter estimation. This is significant in the case of IPM because the proposed model accommodates varying unknown environmental and climatic conditions, which affect the resources needed for pest eradication.
The multivariate supOU stochastic volatility model
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole; Stelzer, Robert
structure of the volatility, the log returns, as well as their "squares" are discussed in detail. Moreover, we give several examples in which long memory effects occur and study how the model as well as the simple Ornstein-Uhlenbeck type stochastic volatility model behave under linear transformations......Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence effects. The finiteness of moments and the second order...
Methods and models in mathematical biology deterministic and stochastic approaches
Müller, Johannes
2015-01-01
This book developed from classes in mathematical biology taught by the authors over several years at the Technische Universität München. The main themes are modeling principles, mathematical principles for the analysis of these models, and model-based analysis of data. The key topics of modern biomathematics are covered: ecology, epidemiology, biochemistry, regulatory networks, neuronal networks, and population genetics. A variety of mathematical methods are introduced, ranging from ordinary and partial differential equations to stochastic graph theory and branching processes. A special emphasis is placed on the interplay between stochastic and deterministic models.
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.
Stochastic evolutions of dynamic traffic flow modeling and applications
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.
Characterizing economic trends by Bayesian stochastic model specification search
DEFF Research Database (Denmark)
Grassi, Stefano; Proietti, Tommaso
We extend a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. In particular, we focus on autoregressive models with possibly time-varying intercept and slope and decide...... on whether their parameters are fixed or evolutive. Stochastic model specification is carried out to discriminate two alternative hypotheses concerning the generation of trends: the trend-stationary hypothesis, on the one hand, for which the trend is a deterministic function of time and the short run......, estimated by a suitable Gibbs sampling scheme, provides useful insight on quasi-integrated nature of the specifications selected....
A Hierarchical Latent Stochastic Differential Equation Model for Affective Dynamics
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…
Stochastic Approximation Methods for Latent Regression Item Response Models
von Davier, Matthias; Sinharay, Sandip
2010-01-01
This article presents an application of a stochastic approximation expectation maximization (EM) algorithm using a Metropolis-Hastings (MH) sampler to estimate the parameters of an item response latent regression model. Latent regression item response models are extensions of item response theory (IRT) to a latent variable model with covariates…
Stochastic magnetic measurement model for relative position and orientation estimation
Schepers, H.M.; Veltink, P.H.
2010-01-01
This study presents a stochastic magnetic measurement model that can be used to estimate relative position and orientation. The model predicts the magnetic field generated by a single source coil at the location of the sensor. The model was used in a fusion filter that predicts the change of positio
Stochastic magnetic measurement model for relative position and orientation estimation
Schepers, H. Martin; Veltink, Petrus H.
2010-01-01
This study presents a stochastic magnetic measurement model that can be used to estimate relative position and orientation. The model predicts the magnetic field generated by a single source coil at the location of the sensor. The model was used in a fusion filter that predicts the change of positio
Combinatorial Model Involving Stochastic Choices of Destination, Mode and Route
Institute of Scientific and Technical Information of China (English)
无
2001-01-01
Traffic assignment models are one of the basic tools for the analysis and design of transportation systems. However, the existing models have some defects. Considering the characteristics of Chinese urban mixed traffic and the randomness of transportation information, the author develops a combinatorial model involving stochastic choices of destination, mode and route. Its uniqueness and equivalance are also proved by the optimization theory.
A market model for stochastic smile: a conditional density approach
Zilber, A.
2005-01-01
The purpose of this paper is to introduce a new approach that allows to construct no-arbitrage market models of for implied volatility surfaces (in other words, stochastic smile models). That is to say, the idea presented here allows us to model prices of liquidly traded vanilla options as separate
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...
An intensity-based stochastic model for terrestrial laser scanners
Wujanz, D.; Burger, M.; Mettenleiter, M.; Neitzel, F.
2017-03-01
Up until now no appropriate models have been proposed that are capable to describe the stochastic characteristics of reflectorless rangefinders - the key component of terrestrial laser scanners. This state has to be rated as unsatisfactory especially from the perception of Geodesy where comprehensive knowledge about the precision of measurements is of vital importance, for instance to weigh individual observations or to reveal outliers. In order to tackle this problem, a novel intensity-based stochastic model for the reflectorless rangefinder of a Zoller + Fröhlich Imager 5006 h is experimentally derived. This model accommodates the influence of the interaction between the emitted signal and object surface as well as the acquisition configuration on distance measurements. Based on two different experiments the stochastic model has been successfully verified for three chosen sampling rates.
Introduction to modeling and analysis of stochastic systems
Kulkarni, V G
2011-01-01
This is an introductory-level text on stochastic modeling. It is suited for undergraduate students in engineering, operations research, statistics, mathematics, actuarial science, business management, computer science, and public policy. It employs a large number of examples to teach the students to use stochastic models of real-life systems to predict their performance, and use this analysis to design better systems. The book is devoted to the study of important classes of stochastic processes: discrete and continuous time Markov processes, Poisson processes, renewal and regenerative processes, semi-Markov processes, queueing models, and diffusion processes. The book systematically studies the short-term and the long-term behavior, cost/reward models, and first passage times. All the material is illustrated with many examples, and case studies. The book provides a concise review of probability in the appendix. The book emphasizes numerical answers to the problems. A collection of MATLAB programs to accompany...
Row, Jeffrey R.; Knick, Steven T.; Oyler-McCance, Sara J.; Lougheed, Stephen C.; Fedy, Bradley C.
2017-01-01
Dispersal can impact population dynamics and geographic variation, and thus, genetic approaches that can establish which landscape factors influence population connectivity have ecological and evolutionary importance. Mixed models that account for the error structure of pairwise datasets are increasingly used to compare models relating genetic differentiation to pairwise measures of landscape resistance. A model selection framework based on information criteria metrics or explained variance may help disentangle the ecological and landscape factors influencing genetic structure, yet there are currently no consensus for the best protocols. Here, we develop landscape-directed simulations and test a series of replicates that emulate independent empirical datasets of two species with different life history characteristics (greater sage-grouse; eastern foxsnake). We determined that in our simulated scenarios, AIC and BIC were the best model selection indices and that marginal R2 values were biased toward more complex models. The model coefficients for landscape variables generally reflected the underlying dispersal model with confidence intervals that did not overlap with zero across the entire model set. When we controlled for geographic distance, variables not in the underlying dispersal models (i.e., nontrue) typically overlapped zero. Our study helps establish methods for using linear mixed models to identify the features underlying patterns of dispersal across a variety of landscapes.
Row, Jeffrey R; Knick, Steven T; Oyler-McCance, Sara J; Lougheed, Stephen C; Fedy, Bradley C
2017-06-01
Dispersal can impact population dynamics and geographic variation, and thus, genetic approaches that can establish which landscape factors influence population connectivity have ecological and evolutionary importance. Mixed models that account for the error structure of pairwise datasets are increasingly used to compare models relating genetic differentiation to pairwise measures of landscape resistance. A model selection framework based on information criteria metrics or explained variance may help disentangle the ecological and landscape factors influencing genetic structure, yet there are currently no consensus for the best protocols. Here, we develop landscape-directed simulations and test a series of replicates that emulate independent empirical datasets of two species with different life history characteristics (greater sage-grouse; eastern foxsnake). We determined that in our simulated scenarios, AIC and BIC were the best model selection indices and that marginal R(2) values were biased toward more complex models. The model coefficients for landscape variables generally reflected the underlying dispersal model with confidence intervals that did not overlap with zero across the entire model set. When we controlled for geographic distance, variables not in the underlying dispersal models (i.e., nontrue) typically overlapped zero. Our study helps establish methods for using linear mixed models to identify the features underlying patterns of dispersal across a variety of landscapes.
Qualitative and Quantitative Integrated Modeling for Stochastic Simulation and Optimization
Directory of Open Access Journals (Sweden)
Xuefeng Yan
2013-01-01
Full Text Available The simulation and optimization of an actual physics system are usually constructed based on the stochastic models, which have both qualitative and quantitative characteristics inherently. Most modeling specifications and frameworks find it difficult to describe the qualitative model directly. In order to deal with the expert knowledge, uncertain reasoning, and other qualitative information, a qualitative and quantitative combined modeling specification was proposed based on a hierarchical model structure framework. The new modeling approach is based on a hierarchical model structure which includes the meta-meta model, the meta-model and the high-level model. A description logic system is defined for formal definition and verification of the new modeling specification. A stochastic defense simulation was developed to illustrate how to model the system and optimize the result. The result shows that the proposed method can describe the complex system more comprehensively, and the survival probability of the target is higher by introducing qualitative models into quantitative simulation.
Distributed parallel computing in stochastic modeling of groundwater systems.
Dong, Yanhui; Li, Guomin; Xu, Haizhen
2013-03-01
Stochastic modeling is a rapidly evolving, popular approach to the study of the uncertainty and heterogeneity of groundwater systems. However, the use of Monte Carlo-type simulations to solve practical groundwater problems often encounters computational bottlenecks that hinder the acquisition of meaningful results. To improve the computational efficiency, a system that combines stochastic model generation with MODFLOW-related programs and distributed parallel processing is investigated. The distributed computing framework, called the Java Parallel Processing Framework, is integrated into the system to allow the batch processing of stochastic models in distributed and parallel systems. As an example, the system is applied to the stochastic delineation of well capture zones in the Pinggu Basin in Beijing. Through the use of 50 processing threads on a cluster with 10 multicore nodes, the execution times of 500 realizations are reduced to 3% compared with those of a serial execution. Through this application, the system demonstrates its potential in solving difficult computational problems in practical stochastic modeling. © 2012, The Author(s). Groundwater © 2012, National Ground Water Association.
RNA Structural Homology Search with a Succinct Stochastic Grammar Model
Institute of Scientific and Technical Information of China (English)
Ying-Lei Song; Ji-Zhen Zhao; Chun-Mei Liu; Kan Liu; Russell Malmberg; Li-Ming Cai
2005-01-01
An increasing number of structural homology search tools, mostly based on profile stochastic context-free grammars (SCFGs) have been recently developed for the non-coding RNA gene identification. SCFGs can include statistical biases that often occur in RNA sequences, necessary to profile specific RNA structures for structural homology search. In this paper, a succinct stochastic grammar model is introduced for RNA that has competitive search effectiveness. More importantly, the profiling model can be easily extended to include pseudoknots, structures that are beyond the capability of profile SCFGs. In addition, the model allows heuristics to be exploited, resulting in a significant speed-up for the CYK algorithm-based search.
Predictive models for population performance on real biological fitness landscapes.
Rowe, William; Wedge, David C; Platt, Mark; Kell, Douglas B; Knowles, Joshua
2010-09-01
Directed evolution, in addition to its principal application of obtaining novel biomolecules, offers significant potential as a vehicle for obtaining useful information about the topologies of biomolecular fitness landscapes. In this article, we make use of a special type of model of fitness landscapes-based on finite state machines-which can be inferred from directed evolution experiments. Importantly, the model is constructed only from the fitness data and phylogeny, not sequence or structural information, which is often absent. The model, called a landscape state machine (LSM), has already been used successfully in the evolutionary computation literature to model the landscapes of artificial optimization problems. Here, we use the method for the first time to simulate a biological fitness landscape based on experimental evaluation. We demonstrate in this study that LSMs are capable not only of representing the structure of model fitness landscapes such as NK-landscapes, but also the fitness landscape of real DNA oligomers binding to a protein (allophycocyanin), data we derived from experimental evaluations on microarrays. The LSMs prove adept at modelling the progress of evolution as a function of various controlling parameters, as validated by evaluations on the real landscapes. Specifically, the ability of the model to 'predict' optimal mutation rates and other parameters of the evolution is demonstrated. A modification to the standard LSM also proves accurate at predicting the effects of recombination on the evolution.
Model identification in computational stochastic dynamics using experimental modal data
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.
Estimation of Stochastic Volatility Models by Nonparametric Filtering
DEFF Research Database (Denmark)
Kanaya, Shin; Kristensen, Dennis
2016-01-01
/estimated volatility process replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps and market microstructure noise. The resulting estimators of the stochastic volatility model will carry additional biases......A two-step estimation method of stochastic volatility models is proposed: In the first step, we nonparametrically estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed diffusion processes are employed, but with the filtered...... and variances due to the first-step estimation, but under regularity conditions we show that these vanish asymptotically and our estimators inherit the asymptotic properties of the infeasible estimators based on observations of the volatility process. A simulation study examines the finite-sample properties...
Semantics and ambiguity of stochastic RNA family models.
Giegerich, Robert; Höner zu Siederdissen, Christian
2011-01-01
Stochastic models, such as hidden Markov models or stochastic context-free grammars (SCFGs) can fail to return the correct, maximum likelihood solution in the case of semantic ambiguity. This problem arises when the algorithm implementing the model inspects the same solution in different guises. It is a difficult problem in the sense that proving semantic nonambiguity has been shown to be algorithmically undecidable, while compensating for it (by coalescing scores of equivalent solutions) has been shown to be NP-hard. For stochastic context-free grammars modeling RNA secondary structure, it has been shown that the distortion of results can be quite severe. Much less is known about the case when stochastic context-free grammars model the matching of a query sequence to an implicit consensus structure for an RNA family. We find that three different, meaningful semantics can be associated with the matching of a query against the model--a structural, an alignment, and a trace semantics. Rfam models correctly implement the alignment semantics, and are ambiguous with respect to the other two semantics, which are more abstract. We show how provably correct models can be generated for the trace semantics. For approaches, where such a proof is not possible, we present an automated pipeline to check post factum for ambiguity of the generated models. We propose that both the structure and the trace semantics are worth-while concepts for further study, possibly better suited to capture remotely related family members.
Stochastic reduced order models for inverse problems under uncertainty.
Warner, James E; Aquino, Wilkins; Grigoriu, Mircea D
2015-03-01
This work presents a novel methodology for solving inverse problems under uncertainty using stochastic reduced order models (SROMs). Given statistical information about an observed state variable in a system, unknown parameters are estimated probabilistically through the solution of a model-constrained, stochastic optimization problem. The point of departure and crux of the proposed framework is the representation of a random quantity using a SROM - a low dimensional, discrete approximation to a continuous random element that permits e cient and non-intrusive stochastic computations. Characterizing the uncertainties with SROMs transforms the stochastic optimization problem into a deterministic one. The non-intrusive nature of SROMs facilitates e cient gradient computations for random vector unknowns and relies entirely on calls to existing deterministic solvers. Furthermore, the method is naturally extended to handle multiple sources of uncertainty in cases where state variable data, system parameters, and boundary conditions are all considered random. The new and widely-applicable SROM framework is formulated for a general stochastic optimization problem in terms of an abstract objective function and constraining model. For demonstration purposes, however, we study its performance in the specific case of inverse identification of random material parameters in elastodynamics. We demonstrate the ability to efficiently recover random shear moduli given material displacement statistics as input data. We also show that the approach remains effective for the case where the loading in the problem is random as well.
Coexistence and exclusion of stochastic competitive Lotka-Volterra models
Nguyen, Dang H.; Yin, George
2017-02-01
This work derives sufficient conditions for the coexistence and exclusion of a stochastic competitive Lotka-Volterra model. The conditions obtained are close to necessary. In addition, convergence in distribution of positive solutions of the model is also established. A number of numerical examples are given to illustrate our results.
Powering stochastic reliability models by discrete event simulation
DEFF Research Database (Denmark)
Kozine, Igor; Wang, Xiaoyun
2012-01-01
it difficult to find a solution to the problem. The power of modern computers and recent developments in discrete-event simulation (DES) software enable to diminish some of the drawbacks of stochastic models. In this paper we describe the insights we have gained based on using both Markov and DES models...
A toolkit for analyzing nonlinear dynamic stochastic models easily
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
A toolkit for analyzing nonlinear dynamic stochastic models easily
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
AUTOMATIC CALIBRATION OF A STOCHASTIC-LAGRANGIAN TRANSPORT MODEL (SLAM)
Numerical models are a useful tool in evaluating and designing NAPL remediation systems. Traditional constitutive finite difference and finite element models are complex and expensive to apply. For this reason, this paper presents the application of a simplified stochastic-Lagran...
Fitting a Stochastic Model for Golden-Ten
de Vos, J.C.; van der Genugten, B.B.
1996-01-01
Golden-Ten is an observation game in which players try to predict the outcome of the motion of a ball rolling down the surface of a drum.This paper describes the motion of the ball as a stochastic model, based on a deterministic, mechanical model.To this end, the motion is split into several stages,
Stochastic Robust Mathematical Programming Model for Power System Optimization
Energy Technology Data Exchange (ETDEWEB)
Liu, Cong; Changhyeok, Lee; Haoyong, Chen; Mehrotra, Sanjay
2016-01-01
This paper presents a stochastic robust framework for two-stage power system optimization problems with uncertainty. The model optimizes the probabilistic expectation of different worst-case scenarios with ifferent uncertainty sets. A case study of unit commitment shows the effectiveness of the proposed model and algorithms.
Stochastic Online Learning in Dynamic Networks under Unknown Models
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
Stochastic Modelling of the Diffusion Coefficient for Concrete
DEFF Research Database (Denmark)
Thoft-Christensen, Palle
In the paper, a new stochastic modelling of the diffusion coefficient D is presented. The modelling is based on physical understanding of the diffusion process and on some recent experimental results. The diffusion coefficients D is strongly dependent on the w/c ratio and the temperature....
Stochastic Analysis Method of Sea Environment Simulated by Numerical Models
Institute of Scientific and Technical Information of China (English)
刘德辅; 焦桂英; 张明霞; 温书勤
2003-01-01
This paper proposes the stochastic analysis method of sea environment simulated by numerical models, such as wave height, current field, design sea levels and longshore sediment transport. Uncertainty and sensitivity analysis of input and output factors of numerical models, their long-term distribution and confidence intervals are described in this paper.
Actuarial models of life insurance with stochastic interest rate
Wei, Xiang; Hu, Ping
2009-07-01
On the basis of general actuarial model of life insurance, this article has carried on research to continuous life insurance actuarial models under the stochastic interest rate separately. And it provide net single premium for life insurance and life annuity due over a period based on that de Moivre law of mortality and Makeham's law of mortality separately.
A non-autonomous stochastic predator-prey model.
Buonocore, Aniello; Caputo, Luigia; Pirozzi, Enrica; Nobile, Amelia G
2014-04-01
The aim of this paper is to consider a non-autonomous predator-prey-like system, with a Gompertz growth law for the prey. By introducing random variations in both prey birth and predator death rates, a stochastic model for the predator-prey-like system in a random environment is proposed and investigated. The corresponding Fokker-Planck equation is solved to obtain the joint probability density for the prey and predator populations and the marginal probability densities. The asymptotic behavior of the predator-prey stochastic model is also analyzed.
GEMFsim: A Stochastic Simulator for the Generalized Epidemic Modeling Framework
Sahneh, Faryad Darabi; Shakeri, Heman; Fan, Futing; Scoglio, Caterina
2016-01-01
The recently proposed generalized epidemic modeling framework (GEMF) \\cite{sahneh2013generalized} lays the groundwork for systematically constructing a broad spectrum of stochastic spreading processes over complex networks. This article builds an algorithm for exact, continuous-time numerical simulation of GEMF-based processes. Moreover the implementation of this algorithm, GEMFsim, is available in popular scientific programming platforms such as MATLAB, R, Python, and C; GEMFsim facilitates simulating stochastic spreading models that fit in GEMF framework. Using these simulations one can examine the accuracy of mean-field-type approximations that are commonly used for analytical study of spreading processes on complex networks.
Deterministic versus stochastic aspects of superexponential population growth models
Grosjean, Nicolas; Huillet, Thierry
2016-08-01
Deterministic population growth models with power-law rates can exhibit a large variety of growth behaviors, ranging from algebraic, exponential to hyperexponential (finite time explosion). In this setup, selfsimilarity considerations play a key role, together with two time substitutions. Two stochastic versions of such models are investigated, showing a much richer variety of behaviors. One is the Lamperti construction of selfsimilar positive stochastic processes based on the exponentiation of spectrally positive processes, followed by an appropriate time change. The other one is based on stable continuous-state branching processes, given by another Lamperti time substitution applied to stable spectrally positive processes.
Dispersion modeling of thermal power plant emissions on stochastic space
Gorle, J. M. R.; Sambana, N. R.
2016-05-01
This study aims to couple a deterministic atmospheric dispersion solver based on Gaussian model with a nonintrusive stochastic model to quantify the propagation of multiple uncertainties. The nonintrusive model is based on probabilistic collocation framework. The advantage of nonintrusive nature is to retain the existing deterministic plume dispersion model without missing the accuracy in extracting the statistics of stochastic solution. The developed model is applied to analyze the SO2 emission released from coal firing unit in the second stage of the National Thermal Power Corporation (NTPC) in Dadri, India using "urban" conditions. The entire application is split into two cases, depending on the source of uncertainty. In case 1, the uncertainties in stack gas exit conditions are used to construct the stochastic space while in case 2, meteorological conditions are considered as the sources of uncertainty. Both cases develop 2D uncertain random space in which the uncertainty propagation is quantified in terms of plume rise and pollutant concentration distribution under slightly unstable atmospheric stability conditions. Starting with deterministic Gaussian plume model demonstration and its application, development of stochastic collocation model, convergence study, error analysis, and uncertainty quantification are presented in this paper.
Fuzzy stochastic neural network model for structural system identification
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.
A stochastic physical system approach to modeling river water quality
Curi, W. F.; Unny, T. E.; Kay, J. J.
1995-06-01
In this paper, concepts of network thermodynamics are applied to a river water quality model, which is based on Streeter-Phelps equations, to identify the corresponding physical components and their topology. Then, the randomness in the parameters, input coefficients and initial conditions are modeled by Gaussian white noises. From the stochastic components of the physical system description of problem and concepts of physical system theory, a set of stochastic differential equations can be automatically generated in a computer and the recent developments on the automatic formulation of the moment equations based on Ito calculus can be used. This procedure is illustrated through the solution of an example of stochastic river water quality problem and it is also shown how other related problems with different configurations can be automatically solved in a computer using just one software.
Stochastic heart-rate model can reveal pathologic cardiac dynamics
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.
Badlands: A parallel basin and landscape dynamics model
Directory of Open Access Journals (Sweden)
T. Salles
2016-01-01
Full Text Available Over more than three decades, a number of numerical landscape evolution models (LEMs have been developed to study the combined effects of climate, sea-level, tectonics and sediments on Earth surface dynamics. Most of them are written in efficient programming languages, but often cannot be used on parallel architectures. Here, I present a LEM which ports a common core of accepted physical principles governing landscape evolution into a distributed memory parallel environment. Badlands (acronym for BAsin anD LANdscape DynamicS is an open-source, flexible, TIN-based landscape evolution model, built to simulate topography development at various space and time scales.
Evaluating choices in multi-process landscape evolution models
Temme, A.J.A.M.; Claessens, L.; Veldkamp, A.; Schoorl, J.M.
