Nonlinear and stochastic dynamics of coherent structures
DEFF Research Database (Denmark)
Rasmussen, Kim
1997-01-01
This Thesis deals with nonlinear and stochastic dynamics in systems which can be described by nonlinear Schrödinger models. Basically three different models are investigated. The first is the continuum nonlinear Schröndinger model in one and two dimensions generalized by a tunable degree of nonli......This Thesis deals with nonlinear and stochastic dynamics in systems which can be described by nonlinear Schrödinger models. Basically three different models are investigated. The first is the continuum nonlinear Schröndinger model in one and two dimensions generalized by a tunable degree...... introduces the nonlinear Schrödinger model in one and two dimensions, discussing the soliton solutions in one dimension and the collapse phenomenon in two dimensions. Also various analytical methods are described. Then a derivation of the nonlinear Schrödinger equation is given, based on a Davydov like...... system described by a tight-binding Hamiltonian and a harmonic lattice coupled b y a deformation-type potential. This derivation results in a two-dimensional nonline ar Schrödinger model, and considering the harmonic lattice to be in thermal contact with a heat bath w e show that the nonlinear...
Stochastic Erosion of Fractal Structure in Nonlinear Dynamical Systems
Agarwal, S.; Wettlaufer, J. S.
2014-12-01
We analyze the effects of stochastic noise on the Lorenz-63 model in the chaotic regime to demonstrate a set of general issues arising in the interpretation of data from nonlinear dynamical systems typical in geophysics. The model is forced using both additive and multiplicative, white and colored noise and it is shown that, through a suitable choice of the noise intensity, both additive and multiplicative noise can produce similar dynamics. We use a recently developed measure, histogram distance, to show the similarity between the dynamics produced by additive and multiplicative forcing. This phenomenon, in a nonlinear fractal structure with chaotic dynamics can be explained by understanding how noise affects the Unstable Periodic Orbits (UPOs) of the system. For delta-correlated noise, the UPOs erode the fractal structure. In the presence of memory in the noise forcing, the time scale of the noise starts to interact with the period of some UPO and, depending on the noise intensity, stochastic resonance may be observed. This also explains the mixing in dissipative dynamical systems in presence of white noise; as the fractal structure is smoothed, the decay of correlations is enhanced, and hence the rate of mixing increases with noise intensity.
Vindenes, Yngvild; Sæther, Bernt-Erik; Engen, Steinar
2012-12-01
The development of stochastic demography has largely been based on age structured populations, although other types of demographic structure, especially permanent and dynamic heterogeneity, are likely common in natural populations. The combination of stochasticity and demographic structure is a challenge for analyses of population dynamics and extinction risk, because the population structure will fluctuate around the stable structure and the population size shows transient fluctuations. However, by using a diffusion approximation for the total reproductive value, density-independent dynamics of structured populations can be described with only three population parameters: the expected population growth rate, the environmental variance and the demographic variance. These parameters depend on population structure via the state-specific vital rates and transition rates. Once they are found, the diffusion approximation represents a substantial reduction in model complexity. Here, we review and compare the key population parameters across a wide range of demographic structure, from the case of no structure to the most general case of dynamic heterogeneity, and for both discrete and continuous types. We focus on the demographic variance, but also show how environmental stochasticity can be included. This study brings together results from recent models, each considering a specific type of population structure, and places them in a general framework for structured populations. Comparison across different types of demographic structure reveals that the reproductive value is an essential concept for understanding how population structure affects stochastic dynamics and extinction risk. Copyright © 2011 Elsevier Inc. All rights reserved.
Structure Learning in Stochastic Non-linear Dynamical Systems
Morris, R. D.; Smelyanskiy, V. N.; Luchinsky, D. G.
2005-12-01
A great many systems can be modeled in the non-linear dynamical systems framework, as x˙ = f(x) + ξ(t), where f(x) is the potential function for the system, and ξ(t) is the driving noise. Modeling the potential using a set of basis functions, we derive the posterior for the basis coefficients. A more challenging problem is to determine the set of basis functions that are required to model a particular system. We show that using the Bayesian Information Criteria (BIC) to rank models, and the beam search technique, that we can accurately determine the structure of simple non-linear dynamical system models, and the structure of the coupling between non-linear dynamical systems where the individual systems are known. This last case has important ecological applications, for example in predator-prey systems, where the very structure of the coupling between predator-prey pairs can have great ecological significance.