2011-01-01
The interest in landscape evolution models (LEMs) that simulate multiple landscape processes is growing. However, modelling multiple processes constitutes a new starting point for which some aspects of the set up of LEMs must be re-evaluated. The objective of this paper is to demonstrate the practic
Stochastic Flocculation Model for Cohesive Sediment Suspended in Water
Directory of Open Access Journals (Sweden)
Hyun Jung Shin
2015-05-01
Full Text Available Existing flocculation models for cohesive sediments are classified into two groups: population balance equation models (PBE and floc growth models. An FGM ensures mass conservation in a closed system. However, an FGM determines only the average size of flocs, whereas a PBE has the capability to calculate a size distribution of flocs. A new stochastic approach to model the flocculation process is theoretically developed and incorporated into a deterministic FGM in this study in order to calculate a size distribution of flocs as well as the average size. A log-normal distribution is used to generate random numbers based on previous laboratory experiments. The new stochastic flocculation model is tested with three laboratory experiment results. It was found and validated with measured data that the new stochastic flocculation model has the capability to replicate a size distribution of flocs reasonably well under different sediment and carrier flow conditions. Three more distributions (normal; Pearson type 3; and generalized extreme value distributions were also tested. From the comparison with results of different distribution functions, it is shown that a stochastic FGM using a log-normal distribution has a comparative advantage in terms of simplicity and accuracy.
Spatial transferability of landscape-based hydrological models
Gao, Hongkai; Hrachowitz, Markus; Fenicia, Fabrizio; Gharari, Shervan; Sriwongsitanon, Nutchanart; Savenije, Hubert
2015-04-01
Landscapes, mainly distinguished by land surface topography and vegetation cover, are crucial in defining runoff generation mechanisms, interception capacity and transpiration processes. Landscapes information provides modelers with a way to take into account catchment heterogeneity, while simultaneously keeping model complexity low. A landscape-based hydrological modelling framework (FLEX-Topo), with parallel model structures, was developed and tested in various catchments with diverse climate, topography and land cover conditions. Landscape classification is the basic and most crucial procedure to create a tailor-made model for a certain catchment, as it explicitly relates hydrologic similarity to landscape similarity, which is the base of this type of models. Therefore, the study catchment is classified into different landscapes units that fulfil similar hydrological function, based on classification criteria such as the height above the nearest drainage, slope, aspect and land cover. At present, to suggested model includes four distinguishable landscapes: hillslopes, terraces/plateaus, riparian areas, and glacierized areas. Different parallel model structures are then associated with the different landscape units to describe their different dominant runoff generation mechanisms. These hydrological units are parallel and only connected by groundwater reservoir. The transferability of this landscape-based model can then be compared with the transferability of a lumped model. In this study, FLEX-Topo was developed and tested in three study sites: two cold-arid catchments in China (the upper Heihe River and the Urumqi Glacier No1 catchment), and one tropical catchment in Thailand (the upper Ping River). Stringent model tests indicate that FLEX-Topo, allowing for more process heterogeneity than lumped model formulations, exhibits higher capabilities to be spatially transferred. Furthermore, the simulated water balances, including internal fluxes, hydrograph
Stochastic Modeling of Radioactive Material Releases
Energy Technology Data Exchange (ETDEWEB)
Andrus, Jason [Idaho National Lab. (INL), Idaho Falls, ID (United States); Pope, Chad [Idaho National Lab. (INL), Idaho Falls, ID (United States)
2015-09-01
Nonreactor nuclear facilities operated under the approval authority of the U.S. Department of Energy use unmitigated hazard evaluations to determine if potential radiological doses associated with design basis events challenge or exceed dose evaluation guidelines. Unmitigated design basis events that sufficiently challenge dose evaluation guidelines or exceed the guidelines for members of the public or workers, merit selection of safety structures, systems, or components or other controls to prevent or mitigate the hazard. Idaho State University, in collaboration with Idaho National Laboratory, has developed a portable and simple to use software application called SODA (Stochastic Objective Decision-Aide) that stochastically calculates the radiation dose associated with hypothetical radiological material release scenarios. Rather than producing a point estimate of the dose, SODA produces a dose distribution result to allow a deeper understanding of the dose potential. SODA allows users to select the distribution type and parameter values for all of the input variables used to perform the dose calculation. SODA then randomly samples each distribution input variable and calculates the overall resulting dose distribution. In cases where an input variable distribution is unknown, a traditional single point value can be used. SODA was developed using the MATLAB coding framework. The software application has a graphical user input. SODA can be installed on both Windows and Mac computers and does not require MATLAB to function. SODA provides improved risk understanding leading to better informed decision making associated with establishing nuclear facility material-at-risk limits and safety structure, system, or component selection. It is important to note that SODA does not replace or compete with codes such as MACCS or RSAC, rather it is viewed as an easy to use supplemental tool to help improve risk understanding and support better informed decisions. The work was
Tracking stochastic resonance curves using an assisted reference model
Energy Technology Data Exchange (ETDEWEB)
Calderón Ramírez, Mario; Rico Martínez, Ramiro [Departamento de Ingeniería Química, Instituto Tecnológico de Celaya, Av. Tecnológico y A. García Cubas S/N, Celaya, Guanajuato, 38010 (Mexico); Ramírez Álvarez, Elizeth [Nonequilibrium Chemical Physics, Physik-Department, TU-München, James-Franck-Str. 1, 85748 Garching bei München (Germany); Parmananda, P. [Department of Physics, Indian Institute of Technology Bombay, Powai, Mumbai 400 076 (India)
2015-06-15
The optimal noise amplitude for Stochastic Resonance (SR) is located employing an Artificial Neural Network (ANN) reference model with a nonlinear predictive capability. A modified Kalman Filter (KF) was coupled to this reference model in order to compensate for semi-quantitative forecast errors. Three manifestations of stochastic resonance, namely, Periodic Stochastic Resonance (PSR), Aperiodic Stochastic Resonance (ASR), and finally Coherence Resonance (CR) were considered. Using noise amplitude as the control parameter, for the case of PSR and ASR, the cross-correlation curve between the sub-threshold input signal and the system response is tracked. However, using the same parameter the Normalized Variance curve is tracked for the case of CR. The goal of the present work is to track these curves and converge to their respective extremal points. The ANN reference model strategy captures and subsequently predicts the nonlinear features of the model system while the KF compensates for the perturbations inherent to the superimposed noise. This technique, implemented in the FitzHugh-Nagumo model, enabled us to track the resonance curves and eventually locate their optimal (extremal) values. This would yield the optimal value of noise for the three manifestations of the SR phenomena.
Stochastic contribution to the growth factor in the LCDM model
Energy Technology Data Exchange (ETDEWEB)
Ribeiro, A. L.B.; Andrade, A. P.A.; Letelier, P. S.
2009-01-01
We study the effect of noise on the evolution of the growth factor of density perturbations in the context of the LCDM model. Stochasticity is introduced as a Wiener process amplified by an intensity parameter alpha. By comparing the evolution of deterministic and stochastic cases for different values of alpha we estimate the intensity level necessary to make noise relevant for cosmological tests based on large-scale structure data. Our results indicate that the presence of random forces underlying the fluid description can lead to significant deviations from the nonstochastic solution at late times for alpha>0.001.
Dynamical Monte Carlo method for stochastic epidemic models
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.
Stochastic geometry, spatial statistics and random fields models and algorithms
2015-01-01
Providing a graduate level introduction to various aspects of stochastic geometry, spatial statistics and random fields, this volume places a special emphasis on fundamental classes of models and algorithms as well as on their applications, for example in materials science, biology and genetics. This book has a strong focus on simulations and includes extensive codes in Matlab and R, which are widely used in the mathematical community. It can be regarded as a continuation of the recent volume 2068 of Lecture Notes in Mathematics, where other issues of stochastic geometry, spatial statistics and random fields were considered, with a focus on asymptotic methods.
Stochastic Model of Maturation and Vesicular Exchange in Cellular Organelles
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.
3D-models in landscape architecture
Nijhuis, S.; Stellingwerff, M.C.
2011-01-01
Landscape architecture consists of a basic attitude that involves four principles of study and practice. These are: anamnesis (palimpsest), process, three-dimensional space and scale-continuum (relational context). The core of landscape architecture as a design discipline is the construction and art
Stochastic modeling and performance monitoring of wind farm power production
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 ...
Stochastic resonance in the Weidlich model of public opinion formation
Babinec, Peter
1997-02-01
As a prototypical nonlinear sociological system we study the Weidlich model of public opinion formation. At an optimal value of the collective climate parameter (which plays the role of noise for this system) we have found a maximal value of signal-to-noise ratio and a largest amplification of a periodic external preference factor which are the characteristics of stochastic resonance.
Stochastic models in risk theory and management accounting
Brekelmans, R.C.M.
2000-01-01
This thesis deals with stochastic models in two fields: risk theory and management accounting. Firstly, two extensions of the classical risk process are analyzed. A method is developed that computes bounds of the probability of ruin for the classical risk rocess extended with a constant interest
Optimal Tax Reduction by Depreciation : A Stochastic Model
Berg, M.; De Waegenaere, A.M.B.; Wielhouwer, J.L.
1996-01-01
This paper focuses on the choice of a depreciation method, when trying to minimize the expected value of the present value of future tax payments.In a quite general model that allows for stochastic future cash- ows and a tax structure with tax brackets, we determine the optimal choice between the st
A cavitation model based on Eulerian stochastic fields
Magagnato, F.; Dumond, J.
2013-12-01
Non-linear phenomena can often be described using probability density functions (pdf) and pdf transport models. Traditionally the simulation of pdf transport requires Monte-Carlo codes based on Lagrangian "particles" or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic-field method solving pdf transport based on Eulerian fields has been proposed which eliminates the necessity to mix Eulerian and Lagrangian techniques or prescribed pdf assumptions. In the present work, for the first time the stochastic-field method is applied to multi-phase flow and in particular to cavitating flow. To validate the proposed stochastic-field cavitation model, two applications are considered. Firstly, sheet cavitation is simulated in a Venturi-type nozzle. The second application is an innovative fluidic diode which exhibits coolant flashing. Agreement with experimental results is obtained for both applications with a fixed set of model constants. The stochastic-field cavitation model captures the wide range of pdf shapes present at different locations.
Optimal Tax Reduction by Depreciation : A Stochastic Model
Berg, M.; De Waegenaere, A.M.B.; Wielhouwer, J.L.
1996-01-01
This paper focuses on the choice of a depreciation method, when trying to minimize the expected value of the present value of future tax payments.In a quite general model that allows for stochastic future cash- ows and a tax structure with tax brackets, we determine the optimal choice between the
Stochastic models in risk theory and management accounting
Brekelmans, R.C.M.
2000-01-01
This thesis deals with stochastic models in two fields: risk theory and management accounting. Firstly, two extensions of the classical risk process are analyzed. A method is developed that computes bounds of the probability of ruin for the classical risk rocess extended with a constant interest for
Stochastic Modelling and Optimization of Complex Infrastructure Systems
DEFF Research Database (Denmark)
Thoft-Christensen, Palle
In this paper it is shown that recent progress in stochastic modelling and optimization in combination with advanced computer systems has now made it possible to improve the design and the maintenance strategies for infrastructure systems. The paper concentrates on highway networks and single lar...
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
S. Peiris (Shelton); M. Asai (Manabu); M.J. McAleer (Michael)
2016-01-01
textabstractIn recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility
Resilience and Critical Stock Size in a Stochastic Recruitment Model
Grasman, J.; Huiskes, M.J.
2001-01-01
A stochastic model for fish recruitment is fitted to data after performing an age-structured stock assessment. The main aim is to investigate the relation between safe levels of spawning stock size and fish stock resilience. Resilience indicators, such as stock recovery time and the frequency that a
A stochastic inventory model with stock dependent demand items
Directory of Open Access Journals (Sweden)
Lakdere Benkherouf
2001-01-01
Full Text Available In this paper, we propose a new continuous time stochastic inventory model for stock dependent demand items. We then formulate the problem of finding the optimal replenishment schedule that minimizes the total expected discounted costs over an infinite horizon as a Quasi-Variational Inequality (QVI problem. The QVI is shown to have a unique solution under some conditions.
Stochastic models in risk theory and management accounting
Brekelmans, R.C.M.
2000-01-01
This thesis deals with stochastic models in two fields: risk theory and management accounting. Firstly, two extensions of the classical risk process are analyzed. A method is developed that computes bounds of the probability of ruin for the classical risk rocess extended with a constant interest for
Stochastic Modeling and Performance Analysis of Multimedia SoCs
DEFF Research Database (Denmark)
Raman, Balaji; Nouri, Ayoub; Gangadharan, Deepak
2013-01-01
decoder. The results shows that, for our stochastic design metric, the analytical framework upper bounds (and relatively accurate) compare to the statistical model checking technique. Also, we observed significant reduction in resource usage (such as output buffer size) with tolerable loss in output...
Stationary distribution of a stochastic SIS epidemic model with vaccination
Lin, Yuguo; Jiang, Daqing; Wang, Shuai
2014-01-01
In this paper, we consider a stochastic SIS epidemic model with vaccination. We prove that the densities of the distributions of the solution can converge in L1 to an invariant density under appropriate conditions. Also we find the support of the invariant density.
Numerical Tools for the Bayesian Analysis of Stochastic Frontier Models
Osiewalski, J.; Steel, M.F.J.
1996-01-01
In this paper we describe the use of modern numerical integration methods for making posterior inferences in composed error stochastic frontier models for panel data or individual cross-sections.Two Monte Carlo methods have been used in practical applications.We survey these two methods in some
Stochastic volatility and stochastic leverage
DEFF Research Database (Denmark)
Veraart, Almut; Veraart, Luitgard A. M.
This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...... treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility...... models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new...
A stochastic evolutionary model generating a mixture of exponential distributions
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.
Stochastic population oscillations in spatial predator-prey models
Energy Technology Data Exchange (ETDEWEB)
Taeuber, Uwe C, E-mail: tauber@vt.edu [Department of Physics, Virginia Tech, Blacksburg, VA 24061-0435 (United States)
2011-09-15
It is well-established that including spatial structure and stochastic noise in models for predator-prey interactions invalidates the classical deterministic Lotka-Volterra picture of neutral population cycles. In contrast, stochastic models yield long-lived, but ultimately decaying erratic population oscillations, which can be understood through a resonant amplification mechanism for density fluctuations. In Monte Carlo simulations of spatial stochastic predator-prey systems, one observes striking complex spatio-temporal structures. These spreading activity fronts induce persistent correlations between predators and prey. In the presence of local particle density restrictions (finite prey carrying capacity), there exists an extinction threshold for the predator population. The accompanying continuous non-equilibrium phase transition is governed by the directed-percolation universality class. We employ field-theoretic methods based on the Doi-Peliti representation of the master equation for stochastic particle interaction models to (i) map the ensuing action in the vicinity of the absorbing state phase transition to Reggeon field theory, and (ii) to quantitatively address fluctuation-induced renormalizations of the population oscillation frequency, damping, and diffusion coefficients in the species coexistence phase.
A stochastic model of a cell population with quiescence.
Olofsson, Peter
2008-10-01
A cell population in which cells are allowed to enter a quiescent (nonproliferating) phase is analyzed using a stochastic approach. A general branching process is used to model the population which, under very mild conditions, exhibits balanced exponential growth. A formula is given for the asymptotic fraction of quiescent cells, and a numerical example illustrates how convergence toward the asymptotic fraction exhibits a typical oscillatory pattern. The model is compared with deterministic models based on semigroup analysis of systems of differential equations.
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.
Automatic identification of model reductions for discrete stochastic simulation
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.
A stochastic model for circadian rhythms from coupled ultradian oscillators
Directory of Open Access Journals (Sweden)
Illner Reinhard
2007-01-01
Full Text Available Abstract Background Circadian rhythms with varying components exist in organisms ranging from humans to cyanobacteria. A simple evolutionarily plausible mechanism for the origin of such a variety of circadian oscillators, proposed in earlier work, involves the non-disruptive coupling of pre-existing ultradian transcriptional-translational oscillators (TTOs, producing "beats," in individual cells. However, like other TTO models of circadian rhythms, it is important to establish that the inherent stochasticity of the protein binding and unbinding does not invalidate the finding of clear oscillations with circadian period. Results The TTOs of our model are described in two versions: 1 a version in which the activation or inhibition of genes is regulated stochastically, where the 'unoccupied" (or "free" time of the site under consideration depends on the concentration of a protein complex produced by another site, and 2 a deterministic, "time-averaged" version in which the switching between the "free" and "occupied" states of the sites occurs so rapidly that the stochastic effects average out. The second case is proved to emerge from the first in a mathematically rigorous way. Numerical results for both scenarios are presented and compared. Conclusion Our model proves to be robust to the stochasticity of protein binding/unbinding at experimentally determined rates and even at rates several orders of magnitude slower. We have not only confirmed this by numerical simulation, but have shown in a mathematically rigorous way that the time-averaged deterministic system is indeed the fast-binding-rate limit of the full stochastic model.
TTLEM: Open access tool for building numerically accurate landscape evolution models in MATLAB
Campforts, Benjamin; Schwanghart, Wolfgang; Govers, Gerard
2017-04-01
Despite a growing interest in LEMs, accuracy assessment of the numerical methods they are based on has received little attention. Here, we present TTLEM which is an open access landscape evolution package designed to develop and test your own scenarios and hypothesises. TTLEM uses a higher order flux-limiting finite-volume method to simulate river incision and tectonic displacement. We show that this scheme significantly influences the evolution of simulated landscapes and the spatial and temporal variability of erosion rates. Moreover, it allows the simulation of lateral tectonic displacement on a fixed grid. Through the use of a simple GUI the software produces visible output of evolving landscapes through model run time. In this contribution, we illustrate numerical landscape evolution through a set of movies spanning different spatial and temporal scales. We focus on the erosional domain and use both spatially constant and variable input values for uplift, lateral tectonic shortening, erodibility and precipitation. Moreover, we illustrate the relevance of a stochastic approach for realistic hillslope response modelling. TTLEM is a fully open source software package, written in MATLAB and based on the TopoToolbox platform (topotoolbox.wordpress.com). Installation instructions can be found on this website and the therefore designed GitHub repository.
How Good Are Statistical Models at Approximating Complex Fitness Landscapes?
du Plessis, Louis; Leventhal, Gabriel E.; Bonhoeffer, Sebastian
2016-01-01
Fitness landscapes determine the course of adaptation by constraining and shaping evolutionary trajectories. Knowledge of the structure of a fitness landscape can thus predict evolutionary outcomes. Empirical fitness landscapes, however, have so far only offered limited insight into real-world questions, as the high dimensionality of sequence spaces makes it impossible to exhaustively measure the fitness of all variants of biologically meaningful sequences. We must therefore revert to statistical descriptions of fitness landscapes that are based on a sparse sample of fitness measurements. It remains unclear, however, how much data are required for such statistical descriptions to be useful. Here, we assess the ability of regression models accounting for single and pairwise mutations to correctly approximate a complex quasi-empirical fitness landscape. We compare approximations based on various sampling regimes of an RNA landscape and find that the sampling regime strongly influences the quality of the regression. On the one hand it is generally impossible to generate sufficient samples to achieve a good approximation of the complete fitness landscape, and on the other hand systematic sampling schemes can only provide a good description of the immediate neighborhood of a sequence of interest. Nevertheless, we obtain a remarkably good and unbiased fit to the local landscape when using sequences from a population that has evolved under strong selection. Thus, current statistical methods can provide a good approximation to the landscape of naturally evolving populations. PMID:27189564
Can We Model the Scenic Beauty of an Alpine Landscape?
Directory of Open Access Journals (Sweden)
Erich Tasser
2013-03-01
Full Text Available During the last decade, agriculture has lost its importance in many European mountain regions and tourism, which benefits from attractive landscapes, has become a major source of income. Changes in landscape patterns and elements might affect scenic beauty and therefore the socio-economic welfare of a region. Our study aimed at modeling scenic beauty by quantifying the influence of landscape elements and patterns in relationship to distance. Focusing on Alpine landscapes in South and North Tyrol, we used a photographic questionnaire showing different landscape compositions. As mountain landscapes offer long vistas, we related scenic beauty to different distance zones. Our results indicate that the near zone contributes by 64% to the valuation of scenic beauty, the middle zone by 22%, and the far zone by 14%. In contrast to artificial elements, naturalness and diversity increased scenic beauty. Significant differences between different social groups (origin, age, gender, cultural background occurred only between the local population and tourists regarding great landscape changes. Changes towards more homogenous landscapes were perceived negatively, thus political decision makers should support the conservation of the cultural landscape.
How Good Are Statistical Models at Approximating Complex Fitness Landscapes?
du Plessis, Louis; Leventhal, Gabriel E; Bonhoeffer, Sebastian
2016-09-01
Fitness landscapes determine the course of adaptation by constraining and shaping evolutionary trajectories. Knowledge of the structure of a fitness landscape can thus predict evolutionary outcomes. Empirical fitness landscapes, however, have so far only offered limited insight into real-world questions, as the high dimensionality of sequence spaces makes it impossible to exhaustively measure the fitness of all variants of biologically meaningful sequences. We must therefore revert to statistical descriptions of fitness landscapes that are based on a sparse sample of fitness measurements. It remains unclear, however, how much data are required for such statistical descriptions to be useful. Here, we assess the ability of regression models accounting for single and pairwise mutations to correctly approximate a complex quasi-empirical fitness landscape. We compare approximations based on various sampling regimes of an RNA landscape and find that the sampling regime strongly influences the quality of the regression. On the one hand it is generally impossible to generate sufficient samples to achieve a good approximation of the complete fitness landscape, and on the other hand systematic sampling schemes can only provide a good description of the immediate neighborhood of a sequence of interest. Nevertheless, we obtain a remarkably good and unbiased fit to the local landscape when using sequences from a population that has evolved under strong selection. Thus, current statistical methods can provide a good approximation to the landscape of naturally evolving populations.
SR 97. Alternative models project. Stochastic continuum modelling of Aberg
Energy Technology Data Exchange (ETDEWEB)
Widen, H. [Kemakta AB, Stockholm (Sweden); Walker, D. [INTERA KB/DE and S (Sweden)
1999-08-01
As part of studies into the siting of a deep repository for nuclear waste, Swedish Nuclear Fuel and Waste Management Company (SKB) has commissioned the Alternative Models Project (AMP). The AMP is a comparison of three alternative modelling approaches to bedrock performance assessment for a single hypothetical repository, arbitrarily named Aberg. The Aberg repository will adopt input parameters from the Aespoe Hard Rock Laboratory in southern Sweden. The models are restricted to an explicit domain, boundary conditions and canister location to facilitate the comparison. The boundary conditions are based on the regional groundwater model provided in digital format. This study is the application of HYDRASTAR, a stochastic continuum groundwater flow and transport-modelling program. The study uses 34 realisations of 945 canister locations in the hypothetical repository to evaluate the uncertainty of the advective travel time, canister flux (Darcy velocity at a canister) and F-ratio. Several comparisons of variability are constructed between individual canister locations and individual realisations. For the ensemble of all realisations with all canister locations, the study found a median travel time of 27 years, a median canister flux of 7.1 x 10{sup -4} m/yr and a median F-ratio of 3.3 x 10{sup 5} yr/m. The overall pattern of regional flow is preserved in the site-scale model, as is reflected in flow paths and exit locations. The site-scale model slightly over-predicts the boundary fluxes from the single realisation of the regional model. The explicitly prescribed domain was seen to be slightly restrictive, with 6% of the stream tubes failing to exit the upper surface of the model. Sensitivity analysis and calibration are suggested as possible extensions of the modelling study.
Stochastic analysis of response functions in environmental modeling
Energy Technology Data Exchange (ETDEWEB)
Tumeo, M.A.
1988-01-01
Development of a new mathematical technique to include stochasticity in environmental models used of resource management and public health risk analysis is reported. The technique is based on the expansion of basic governing equations to include stochastic terms. The stochastic terms are then separated from the non-fluctuating terms, and the resulting set of equations solved simultaneously. The solutions of this set of equations are used to calculate the moments of the output variables. In addition, the moments are used in conjunction with the Fokker-Planck Equation to produce an analytical solution for the probability density functions of the dependent variables. The technique is applied in two examples. The first example is an application to the Streeter-Phelps BOD-OD Equations. Results of the analysis are compared to field data as well as to results of a Monte Carlo model and to moments derived using a Stochastic Differential Equations approach. The second application involves analysis of health risks associated with waterborne diseases. Results are compared to the results of a Monte Carlo simulation of a similar system of equations.
Pluralistic and stochastic gene regulation: examples, models and consistent theory.
Salas, Elisa N; Shu, Jiang; Cserhati, Matyas F; Weeks, Donald P; Ladunga, Istvan
2016-06-01
We present a theory of pluralistic and stochastic gene regulation. To bridge the gap between empirical studies and mathematical models, we integrate pre-existing observations with our meta-analyses of the ENCODE ChIP-Seq experiments. Earlier evidence includes fluctuations in levels, location, activity, and binding of transcription factors, variable DNA motifs, and bursts in gene expression. Stochastic regulation is also indicated by frequently subdued effects of knockout mutants of regulators, their evolutionary losses/gains and massive rewiring of regulatory sites. We report wide-spread pluralistic regulation in ≈800 000 tightly co-expressed pairs of diverse human genes. Typically, half of ≈50 observed regulators bind to both genes reproducibly, twice more than in independently expressed gene pairs. We also examine the largest set of co-expressed genes, which code for cytoplasmic ribosomal proteins. Numerous regulatory complexes are highly significant enriched in ribosomal genes compared to highly expressed non-ribosomal genes. We could not find any DNA-associated, strict sense master regulator. Despite major fluctuations in transcription factor binding, our machine learning model accurately predicted transcript levels using binding sites of 20+ regulators. Our pluralistic and stochastic theory is consistent with partially random binding patterns, redundancy, stochastic regulator binding, burst-like expression, degeneracy of binding motifs and massive regulatory rewiring during evolution.
Application of Stochastic Partial Differential Equations to Reservoir Property Modelling
Potsepaev, R.
2010-09-06
Existing algorithms of geostatistics for stochastic modelling of reservoir parameters require a mapping (the \\'uvt-transform\\') into the parametric space and reconstruction of a stratigraphic co-ordinate system. The parametric space can be considered to represent a pre-deformed and pre-faulted depositional environment. Existing approximations of this mapping in many cases cause significant distortions to the correlation distances. In this work we propose a coordinate free approach for modelling stochastic textures through the application of stochastic partial differential equations. By avoiding the construction of a uvt-transform and stratigraphic coordinates, one can generate realizations directly in the physical space in the presence of deformations and faults. In particular the solution of the modified Helmholtz equation driven by Gaussian white noise is a zero mean Gaussian stationary random field with exponential correlation function (in 3-D). This equation can be used to generate realizations in parametric space. In order to sample in physical space we introduce a stochastic elliptic PDE with tensor coefficients, where the tensor is related to correlation anisotropy and its variation is physical space.
Stochastic sensitivity analysis of the attractors for the randomly forced Ricker model with delay
Energy Technology Data Exchange (ETDEWEB)
Bashkirtseva, Irina; Ryashko, Lev
2014-11-14
Stochastically forced regular attractors (equilibria, cycles, closed invariant curves) of the discrete-time nonlinear systems are studied. For the analysis of noisy attractors, a unified approach based on the stochastic sensitivity function technique is suggested and discussed. Potentialities of the elaborated theory are demonstrated in the parametric analysis of the stochastic Ricker model with delay nearby Neimark–Sacker bifurcation. - Highlights: • Stochastically forced regular attractors of the discrete-time nonlinear systems are studied. • Unified approach based on the stochastic sensitivity function technique is suggested. • Potentialities of the elaborated theory are demonstrated. • Parametric analysis of the stochastic Ricker model with delay is given.
Landscape as a model: the importance of geometry.
Holland, E Penelope; Aegerter, James N; Dytham, Calvin; Smith, Graham C
2007-10-01
In all models, but especially in those used to predict uncertain processes (e.g., climate change and nonnative species establishment), it is important to identify and remove any sources of bias that may confound results. This is critical in models designed to help support decisionmaking. The geometry used to represent virtual landscapes in spatially explicit models is a potential source of bias. The majority of spatial models use regular square geometry, although regular hexagonal landscapes have also been used. However, there are other ways in which space can be represented in spatially explicit models. For the first time, we explicitly compare the range of alternative geometries available to the modeller, and present a mechanism by which uncertainty in the representation of landscapes can be incorporated. We test how geometry can affect cell-to-cell movement across homogeneous virtual landscapes and compare regular geometries with a suite of irregular mosaics. We show that regular geometries have the potential to systematically bias the direction and distance of movement, whereas even individual instances of landscapes with irregular geometry do not. We also examine how geometry can affect the gross representation of real-world landscapes, and again show that individual instances of regular geometries will always create qualitative and quantitative errors. These can be reduced by the use of multiple randomized instances, though this still creates scale-dependent biases. In contrast, virtual landscapes formed using irregular geometries can represent complex real-world landscapes without error. We found that the potential for bias caused by regular geometries can be effectively eliminated by subdividing virtual landscapes using irregular geometry. The use of irregular geometry appears to offer spatial modellers other potential advantages, which are as yet underdeveloped. We recommend their use in all spatially explicit models, but especially for predictive models
Beyond multifractional Brownian motion: new stochastic models for geophysical modelling
Directory of Open Access Journals (Sweden)
J. Lévy Véhel
2013-09-01
Full Text Available Multifractional Brownian motion (mBm has proved to be a useful tool in various areas of geophysical modelling. Although a versatile model, mBm is of course not always an adequate one. We present in this work several other stochastic processes which could potentially be useful in geophysics. The first alternative type is that of self-regulating processes: these are models where the local regularity is a function of the amplitude, in contrast to mBm where it is tuned exogenously. We demonstrate the relevance of such models for digital elevation maps and for temperature records. We also briefly describe two other types of alternative processes, which are the counterparts of mBm and of self-regulating processes when the intensity of local jumps is considered in lieu of local regularity: multistable processes allow one to prescribe the local intensity of jumps in space/time, while this intensity is governed by the amplitude for self-stabilizing processes.
Etiology and treatment of hematological neoplasms: stochastic mathematical models.
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.
Hierarchical landscape models for endemic unionid mussels
US Fish and Wildlife Service, Department of the Interior — The specific objectives of this project are to a) assemble existing mussel, water quality, and landscape level (e.g., GIS) data bases; b) conduct expert interviews,...
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...
Predicting population extinction or disease outbreaks with stochastic models
Directory of Open Access Journals (Sweden)
Linda J. S. Allen
2017-01-01
Full Text Available Models of exponential growth, logistic growth and epidemics are common applications in undergraduate differential equation courses. The corresponding stochastic models are not part of these courses, although when population sizes are small their behaviour is often more realistic and distinctly different from deterministic models. For example, the randomness associated with births and deaths may lead to population extinction even in an exponentially growing population. Some background in continuous-time Markov chains and applications to populations, epidemics and cancer are presented with a goal to introduce this topic into the undergraduate mathematics curriculum that will encourage further investigation into problems on conservation, infectious diseases and cancer therapy. MATLAB programs for graphing sample paths of stochastic models are provided in the Appendix.
Stochastic Modeling and Analysis of Power System with Renewable Generation
DEFF Research Database (Denmark)
Chen, Peiyuan
to evaluate year-to-year variation of wind power generation through a sensitivity analysis and to forecast very short-term wind power through a model-based prediction method. The stochastic load model is established on the basis of a seasonal autoregressive moving average (ARMA) process. It is demonstrated...... that such a stochastic model can be used to simulate the effect of load management on the load duration curve. As CHP units are turned on and off by regulating power, CHP generation has discrete output and thus can be modeled by a transition matrix based discrete Markov chain. As the CHP generation has a strong diurnal...... that minimizes the expectation of power losses of a 69-bus distribution system by controlling the power factor of WTs. The optimization is subjected to the probabilistic constraints of bus voltage and line current. The algorithm combines a constrained nonlinear optimization algorithm and a Monte Carlo based PLF...
Time-Dependent Stochastic Acceleration Model for the Fermi Bubbles
Sasaki, Kento; Terasawa, Toshio
2015-01-01
We study stochastic acceleration models for the Fermi bubbles. Turbulence is excited just behind the shock front via Kelvin-Helmholtz, Rayleigh-Taylor or Richtmyer-Meshkov instabilities, and plasma particles are continuously accelerated by the interaction with the turbulence. The turbulence gradually decays as it goes away from the shock fronts. Adopting a phenomenological model for the stochastic acceleration, we explicitly solve the temporal evolution of the particle energy distribution in the turbulence. Our results show that the spatial distribution of high-energy particles is different from those for a steady solution. We also show that the contribution of electrons escaped from the acceleration regions significantly softens the photon spectrum. The photon spectrum and surface brightness profile are reproduced by our models. If the escape efficiency is very high, the radio flux from the escaped low-energy electrons can be comparable to that of the WMAP haze. We also demonstrate hadronic models with the s...
Quantitative sociodynamics stochastic methods and models of social interaction processes
Helbing, Dirk
1995-01-01
Quantitative Sociodynamics presents a general strategy for interdisciplinary model building and its application to a quantitative description of behavioural changes based on social interaction processes. Originally, the crucial methods for the modeling of complex systems (stochastic methods and nonlinear dynamics) were developed in physics but they have very often proved their explanatory power in chemistry, biology, economics and the social sciences. Quantitative Sociodynamics provides a unified and comprehensive overview of the different stochastic methods, their interrelations and properties. In addition, it introduces the most important concepts from nonlinear dynamics (synergetics, chaos theory). The applicability of these fascinating concepts to social phenomena is carefully discussed. By incorporating decision-theoretical approaches a very fundamental dynamic model is obtained which seems to open new perspectives in the social sciences. It includes many established models as special cases, e.g. the log...
Quantitative Sociodynamics Stochastic Methods and Models of Social Interaction Processes
Helbing, Dirk
2010-01-01
This new edition of Quantitative Sociodynamics presents a general strategy for interdisciplinary model building and its application to a quantitative description of behavioral changes based on social interaction processes. Originally, the crucial methods for the modeling of complex systems (stochastic methods and nonlinear dynamics) were developed in physics and mathematics, but they have very often proven their explanatory power in chemistry, biology, economics and the social sciences as well. Quantitative Sociodynamics provides a unified and comprehensive overview of the different stochastic methods, their interrelations and properties. In addition, it introduces important concepts from nonlinear dynamics (e.g. synergetics, chaos theory). The applicability of these fascinating concepts to social phenomena is carefully discussed. By incorporating decision-theoretical approaches, a fundamental dynamic model is obtained, which opens new perspectives in the social sciences. It includes many established models a...
Stochastic Differential Equation-Based Flexible Software Reliability Growth Model
Directory of Open Access Journals (Sweden)
P. K. Kapur
2009-01-01
Full Text Available Several software reliability growth models (SRGMs have been developed by software developers in tracking and measuring the growth of reliability. As the size of software system is large and the number of faults detected during the testing phase becomes large, so the change of the number of faults that are detected and removed through each debugging becomes sufficiently small compared with the initial fault content at the beginning of the testing phase. In such a situation, we can model the software fault detection process as a stochastic process with continuous state space. In this paper, we propose a new software reliability growth model based on Itô type of stochastic differential equation. We consider an SDE-based generalized Erlang model with logistic error detection function. The model is estimated and validated on real-life data sets cited in literature to show its flexibility. The proposed model integrated with the concept of stochastic differential equation performs comparatively better than the existing NHPP-based models.
Development of stochastic indicator models of lithology, Yucca Mountain, Nevada
Energy Technology Data Exchange (ETDEWEB)
Rautman, C.A. [Sandia National Labs., Albuquerque, NM (United States); Robey, T.H. [Spectra Research Inst., Albuquerque, NM (United States)
1994-07-01
Indicator geostatistical techniques have been used to produce a number of fully three-dimensional stochastic simulations of large-scale lithologic categories at the Yucca Mountain site. Each realization reproduces the available drill hole data used to condition the simulation. Information is propagated away from each point of observation in accordance with a mathematical model of spatial continuity inferred through soft data taken from published geologic cross sections. Variations among the simulated models collectively represent uncertainty in the lithology at unsampled locations. These stochastic models succeed in capturing many major features of welded-nonwelded lithologic framework of Yucca Mountain. However, contacts between welded and nonwelded rock types for individual simulations appear more complex than suggested by field observation, and a number of probable numerical artifacts exist in these models. Many of the apparent discrepancies between the simulated models and the general geology of Yucca Mountain represent characterization uncertainty, and can be traced to the sparse site data used to condition the simulations. Several vertical stratigraphic columns have been extracted from the three-dimensional stochastic models for use in simplified total-system performance assessment exercises. Simple, manual adjustments are required to eliminate the more obvious simulation artifacts and to impose a secondary set of deterministic geologic features on the overall stratigraphic framework provided by the indictor models.
Development of stochastic indicator models of lithology, Yucca Mountain, Nevada
Energy Technology Data Exchange (ETDEWEB)
Rautman, C.A. [Sandia National Labs., Albuquerque, NM (United States); Robey, T.H. [Spectra Research Institute, Albuquerque, NM (United States)
1994-12-31
Indicator geostatistical techniques have been used to produce a number of fully three-dimensional stochastic simulations of large-scale lithologic categories at the Yucca Mountain site. Each realization reproduces the available drill hole data used to condition the simulation. Information is propagated away from each point of observation in accordance with a mathematical model of spatial continuity inferred through soft data taken from published geologic cross sections. Variations among the simulated models collectively represent uncertainty in the lithology at unsampled locations. These stochastic models succeed in capturing many major features of welded-nonwelded lithologic framework of Yucca Mountain. However, contacts between welded and nonwelded rock types for individual simulations appear more complex than suggested by field observation, and a number of probable numerical artifacts exist in these models. Many of the apparent discrepancies between the simulated models and the general geology of Yucca Mountain represent characterization uncertainty, and can be traced to the sparse site data used to condition the simulations. Several vertical stratigraphic columns have been extracted from the three-dimensional stochastic models for use in simplified total-system performance assessment exercises. Simple, manual adjustments are required to eliminate the more obvious simulation artifacts and to impose stratigraphic framework provided by the indicator models.
Modelling landslide dynamics in forested landscapes
2005-01-01
The research resulting in this thesis covers the geological, geomorphological and landscape ecology related themes of the project 'Podzolisation under Kauri (Agathis australis): for better or worse?' supported by theNetherlands Organisation for Scientific Research (NWO). The general objective of this thesis is to investigate landscape, soil and vegetation dynamics in theWaitakereRangesRegionalParkon the North Island of New Zealand, where also all the fieldwork was carried out. The main core o...
Latent spatial models and sampling design for landscape genetics
Hanks, Ephraim M.; Hooten, Mevin B.; Knick, Steven T.; Oyler-McCance, Sara J.; Fike, Jennifer A.; Cross, Todd B.; Schwartz, Michael K.
2016-01-01
We propose a spatially-explicit approach for modeling genetic variation across space and illustrate how this approach can be used to optimize spatial prediction and sampling design for landscape genetic data. We propose a multinomial data model for categorical microsatellite allele data commonly used in landscape genetic studies, and introduce a latent spatial random effect to allow for spatial correlation between genetic observations. We illustrate how modern dimension reduction approaches to spatial statistics can allow for efficient computation in landscape genetic statistical models covering large spatial domains. We apply our approach to propose a retrospective spatial sampling design for greater sage-grouse (Centrocercus urophasianus) population genetics in the western United States.
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.
On stochastic Gilpin-Ayala population model with Markovian switching.
Settati, Adel; Lahrouz, Aadil
2015-04-01
In this paper, we analyze a stochastic Gilpin-Ayala population model with Markovian switching and white noise. The Gilpin-Ayala parameter is also allowed to switch. We establish the global stability of the trivial equilibrium state of the model. Verifiable sufficient conditions which guarantee the extinction and persistence are provided. Furthermore, we show the existence of a stationary distribution. The analytical results are illustrated by computer simulations.
Structural Identification and Validation in Stochastic Differential Equation based Models
DEFF Research Database (Denmark)
Møller, Jan Kloppenborg; Carstensen, Jacob; Madsen, Henrik
2011-01-01
Stochastic differential equations (SDEs) for ecosystem modelling have attracted increasing attention during recent years. The modelling has mostly been through simulation based experiments. Estimation of parameters in SDEs is, however, possible by combining Kalman filter and likelihood techniques...... as a function of the state variables and global radiation. Further improvements of both the drift and the diffusion term are achieved by comparing simulated densities and data....
Stochastic Parametrisations and Regime Behaviour of Atmospheric Models
Arnold, Hannah; Moroz, Irene; Palmer, Tim
2013-04-01
The presence of regimes is a characteristic of non-linear, chaotic systems (Lorenz, 2006). In the atmosphere, regimes emerge as familiar circulation patterns such as the El-Nino Southern Oscillation (ENSO), the North Atlantic Oscillation (NAO) and Scandinavian Blocking events. In recent years there has been much interest in the problem of identifying and studying atmospheric regimes (Solomon et al, 2007). In particular, how do these regimes respond to an external forcing such as anthropogenic greenhouse gas emissions? The importance of regimes in observed trends over the past 50-100 years indicates that in order to predict anthropogenic climate change, our climate models must be able to represent accurately natural circulation regimes, their statistics and variability. It is well established that representing model uncertainty as well as initial condition uncertainty is important for reliable weather forecasts (Palmer, 2001). In particular, stochastic parametrisation schemes have been shown to improve the skill of weather forecast models (e.g. Berner et al., 2009; Frenkel et al., 2012; Palmer et al., 2009). It is possible that including stochastic physics as a representation of model uncertainty could also be beneficial in climate modelling, enabling the simulator to explore larger regions of the climate attractor including other flow regimes. An alternative representation of model uncertainty is a perturbed parameter scheme, whereby physical parameters in subgrid parametrisation schemes are perturbed about their optimal value. Perturbing parameters gives a greater control over the ensemble than multi-model or multiparametrisation ensembles, and has been used as a representation of model uncertainty in climate prediction (Stainforth et al., 2005; Rougier et al., 2009). We investigate the effect of including representations of model uncertainty on the regime behaviour of a simulator. A simple chaotic model of the atmosphere, the Lorenz '96 system, is used to study
Using graph approach for managing connectivity in integrative landscape modelling
Rabotin, Michael; Fabre, Jean-Christophe; Libres, Aline; Lagacherie, Philippe; Crevoisier, David; Moussa, Roger
2013-04-01
In cultivated landscapes, a lot of landscape elements such as field boundaries, ditches or banks strongly impact water flows, mass and energy fluxes. At the watershed scale, these impacts are strongly conditionned by the connectivity of these landscape elements. An accurate representation of these elements and of their complex spatial arrangements is therefore of great importance for modelling and predicting these impacts.We developped in the framework of the OpenFLUID platform (Software Environment for Modelling Fluxes in Landscapes) a digital landscape representation that takes into account the spatial variabilities and connectivities of diverse landscape elements through the application of the graph theory concepts. The proposed landscape representation consider spatial units connected together to represent the flux exchanges or any other information exchanges. Each spatial unit of the landscape is represented as a node of a graph and relations between units as graph connections. The connections are of two types - parent-child connection and up/downstream connection - which allows OpenFLUID to handle hierarchical graphs. Connections can also carry informations and graph evolution during simulation is possible (connections or elements modifications). This graph approach allows a better genericity on landscape representation, a management of complex connections and facilitate development of new landscape representation algorithms. Graph management is fully operational in OpenFLUID for developers or modelers ; and several graph tools are available such as graph traversal algorithms or graph displays. Graph representation can be managed i) manually by the user (for example in simple catchments) through XML-based files in easily editable and readable format or ii) by using methods of the OpenFLUID-landr library which is an OpenFLUID library relying on common open-source spatial libraries (ogr vector, geos topologic vector and gdal raster libraries). Open
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.
Prediction of mortality rates using a model with stochastic parameters
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.
Modelling the SOS Response by Semi-Stochastic Simulation
Institute of Scientific and Technical Information of China (English)
NI Ming; WANG Si-Yuan; OUYANG Qi
2008-01-01
The SOS (save our soul) response induced by DNA damage in bacteria E coli has raised a great interests in biophysics and has been extensively studied. Previously we have developed a stochastic simulation model to explain the oscillatory-like modulation of SOS gene expression observed in experiment. Here we present an improved semi-stochastic model which has higher simulation efficiency, taking into account the updated knowledge about SOS response. The improved model suggests that frequency of the modulation is controlled by the negative feedback in the system. DNA polymerase V, the key enzyme for error-prone translesion synthesis during SOS response, plays a major role in closing up the negative feedback. It is also indicated that the correlation between the modulation and cellular growth observed in experiment is due to DNA damage induced slowing down of transcription and translation.
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.
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...
A Jump-Diffusion Model with Stochastic Volatility and Durations
DEFF Research Database (Denmark)
Wei, Wei; Pelletier, Denis
Market microstructure theories suggest that the durations between transactions carry information about volatility. This paper puts forward a model featuring stochastic volatility, stochastic conditional duration, and jumps to analyze high frequency returns and durations. Durations affect price...... jumps in two ways: as exogenous sampling intervals, and through the interaction with volatility. We adopt a bivariate Ornstein-Ulenbeck process to model intraday volatility and conditional duration. We develop a MCMC algorithm for the inference on irregularly spaced multivariate processes with jumps....... The algorithm provides smoothed estimates of the latent variables such as spot volatility, conditional duration, jump times, and jump sizes. We apply this model to IBM data and find that volatility and conditional duration are interdependent. We also find that jumps play an important role in return variation...
Institute of Scientific and Technical Information of China (English)
BIAN Fuping; DAI Min
2005-01-01
This paper extends the stochastic frontier production theory to the case of multiple outputs and calculate the measurement of efficiency using the production theory. We further apply this method to construct the stochastic frontier production model with undesirable outputs. Finally, the model is used in an HIV immunology model and the efficient drug treatment strategies are then explored.All the models are estimated using the Maximum Likelihood Estimation method. Stochastic errors are considered in this model, which is an advantage over other deterministic efficiency models. Some of our conclusions agree with those published in related papers.
A data driven nonlinear stochastic model for blood glucose dynamics.
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.
Stochastic population dynamic models as probability networks
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...