Stochastic dynamics and irreversibility
Tomé, Tânia
2015-01-01
This textbook presents an exposition of stochastic dynamics and irreversibility. It comprises the principles of probability theory and the stochastic dynamics in continuous spaces, described by Langevin and Fokker-Planck equations, and in discrete spaces, described by Markov chains and master equations. Special concern is given to the study of irreversibility, both in systems that evolve to equilibrium and in nonequilibrium stationary states. Attention is also given to the study of models displaying phase transitions and critical phenomema both in thermodynamic equilibrium and out of equilibrium. These models include the linear Glauber model, the Glauber-Ising model, lattice models with absorbing states such as the contact process and those used in population dynamic and spreading of epidemic, probabilistic cellular automata, reaction-diffusion processes, random sequential adsorption and dynamic percolation. A stochastic approach to chemical reaction is also presented.The textbook is intended for students of ...
DEFF Research Database (Denmark)
Simonsen, Maria
This thesis treats stochastic systems with switching dynamics. Models with these characteristics are studied from several perspectives. Initially in a simple framework given in the form of stochastic differential equations and, later, in an extended form which fits into the framework of sliding...... mode control. It is investigated how to understand and interpret solutions to models of switched systems, which are exposed to discontinuous dynamics and uncertainties (primarily) in the form of white noise. The goal is to gain knowledge about the performance of the system by interpreting the solution...
Stochastic dynamics of new inflation
International Nuclear Information System (INIS)
Nakao, Ken-ichi; Nambu, Yasusada; Sasaki, Misao.
1988-07-01
We investigate thoroughly the dynamics of an inflation-driving scalar field in terms of an extended version of the stochastic approach proposed by Starobinsky and discuss the spacetime structure of the inflationary universe. To avoid any complications which might arise due to quantum gravity, we concentrate our discussions on the new inflationary universe scenario in which all the energy scales involved are well below the planck mass. The investigation is done both analytically and numerically. In particular, we present a full numerical analysis of the stochastic scalar field dynamics on the phase space. Then implications of the results are discussed. (author)
Patrick C. Tobin; Ottar N. Bjornstad
2005-01-01
Natural enemy-victim systems may exhibit a range of dynamic space-time patterns. We used a theoretical framework to study spatiotemporal structuring in a transient natural enemy-victim system subject to differential rates of dispersal, stochastic forcing, and nonlinear dynamics. Highly mobile natural enemies that attacked less mobile victims were locally spatially...
Stochastic ice stream dynamics.
Mantelli, Elisa; Bertagni, Matteo Bernard; Ridolfi, Luca
2016-08-09
Ice streams are narrow corridors of fast-flowing ice that constitute the arterial drainage network of ice sheets. Therefore, changes in ice stream flow are key to understanding paleoclimate, sea level changes, and rapid disintegration of ice sheets during deglaciation. The dynamics of ice flow are tightly coupled to the climate system through atmospheric temperature and snow recharge, which are known exhibit stochastic variability. Here we focus on the interplay between stochastic climate forcing and ice stream temporal dynamics. Our work demonstrates that realistic climate fluctuations are able to (i) induce the coexistence of dynamic behaviors that would be incompatible in a purely deterministic system and (ii) drive ice stream flow away from the regime expected in a steady climate. We conclude that environmental noise appears to be crucial to interpreting the past behavior of ice sheets, as well as to predicting their future evolution.
Stochastic dynamics and control
Sun, Jian-Qiao; Zaslavsky, George
2006-01-01
This book is a result of many years of author's research and teaching on random vibration and control. It was used as lecture notes for a graduate course. It provides a systematic review of theory of probability, stochastic processes, and stochastic calculus. The feedback control is also reviewed in the book. Random vibration analyses of SDOF, MDOF and continuous structural systems are presented in a pedagogical order. The application of the random vibration theory to reliability and fatigue analysis is also discussed. Recent research results on fatigue analysis of non-Gaussian stress proc
Dynamics of stochastic systems
Klyatskin, Valery I
2005-01-01
Fluctuating parameters appear in a variety of physical systems and phenomena. They typically come either as random forces/sources, or advecting velocities, or media (material) parameters, like refraction index, conductivity, diffusivity, etc. The well known example of Brownian particle suspended in fluid and subjected to random molecular bombardment laid the foundation for modern stochastic calculus and statistical physics. Other important examples include turbulent transport and diffusion of particle-tracers (pollutants), or continuous densities (''''oil slicks''''), wave propagation and scattering in randomly inhomogeneous media, for instance light or sound propagating in the turbulent atmosphere.Such models naturally render to statistical description, where the input parameters and solutions are expressed by random processes and fields.The fundamental problem of stochastic dynamics is to identify the essential characteristics of system (its state and evolution), and relate those to the input parameters of ...
Kobayashi, Tetsuya J.; Sughiyama, Yuki
2017-07-01
Adaptation in a fluctuating environment is a process of fueling environmental information to gain fitness. Living systems have gradually developed strategies for adaptation from random and passive diversification of the phenotype to more proactive decision making, in which environmental information is sensed and exploited more actively and effectively. Understanding the fundamental relation between fitness and information is therefore crucial to clarify the limits and universal properties of adaptation. In this work, we elucidate the underlying stochastic and information-thermodynamic structure in this process, by deriving causal fluctuation relations (FRs) of fitness and information. Combined with a duality between phenotypic and environmental dynamics, the FRs reveal the limit of fitness gain, the relation of time reversibility with the achievability of the limit, and the possibility and condition for gaining excess fitness due to environmental fluctuation. The loss of fitness due to causal constraints and the limited capacity of real organisms is shown to be the difference between time-forward and time-backward path probabilities of phenotypic and environmental dynamics. Furthermore, the FRs generalize the concept of the evolutionary stable state (ESS) for fluctuating environment by giving the probability that the optimal strategy on average can be invaded by a suboptimal one owing to rare environmental fluctuation. These results clarify the information-thermodynamic structures in adaptation and evolution.
Stochastic properties of the Friedman dynamical system
International Nuclear Information System (INIS)
Szydlowski, M.; Heller, M.; Golda, Z.
1985-01-01
Some mathematical aspects of the stochastic cosmology are discussed in the corresponding ordinary Friedman world models. In particulare, it is shown that if the strong and Lorentz energy conditions are known, or the potential function is given, or a stochastic measure is suitably defined then the structure of the phase plane of the Friedman dynamical system is determined. 11 refs., 2 figs. (author)
Stochastic dynamics of dengue epidemics.
de Souza, David R; Tomé, Tânia; Pinho, Suani T R; Barreto, Florisneide R; de Oliveira, Mário J
2013-01-01
We use a stochastic Markovian dynamics approach to describe the spreading of vector-transmitted diseases, such as dengue, and the threshold of the disease. The coexistence space is composed of two structures representing the human and mosquito populations. The human population follows a susceptible-infected-recovered (SIR) type dynamics and the mosquito population follows a susceptible-infected-susceptible (SIS) type dynamics. The human infection is caused by infected mosquitoes and vice versa, so that the SIS and SIR dynamics are interconnected. We develop a truncation scheme to solve the evolution equations from which we get the threshold of the disease and the reproductive ratio. The threshold of the disease is also obtained by performing numerical simulations. We found that for certain values of the infection rates the spreading of the disease is impossible, for any death rate of infected mosquitoes.
International Nuclear Information System (INIS)
Do, Duy Minh; Gao, Wei; Song, Chongmin; Tangaramvong, Sawekchai
2014-01-01
This paper presents the non-deterministic dynamic analysis and reliability assessment of structures with uncertain-but-bounded parameters under stochastic process excitations. Random ground acceleration from earthquake motion is adopted to illustrate the stochastic process force. The exact change ranges of natural frequencies, random vibration displacement and stress responses of structures are investigated under the interval analysis framework. Formulations for structural reliability are developed considering the safe boundary and structural random vibration responses as interval parameters. An improved particle swarm optimization algorithm, namely randomised lower sequence initialized high-order nonlinear particle swarm optimization algorithm, is employed to capture the better bounds of structural dynamic characteristics, random vibration responses and reliability. Three numerical examples are used to demonstrate the presented method for interval random vibration analysis and reliability assessment of structures. The accuracy of the results obtained by the presented method is verified by the randomised Quasi-Monte Carlo simulation method (QMCSM) and direct Monte Carlo simulation method (MCSM). - Highlights: • Interval uncertainty is introduced into structural random vibration responses. • Interval dynamic reliability assessments of structures are implemented. • Boundaries of structural dynamic response and reliability are achieved
Dynamic and Stochastic Structures of U.S. Cotton Exports and Mill Demand
Fadiga, Mohamadou L.