Radio Channel Modelling Using Stochastic Propagation Graphs
DEFF Research Database (Denmark)
Pedersen, Troels; Fleury, Bernard Henri
2007-01-01
In this contribution the radio channel model proposed in [1] is extended to include multiple transmitters and receivers. The propagation environment is modelled using random graphs where vertices of a graph represent scatterers and edges model the wave propagation between scatterers. Furthermore...
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.
Development of a Stochastic Hourly Solar Irradiation Model
Directory of Open Access Journals (Sweden)
Kristijan Brecl
2014-01-01
Full Text Available We have developed a new solar irradiation model and implemented it in the SunIrradiance photovoltaic cell/module simulator. This model uses stochastic methods to generate the hourly distribution of solar irradiation on a horizontal or inclined surface from monthly irradiation values on the horizontal surface of a selected location and was verified with the measured irradiance data in Ljubljana, located in Central Europe. The new model shows better simulation results with regard to the share of the diffuse irradiation in the region than the other models. The simulation results show that the new solar irradiation model is excellent for photovoltaic system simulations of single junction PV technologies.
Quantitative Modeling of Landscape Evolution, Treatise on Geomorphology
Temme, A.J.A.M.; Schoorl, J.M.; Claessens, L.F.G.; Veldkamp, A.; Shroder, F.S.
2013-01-01
This chapter reviews quantitative modeling of landscape evolution – which means that not just model studies but also modeling concepts are discussed. Quantitative modeling is contrasted with conceptual or physical modeling, and four categories of model studies are presented. Procedural studies focus
Mean field analysis of a spatial stochastic model of a gene regulatory network.
Sturrock, M; Murray, P J; Matzavinos, A; Chaplain, M A J
2015-10-01
A gene regulatory network may be defined as a collection of DNA segments which interact with each other indirectly through their RNA and protein products. Such a network is said to contain a negative feedback loop if its products inhibit gene transcription, and a positive feedback loop if a gene product promotes its own production. Negative feedback loops can create oscillations in mRNA and protein levels while positive feedback loops are primarily responsible for signal amplification. It is often the case in real biological systems that both negative and positive feedback loops operate in parameter regimes that result in low copy numbers of gene products. In this paper we investigate the spatio-temporal dynamics of a single feedback loop in a eukaryotic cell. We first develop a simplified spatial stochastic model of a canonical feedback system (either positive or negative). Using a Gillespie's algorithm, we compute sample trajectories and analyse their corresponding statistics. We then derive a system of equations that describe the spatio-temporal evolution of the stochastic means. Subsequently, we examine the spatially homogeneous case and compare the results of numerical simulations with the spatially explicit case. Finally, using a combination of steady-state analysis and data clustering techniques, we explore model behaviour across a subregion of the parameter space that is difficult to access experimentally and compare the parameter landscape of our spatio-temporal and spatially-homogeneous models.
Stochastic models of solute transport in highly heterogeneous geologic media
Energy Technology Data Exchange (ETDEWEB)
Semenov, V.N.; Korotkin, I.A.; Pruess, K.; Goloviznin, V.M.; Sorokovikova, O.S.
2009-09-15
A stochastic model of anomalous diffusion was developed in which transport occurs by random motion of Brownian particles, described by distribution functions of random displacements with heavy (power-law) tails. One variant of an effective algorithm for random function generation with a power-law asymptotic and arbitrary factor of asymmetry is proposed that is based on the Gnedenko-Levy limit theorem and makes it possible to reproduce all known Levy {alpha}-stable fractal processes. A two-dimensional stochastic random walk algorithm has been developed that approximates anomalous diffusion with streamline-dependent and space-dependent parameters. The motivation for introducing such a type of dispersion model is the observed fact that tracers in natural aquifers spread at different super-Fickian rates in different directions. For this and other important cases, stochastic random walk models are the only known way to solve the so-called multiscaling fractional order diffusion equation with space-dependent parameters. Some comparisons of model results and field experiments are presented.
Stochastic Modeling of Non-equilibrium Bedload Transport
Kuai, Z.; Tsai, C. W.
2009-05-01
Traditional stochastic bed load models aimed to solve for the equilibrium bedload transport rate by matching the rate of bed erosion with the rate of deposition. Bedload transport can be in nonequilibrium even under the steady flow condition, as the quantity of moving particles in the bedload layer may vary. In a nonequilibrium 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. The proposed approach attempts to add a new bedload-suspended load interchange layer to a stochastic bedlod transport model based on the Markov chain. The bedload transport rate is the product of the total particle volume in saltation and the average saltating velocity. We can quantify the number of saltating particles by modeling the occupancy probabilities vector of particles staying in three states (i.e., bed surface, bedload layer, and the interchange layer between the bedload and the suspended load.). The new stochastic bedload relation is validated against existing bedload model. The sudden change of flow and/or sediment condition leads to changes in the transition probabilities. The influence of sudden changes in flow-sediment properties on the bedload transport rate is investigated in this preliminary study. It is found that the neglecting the exchange process between the bedload layer and the suspended layer may lead to non-negligible errors in bedload calculation when the flow and/or sediment conditions change.
Performance modeling, stochastic networks, and statistical multiplexing
Mazumdar, Ravi R
2013-01-01
This monograph presents a concise mathematical approach for modeling and analyzing the performance of communication networks with the aim of introducing an appropriate mathematical framework for modeling and analysis as well as understanding the phenomenon of statistical multiplexing. The models, techniques, and results presented form the core of traffic engineering methods used to design, control and allocate resources in communication networks.The novelty of the monograph is the fresh approach and insights provided by a sample-path methodology for queueing models that highlights the importan
Optimization Framework for Stochastic Modeling of Annual Streamflows
Srivastav, R. K.; Srinivasan, K.; Sudheer, K.
2008-12-01
Synthetic streamflow data generation involves the synthesis of likely streamflow patterns that are statistically indistinguishable from the observed streamflow data. The various kinds of stochastic models adopted for streamflow generation in hydrology are: i) parametric models which hypothesize the form of the dependence structure and the distributional form a priori (examples are AR, ARMA); ii) Nonparametric models (examples are bootstrap/kernel based methods), which characterize the laws of chance, describing the stream flow process, without recourse to prior assumptions as to the form or structure of these laws; iii) Hybrid models which blend both parametric and non-parametric models advantageously to model the streamflows effectively. Despite many of these developments that have taken place in the field of stochastic modeling of streamflows over the last four decades, accurate prediction of the storage and the critical drought (water use) characteristics has been posing a persistent challenge to the stochastic modeler. This may be because, usually, the stochastic streamflow model parameters are estimated by minimizing a statistically based objective function (such as maximum likelihood (MLE) or least squares estimation) and subsequently the efficacy of the models is being validated based on the accuracy of prediction of the estimates of the water- use characteristics. In this study a framework is proposed to find the optimal hybrid model (blend of ARMA(1,1) and moving block bootstrap (MBB)) based on the explicit objective function of minimizing the relative bias in estimating the storage capacity of the reservoir. The optimal parameter set of the hybrid model is obtained based on the search over a multi-dimensional parameter space involving simultaneous exploration of the parametric (ARMA[1,1]) as well as the non-parametric (MBB) components. This is achieved using the efficient evolutionary search based optimization tool namely, non-dominated sorting genetic
Stochastic modeling of deterioration in nuclear power plant components
Yuan, Xianxun
2007-12-01
The risk-based life-cycle management of engineering systems in a nuclear power plant is intended to ensure safe and economically efficient operation of energy generation infrastructure over its entire service life. An important element of life-cycle management is to understand, model and forecast the effect of various degradation mechanisms affecting the performance of engineering systems, structures and components. The modeling of degradation in nuclear plant components is confounded by large sampling and temporal uncertainties. The reason is that nuclear systems are not readily accessible for inspections due to high level of radiation and large costs associated with remote data collection methods. The models of degradation used by industry are largely derived from ordinary linear regression methods. The main objective of this thesis is to develop more advanced techniques based on stochastic process theory to model deterioration in engineering components with the purpose of providing more scientific basis to life-cycle management of aging nuclear power plants. This thesis proposes a stochastic gamma process (GP) model for deterioration and develops a suite of statistical techniques for calibrating the model parameters. The gamma process is a versatile and mathematically tractable stochastic model for a wide variety of degradation phenomena, and another desirable property is its nonnegative, monotonically increasing sample paths. In the thesis, the GP model is extended by including additional covariates and also modeling for random effects. The optimization of age-based replacement and condition-based maintenance strategies is also presented. The thesis also investigates improved regression techniques for modeling deterioration. A linear mixed-effects (LME) regression model is presented to resolve an inconsistency of the traditional regression models. The proposed LME model assumes that the randomness in deterioration is decomposed into two parts: the unobserved
A field test of a simple stochastic radiative transfer model
Energy Technology Data Exchange (ETDEWEB)
Byrne, N. [Science Applications International Corp., San Diego, CA (United States)
1995-09-01
The problem of determining the effect of clouds on the radiative energy balance of the globe is of well-recognized importance. One can in principle solve the problem for any given configuration of clouds using numerical techniques. This knowledge is not useful however, because of the amount of input data and computer resources required. Besides, we need only the average of the resulting solution over the grid scale of a general circulation model (GCM). Therefore, we are interested in estimating the average of the solutions of such fine-grained problems using only coarse grained data, a science or art called stochastic radiation transfer. Results of the described field test indicate that the stochastic description is a somewhat better fit to the data than is a fractional cloud cover model, but more data are needed. 1 ref., 3 figs.
Estimating Stochastic Volatility Models using Prediction-based Estimating Functions
DEFF Research Database (Denmark)
Lunde, Asger; Brix, Anne Floor
In this paper prediction-based estimating functions (PBEFs), introduced in Sørensen (2000), are reviewed and PBEFs for the Heston (1993) stochastic volatility model are derived. The finite sample performance of the PBEF based estimator is investigated in a Monte Carlo study, and compared to the p......In this paper prediction-based estimating functions (PBEFs), introduced in Sørensen (2000), are reviewed and PBEFs for the Heston (1993) stochastic volatility model are derived. The finite sample performance of the PBEF based estimator is investigated in a Monte Carlo study, and compared...... to the performance of the GMM estimator based on conditional moments of integrated volatility from Bollerslev and Zhou (2002). The case where the observed log-price process is contaminated by i.i.d. market microstructure (MMS) noise is also investigated. First, the impact of MMS noise on the parameter estimates from...
A new model for realistic random perturbations of stochastic oscillators
Dieci, Luca; Li, Wuchen; Zhou, Haomin
2016-08-01
Classical theories predict that solutions of differential equations will leave any neighborhood of a stable limit cycle, if white noise is added to the system. In reality, many engineering systems modeled by second order differential equations, like the van der Pol oscillator, show incredible robustness against noise perturbations, and the perturbed trajectories remain in the neighborhood of a stable limit cycle for all times of practical interest. In this paper, we propose a new model of noise to bridge this apparent discrepancy between theory and practice. Restricting to perturbations from within this new class of noise, we consider stochastic perturbations of second order differential systems that -in the unperturbed case- admit asymptotically stable limit cycles. We show that the perturbed solutions are globally bounded and remain in a tubular neighborhood of the underlying deterministic periodic orbit. We also define stochastic Poincaré map(s), and further derive partial differential equations for the transition density function.
Stochastic modeling of the hypothalamic pulse generator activity.
Camproux, A C; Thalabard, J C; Thomas, G
1994-11-01
Luteinizing hormone (LH) is released by the pituitary in discrete pulses. In the monkey, the appearance of LH pulses in the plasma is invariably associated with sharp increases (i.e, volleys) in the frequency of the hypothalamic pulse generator electrical activity, so that continuous monitoring of this activity by telemetry provides a unique means to study the temporal structure of the mechanism generating the pulses. To assess whether the times of occurrence and durations of previous volleys exert significant influence on the timing of the next volley, we used a class of periodic counting process models that specify the stochastic intensity of the process as the product of two factors: 1) a periodic baseline intensity and 2) a stochastic regression function with covariates representing the influence of the past. This approach allows the characterization of circadian modulation and memory range of the process underlying hypothalamic pulse generator activity, as illustrated by fitting the model to experimental data from two ovariectomized rhesus monkeys.
Stochastic population and epidemic models persistence and extinction
Allen, Linda J S
2015-01-01
This monograph provides a summary of the basic theory of branching processes for single-type and multi-type processes. Classic examples of population and epidemic models illustrate the probability of population or epidemic extinction obtained from the theory of branching processes. The first chapter develops the branching process theory, while in the second chapter two applications to population and epidemic processes of single-type branching process theory are explored. The last two chapters present multi-type branching process applications to epidemic models, and then continuous-time and continuous-state branching processes with applications. In addition, several MATLAB programs for simulating stochastic sample paths are provided in an Appendix. These notes originated as part of a lecture series on Stochastics in Biological Systems at the Mathematical Biosciences Institute in Ohio, USA. Professor Linda Allen is a Paul Whitfield Horn Professor of Mathematics in the Department of Mathematics and Statistics ...
Bayesian Degree-Corrected Stochastic Block Models for Community Detection
Peng, Lijun
2013-01-01
Community detection in networks has drawn much attention in diverse fields, especially social sciences. Given its significance, there has been a large body of literature among which many are not statistically based. In this paper, we propose a novel stochastic blockmodel based on a logistic regression setup with node correction terms to better address this problem. We follow a Bayesian approach that explicitly captures the community behavior via prior specification. We then adopt a data augmentation strategy with latent Polya-Gamma variables to obtain posterior samples. We conduct inference based on a canonically mapped centroid estimator that formally addresses label non-identifiability. We demonstrate the novel proposed model and estimation on real-world as well as simulated benchmark networks and show that the proposed model and estimator are more flexible, representative, and yield smaller error rates when compared to the MAP estimator from classical degree-corrected stochastic blockmodels.
Stochastic analysis of the Lotka-Volterra model for ecosystems.
Cai, G Q; Lin, Y K
2004-10-01
A stochastic Lotka-Volterra-type model for the interaction between the preys and the predators in a random environment is investigated. A self-competition mechanism within the prey population itself is also included. The effect of a random environment is modeled as random variations in the birth rate of the preys and the death rate of the predators. The stochastic averaging procedure of Stratonovich and Khasminskii is applied to obtain the probability distributions of the system state variables at the state of statistical stationarity. Asymptotic behaviors of the system variables are discussed, and the mean transition time from an initial state to a critical state is obtained. Effects on the ecosystem behaviors of the self-competition term, of the random variation in the prey birth rate, and of the random variation in the predator death rate are investigated.
An extension of clarke's model with stochastic amplitude flip processes
Hoel, Hakon
2014-07-01
Stochastic modeling is an essential tool for studying statistical properties of wireless channels. In multipath fading channel (MFC) models, the signal reception is modeled by a sum of wave path contributions, and Clarke\\'s model is an important example of such which has been widely accepted in many wireless applications. However, since Clarke\\'s model is temporally deterministic, Feng and Field noted that it does not model real wireless channels with time-varying randomness well. Here, we extend Clarke\\'s model to a novel time-varying stochastic MFC model with scatterers randomly flipping on and off. Statistical properties of the MFC model are analyzed and shown to fit well with real signal measurements, and a limit Gaussian process is derived from the model when the number of active wave paths tends to infinity. A second focus of this work is a comparison study of the error and computational cost of generating signal realizations from the MFC model and from its limit Gaussian process. By rigorous analysis and numerical studies, we show that in many settings, signal realizations are generated more efficiently by Gaussian process algorithms than by the MFC model\\'s algorithm. Numerical examples that strengthen these observations are also presented. © 2014 IEEE.
Geostatistical Modeling of Evolving Landscapes by Means of Image Quilting
Mendes, J. H.; Caers, J.; Scheidt, C.
2015-12-01
Realistic geological representation of subsurface heterogeneity remains an important outstanding challenge. While many geostatistical methods exist for representing sedimentary systems, such as multiple-point geostatistics, rule-based methods or Boolean methods, the question of what the prior uncertainty on parameters (or training images) of such algorithms are, remains outstanding. In this initial work, we investigate the use of flume experiments to constrain better such prior uncertainty and to start understanding what information should be provided to geostatistical algorithms. In particular, we study the use of image quilting as a novel multiple-point method for generating fast geostatistical realizations once a training image is provided. Image quilting is a method emanating from computer graphics where patterns are extracted from training images and then stochastically quilted along a raster path to create stochastic variation of the stated training image. In this initial study, we use a flume experiment and extract 10 training images as representative for the variability of the evolving landscape over a period of 136 minutes. The training images consists of wet/dry regions obtained from overhead shots taken over the flume experiment. To investigate whether such image quilting reproduces the same variability of the evolving landscape in terms of wet/dry regions, we generate multiple realizations with all 10 training images and compare that variability with the variability seen in the entire flume experiment. By proper tuning of the quilting parameters we find generally reasonable agreement with the flume experiment.
Time-Weighted Balanced Stochastic Model Reduction
DEFF Research Database (Denmark)
Tahavori, Maryamsadat; Shaker, Hamid Reza
2011-01-01
A new relative error model reduction technique for linear time invariant (LTI) systems is proposed in this paper. Both continuous and discrete time systems can be reduced within this framework. The proposed model reduction method is mainly based upon time-weighted balanced truncation and a recent...
Introduction to stochastic models in biology
DEFF Research Database (Denmark)
2013-01-01
This chapter is concerned with continuous time processes, which are often modeled as a system of ordinary differential equations (ODEs). These models assume that the observed dynamics are driven exclusively by internal, deterministic mechanisms. However, real biological systems will always be exp...
On efficient Bayesian inference for models with stochastic volatility
Griffin, Jim E.; Sakaria, Dhirendra Kumar
2016-01-01
An efficient method for Bayesian inference in stochastic volatility models uses a linear state space representation to define a Gibbs sampler in which the volatilities are jointly updated. This method involves the choice of an offset parameter and we illustrate how its choice can have an important effect on the posterior inference. A Metropolis-Hastings algorithm is developed to robustify this approach to choice of the offset parameter. The method is illustrated on simulated data with known p...
Influence of Stochastic Modelling in Aerospace in EMC Environment
Patier, Laurent; Lallechere, Sebastien; Bonnet, Pierre; Paladian, Francoise
2016-05-01
This paper aims to demonstrate the ability of stochastic collocation method (SCM) for electromagnetic compatibility (EMC) space applications. The increasing number of antennas embedded on spacecraft implies growth of potential EMC issues. Harsh constraints on antennas could spoil ideal radiating performances. Project management for spacecraft development requires deeper analyses (e.g., modifying locations of several radiators) between qualification and flight models. We propose here to quantify behaviour modifications using SCM in antennas and EMC frameworks.
COMPUTER DATA ANALYSIS AND MODELING: COMPLEX STOCHASTIC DATA AND SYSTEMS
2010-01-01
This collection of papers includes proceedings of the Ninth International Conference “Computer Data Analysis and Modeling: Complex Stochastic Data and Systems” organized by the Belarusian State University and held in September 2010 in Minsk. The papers are devoted to the topical problems: robust and nonparametric data analysis; statistical analysis of time series and forecasting; multivariate data analysis; design of experiments; statistical signal and image processing...
Model of the Stochastic Vacuum and QCD Parameters
Ferreira, E; Ferreira, Erasmo; Pereira, Flávio
1997-01-01
Accounting for the two independent correlation functions of the QCD vacuum, we improve the simple and consistent description given by the model of the stochastic vacuum to the high-energy pp and pbar-p data, with a new determination of parameters of non-perturbative QCD. The increase of the hadronic radii with the energy accounts for the energy dependence of the observables.
Inference of a nonlinear stochastic model of the cardiorespiratory interaction
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.
Optimizing ZigBee Security using Stochastic Model Checking
Yuksel, Ender; Nielson, Hanne Riis; Nielson, Flemming; Fruth, Matthias; Kwiatkowska, Marta
2012-01-01
ZigBee is a fairly new but promising wireless sensor network standard that offers the advantages of simple and low resource communication. Nevertheless, security is of great concern to ZigBee, and enhancements are prescribed in the latest ZigBee specication: ZigBee-2007. In this technical report, we identify an important gap in the specification on key updates, and present a methodology for determining optimal key update policies and security parameters. We exploit the stochastic model checki...
Stochastic spatio-temporal modelling with PCRaster Python
Karssenberg, D.; Schmitz, O.; de Jong, K.
2012-04-01
PCRaster Python is a software framework for building spatio-temporal models of land surface processes (Karssenberg, Schmitz, Salamon, De Jong, & Bierkens, 2010; PCRaster, 2012). Building blocks of models are spatial operations on raster maps, including a large suite of operations for water and sediment routing. These operations, developed in C++, are available to model builders as Python functions. Users create models by combining these functions in a Python script. As construction of large iterative models is often difficult and time consuming for non-specialists in programming, the software comes with a set of Python framework classes that provide control flow for static modelling, temporal modelling, stochastic modelling using Monte Carlo simulation, and data assimilation techniques including the Ensemble Kalman filter and the Particle Filter. A framework for integrating model components with different time steps and spatial discretization is currently available as a prototype (Schmitz, de Jong, & Karssenberg, in review). The software includes routines for visualisation of stochastic spatio-temporal data for prompt, interactive, visualisation of model inputs and outputs. Visualisation techniques include animated maps, time series, probability distributions, and animated maps with exceedance probabilities. The PCRaster Python software is used by researchers from a large range of disciplines, including hydrology, ecology, sedimentology, and land use change studies. Applications include global scale hydrological modelling and error propagation in large-scale land use change models. The software runs on MS Windows and Linux operating systems, and OS X (under development).
Five challenges for stochastic epidemic models involving global transmission
Directory of Open Access Journals (Sweden)
Tom Britton
2015-03-01
Full Text Available The most basic stochastic epidemic models are those involving global transmission, meaning that infection rates depend only on the type and state of the individuals involved, and not on their location in the population. Simple as they are, there are still several open problems for such models. For example, when will such an epidemic go extinct and with what probability (questions depending on the population being fixed, changing or growing? How can a model be defined explaining the sometimes observed scenario of frequent mid-sized epidemic outbreaks? How can evolution of the infectious agent transmission rates be modelled and fitted to data in a robust way?
Stochastic modelling and analysis of IMU sensor errors
Zaho, Y.; Horemuz, M.; Sjöberg, L. E.
2011-12-01
The performance of a GPS/INS integration system is greatly determined by the ability of stand-alone INS system to determine position and attitude within GPS outage. The positional and attitude precision degrades rapidly during GPS outage due to INS sensor errors. With advantages of low price and volume, the Micro Electrical Mechanical Sensors (MEMS) have been wildly used in GPS/INS integration. Moreover, standalone MEMS can keep a reasonable positional precision only a few seconds due to systematic and random sensor errors. General stochastic error sources existing in inertial sensors can be modelled as (IEEE STD 647, 2006) Quantization Noise, Random Walk, Bias Instability, Rate Random Walk and Rate Ramp. Here we apply different methods to analyze the stochastic sensor errors, i.e. autoregressive modelling, Gauss-Markov process, Power Spectral Density and Allan Variance. Then the tests on a MEMS based inertial measurement unit were carried out with these methods. The results show that different methods give similar estimates of stochastic error model parameters. These values can be used further in the Kalman filter for better navigation accuracy and in the Doppler frequency estimate for faster acquisition after GPS signal outage.
Extinction in neutrally stable stochastic Lotka-Volterra models.
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.
Stochastic neural network model for spontaneous bursting in hippocampal slices.
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.
Stochastic Models of Molecule Formation on Dust
Charnley, Steven; Wirstroem, Eva
2011-01-01
We will present new theoretical models for the formation of molecules on dust. The growth of ice mantles and their layered structure is accounted for and compared directly to observations through simulation of the expected ice absorption spectra
Modelling landslide dynamics in forested landscapes
Claessens, L.F.G.
2005-01-01
The research resulting in this thesis covers the geological, geomorphological and landscape ecology related themes of the project 'Podzolisation under Kauri (Agathis australis): for better or worse?' supported by theNetherlands Organisation fo
Landscape Evolution Modelling of naturally dammed rivers
Gorp, van W.; Temme, A.J.A.M.; Baartman, J.E.M.; Schoorl, J.M.
2014-01-01
Natural damming of upland river systems, such as landslide or lava damming, occurs worldwide. Many dams fail shortly after their creation, while other dams are long-lived and therefore have a long-term impact on fluvial and landscape evolution. This long-term impact is still poorly understood and
Landscape Evolution Modelling of naturally dammed rivers
van Gorp, Wouter; Temme, Arnaud J. A. M.; Baartman, Jantiene E. M.; Schoorl, Jeroen M.
2014-01-01
Natural damming of upland river systems, such as landslide or lava damming, occurs worldwide. Many dams fail shortly after their creation, while other dams are long-lived and therefore have a long-term impact on fluvial and landscape evolution. This long-term impact is still poorly understood and la
Modelling landslide dynamics in forested landscapes
Claessens, L.F.G.
2005-01-01
The research resulting in this thesis covers the geological, geomorphological and landscape ecology related themes of the project 'Podzolisation under Kauri (Agathis australis): for better or worse?' supported by theNetherlands Organisation fo
Modelling landslide dynamics in forested landscapes
Claessens, L.F.G.
2005-01-01
The research resulting in this thesis covers the geological, geomorphological and landscape ecology related themes of the project 'Podzolisation under Kauri (Agathis australis): for better or worse?' supported by theNetherlands Organisation
A Fractional Order Recovery SIR Model from a Stochastic Process.
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.
Stochastic Modelling of Shiroro River Stream flow Process
Directory of Open Access Journals (Sweden)
Musa, J. J
2013-01-01
Full Text Available Economists, social scientists and engineers provide insights into the drivers of anthropogenic climate change and the options for adaptation and mitigation, and yet other scientists, including geographers and biologists, study the impacts of climate change. This project concentrates mainly on the discharge from the Shiroro River. A stochastic approach is presented for modeling a time series by an Autoregressive Moving Average model (ARMA. The development and use of a stochastic stream flow model involves some basic steps such as obtain stream flow record and other information, Selecting models that best describes the marginal probability distribution of flows. The flow discharge of about 22 years (1990-2011 was gotten from the Meteorological Station at Shiroro and analyzed with three different models namely; Autoregressive (AR model, Autoregressive Moving Average (ARMA model and Autoregressive Integrated Moving Average (ARIMA model. The initial model identification is done by using the autocorrelation function (ACF and partial autocorrelation function (PACF. Based on the model analysis and evaluations, proper predictions for the effective usage of the flow from the river for farming activities and generation of power for both industrial and domestic us were made. It also highlights some recommendations to be made to utilize the possible potentials of the river effectively
Detecting Character Dependencies in Stochastic Models of Evolution.
Chakrabarty, Deeparnab; Kannan, Sampath; Tian, Kevin
2016-03-01
Stochastic models of biological evolution generally assume that different characters (runs of the stochastic process) are independent and identically distributed. In this article we determine the asymptotic complexity of detecting dependence for some fairly general models of evolution, but simple models of dependence. A key difference from much of the previous work is that our algorithms work without knowledge of the tree topology. Specifically, we consider various stochastic models of evolution ranging from the common ones used by biologists (such as Cavender-Farris-Neyman and Jukes-Cantor models) to very general ones where evolution of different characters can be governed by different transition matrices on each edge of the evolutionary tree (phylogeny). We also consider several models of dependence between two characters. In the most specific model, on each edge of the phylogeny the joint distribution of the dependent characters undergoes a perturbation of a fixed magnitude, in a fixed direction from what it would be if the characters were evolving independently. More general dependence models don't require such a strong "signal." Instead they only require that on each edge, the perturbation of the joint distribution has a significant component in a specific direction. Our main results are nearly tight bounds on the induced or operator norm of the transition matrices that would allow us to detect dependence efficiently for most models of evolution and dependence that we consider. We make essential use of a new concentration result for multistate random variables of a Markov random field on arbitrary trivalent trees: We show that the random variable counting the number of leaves in any particular state has variance that is subquadratic in the number of leaves.
Stochastic Multiscale Modeling of Polycrystalline Materials
2013-01-01
Thrun, and K. Ober- mayer , editors, Advances in Neural Information Processing Systems 15, pages 705–712, Cambridge, MA, 2003. MIT Press. [19] E Van der...modeling of polycrystalline IN 100. International Journal of Plasticity, 24(10):1694–1730, 2008. Special Issue in Honor of Jean - Louis Chaboche. [111] V. B
A STOCHASTIC GROWTH MODEL WITH ENVIRONMENTAL POLLUTION
Institute of Scientific and Technical Information of China (English)
Xueqing ZHANG; Shigeng HU; Haijun WANG
2006-01-01
Pollution is introduced into the utility function and the productive function in this paper.Under appropriate macroeconomic equilibrium conditions, this paper proves that the equilibrium levels of the main economic indexes are uniquely determined by the model parameters. This paper establishes the following alternative theorem: some factors affect the economic growth and the welfare in opposite way.
Stochastic sensitivity of a bistable energy model for visual perception
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.
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...
Environmental versus demographic variability in stochastic predator-prey models
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.
Stochastic delay models for molecular clocks and somite formation
Burrage, Kevin; Burrage, Pamela; Leier, André; Marquez-Lago, Tatiana T.
2007-12-01
Delays are an important feature in temporal models of genetic regulation due to slow biochemical processes such as transcription and translation. In this paper we show how to model intrinsic noise effects in a delayed setting by either using a delay stochastic simulation algorithm (DSSA) or, for larger and more complex systems, a generalized Binomial tau-leap method (Bt-DSSA). As a particular application we apply these ideas to modeling somite segmentation in zebrafish across a number of cells in which two linked oscillatory genes her1 and her7 are synchronized via Notch signaling between the cells.
Stochastic wind turbine modeling for individual pitch control
DEFF Research Database (Denmark)
Thomsen, Sven Creutz; Niemann, Hans Henrik; Poulsen, Niels Kjølstad
2009-01-01
By pitching the blades of a wind turbine individually it is possible to attenuate the asymmetric loads caused by a non-uniform wind field - this is denoted individual pitch control. In this work we investigate how to set up a simplified stochastic and deterministic description of the wind...... and a simplified description of the aerodynamics with sufficient detail to design model-based individual pitch controllers. Combined with a simplified model of the wind turbine, we exemplify how to use the model elements to systematically design an individual pitch controller. The design is investigated...
Stochastic Lattice Gas Model for a Predator-Prey System
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.
Dynamical behavior of a stochastic SVIR epidemic model with vaccination
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.
A stochastic model for tumor heterogeneity
Simone, Giuseppina
2015-01-01
Phenotype variations define heterogeneity of biological and molecular systems, which play a crucial role in several mechanisms. Heterogeneity has been demonstrated in tumor cells. Here, samples from blood of patients affected from colon tumor were analyzed and fished with a microfluidic assay based on galactose active moieties, and incubated, for culturing, in SCID mice. Following the experimental investigation, a model based on Markov theory was implemented and discussed to explain the equilibrium existing between phenotypes of subpopulations of cells sorted using the microfluidic assay. The model in combination with the experimental results had many implications for tumor heterogeneity. It displayed interconversion of phenotypes, as observed after experiments. The interconversion generates of metastatic cells and implies that targeting the CTCs will be not an efficient method to prevent tumor recurrence. Most importantly, understanding the transitions between cell phenotypes in cell population can boost the...
Stochastic modeling of a serial killer.
Simkin, M V; Roychowdhury, V P
2014-08-21
We analyze the time pattern of the activity of a serial killer, who during 12 years had murdered 53 people. The plot of the cumulative number of murders as a function of time is of "Devil's staircase" type. The distribution of the intervals between murders (step length) follows a power law with the exponent of 1.4. We propose a model according to which the serial killer commits murders when neuronal excitation in his brain exceeds certain threshold. We model this neural activity as a branching process, which in turn is approximated by a random walk. As the distribution of the random walk return times is a power law with the exponent 1.5, the distribution of the inter-murder intervals is thus explained. We illustrate analytical results by numerical simulation. Time pattern activity data from two other serial killers further substantiate our analysis.
Stochastic modeling of a serial killer
Simkin, M V
2012-01-01
We analyze the time pattern of the activity of a serial killer, who during twelve years had murdered 53 people. The plot of the cumulative number of murders as a function of time is of "Devil's staircase" type. The distribution of the intervals between murders (step length) follows a power law with the exponent of 1.4. We propose a model according to which the serial killer commits murders when neuronal excitation in his brain exceeds certain threshold. We model this neural activity as a branching process, which in turn is approximated by a random walk. As the distribution of the random walk return times is a power law with the exponent 1.5, the distribution of the inter-murder intervals is thus explained. We confirm analytical results by numerical simulation.
Stochastic Models for Common Failures of Components.
1984-03-01
common cause model, NUREG /CR-1401, 1980. [3] Church, J. D. and Harris, B., The estimation of reliability from stress- strength relationship...Fachband 2/1, 1980. [11] Lewis, H. W., Chairman, Risk Assessment Review Group Report to the U. S. Nuclear Regulatory Commission, NUREG /CR-0400, 1978. [12...Regulatory Commission, P.R.A. Procedures Guide, NUREG / CR-2300, 1983. [18] Vesely, W. E., Estimating Common Cause Failure Probabilities in Reliability and
Uncertainty quantification and stochastic modeling with Matlab
Souza de Cursi, Eduardo
2015-01-01
Uncertainty Quantification (UQ) is a relatively new research area which describes the methods and approaches used to supply quantitative descriptions of the effects of uncertainty, variability and errors in simulation problems and models. It is rapidly becoming a field of increasing importance, with many real-world applications within statistics, mathematics, probability and engineering, but also within the natural sciences. Literature on the topic has up until now been largely based on polynomial chaos, which raises difficulties when considering different types of approximation and does no
Stochastic modelling for financial bubbles and policy
Directory of Open Access Journals (Sweden)
John Fry
2015-12-01
Full Text Available In this paper, we draw upon the close relationship between statistical physics and mathematical finance to develop a suite of models for financial bubbles and crashes. By modifying previous approaches, we are able to derive novel analytical formulae for evaluation problems and for the expected timing of future change points. In particular, we help to explain why previous approaches have systematically overstated the timing of changes in market regime. The list of potential empirical applications is deep and wide ranging, and includes contemporary housing bubbles, the Eurozone crisis and the Crash of 2008.
Plant growth simulation for landscape scale hydrologic modeling
Landscape scale hydrologic models can be improved by incorporating realistic, process-oriented plant models for simulating crops, grasses, and woody species. The objective of this project was to present some approaches for plant modeling applicable to hydrologic models like SWAT that can affect the...
Agent based reasoning for the non-linear stochastic models of long-range memory
Kononovicius, A.; Gontis, V.
2012-02-01
We extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets. Stochastic version of the extended Kirman's agent based model is compared to the non-linear stochastic models of long-range memory in financial markets. The agent based model providing matching macroscopic description serves as a microscopic reasoning of the earlier proposed stochastic model exhibiting power law statistics.
Stochastic daily precipitation model with a heavy-tailed component
Neykov, N. M.; Neytchev, P. N.; Zucchini, W.
2014-09-01
Stochastic daily precipitation models are commonly used to generate scenarios of climate variability or change on a daily timescale. The standard models consist of two components describing the occurrence and intensity series, respectively. Binary logistic regression is used to fit the occurrence data, and the intensity series is modeled using a continuous-valued right-skewed distribution, such as gamma, Weibull or lognormal. The precipitation series is then modeled using the joint density, and standard software for generalized linear models can be used to perform the computations. A drawback of these precipitation models is that they do not produce a sufficiently heavy upper tail for the distribution of daily precipitation amounts; they tend to underestimate the frequency of large storms. In this study, we adapted the approach of Furrer and Katz (2008) based on hybrid distributions in order to correct for this shortcoming. In particular, we applied hybrid gamma-generalized Pareto (GP) and hybrid Weibull-GP distributions to develop a stochastic precipitation model for daily rainfall at Ihtiman in western Bulgaria. We report the results of simulations designed to compare the models based on the hybrid distributions and those based on the standard distributions. Some potential difficulties are outlined.
Stochastic Earthquake Rupture Modeling Using Nonparametric Co-Regionalization
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.
Stochastic representations of seismic anisotropy: transversely isotropic effective media models
Song, Xin; Jordan, Thomas H.
2017-06-01
We apply Jordan's self-consistent, second-order Born theory to compute the effective stiffness tensor for spatially stationary, stochastic models of 3-D elastic heterogeneity. The effects of local anisotropy can be separated from spatially extended geometric anisotropy by factoring the covariance of the moduli into a one-point variance tensor and a two-point correlation function. The latter is incorporated into the rescaled Kneer tensor, which is contracted against the one-point variance tensor to yield a second-order perturbation to the Voigt average. The theory can handle heterogeneity with orthotropic stochastic symmetry, but the calculations presented here are restricted to media with transversely isotropic (TI) statistics. We thoroughly investigate TI stochastic media that are locally isotropic. If the heterogeneity aspect ratio η is unity, the effective medium is isotropic, and the main effect of the scattering is to reduce the moduli. The two limiting regimes are a 2-D vertical stochastic bundle (η → 0), where the P and S anisotropy ratios are negative, and a 1-D horizontal stochastic laminate (η → ∞), where they are positive. The effective-medium equations for the latter yield the second-order approximation to Backus's exact solution, demonstrating the connection between Backus theory and self-consistent effective-media theory. Comparisons of the exact and second-order results for non-Gaussian laminates indicate that the approximation should be adequate for moduli heterogeneities less than about 30 per cent and thus valid for most seismological purposes. We apply the locally isotropic theory to data from the Los Angeles Basin to illustrate how it can be used to explain shallow seismic anisotropy. To assess the relative contributions of geometric and local anisotropy to the effective anisotropy, we consider a rotational model for stochastic anisotropic variability proposed by Jordan. In this model, the axis of a hexagonally symmetric stiffness
Stochastic Modelling of Past Volcanic Crises
Woo, Gordon
2017-04-01
It is customary to have continuous monitoring of volcanoes showing signs of unrest that might lead to an eruption threatening local populations. Despite scientific progress in estimating the probability of an eruption occurring, the concept of continuously tracking eruption probability remains a future aspiration for volcano risk analysts. During some recent major volcanic crises, attempts have been made to estimate the eruption probability in real time to support government decision-making. These include the possibility of an eruption of Katla linked with the eruption of Eyjafjallajökull in 2010, and the Santorini crisis of 2011-2012. However, once a crisis fades, interest in analyzing the probability that there might have been an eruption tends to wane. There is an inherent outcome bias well known to psychologists: if disaster was avoided, there is perceived to be little purpose in exploring scenarios where a disaster might have happened. Yet the better that previous periods of unrest are understood and modelled, the better that the risk associated with future periods of unrest will be quantified. Scenarios are counterfactual histories of the future. The task of quantifying the probability of an eruption for a past period of unrest should not be merely a statistical calculation, but should serve to elucidate and refine geophysical models of the eruptive processes. This is achieved by using a Bayesian Belief Network approach, in which monitoring observations are used to draw inferences on the underlying causal factors. Specifically, risk analysts are interested in identifying what dynamical perturbations might have tipped an unrest period in history over towards an eruption, and assessing what was the likelihood of such perturbations. Furthermore, in what ways might a historical volcano crisis have turned for the worse? Such important counterfactual questions are addressed in this paper.
Directory of Open Access Journals (Sweden)
F. Kwasniok
2012-11-01
Full Text Available A stochastic Duffing-type oscillator model, i.e noise-driven motion with inertia in a potential landscape, is considered for glacial millennial-scale climate transitions. The potential and noise parameters are estimated from a Greenland ice-core record using a nonlinear Kalman filter. For the period from 60 to 20 ky before present, a bistable potential with a deep well corresponding to a cold stadial state and a shallow well corresponding to a warm interstadial state is found. The system is in the strongly dissipative regime and can be very well approximated by an effective one-dimensional Langevin equation.
Analysis of a novel stochastic SIRS epidemic model with two different saturated incidence rates
Chang, Zhengbo; Meng, Xinzhu; Lu, Xiao
2017-04-01
This paper presents a stochastic SIRS epidemic model with two different nonlinear incidence rates and double epidemic asymmetrical hypothesis, and we devote to develop a mathematical method to obtain the threshold of the stochastic epidemic model. We firstly investigate the boundness and extinction of the stochastic system. Furthermore, we use Ito's formula, the comparison theorem and some new inequalities techniques of stochastic differential systems to discuss persistence in mean of two diseases on three cases. The results indicate that stochastic fluctuations can suppress the disease outbreak. Finally, numerical simulations about different noise disturbance coefficients are carried out to illustrate the obtained theoretical results.
A validation study of a stochastic model of human interaction
Burchfield, Mitchel Talmadge
The purpose of this dissertation is to validate a stochastic model of human interactions which is part of a developmentalism paradigm. Incorporating elements of ancient and contemporary philosophy and science, developmentalism defines human development as a progression of increasing competence and utilizes compatible theories of developmental psychology, cognitive psychology, educational psychology, social psychology, curriculum development, neurology, psychophysics, and physics. To validate a stochastic model of human interactions, the study addressed four research questions: (a) Does attitude vary over time? (b) What are the distributional assumptions underlying attitudes? (c) Does the stochastic model, {-}N{intlimitssbsp{-infty}{infty}}varphi(chi,tau)\\ Psi(tau)dtau, have utility for the study of attitudinal distributions and dynamics? (d) Are the Maxwell-Boltzmann, Fermi-Dirac, and Bose-Einstein theories applicable to human groups? Approximately 25,000 attitude observations were made using the Semantic Differential Scale. Positions of individuals varied over time and the logistic model predicted observed distributions with correlations between 0.98 and 1.0, with estimated standard errors significantly less than the magnitudes of the parameters. The results bring into question the applicability of Fisherian research designs (Fisher, 1922, 1928, 1938) for behavioral research based on the apparent failure of two fundamental assumptions-the noninteractive nature of the objects being studied and normal distribution of attributes. The findings indicate that individual belief structures are representable in terms of a psychological space which has the same or similar properties as physical space. The psychological space not only has dimension, but individuals interact by force equations similar to those described in theoretical physics models. Nonlinear regression techniques were used to estimate Fermi-Dirac parameters from the data. The model explained a high degree
High order discretization schemes for stochastic volatility models
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].
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...
Stochastic Models for Phylogenetic Trees on Higher-order Taxa
Aldous, David; Popovic, Lea
2007-01-01
Simple stochastic models for phylogenetic trees on species have been well studied. But much paleontology data concerns time series or trees on higher-order taxa, and any broad picture of relationships between extant groups requires use of higher-order taxa. A coherent model for trees on (say) genera should involve both a species-level model and a model for the classification scheme by which species are assigned to genera. We present a general framework for such models, and describe three alternate classification schemes. Combining with the species-level model of Aldous-Popovic (2005), one gets models for higher-order trees, and we initiate analytic study of such models. In particular we derive formulas for the lifetime of genera, for the distribution of number of species per genus, and for the offspring structure of the tree on genera.
Stochastic Differential Equations in Artificial Pancreas Modelling
DEFF Research Database (Denmark)
Duun-Henriksen, Anne Katrine
Type 1 diabetes accounts for approximately 5% of the total diabetes population. It is caused by the destruction of insulin producing β-cells in the pancreas. Various treatment strategies are available today, some of which include advanced technological devices such as an insulin pump and a contin......Type 1 diabetes accounts for approximately 5% of the total diabetes population. It is caused by the destruction of insulin producing β-cells in the pancreas. Various treatment strategies are available today, some of which include advanced technological devices such as an insulin pump...... and a continuous glucose monitor (CGM). Despite these technological advances in the treatment of type 1 diabetes, the disease still poses an enormous and constant challenge for the patients. To obtain tight glucose control the patients are required to assess how much they will eat prior to the meal. They have......, the control algorithm computes the optimal dose adjustment and sends instructions to the insulin pump. To develop control algorithms, mathematical models of the physiological dynamics are needed. They attempt to describe the significant dynamics of the system and hence they approximate the system behavior...
A Stochastic-Dynamic Model for Real Time Flood Forecasting
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.
On the deterministic and stochastic use of hydrologic models
Farmer, William H.; Vogel, Richard M.
2016-07-01
Environmental simulation models, such as precipitation-runoff watershed models, are increasingly used in a deterministic manner for environmental and water resources design, planning, and management. In operational hydrology, simulated responses are now routinely used to plan, design, and manage a very wide class of water resource systems. However, all such models are calibrated to existing data sets and retain some residual error. This residual, typically unknown in practice, is often ignored, implicitly trusting simulated responses as if they are deterministic quantities. In general, ignoring the residuals will result in simulated responses with distributional properties that do not mimic those of the observed responses. This discrepancy has major implications for the operational use of environmental simulation models as is shown here. Both a simple linear model and a distributed-parameter precipitation-runoff model are used to document the expected bias in the distributional properties of simulated responses when the residuals are ignored. The systematic reintroduction of residuals into simulated responses in a manner that produces stochastic output is shown to improve the distributional properties of the simulated responses. Every effort should be made to understand the distributional behavior of simulation residuals and to use environmental simulation models in a stochastic manner.
On the deterministic and stochastic use of hydrologic models
Farmer, William H.; Vogel, Richard M.
2016-01-01
Environmental simulation models, such as precipitation-runoff watershed models, are increasingly used in a deterministic manner for environmental and water resources design, planning, and management. In operational hydrology, simulated responses are now routinely used to plan, design, and manage a very wide class of water resource systems. However, all such models are calibrated to existing data sets and retain some residual error. This residual, typically unknown in practice, is often ignored, implicitly trusting simulated responses as if they are deterministic quantities. In general, ignoring the residuals will result in simulated responses with distributional properties that do not mimic those of the observed responses. This discrepancy has major implications for the operational use of environmental simulation models as is shown here. Both a simple linear model and a distributed-parameter precipitation-runoff model are used to document the expected bias in the distributional properties of simulated responses when the residuals are ignored. The systematic reintroduction of residuals into simulated responses in a manner that produces stochastic output is shown to improve the distributional properties of the simulated responses. Every effort should be made to understand the distributional behavior of simulation residuals and to use environmental simulation models in a stochastic manner.
A Stochastic Unit Commitment Model for a Local CHP Plant
DEFF Research Database (Denmark)
Ravn, Hans V.; Riisom, Jannik; Schaumburg-Müller, Camilla
2005-01-01
Local CHP development in Denmark has during the 90’s been characterised by large growth primarily due to government subsidies in the form of feed-in tariffs. In line with the liberalisation process in the EU, Danish local CHPs of a certain size must operate on market terms from 2005. This paper...... presents a stochastic unit commitment model for a single local CHP plant (consisting of CHP unit, boiler, and heat storage facility) which takes into account varying spot prices. Further, additional technology is implemented in the model in the form of an immersion heater. Simulations are conducted using...
Stochastic Volatility Model and Technical Analysis of Stock Price
Institute of Scientific and Technical Information of China (English)
Wei LIU; Wei An ZHENG
2011-01-01
In the stock market, some popular technical analysis indicators (e.g. Bollinger Bands, RSI,ROC, ...) are widely used by traders. They use the daily (hourly, weekly, ...) stock prices as samples of certain statistics and use the observed relative frequency to show the validity of those well-knownindicators. However, those samples are not independent, so the classical sample survey theory does not apply. In earlier research, we discussed the law of large numbers related to those observations when one assumes Black-Scholes' stock price model. In this paper, we extend the above results to the more popular stochastic volatility model.
Stochastic modeling of unresolved scales in complex systems
Institute of Scientific and Technical Information of China (English)
Jinqiao DUAN
2009-01-01
Model uncertainties or simulation uncertainties occur in math-ematical modeling of multiscale complex systems, since some mechanisms or scales are not represented (i.e., 'unresolved') due to a lack in our understand-ing of these mechanisms or limitations in computational power. The impact of these unresolved scales on the resolved scales needs to be parameterized or taken into account. A stochastic scheme is devised to take the effects of unresolved scales into account, in the context of solving nonlinear partial differential equations. An example is presented to demonstrate this strategy.
Stochastic modeling of uncertain mass characteristics in rigid body dynamics
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.
Stochastic Models of Defects in Wind Turbine Drivetrain Components
DEFF Research Database (Denmark)
Rafsanjani, Hesam Mirzaei; Sørensen, John Dalsgaard
2013-01-01
of the drivetrain will lead to substantial economic losses such as cost of lost energy production, cost of repairs, cost of crew and cost of transportation. For offshore wind turbines, the marine environment affects the repair & maintenance process and in some case because of the rush environment, the maintenance...... team cannot operate properly and the wind turbine does not work for several days and consequently the cost of lost energy increases drastically. In this paper is presented stochastic models for fatigue failure based on test data and the accuracy of the models are compared....
Diffusive dynamics and stochastic models of turbulent axisymmetric wakes
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.
A Stochastic Model of RNA Translation with Frameshifting
Bailey, Brenae
2011-10-01
Many viruses can produce different proteins from the same RNA sequence by encoding them in overlapping genes. One mechanism that causes the ribosomes of infected cells to decode both genes is called programmed ribosomal frameshifting (PRF). Although PRF has been recognized for 25 years, the mechanism is not well understood. We have developed a model that treats RNA translation as a stochastic process in which the transition probabilities are based on the free energies of local molecular interactions. The model reproduces observed translation rates and frameshift efficiencies, and can be used to predict the effects of mutations in the viral RNA sequence on both the mean translation rate and the frameshift efficiency.
Stochastic modeling of reinforced concrete structures exposed to chloride attack
DEFF Research Database (Denmark)
Sørensen, John Dalsgaard; Frier, Christian
2004-01-01
the reinforcement exceeds a critical threshold value. In the present paper a stochastic model is described by which the chloride content in a reinforced concrete structure can be estimated. The chloride ingress is modeled by a 2-dimensional diffusion process and the diffusion coefficient, surface chloride......For many reinforced concrete structures corrosion of reinforcement is an important problem since it can result in expensive maintenance and repair actions. Further, a significant reduction of the load-bearing capacity can occur. One mode of corrosion initiation is that the chloride content around...
Stochastic modeling of p53-regulated apoptosis upon radiation damage
Bhatt, Divesh; Bahar, Ivet
2011-01-01
We develop and study the evolution of a model of radiation induced apoptosis in cells using stochastic simulations, and identified key protein targets for effective mitigation of radiation damage. We identified several key proteins associated with cellular apoptosis using an extensive literature survey. In particular, we focus on the p53 transcription dependent and p53 transcription independent pathways for mitochondrial apoptosis. Our model reproduces known p53 oscillations following radiation damage. The key, experimentally testable hypotheses that we generate are - inhibition of PUMA is an effective strategy for mitigation of radiation damage if the treatment is administered immediately, at later stages following radiation damage, inhibition of tBid is more effective.
Optimizing ZigBee Security using Stochastic Model Checking
DEFF Research Database (Denmark)
Yuksel, Ender; Nielson, Hanne Riis; Nielson, Flemming
ZigBee is a fairly new but promising wireless sensor network standard that offers the advantages of simple and low resource communication. Nevertheless, security is of great concern to ZigBee, and enhancements are prescribed in the latest ZigBee specication: ZigBee-2007. In this technical report......, we identify an important gap in the specification on key updates, and present a methodology for determining optimal key update policies and security parameters. We exploit the stochastic model checking approach using the probabilistic model checker PRISM, and assess the security needs for realistic...
Optimizing ZigBee Security using Stochastic Model Checking
Yüksel, Ender; Nielson, Flemming; Fruth, Matthias; Kwiatkowska, Marta
2012-01-01
ZigBee is a fairly new but promising wireless sensor network standard that offers the advantages of simple and low resource communication. Nevertheless, security is of great concern to ZigBee, and enhancements are prescribed in the latest ZigBee specication: ZigBee-2007. In this technical report, we identify an important gap in the specification on key updates, and present a methodology for determining optimal key update policies and security parameters. We exploit the stochastic model checking approach using the probabilistic model checker PRISM, and assess the security needs for realistic application scenarios.
Generation of a stochastic precipitation model for the tropical climate
Ng, Jing Lin; Abd Aziz, Samsuzana; Huang, Yuk Feng; Wayayok, Aimrun; Rowshon, MK
2017-06-01
A tropical country like Malaysia is characterized by intense localized precipitation with temperatures remaining relatively constant throughout the year. A stochastic modeling of precipitation in the flood-prone Kelantan River Basin is particularly challenging due to the high intermittency of precipitation events of the northeast monsoons. There is an urgent need to have long series of precipitation in modeling the hydrological responses. A single-site stochastic precipitation model that includes precipitation occurrence and an intensity model was developed, calibrated, and validated for the Kelantan River Basin. The simulation process was carried out separately for each station without considering the spatial correlation of precipitation. The Markov chains up to the fifth-order and six distributions were considered. The daily precipitation data of 17 rainfall stations for the study period of 1954-2013 were selected. The results suggested that second- and third-order Markov chains were suitable for simulating monthly and yearly precipitation occurrences, respectively. The fifth-order Markov chain resulted in overestimation of precipitation occurrences. For the mean, distribution, and standard deviation of precipitation amounts, the exponential, gamma, log-normal, skew normal, mixed exponential, and generalized Pareto distributions performed superiorly. However, for the extremes of precipitation, the exponential and log-normal distributions were better while the skew normal and generalized Pareto distributions tend to show underestimations. The log-normal distribution was chosen as the best distribution to simulate precipitation amounts. Overall, the stochastic precipitation model developed is considered a convenient tool to simulate the characteristics of precipitation in the Kelantan River Basin.
A stochastic evolutionary model generating a mixture of exponential distributions
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.
Stochastic Models Predict User Behavior in Social Media
Hogg, Tad; Smith, Laura M
2013-01-01
User response to contributed content in online social media depends on many factors. These include how the site lays out new content, how frequently the user visits the site, how many friends the user follows, how active these friends are, as well as how interesting or useful the content is to the user. We present a stochastic modeling framework that relates a user's behavior to details of the site's user interface and user activity and describe a procedure for estimating model parameters from available data. We apply the model to study discussions of controversial topics on Twitter, specifically, to predict how followers of an advocate for a topic respond to the advocate's posts. We show that a model of user behavior that explicitly accounts for a user transitioning through a series of states before responding to an advocate's post better predicts response than models that fail to take these states into account. We demonstrate other benefits of stochastic models, such as their ability to identify users who a...
Stochastic modeling for river pollution of Sungai Perlis
Energy Technology Data Exchange (ETDEWEB)
Yunus, Nurul Izzaty Mohd.; Rahman, Haliza Abd. [Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia,81310 Johor Bahru, Johor (Malaysia); Bahar, Arifah [UTM-Centre of Industrial and Applied Mathematics (UTM-CIAM) Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia)
2015-02-03
River pollution has been recognized as a contributor to a wide range of health problems and disorders in human. It can pose health dangers to humans who come into contact with it, either directly or indirectly. Therefore, it is most important to measure the concentration of Biochemical Oxygen Demand (BOD) as a water quality parameter since the parameter has long been the basic means for determining the degree of water pollution in rivers. In this study, BOD is used as a parameter to estimate the water quality at Sungai Perlis. It has been observed that Sungai Perlis is polluted due to lack of management and improper use of resources. Therefore, it is of importance to model the Sungai Perlis water quality in order to describe and predict the water quality systems. The BOD concentration secondary data set is used which was extracted from the Drainage and Irrigation Department Perlis State website. The first order differential equation from Streeter – Phelps model was utilized as a deterministic model. Then, the model was developed into a stochastic model. Results from this study shows that the stochastic model is more adequate to describe and predict the BOD concentration and the water quality systems in Sungai Perlis by having smaller value of mean squared error (MSE)
A stochastic phase-field model determined from molecular dynamics
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.
A Stochastic Evolutionary Growth Model for Social Networks
Fenner, T; Loizou, G; Roussos, G; Fenner, Trevor; Levene, Mark; Loizou, George; Roussos, George
2006-01-01
We present a stochastic model for a social network, where new actors may join the network, existing actors may become inactive and, at a later stage, reactivate themselves. Our model captures the evolution of the network, assuming that actors attain new relations or become active according to the preferential attachment rule. We derive the mean-field equations for this stochastic model and show that, asymptotically, the distribution of actors obeys a power-law distribution. In particular, the model applies to social networks such as wireless local area networks, where users connect to access-points, and peer-to-peer networks where users connect to each other. As a proof of concept, we demonstrate the validity of our model empirically by analysing a public log containing traces from a wireless network at Dartmouth College over a period of three years. Analysing the data processed according to our model, we demonstrate that the distribution of user accesses is asymptotically a power-law distribution.
Analysis of effect factors-based stochastic network planning model
Institute of Scientific and Technical Information of China (English)
无
2008-01-01
Looking at all the indeterminate factors as a whole and regarding activity durations as independent random variables,the traditional stochastic network planning models ignore the inevitable relationship and dependence among activity durations when more than one activity is possibly affected by the same indeterminate factors.On this basis of analysis of indeterminate effect factors of durations,the effect factors-based stochastic network planning (EFBSNP) model is proposed,which emphasizes on the effects of not only logistic and organizational relationships,but also the dependent relationships,due to indeterminate factors among activity durations on the project period.By virtue of indeterminate factor analysis the model extracts and describes the quantitatively indeterminate effect factors,and then takes into account the indeterminate factors effect schedule by using the Monte Carlo simulation technique.The method is flexible enough to deal with effect factors and is coincident with practice.A software has been developed to simplify the model-based calculation,in VisualStudio.NET language.Finally,a case study is included to demonstrate the applicability of the proposed model and comparison is made with some advantages over the existing models.
Dynamic stochastic optimization models for air traffic flow management
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
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.
Process-Driven Ecological Modeling for Landscape Change Analysis
Altman, S.; Reif, M. K.; Swannack, T. M.
2013-12-01
can correlate to landscape pattern and that ecosystem function changes significantly as pattern changes. However, the number of links between landscape metrics and ecological processes are highly variable. Extensively studied processes such as biodiversity can be linked to numerous landscape metrics. In contrast, correlations between sediment cycling and landscape pattern have only been evaluated for a limited number of metrics. We are incorporating these data into a relational database linking landscape and ecological patterns, processes and metrics. The database will be used to parameterize site-specific landscape evolution models projecting how landscape pattern will change as a result of future ecosystem restoration projects. The model is a spatially-explicit, grid-based model that projects changes in community composition based on changes in soil elevations. To capture scalar differences in landscape change, local and regional landscape metrics are analyzed at each time step and correlated with ecological processes to determine how ecosystem function changes with scale over time.
Stochastic analysis and modeling of abnormally large waves
Kuznetsov, Konstantin; Shamin, Roman; Yudin, Aleksandr
2016-04-01
In this work stochastics of amplitude characteristics of waves during the freak waves formation was estimated. Also amplitude characteristics of freak wave was modeling with the help of the developed Markov model on the basis of in-situ and numerical experiments. Simulation using the Markov model showed a great similarity of results of in-situ wave measurements[1], results of directly calculating the Euler equations[2] and stochastic modeling data. This work is supported by grant of Russian Foundation for Basic Research (RFBR) n°16-35-00526. 1. K. I. Kuznetsov, A. A. Kurkin, E. N. Pelinovsky and P. D. Kovalev Features of Wind Waves at the Southeastern Coast of Sakhalin according to Bottom Pressure Measurements //Izvestiya, Atmospheric and Oceanic Physics, 2014, Vol. 50, No. 2, pp. 213-220. DOI: 10.1134/S0001433814020066. 2. R.V. Shamin, V.E. Zakharov, A.I. Dyachenko. How probability for freak wave formation can be found // THE EUROPEAN PHYSICAL JOURNAL - SPECIAL TOPICS Volume 185, Number 1, 113-124, DOI: 10.1140/epjst/e2010-01242-y 3.E. N. Pelinovsky, K. I. Kuznetsov, J. Touboul, A. A. Kurkin Bottom pressure caused by passage of a solitary wave within the strongly nonlinear Green-Naghdi model //Doklady Physics, April 2015, Volume 60, Issue 4, pp 171-174. DOI: 10.1134/S1028335815040035
Sampling from stochastic reservoir models constrained by production data
Energy Technology Data Exchange (ETDEWEB)
Hegstad, Bjoern Kaare
1997-12-31
When a petroleum reservoir is evaluated, it is important to forecast future production of oil and gas and to assess forecast uncertainty. This is done by defining a stochastic model for the reservoir characteristics, generating realizations from this model and applying a fluid flow simulator to the realizations. The reservoir characteristics define the geometry of the reservoir, initial saturation, petrophysical properties etc. This thesis discusses how to generate realizations constrained by production data, that is to say, the realizations should reproduce the observed production history of the petroleum reservoir within the uncertainty of these data. The topics discussed are: (1) Theoretical framework, (2) History matching, forecasting and forecasting uncertainty, (3) A three-dimensional test case, (4) Modelling transmissibility multipliers by Markov random fields, (5) Up scaling, (6) The link between model parameters, well observations and production history in a simple test case, (7) Sampling the posterior using optimization in a hierarchical model, (8) A comparison of Rejection Sampling and Metropolis-Hastings algorithm, (9) Stochastic simulation and conditioning by annealing in reservoir description, and (10) Uncertainty assessment in history matching and forecasting. 139 refs., 85 figs., 1 tab.
Modelling biochemical reaction systems by stochastic differential equations with reflection.
Niu, Yuanling; Burrage, Kevin; Chen, Luonan
2016-05-07
In this paper, we gave a new framework for modelling and simulating biochemical reaction systems by stochastic differential equations with reflection not in a heuristic way but in a mathematical way. The model is computationally efficient compared with the discrete-state Markov chain approach, and it ensures that both analytic and numerical solutions remain in a biologically plausible region. Specifically, our model mathematically ensures that species numbers lie in the domain D, which is a physical constraint for biochemical reactions, in contrast to the previous models. The domain D is actually obtained according to the structure of the corresponding chemical Langevin equations, i.e., the boundary is inherent in the biochemical reaction system. A variant of projection method was employed to solve the reflected stochastic differential equation model, and it includes three simple steps, i.e., Euler-Maruyama method was applied to the equations first, and then check whether or not the point lies within the domain D, and if not perform an orthogonal projection. It is found that the projection onto the closure D¯ is the solution to a convex quadratic programming problem. Thus, existing methods for the convex quadratic programming problem can be employed for the orthogonal projection map. Numerical tests on several important problems in biological systems confirmed the efficiency and accuracy of this approach.
Stochastic Car-Following Model for Explaining Nonlinear Traffic Phenomena
Meng, Jianping; Song, Tao; Dong, Liyun; Dai, Shiqiang
There is a common time parameter for representing the sensitivity or the lag (response) time of drivers in many car-following models. In the viewpoint of traffic psychology, this parameter could be considered as the perception-response time (PRT). Generally, this parameter is set to be a constant in previous models. However, PRT is actually not a constant but a random variable described by the lognormal distribution. Thus the probability can be naturally introduced into car-following models by recovering the probability of PRT. For demonstrating this idea, a specific stochastic model is constructed based on the optimal velocity model. By conducting simulations under periodic boundary conditions, it is found that some important traffic phenomena, such as the hysteresis and phantom traffic jams phenomena, can be reproduced more realistically. Especially, an interesting experimental feature of traffic jams, i.e., two moving jams propagating in parallel with constant speed stably and sustainably, is successfully captured by the present model.
Modelling long-distance seed dispersal in heterogeneous landscapes.
Energy Technology Data Exchange (ETDEWEB)
Levey, Douglas, J.; Tewlsbury, Joshua, J.; Bolker, Benjamin, M.
2008-01-01
1. Long-distance seed dispersal is difficult to measure, yet key to understanding plant population dynamics and community composition. 2. We used a spatially explicit model to predict the distribution of seeds dispersed long distances by birds into habitat patches of different shapes. All patches were the same type of habitat and size, but varied in shape. They occurred in eight experimental landscapes, each with five patches of four different shapes, 150 m apart in a matrix of mature forest. The model was parameterized with smallscale movement data collected from field observations of birds. In a previous study we validated the model by testing its predictions against observed patterns of seed dispersal in real landscapes with the same types and spatial configuration of patches as in the model. 3. Here we apply the model more broadly, examining how patch shape influences the probability of seed deposition by birds into patches, how dispersal kernels (distributions of dispersal distances) vary with patch shape and starting location, and how movement of seeds between patches is affected by patch shape. 4. The model predicts that patches with corridors or other narrow extensions receive higher numbers of seeds than patches without corridors or extensions. This pattern is explained by edgefollowing behaviour of birds. Dispersal distances are generally shorter in heterogeneous landscapes (containing patchy habitat) than in homogeneous landscapes, suggesting that patches divert the movement of seed dispersers, ‘holding’ them long enough to increase the probability of seed defecation in the patches. Dispersal kernels for seeds in homogeneous landscapes were smooth, whereas those in heterogenous landscapes were irregular. In both cases, long-distance (> 150 m) dispersal was surprisingly common, usually comprising approximately 50% of all dispersal events. 5. Synthesis . Landscape heterogeneity has a large influence on patterns of long-distance seed dispersal. Our
Stochastic downscaling of precipitation with neural network conditional mixture models
Carreau, Julie; Vrac, Mathieu
2011-10-01
We present a new class of stochastic downscaling models, the conditional mixture models (CMMs), which builds on neural network models. CMMs are mixture models whose parameters are functions of predictor variables. These functions are implemented with a one-layer feed-forward neural network. By combining the approximation capabilities of mixtures and neural networks, CMMs can, in principle, represent arbitrary conditional distributions. We evaluate the CMMs at downscaling precipitation data at three stations in the French Mediterranean region. A discrete (Dirac) component is included in the mixture to handle the "no-rain" events. Positive rainfall is modeled with a mixture of continuous densities, which can be either Gaussian, log-normal, or hybrid Pareto (an extension of the generalized Pareto). CMMs are stochastic weather generators in the sense that they provide a model for the conditional density of local variables given large-scale information. In this study, we did not look for the most appropriate set of predictors, and we settled for a decent set as the basis to compare the downscaling models. The set of predictors includes the National Centers for Environmental Prediction/National Center for Atmospheric Research (NCEP/NCAR) reanalyses sea level pressure fields on a 6 × 6 grid cell region surrounding the stations plus three date variables. We compare the three distribution families of CMMs with a simpler benchmark model, which is more common in the downscaling community. The difference between the benchmark model and CMMs is that positive rainfall is modeled with a single Gamma distribution. The results show that CMM with hybrid Pareto components outperforms both the CMM with Gaussian components and the benchmark model in terms of log-likelihood. However, there is no significant difference with the log-normal CMM. In general, the additional flexibility of mixture models, as opposed to using a single distribution, allows us to better represent the
Mapping of the stochastic Lotka-Volterra model to models of population genetics and game theory
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.
Investment timing decisions in a stochastic duopoly model
Energy Technology Data Exchange (ETDEWEB)
Marseguerra, Giovanni [Istituto di Econometria e CRANEC, Universita Cattolica del Sacro Cuore di Milan (Italy)]. E-mail: giovanni.marseguerra@unicatt.it; Cortelezzi, Flavia [Dipartimento di Diritto ed Economia delle Persone e delle Imprese, Universita dell' Insubria (Italy)]. E-mail: flavia.cortelezzi@uninsubria.it; Dominioni, Armando [CORE-Catholique de Louvain la Neuve (Belgium)]. E-mail: dominioni@core.ucl.ac.be
2006-08-15
We investigate the role of strategic considerations on the optimal timing of investment when firms compete for a new market (e.g., the provision of an innovative product) under demand uncertainty. Within a continuous time model of stochastic oligopoly, we show that strategic considerations are likely to be of limited impact when the new product is radically innovative whilst the fear of a rival's entry may deeply affect firms' decisions whenever innovation is to some extent limited. The welfare analysis shows surprisingly that the desirability of the different market structures considered does not depend on the fixed entry cost.
Parameter Estimation in Stochastic Grey-Box Models
DEFF Research Database (Denmark)
Kristensen, Niels Rode; Madsen, Henrik; Jørgensen, Sten Bay
2004-01-01
An efficient and flexible parameter estimation scheme for grey-box models in the sense of discretely, partially observed Ito stochastic differential equations with measurement noise is presented along with a corresponding software implementation. The estimation scheme is based on the extended...... Kalman filter and features maximum likelihood as well as maximum a posteriori estimation on multiple independent data sets, including irregularly sampled data sets and data sets with occasional outliers and missing observations. The software implementation is compared to an existing software tool...
Stochastic Simulator for modeling the transition to lasing
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.
Stochastical modeling for Viral Disease: Statistical Mechanics and Network Theory
Zhou, Hao; Deem, Michael
2007-04-01
Theoretical methods of statistical mechanics are developed and applied to study the immunological response against viral disease, such as dengue. We use this theory to show how the immune response to four different dengue serotypes may be sculpted. It is the ability of avian influenza, to change and to mix, that has given rise to the fear of a new human flu pandemic. Here we propose to utilize a scale free network based stochastic model to investigate the mitigation strategies and analyze the risk.
Chromosome mapping radiation hybrid data and stochastic spin models
Falk, C T
1995-01-01
This work approaches human chromosome mapping by developing algorithms for ordering markers associated with radiation hybrid data. Motivated by recent work of Boehnke et al. [1], we formulate the ordering problem by developing stochastic spin models to search for minimum-break marker configurations. As a particular application, the methods developed are applied to 14 human chromosome-21 markers tested by Cox et al. [2]. The methods generate configurations consistent with the best found by others. Additionally, we find that the set of low-lying configurations is described by a Markov-like ordering probability distribution. The distribution displays cluster correlations reflecting closely linked loci.
Chaos and Stochastic Models in Physics: Ontic and Epistemic Aspects
Caprara, Sergio
2016-01-01
There is a persistent confusion about determinism and predictability. In spite of the opinions of some eminent philosophers (e.g., Popper), it is possible to understand that the two concepts are completely unrelated. In few words we can say that determinism is ontic and has to do with how Nature behaves, while predictability is epistemic and is related to what the human beings are able to compute. An analysis of the Lyapunov exponents and the Kolmogorov-Sinai entropy shows how deterministic chaos, although with an epistemic character, is non subjective at all. This should clarify the role and content of stochastic models in the description of the physical world.
Optimal Tax Reduction by Depreciation : A Stochastic Model
Berg, M; De Waegenaere, A.M.B.; Wielhouwer, J.L.
1996-01-01
This paper focuses on the choice of a depreciation method, when trying to minimize the expected value of the present value of future tax payments.In a quite general model that allows for stochastic future cash- ows and a tax structure with tax brackets, we determine the optimal choice between the straight line depreciation method and a speci c accelerated depreciation method. We show how the distributions of the cash- ows, the discount rate, and the tax structure can in uence the optimal deci...
Kernel Principal Component Analysis for Stochastic Input Model Generation (PREPRINT)
2010-08-17
c ( )d Fig. 13. Contour of saturation at 0.2 PVI : MC mean (a) and variance (b) from experimental samples; MC mean (c) and variance (d) from PC...realizations. The contour plots of saturation at 0.2 PVI are given in Fig. 13. PVI represents dimensionless time and is computed as PVI = ∫ Q dt/Vp...stochastic input model provides a fast way to generate many realizations, which are consistent, in a useful sense, with the experimental data. PVI M ea n
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.
Stochastic Characteristics and Simulation of the Random Waypoint Mobility Model
Ahuja, A; Krishna, P Venkata
2012-01-01
Simulation results for Mobile Ad-Hoc Networks (MANETs) are fundamentally governed by the underlying Mobility Model. Thus it is imperative to find whether events functionally dependent on the mobility model 'converge' to well defined functions or constants. This shall ensure the long-run consistency among simulation performed by disparate parties. This paper reviews a work on the discrete Random Waypoint Mobility Model (RWMM), addressing its long run stochastic stability. It is proved that each model in the targeted discrete class of the RWMM satisfies Birkhoff's pointwise ergodic theorem [13], and hence time averaged functions on the mobility model surely converge. We also simulate the most common and general version of the RWMM to give insight into its working.
A stochastic evolutionary model for capturing human dynamics
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.
Stochastic Constraint Programming
Walsh, Toby
2009-01-01
To model combinatorial decision problems involving uncertainty and probability, we introduce stochastic constraint programming. Stochastic constraint programs contain both decision variables (which we can set) and stochastic variables (which follow a probability distribution). They combine together the best features of traditional constraint satisfaction, stochastic integer programming, and stochastic satisfiability. We give a semantics for stochastic constraint programs, and propose a number...
A spatial stochastic programming model for timber and core area management under risk of fires
Yu Wei; Michael Bevers; Dung Nguyen; Erin Belval
2014-01-01
Previous stochastic models in harvest scheduling seldom address explicit spatial management concerns under the influence of natural disturbances. We employ multistage stochastic programming models to explore the challenges and advantages of building spatial optimization models that account for the influences of random stand-replacing fires. Our exploratory test models...
Stochastic hyperfine interactions modeling library-Version 2
Zacate, Matthew O.; Evenson, William E.
2016-02-01
The stochastic hyperfine interactions modeling library (SHIML) provides a set of routines to assist in the development and application of stochastic models of hyperfine interactions. The library provides routines written in the C programming language that (1) read a text description of a model for fluctuating hyperfine fields, (2) set up the Blume matrix, upon which the evolution operator of the system depends, and (3) find the eigenvalues and eigenvectors of the Blume matrix so that theoretical spectra of experimental techniques that measure hyperfine interactions can be calculated. The optimized vector and matrix operations of the BLAS and LAPACK libraries are utilized. The original version of SHIML constructed and solved Blume matrices for methods that measure hyperfine interactions of nuclear probes in a single spin state. Version 2 provides additional support for methods that measure interactions on two different spin states such as Mössbauer spectroscopy and nuclear resonant scattering of synchrotron radiation. Example codes are provided to illustrate the use of SHIML to (1) generate perturbed angular correlation spectra for the special case of polycrystalline samples when anisotropy terms of higher order than A22 can be neglected and (2) generate Mössbauer spectra for polycrystalline samples for pure dipole or pure quadrupole transitions.
Model-based clustering in networks with Stochastic Community Finding
McDaid, Aaron F; Friel, Nial; Hurley, Neil J
2012-01-01
In the model-based clustering of networks, blockmodelling may be used to identify roles in the network. We identify a special case of the Stochastic Block Model (SBM) where we constrain the cluster-cluster interactions such that the density inside the clusters of nodes is expected to be greater than the density between clusters. This corresponds to the intuition behind community-finding methods, where nodes tend to clustered together if they link to each other. We call this model Stochastic Community Finding (SCF) and present an efficient MCMC algorithm which can cluster the nodes, given the network. The algorithm is evaluated on synthetic data and is applied to a social network of interactions at a karate club and at a monastery, demonstrating how the SCF finds the 'ground truth' clustering where sometimes the SBM does not. The SCF is only one possible form of constraint or specialization that may be applied to the SBM. In a more supervised context, it may be appropriate to use other specializations to guide...
Stochastic models for plant microtubule self-organization and structure.
Eren, Ezgi C; Dixit, Ram; Gautam, Natarajan
2015-12-01
One of the key enablers of shape and growth in plant cells is the cortical microtubule (CMT) system, which is a polymer array that forms an appropriately-structured scaffolding in each cell. Plant biologists have shown that stochastic dynamics and simple rules of interactions between CMTs can lead to a coaligned CMT array structure. However, the mechanisms and conditions that cause CMT arrays to become organized are not well understood. It is prohibitively time-consuming to use actual plants to study the effect of various genetic mutations and environmental conditions on CMT self-organization. In fact, even computer simulations with multiple replications are not fast enough due to the spatio-temporal complexity of the system. To redress this shortcoming, we develop analytical models and methods for expeditiously computing CMT system metrics that are related to self-organization and array structure. In particular, we formulate a mean-field model to derive sufficient conditions for the organization to occur. We show that growth-prone dynamics itself is sufficient to lead to organization in presence of interactions in the system. In addition, for such systems, we develop predictive methods for estimation of system metrics such as expected average length and number of CMTs over time, using a stochastic fluid-flow model, transient analysis, and approximation algorithms tailored to our problem. We illustrate the effectiveness of our approach through numerical test instances and discuss biological insights.
A computer model of insect traps in a landscape
Attractant-based trap networks are important elements of invasive insect detection, pest control, and basic research programs. We present a landscape-level spatially explicit model of trap networks that incorporates variable attractiveness of traps and a movement model for insect dispersion. We desc...
Modelling Real World Using Stochastic Processes and Filtration
Directory of Open Access Journals (Sweden)
Jaeger Peter
2016-03-01
Full Text Available First we give an implementation in Mizar [2] basic important definitions of stochastic finance, i.e. filtration ([9], pp. 183 and 185, adapted stochastic process ([9], p. 185 and predictable stochastic process ([6], p. 224. Second we give some concrete formalization and verification to real world examples.
Large scale stochastic spatio-temporal modelling with PCRaster
Karssenberg, Derek; Drost, Niels; Schmitz, Oliver; de Jong, Kor; Bierkens, Marc F. P.
2013-04-01
PCRaster is a software framework for building spatio-temporal models of land surface processes (http://www.pcraster.eu). Building blocks of models are spatial operations on raster maps, including a large suite of operations for water and sediment routing. These operations are available to model builders as Python functions. The software comes with Python framework classes providing control flow for spatio-temporal modelling, Monte Carlo simulation, and data assimilation (Ensemble Kalman Filter and Particle Filter). Models are built by combining the spatial operations in these framework classes. This approach enables modellers without specialist programming experience to construct large, rather complicated models, as many technical details of modelling (e.g., data storage, solving spatial operations, data assimilation algorithms) are taken care of by the PCRaster toolbox. Exploratory modelling is supported by routines for prompt, interactive visualisation of stochastic spatio-temporal data generated by the models. The high computational requirements for stochastic spatio-temporal modelling, and an increasing demand to run models over large areas at high resolution, e.g. in global hydrological modelling, require an optimal use of available, heterogeneous computing resources by the modelling framework. Current work in the context of the eWaterCycle project is on a parallel implementation of the modelling engine, capable of running on a high-performance computing infrastructure such as clusters and supercomputers. Model runs will be distributed over multiple compute nodes and multiple processors (GPUs and CPUs). Parallelization will be done by parallel execution of Monte Carlo realizations and sub regions of the modelling domain. In our approach we use multiple levels of parallelism, improving scalability considerably. On the node level we will use OpenCL, the industry standard for low-level high performance computing kernels. To combine multiple nodes we will use
Nonequilibrium Steady States of a Stochastic Model System.
Zhang, Qiwei
We study the nonequilibrium steady state of a stochastic lattice gas model, originally proposed by Katz, Lebowitz and Spohn (Phys. Rev. B 28: 1655 (1983)). Firstly, we solve the model on some small lattices exactly in order to see the general dependence of the steady state upon different parameters of the model. Nextly, we derive some analytical results for infinite lattice systems by taking some suitable limits. We then present some renormalization group results for the continuum version of the model via field theoretical techniques, the supersymmetry of the critical dynamics in zero field is also explored. Finally, we report some very recent 3-D Monte Carlo simulation results, which have been obtained by applying Multi-Spin-Coding techniques on a CDC vector supercomputer - Cyber 205 at John von Neumann Center.
Connection between stochastic and deterministic modelling of microbial growth.
Kutalik, Zoltán; Razaz, Moe; Baranyi, József
2005-01-21
We present in this paper various links between individual and population cell growth. Deterministic models of the lag and subsequent growth of a bacterial population and their connection with stochastic models for the lag and subsequent generation times of individual cells are analysed. We derived the individual lag time distribution inherent in population growth models, which shows that the Baranyi model allows a wide range of shapes for individual lag time distribution. We demonstrate that individual cell lag time distributions cannot be retrieved from population growth data. We also present the results of our investigation on the effect of the mean and variance of the individual lag time and the initial cell number on the mean and variance of the population lag time. These relationships are analysed theoretically, and their consequence for predictive microbiology research is discussed.
A stochastic model of ant trail following with two pheromones
Malíčková, Miriam; Boďová, Katarína
2015-01-01
Colonies of ants are systems of interacting living organisms in which interactions between individuals and their environment can produce a reliable performance of a complex tasks without the need for centralised control. Particularly remarkable is the process of formation of refined paths between the nest and food sources that is essential for successful foraging. We have designed a simple stochastic off-lattice model of ant foraging in the absence of direct communication. The motion of ants is governed by two components - a random change in direction of motion that improves ability to explore the environment (facilitating food discovery), and a non-random global indirect interaction component based on pheromone signalling. Using numerical simulations we have studied the model behaviour in different parameter regimes and tested the ability of our model ants to adapt to changes in the external environment. The simulated behaviour of ants in the model recapitulated the experimentally observed behaviours of real...
Modelling of nonlinear shoaling based on stochastic evolution equations
DEFF Research Database (Denmark)
Kofoed-Hansen, Henrik; Rasmussen, Jørgen Hvenekær
1998-01-01
A one-dimensional stochastic model is derived to simulate the transformation of wave spectra in shallow water including generation of bound sub- and super-harmonics, near-resonant triad wave interaction and wave breaking. Boussinesq type equations with improved linear dispersion characteristics...... are recast into evolution equations for the complex amplitudes, and serve as the underlying deterministic model. Next, a set of evolution equations for the cumulants is derived. By formally introducing the well-known Gaussian closure hypothesis, nonlinear evolution equations for the power spectrum...... and bispectrum are derived. A simple description of depth-induced wave breaking is incorporated in the model equations, assuming that the total rate of dissipation may be distributed in proportion to the spectral energy density on each discrete frequency. The proposed phase-averaged model is compared...
Stochastic models for inferring genetic regulation from microarray gene expression data.
Tian, Tianhai
2010-03-01
Microarray expression profiles are inherently noisy and many different sources of variation exist in microarray experiments. It is still a significant challenge to develop stochastic models to realize noise in microarray expression profiles, which has profound influence on the reverse engineering of genetic regulation. Using the target genes of the tumour suppressor gene p53 as the test problem, we developed stochastic differential equation models and established the relationship between the noise strength of stochastic models and parameters of an error model for describing the distribution of the microarray measurements. Numerical results indicate that the simulated variance from stochastic models with a stochastic degradation process can be represented by a monomial in terms of the hybridization intensity and the order of the monomial depends on the type of stochastic process. The developed stochastic models with multiple stochastic processes generated simulations whose variance is consistent with the prediction of the error model. This work also established a general method to develop stochastic models from experimental information.
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 ...
Developing Itô stochastic differential equation models for neuronal signal transduction pathways.
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
A quantitative model for integrating landscape evolution and soil formation
Vanwalleghem, T.; Stockmann, U.; Minasny, B.; McBratney, Alex B.
2013-06-01
evolution is closely related to soil formation. Quantitative modeling of the dynamics of soils and landscapes should therefore be integrated. This paper presents a model, named Model for Integrated Landscape Evolution and Soil Development (MILESD), which describes the interaction between pedogenetic and geomorphic processes. This mechanistic model includes the most significant soil formation processes, ranging from weathering to clay translocation, and combines these with the lateral redistribution of soil particles through erosion and deposition. The model is spatially explicit and simulates the vertical variation in soil horizon depth as well as basic soil properties such as texture and organic matter content. In addition, sediment export and its properties are recorded. This model is applied to a 6.25 km2 area in the Werrikimbe National Park, Australia, simulating soil development over a period of 60,000 years. Comparison with field observations shows how the model accurately predicts trends in total soil thickness along a catena. Soil texture and bulk density are predicted reasonably well, with errors of the order of 10%, however, field observations show a much higher organic carbon content than predicted. At the landscape scale, different scenarios with varying erosion intensity result only in small changes of landscape-averaged soil thickness, while the response of the total organic carbon stored in the system is higher. Rates of sediment export show a highly nonlinear response to soil development stage and the presence of a threshold, corresponding to the depletion of the soil reservoir, beyond which sediment export drops significantly.
Stochastic modeling of triple-frequency BeiDou signals: estimation, assessment and impact analysis
Li, Bofeng
2016-07-01
Stochastic models are important in global navigation satellite systems (GNSS) estimation problems. One can achieve reliable ambiguity resolution and precise positioning only by use of a suitable stochastic model. The BeiDou system has received increased research focus, but based only on empirical stochastic models from the knowledge of GPS. In this paper, we will systematically study the estimation, assessment and impacts of a triple-frequency BeiDou stochastic model. In our estimation problem, a single-difference, geometry-free functional model is used to extract pure random noise. A very sophisticated structure of unknown variance matrix is designed to allow the estimation of satellite-specific variances, cross correlations between two arbitrary frequencies, as well as the time correlations for phase and code observations per frequency. In assessing the stochastic models, six data sets with four brands of BeiDou receivers on short and zero-length baselines are processed, and the results are compared. In impact analysis of stochastic model, the performance of integer ambiguity resolution and positioning are numerically demonstrated using a realistic stochastic model. The results from ultrashort (shorter than 10 m) and zero-length baselines indicate that BeiDou stochastic models are affected by both observation and receiver brands. The observation variances have been modeled by an elevation-dependent function, but the modeling errors for geostationary earth orbit (GEO) satellites are larger than for inclined geosynchronous satellite orbit (IGSO) and medium earth orbit (MEO) satellites. The stochastic model is governed by both the internal errors of the receiver and external errors at the site. Different receivers have different capabilities for resisting external errors. A realistic stochastic model is very important for achieving ambiguity resolution with a high success rate and small false alarm and for determining realistic variances for position estimates. To
Zacharuk, Matthias; Stamen, Dolaptchiev; Ulrich, Achatz; Ilya, Timofeyev
2016-04-01
Due to the finite spatial resolution in numerical atmospheric models subgrid-scale (SGS) processes are excluded. A SGS parameterization of these excluded processes might improve the model on all scales. To parameterize the SGS processes we choose the MTV stochastic mode reduction (Majda, Timofeyev, Vanden-Eijnden 2001, A mathematical framework for stochastic climate models. Commun. Pure Appl. Math., 54:891-974). For this the model is separated into fast and slow processes. Using the statistics of the fast processes, a SGS parameterization is found. To identify fast processes the state vector of the model is separated into two state vectors. One vector is the average of the full model state vector in a coarse grid cell. The other describes SGS processes which are defined as the deviation of the full state vector from the coarse cell average. If the SGS vector decorrelates faster in time than the coarse grid vector, the interactions of SGS processes in the equation of the SGS processes are replaced by a local Ornstein-Uhlenbeck process. Afterwards the MTV SGS parameterization can be derived. This method was successfully applied on the Burgers-equation (Dolaptchiev et al. 2013, Stochastic closure for local averages in the finite-difference discretization of the forced Burgers equation. Theor. Comp. Fluid Dyn., 27:297-317). In this study we consider a more atmosphere like model and choose a model of the one dimensional shallow water equations (SWe). It will be shown, that the fine state vector decorrelates faster than the coarse state vector. Due to the non-polynomial form of the SWe in flux formulation an approximation of all 1/h (h = fluid depth) terms needs to be done, except of the interactions between coarse state vector to coarse state vector. It will be shown, that this approximation has only minor impact on the model results. In the following the model with the local Ornstein-Uhlenbeck process approximation of SGS interactions is analyzed and compared to the
Stochastic cellular automata model for stock market dynamics
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.
Aggregation patterns from nonlocal interactions: Discrete stochastic and continuum modeling
Hackett-Jones, Emily J.
2012-04-17
Conservation equations governed by a nonlocal interaction potential generate aggregates from an initial uniform distribution of particles. We address the evolution and formation of these aggregating steady states when the interaction potential has both attractive and repulsive singularities. Currently, no existence theory for such potentials is available. We develop and compare two complementary solution methods, a continuous pseudoinverse method and a discrete stochastic lattice approach, and formally show a connection between the two. Interesting aggregation patterns involving multiple peaks for a simple doubly singular attractive-repulsive potential are determined. For a swarming Morse potential, characteristic slow-fast dynamics in the scaled inverse energy is observed in the evolution to steady state in both the continuous and discrete approaches. The discrete approach is found to be remarkably robust to modifications in movement rules, related to the potential function. The comparable evolution dynamics and steady states of the discrete model with the continuum model suggest that the discrete stochastic approach is a promising way of probing aggregation patterns arising from two- and three-dimensional nonlocal interaction conservation equations. © 2012 American Physical Society.
Stochastic Modeling and Optimization in a Microgrid: A Survey
Directory of Open Access Journals (Sweden)
Hao Liang
2014-03-01
Full Text Available The future smart grid is expected to be an interconnected network of small-scale and self-contained microgrids, in addition to a large-scale electric power backbone. By utilizing microsources, such as renewable energy sources and combined heat and power plants, microgrids can supply electrical and heat loads in local areas in an economic and environment friendly way. To better adopt the intermittent and weather-dependent renewable power generation, energy storage devices, such as batteries, heat buffers and plug-in electric vehicles (PEVs with vehicle-to-grid systems can be integrated in microgrids. However, significant technical challenges arise in the planning, operation and control of microgrids, due to the randomness in renewable power generation, the buffering effect of energy storage devices and the high mobility of PEVs. The two-way communication functionalities of the future smart grid provide an opportunity to address these challenges, by offering the communication links for microgrid status information collection. However, how to utilize stochastic modeling and optimization tools for efficient, reliable and economic planning, operation and control of microgrids remains an open issue. In this paper, we investigate the key features of microgrids and provide a comprehensive literature survey on the stochastic modeling and optimization tools for a microgrid. Future research directions are also identified.
Outbreak and Extinction Dynamics in a Stochastic Ebola Model
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.
Stochastic Mode-Reduction in Models with Conservative Fast Sub-Systems
Jain, Ankita; Timofeyev, Ilya; Vanden-Eijnden, Eric
2014-01-01
A stochastic mode reduction strategy is applied to multiscale models with a deterministic energy-conserving fast sub-system. Specifically, we consider situations where the slow variables are driven stochastically and interact with the fast sub-system in an energy-conserving fashion. Since the stochastic terms only affect the slow variables, the fast-subsystem evolves deterministically on a sphere of constant energy. However, in the full model the radius of the sphere slowly changes due to the...
A Theory and Method for Modeling of Structures with Stochastic Parameters
Institute of Scientific and Technical Information of China (English)
ZHANG Bei; YIN Xue-gang; WANG Fu-ming; ZHONG Yan-hui; CAI Ying-chun
2004-01-01
In order to reflect the stochastic characteristics of structures more comprehensively and accurately, a theory and method for modeling of structures with stochastic parameters is presented by using probability finite element method and stochastic experiment data of structures based on the modeling of structures with deterministic parameters. Double-decker space frame is taken as an example to validate this theory and method, good results are gained.
Mathematical modeling and stochastic simulation of soft materials
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
Stochastic continuous time neurite branching models with tree and segment dependent rates
van Elburg, Ronald A. J.
2011-01-01
In this paper we introduce a continuous time stochastic neurite branching model closely related to the discrete time stochastic BES-model. The discrete time BES-model is underlying current attempts to simulate cortical development, but is difficult to analyze. The new continuous time formulation fac
Nonparametric Bayesian inference of the microcanonical stochastic block model
Peixoto, Tiago P
2016-01-01
A principled approach to characterize the hidden modular structure of networks is to formulate generative models, and then infer their parameters from data. When the desired structure is composed of modules or "communities", a suitable choice for this task is the stochastic block model (SBM), where nodes are divided into groups, and the placement of edges is conditioned on the group memberships. Here, we present a nonparametric Bayesian method to infer the modular structure of empirical networks, including the number of modules and their hierarchical organization. We focus on a microcanonical variant of the SBM, where the structure is imposed via hard constraints. We show how this simple model variation allows simultaneously for two important improvements over more traditional inference approaches: 1. Deeper Bayesian hierarchies, with noninformative priors replaced by sequences of priors and hyperpriors, that not only remove limitations that seriously degrade the inference on large networks, but also reveal s...
Excitability in a stochastic differential equation model for calcium puffs.
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.
Kinetic and Stochastic Models of 1D yeast ``prions"
Kunes, Kay
2005-03-01
Mammalian prion proteins (PrP) are of public health interest because of mad cow and chronic wasting diseases. Yeasts have proteins, which can undergo similar reconformation and aggregation processes to PrP; yeast ``prions" are simpler to experimentally study and model. Recent in vitro studies of the SUP35 protein (1), showed long aggregates and pure exponential growth of the misfolded form. To explain this data, we have extended a previous model of aggregation kinetics along with our own stochastic approach (2). Both models assume reconformation only upon aggregation, and include aggregate fissioning and an initial nucleation barrier. We find for sufficiently small nucleation rates or seeding by small dimer concentrations that we can achieve the requisite exponential growth and long aggregates.
Stochastic modelling of dissolved inorganic nitrogen in space and time
DEFF Research Database (Denmark)
Lophaven, Søren Nymand; Carstensen, Niels Jacob; Rootzen, Helle
2006-01-01
Environmental monitoring datasets often contain a large amount of missing values, and are characterized as being sampled over time on a distinct number of locations in the area of interest. This paper proposes a stochastic approach for modelling such data in space and time, by taking the spatial...... and temporal correlations in data into account. It has been applied to observations of dissolved inorganic nitrogen in the Kattegat during the period 1993-1997. Modelling results are shown as maps of the spatial distribution of dissolved inorganic nitrogen (DIN) in 4 weeks, representing the four seasons......, and as time series of DIN at three different locations. However, the model approach could be applied to any space-time point given by a location in the Kattegat area and a week in the 5-year period 1993-1997. The results can be interpreted from a biological and physical point of view. Thus for the specific...
A stochastic model of supercoiling-dependent transcription
Brackley, C A; Bentivogli, A; Corles, S; Gilber, N; Gonnella, G; Marenduzzo, D
2016-01-01
We propose a stochastic model for gene transcription coupled to DNA supercoiling, where we incorporate the experimental observation that polymerases create supercoiling as they unwind the DNA helix, and that these enzymes bind more favourably to regions where the genome is unwound. Within this model, we show that when the transcriptionally induced flux of supercoiling increases, there is a sharp crossover from a regime where torsional stresses relax quickly and gene transcription is random, to one where gene expression is highly correlated and tightly regulated by supercoiling. In the latter regime, the model displays transcriptional bursts, waves of supercoiling, and up-regulation of divergent or bidirectional genes. It also predicts that topological enzymes which relax twist and writhe should provide a pathway to down-regulate transcription. This article has been accepted for publication in Physical Review Letters, May 2016.
A stochastic delay differential model of cerebral autoregulation.
Panunzi, Simona; D'Orsi, Laura; Iacoviello, Daniela; De Gaetano, Andrea
2015-01-01
Mathematical models of the cardiovascular system and of cerebral autoregulation (CAR) have been employed for several years in order to describe the time course of pressures and flows changes subsequent to postural changes. The assessment of the degree of efficiency of cerebral auto regulation has indeed importance in the prognosis of such conditions as cerebro-vascular accidents or Alzheimer. In the quest for a simple but realistic mathematical description of cardiovascular control, which may be fitted onto non-invasive experimental observations after postural changes, the present work proposes a first version of an empirical Stochastic Delay Differential Equations (SDDEs) model. The model consists of a total of four SDDEs and two ancillary algebraic equations, incorporates four distinct delayed controls from the brain onto different components of the circulation, and is able to accurately capture the time course of mean arterial pressure and cerebral blood flow velocity signals, reproducing observed auto-correlated error around the expected drift.
Stochastic Model of Clogging in a Microfluidic Cell Sorter
Fai, Thomas; Rycroft, Chris
2016-11-01
Microfluidic devices for sorting cells by deformability show promise for various medical purposes, e.g. detecting sickle cell anemia and circulating tumor cells. One class of such devices consists of a two-dimensional array of narrow channels, each column containing several identical channels in parallel. Cells are driven through the device by an applied pressure or flow rate. Such devices allows for many cells to be sorted simultaneously, but cells eventually clog individual channels and change the device properties in an unpredictable manner. In this talk, we propose a stochastic model for the failure of such microfluidic devices by clogging and present preliminary theoretical and computational results. The model can be recast as an ODE that exhibits finite time blow-up under certain conditions. The failure time distribution is investigated analytically in certain limiting cases, and more realistic versions of the model are solved by computer simulation.
Stochastic effects in a discretized kinetic model of economic exchange
Bertotti, M. L.; Chattopadhyay, A. K.; Modanese, G.
2017-04-01
Linear stochastic models and discretized kinetic theory are two complementary analytical techniques used for the investigation of complex systems of economic interactions. The former employ Langevin equations, with an emphasis on stock trade; the latter is based on systems of ordinary differential equations and is better suited for the description of binary interactions, taxation and welfare redistribution. We propose a new framework which establishes a connection between the two approaches by introducing random fluctuations into the kinetic model based on Langevin and Fokker-Planck formalisms. Numerical simulations of the resulting model indicate positive correlations between the Gini index and the total wealth, that suggest a growing inequality with increasing income. Further analysis shows, in the presence of a conserved total wealth, a simultaneous decrease in inequality as social mobility increases, in conformity with economic data.
A Stochastic Delay Differential Model of Cerebral Autoregulation
Panunzi, Simona; D’Orsi, Laura; Iacoviello, Daniela; De Gaetano, Andrea
2015-01-01
Mathematical models of the cardiovascular system and of cerebral autoregulation (CAR) have been employed for several years in order to describe the time course of pressures and flows changes subsequent to postural changes. The assessment of the degree of efficiency of cerebral auto regulation has indeed importance in the prognosis of such conditions as cerebro-vascular accidents or Alzheimer. In the quest for a simple but realistic mathematical description of cardiovascular control, which may be fitted onto non-invasive experimental observations after postural changes, the present work proposes a first version of an empirical Stochastic Delay Differential Equations (SDDEs) model. The model consists of a total of four SDDEs and two ancillary algebraic equations, incorporates four distinct delayed controls from the brain onto different components of the circulation, and is able to accurately capture the time course of mean arterial pressure and cerebral blood flow velocity signals, reproducing observed auto-correlated error around the expected drift. PMID:25830915
Developing a new stochastic competitive model regarding inventory and price
Rashid, Reza; Bozorgi-Amiri, Ali; Seyedhoseini, S. M.
2015-01-01
Within the competition in today's business environment, the design of supply chains becomes more complex than before. This paper deals with the retailer's location problem when customers choose their vendors, and inventory costs have been considered for retailers. In a competitive location problem, price and location of facilities affect demands of customers; consequently, simultaneous optimization of the location and inventory system is needed. To prepare a realistic model, demand and lead time have been assumed as stochastic parameters, and queuing theory has been used to develop a comprehensive mathematical model. Due to complexity of the problem, a branch and bound algorithm has been developed, and its performance has been validated in several numerical examples, which indicated effectiveness of the algorithm. Also, a real case has been prepared to demonstrate performance of the model for real world.
A stochastic delay differential model of cerebral autoregulation.
Directory of Open Access Journals (Sweden)
Simona Panunzi
Full Text Available Mathematical models of the cardiovascular system and of cerebral autoregulation (CAR have been employed for several years in order to describe the time course of pressures and flows changes subsequent to postural changes. The assessment of the degree of efficiency of cerebral auto regulation has indeed importance in the prognosis of such conditions as cerebro-vascular accidents or Alzheimer. In the quest for a simple but realistic mathematical description of cardiovascular control, which may be fitted onto non-invasive experimental observations after postural changes, the present work proposes a first version of an empirical Stochastic Delay Differential Equations (SDDEs model. The model consists of a total of four SDDEs and two ancillary algebraic equations, incorporates four distinct delayed controls from the brain onto different components of the circulation, and is able to accurately capture the time course of mean arterial pressure and cerebral blood flow velocity signals, reproducing observed auto-correlated error around the expected drift.
Competition in the chemostat: A stochastic multi-species model and its asymptotic behavior.
Xu, Chaoqun; Yuan, Sanling
2016-10-01
In this paper, a stochastic chemostat model in which n-species compete for a single growth-limiting substrate is considered. We first prove that the stochastic model has an unique global positive solution by using the comparison theorem for stochastic differential equations. Then we show that when the noise intensities are small, the competition outcome in the chemostat is completely determined by the species' stochastic break-even concentrations: the species with the lowest stochastic break-even concentration survives and all other species will go to extinction in the chemostat. In other words, the competitive exclusion principle holds for stochastic competition chemostat model when the noise intensities are small. Moreover, we find that noise may change the destiny of the species. Numerical simulations illustrate the obtained results.
Methodology Aspects of Quantifying Stochastic Climate Variability with Dynamic Models
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
Prediction of interest rate using CKLS model with stochastic parameters
Energy Technology Data Exchange (ETDEWEB)
Ying, Khor Chia [Faculty of Computing and Informatics, Multimedia University, Jalan Multimedia, 63100 Cyberjaya, Selangor (Malaysia); Hin, Pooi Ah [Sunway University Business School, No. 5, Jalan Universiti, Bandar Sunway, 47500 Subang Jaya, Selangor (Malaysia)
2014-06-19
The Chan, Karolyi, Longstaff and Sanders (CKLS) model is a popular one-factor model for describing the spot interest rates. In this paper, the four parameters in the CKLS model are regarded as stochastic. The parameter vector φ{sup (j)} of four parameters at the (J+n)-th time point is estimated by the j-th window which is defined as the set consisting of the observed interest rates at the j′-th time point where j≤j′≤j+n. To model the variation of φ{sup (j)}, we assume that φ{sup (j)} depends on φ{sup (j−m)}, φ{sup (j−m+1)},…, φ{sup (j−1)} and the interest rate r{sub j+n} at the (j+n)-th time point via a four-dimensional conditional distribution which is derived from a [4(m+1)+1]-dimensional power-normal distribution. Treating the (j+n)-th time point as the present time point, we find a prediction interval for the future value r{sub j+n+1} of the interest rate at the next time point when the value r{sub j+n} of the interest rate is given. From the above four-dimensional conditional distribution, we also find a prediction interval for the future interest rate r{sub j+n+d} at the next d-th (d≥2) time point. The prediction intervals based on the CKLS model with stochastic parameters are found to have better ability of covering the observed future interest rates when compared with those based on the model with fixed parameters.
Temme, A. J. A. M.; Baartman, J. E. M.; Schoorl, J. M.
2009-10-01
In the light of increasing societal interest in the effects of climate change, geomorphologists face the task of discriminating between natural landscape changes and landscape changes that result from human-induced climate change. Landscape Evolution Models (LEMs) are available for this purpose, but their application for prediction of future landscapes is problematic. Calibration of LEMs on a sufficiently long palaeo-record of landscape change solves some of these problems, but large uncertainties in input (e.g. climate) records and process descriptions remain. Using one of the few existing ka-scale LEM studies as starting point, this paper explores how uncertainty in the LEM LAPSUS (LandscApe ProcesS modelling at mUlti dimensions and scaleS, [Schoorl, J.M., Veldkamp, A. and Bouma, J., 2002. Modeling water and soil redistribution in a dynamic landscape context. Soil Science Society of America Journal, 66(5): 1610-1619]) affects its ability to discriminate future one-thousand year landscape change under stable climate from that under human-induced changed climate. Okhombe Valley in South Africa is used as a case study area. LEM uncertainty is characterized by different levels of parameter uncertainty. Results indicate that even under high levels of parameter uncertainty, LEM LAPSUS discriminates between responses to stable and changed climates for some zones in the landscape. Although confidence in model predictions remains limited, some explorative and relative conclusions about the effects of changed climate on future landscape evolution of Okhombe Valley are drawn. Finally, some possibilities and limitations of future studies on landscape evolution under changing climate are discussed.
A Game-Based Approach for PCTL* Stochastic Model Checking with Evidence
Institute of Scientific and Technical Information of China (English)
Yang Liu; Xuan-Dong Li; Yan Ma
2016-01-01
Stochastic model checking is a recent extension and generalization of the classical model checking, which focuses on quantitatively checking the temporal property of a system model. PCTL* is one of the important quantitative property specification languages, which is strictly more expressive than either PCTL (probabilistic computation tree logic) or LTL (linear temporal logic) with probability bounds. At present, PCTL* stochastic model checking algorithm is very complicated, and cannot provide any relevant explanation of why a formula does or does not hold in a given model. For dealing with this problem, an intuitive and succinct approach for PCTL* stochastic model checking with evidence is put forward in this paper, which includes: presenting the game semantics for PCTL* in release-PNF (release-positive normal form), defining the PCTL*stochastic model checking game, using strategy solving in game to achieve the PCTL*stochastic model checking, and refining winning strategy as the evidence to certify stochastic model checking result. The soundness and the completeness of game-based PCTL* stochastic model checking are proved, and its complexity matches the known lower and upper bounds. The game-based PCTL*stochastic model checking algorithm is implemented in a visual prototype tool, and its feasibility is demonstrated by an illustrative example.
Insights into pre-reversal paleosecular variation from stochastic models
Peqini, Klaudio; Duka, Bejo; De Santis, Angelo
2015-09-01
To provide insights on the paleosecular variation of the geomagnetic field and the mechanism of reversals, long time series of the dipolar magnetic moment are generated by two different stochastic models, known as the “domino” model and the inhomogeneous Lebovitz disk dynamo model, with initial values taken from the from paleomagnetic data. The former model considers mutual interactions of N macrospins embedded in a uniformly rotating medium, where random forcing and dissipation act on each macrospin. With an appropriate set of the model’s parameters values, the series generated by this model have similar statistical behaviour to the time series of the SHA.DIF.14K model. The latter model is an extension of the classical two-disk Rikitake model, considering N dynamo elements with appropriate interactions between them. We varied the parameters set of both models aiming at generating suitable time series with behaviour similar to the long time series of recent secular variation (SV). Such series are then extended to the near future, obtaining reversals in both cases of models. The analysis of the time series generated by simulating the models show that the reversals appears after a persistent period of low intensity geomagnetic field, as it is occurring in the present times.
Insights into pre-reversal paleosecular variation from stochastic models
Directory of Open Access Journals (Sweden)
Klaudio ePeqini
2015-09-01
Full Text Available To provide insights on the paleosecular variation of the geomagnetic field and the mechanism of reversals, long time series of the dipolar magnetic moment are generated by two different stochastic models, known as the domino model and the inhomogeneous Lebovitz disk dynamo model, with initial values taken from the from paleomagnetic data. The former model considers mutual interactions of N macrospins embedded in a uniformly rotating medium, where random forcing and dissipation act on each macrospin. With an appropriate set of the model’s parameters values, the series generated by this model have similar statistical behaviour to the time series of the SHA.DIF.14K model. The latter model is an extension of the classical two-disk Rikitake model, considering N dynamo elements with appropriate interactions between them.We varied the parameters set of both models aiming at generating suitable time series with behaviour similar to the long time series of recent secular variation (SV. Such series are then extended to the near future, obtaining reversals in both cases of models. The analysis of the time series generated by simulating the models show that the reversals appears after a persistent period of low intensity geomagnetic field, as it is occurring in the present times.
ECOLOGICALLY STRATEGIC POINTS IN LANDSCAPE AND SURFACE MODEL
Institute of Scientific and Technical Information of China (English)
YuKongjian
1998-01-01
identify strategically important positions or portions in a landscape that may have important influence on the dynamics of the process. Assuming species movement across a landscape is a competitive gaming process of control and coverage against some resistance, this paper discusses a methodology of identifying strategic points according to the properties of resistance surfaces which resembles a gaming board as well as a topographic surface. Three types of resistance surfaces are discussed: The archipelago type: where lower resistance islands are surrounded by higher resistance matrix, representing such landscapes as agricultural fields dotted with native forest patches. The network type: where the lower resistance portions form a linear network surrounded by higher resistance matrix. The plateau type: where, areas with higher resistance are surrounded by lower resistance matrix. Accordingly, five types of strategic points are identified in terms of their locations. They are strategic points at saddle points , at intersections, at the center, at an edge and at a corner. Strategic points for biodivershy conservation are minimax points in a given resistance surface associated with the dispersibility of a certain species. A case study is used to illustrate the methodology. The rules leading to the strategic points are largely hypothetical, though supported by a limited number of observations. This approach may provide a framework and a new model of thinking for field observations of landscape ecology as well as landscape change.
Quasi-continuous stochastic simulation framework for flood modelling
Moustakis, Yiannis; Kossieris, Panagiotis; Tsoukalas, Ioannis; Efstratiadis, Andreas
2017-04-01
Typically, flood modelling in the context of everyday engineering practices is addressed through event-based deterministic tools, e.g., the well-known SCS-CN method. A major shortcoming of such approaches is the ignorance of uncertainty, which is associated with the variability of soil moisture conditions and the variability of rainfall during the storm event.In event-based modeling, the sole expression of uncertainty is the return period of the design storm, which is assumed to represent the acceptable risk of all output quantities (flood volume, peak discharge, etc.). On the other hand, the varying antecedent soil moisture conditions across the basin are represented by means of scenarios (e.g., the three AMC types by SCS),while the temporal distribution of rainfall is represented through standard deterministic patterns (e.g., the alternative blocks method). In order to address these major inconsistencies,simultaneously preserving the simplicity and parsimony of the SCS-CN method, we have developed a quasi-continuous stochastic simulation approach, comprising the following steps: (1) generation of synthetic daily rainfall time series; (2) update of potential maximum soil moisture retention, on the basis of accumulated five-day rainfall; (3) estimation of daily runoff through the SCS-CN formula, using as inputs the daily rainfall and the updated value of soil moisture retention;(4) selection of extreme events and application of the standard SCS-CN procedure for each specific event, on the basis of synthetic rainfall.This scheme requires the use of two stochastic modelling components, namely the CastaliaR model, for the generation of synthetic daily data, and the HyetosMinute model, for the disaggregation of daily rainfall to finer temporal scales. Outcomes of this approach are a large number of synthetic flood events, allowing for expressing the design variables in statistical terms and thus properly evaluating the flood risk.
A neuron model of stochastic resonance using rectangular pulse trains.
Danziger, Zachary; Grill, Warren M
2015-02-01
Stochastic resonance (SR) is the enhanced representation of a weak input signal by the addition of an optimal level of broadband noise to a nonlinear (threshold) system. Since its discovery in the 1980s the domain of input signals shown to be applicable to SR has greatly expanded, from strictly periodic inputs to now nearly any aperiodic forcing function. The perturbations (noise) used to generate SR have also expanded, from white noise to now colored noise or vibrational forcing. This study demonstrates that a new class of perturbations can achieve SR, namely, series of stochastically generated biphasic pulse trains. Using these pulse trains as 'noise' we show that a Hodgkin Huxley model neuron exhibits SR behavior when detecting weak input signals. This result is of particular interest to neuroscience because nearly all artificial neural stimulation is implemented with square current or voltage pulses rather than broadband noise, and this new method may facilitate the translation of the performance gains achievable through SR to neural prosthetics.
Stochastic models for spike trains of single neurons
Sampath, G
1977-01-01
1 Some basic neurophysiology 4 The neuron 1. 1 4 1. 1. 1 The axon 7 1. 1. 2 The synapse 9 12 1. 1. 3 The soma 1. 1. 4 The dendrites 13 13 1. 2 Types of neurons 2 Signals in the nervous system 14 2. 1 Action potentials as point events - point processes in the nervous system 15 18 2. 2 Spontaneous activi~ in neurons 3 Stochastic modelling of single neuron spike trains 19 3. 1 Characteristics of a neuron spike train 19 3. 2 The mathematical neuron 23 4 Superposition models 26 4. 1 superposition of renewal processes 26 4. 2 Superposition of stationary point processe- limiting behaviour 34 4. 2. 1 Palm functions 35 4. 2. 2 Asymptotic behaviour of n stationary point processes superposed 36 4. 3 Superposition models of neuron spike trains 37 4. 3. 1 Model 4. 1 39 4. 3. 2 Model 4. 2 - A superposition model with 40 two input channels 40 4. 3. 3 Model 4. 3 4. 4 Discussion 41 43 5 Deletion models 5. 1 Deletion models with 1nd~endent interaction of excitatory and inhibitory sequences 44 VI 5. 1. 1 Model 5. 1 The basic de...
Modeling of Testability Requirement Based on Generalized Stochastic Petri Nets
Institute of Scientific and Technical Information of China (English)
SU Yong-ding; QIU Jing; LIU Guan-jun; QIAN Yan-ling
2009-01-01
Testability design is an effective way to realize the fault detection and isolation. Its important step is to determine testability figures of merits (TFOM). Firstly, some influence factors for TFOMs are analyzed, such as the processes of system operation, maintenance and support, fault detection and isolation and so on. Secondly, a testability requirement analysis model is built based on generalized stochastic Petri net (GSPN). Then, the system's reachable states are analyzed based on the model, a Markov chain isomorphic with Petri net is constructed, a state transition matrix is created and the system's steady state probability is obtained. The relationship between the steady state availability and testability parameters can be revealed and reasoned. Finally, an example shows that the proposed method can determine TFOM, such as fault detection rate and fault isolation rate, effectively and reasonably.
Setting development goals using stochastic dynamical system models
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
Stochastic kinetic models: Dynamic independence, modularity and graphs
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...
A stochastic model of cascades in 2D turbulence
Ditlevsen, Peter D
2012-01-01
The dual cascade of energy and enstrophy in 2D turbulence cannot easily be understood in terms of an analog to the Richardson-Kolmogorov scenario describing the energy cascade in 3D turbulence. The coherent up- and downscale fluxes points to non-locality of interactions in spectral space, and thus the specific spatial structure of the flow could be important. Shell models, which lack spacial structure and have only local interactions in spectral space, indeed fail in reproducing the correct scaling for the inverse cascade of energy. In order to exclude the possibility that non-locality of interactions in spectral space is crucial for the dual cascade, we introduce a stochastic spectral model of the cascades which is local in spectral space and which shows the correct scaling for both the direct enstrophy - and the inverse energy cascade.
Stochastic Local Interaction (SLI) model: Bridging machine learning and geostatistics
Hristopulos, Dionissios T.
2015-12-01
Machine learning and geostatistics are powerful mathematical frameworks for modeling spatial data. Both approaches, however, suffer from poor scaling of the required computational resources for large data applications. We present the Stochastic Local Interaction (SLI) model, which employs a local representation to improve computational efficiency. SLI combines geostatistics and machine learning with ideas from statistical physics and computational geometry. It is based on a joint probability density function defined by an energy functional which involves local interactions implemented by means of kernel functions with adaptive local kernel bandwidths. SLI is expressed in terms of an explicit, typically sparse, precision (inverse covariance) matrix. This representation leads to a semi-analytical expression for interpolation (prediction), which is valid in any number of dimensions and avoids the computationally costly covariance matrix inversion.
Constructing a Stochastic Model of Bumblebee Flights from Experimental Data
Lenz, Friedrich; Klages, Rainer
2013-01-01
The movement of organisms is subject to a multitude of influences of widely varying character: from the bio-mechanics of the individual, over the interaction with the complex environment many animals live in, to evolutionary pressure and energy constraints. As the number of factors is large, it is very hard to build comprehensive movement models. Even when movement patterns in simple environments are analysed, the organisms can display very complex behaviours. While for largely undirected motion or long observation times the dynamics can sometimes be described by isotropic random walks, usually the directional persistence due to a preference to move forward has to be accounted for, e.g., by a correlated random walk. In this paper we generalise these descriptions to a model in terms of stochastic differential equations of Langevin type, which we use to analyse experimental search flight data of foraging bumblebees. Using parameter estimates we discuss the differences and similarities to correlated random walks...