2006-01-01
This study employs a structural time-series method to model and estimate U.S. cotton exports and mill use. The results show that the stochastic process governing cotton export fluctuations is transitory, while the process pertaining to mill use has transitory, seasonal, and secular origins. The estimated structural relationships after accounting for the unobserved components indicate U.S. cotton exports respond directly to higher international price relative to domestic price of cotton, while...
Introduction to stochastic dynamic programming
Ross, Sheldon M; Lukacs, E
1983-01-01
Introduction to Stochastic Dynamic Programming presents the basic theory and examines the scope of applications of stochastic dynamic programming. The book begins with a chapter on various finite-stage models, illustrating the wide range of applications of stochastic dynamic programming. Subsequent chapters study infinite-stage models: discounting future returns, minimizing nonnegative costs, maximizing nonnegative returns, and maximizing the long-run average return. Each of these chapters first considers whether an optimal policy need exist-providing counterexamples where appropriate-and the
Stochastic runaway of dynamical systems
International Nuclear Information System (INIS)
Pfirsch, D.; Graeff, P.
1984-10-01
One-dimensional, stochastic, dynamical systems are well studied with respect to their stability properties. Less is known for the higher dimensional case. This paper derives sufficient and necessary criteria for the asymptotic divergence of the entropy (runaway) and sufficient ones for the moments of n-dimensional, stochastic, dynamical systems. The crucial implication is the incompressibility of their flow defined by the equations of motion in configuration space. Two possible extensions to compressible flow systems are outlined. (orig.)
A stochastic immersed boundary method for fluid-structure dynamics at microscopic length scales
International Nuclear Information System (INIS)
Atzberger, Paul J.; Kramer, Peter R.; Peskin, Charles S.
2007-01-01
In modeling many biological systems, it is important to take into account flexible structures which interact with a fluid. At the length scale of cells and cell organelles, thermal fluctuations of the aqueous environment become significant. In this work, it is shown how the immersed boundary method of [C.S. Peskin, The immersed boundary method, Acta Num. 11 (2002) 1-39.] for modeling flexible structures immersed in a fluid can be extended to include thermal fluctuations. A stochastic numerical method is proposed which deals with stiffness in the system of equations by handling systematically the statistical contributions of the fastest dynamics of the fluid and immersed structures over long time steps. An important feature of the numerical method is that time steps can be taken in which the degrees of freedom of the fluid are completely underresolved, partially resolved, or fully resolved while retaining a good level of accuracy. Error estimates in each of these regimes are given for the method. A number of theoretical and numerical checks are furthermore performed to assess its physical fidelity. For a conservative force, the method is found to simulate particles with the correct Boltzmann equilibrium statistics. It is shown in three dimensions that the diffusion of immersed particles simulated with the method has the correct scaling in the physical parameters. The method is also shown to reproduce a well-known hydrodynamic effect of a Brownian particle in which the velocity autocorrelation function exhibits an algebraic (τ -3/2 ) decay for long times [B.J. Alder, T.E. Wainwright, Decay of the Velocity Autocorrelation Function, Phys. Rev. A 1(1) (1970) 18-21]. A few preliminary results are presented for more complex systems which demonstrate some potential application areas of the method. Specifically, we present simulations of osmotic effects of molecular dimers, worm-like chain polymer knots, and a basic model of a molecular motor immersed in fluid subject to a
Dynamic stochastic optimization
Ermoliev, Yuri; Pflug, Georg
2004-01-01
Uncertainties and changes are pervasive characteristics of modern systems involving interactions between humans, economics, nature and technology. These systems are often too complex to allow for precise evaluations and, as a result, the lack of proper management (control) may create significant risks. In order to develop robust strategies we need approaches which explic itly deal with uncertainties, risks and changing conditions. One rather general approach is to characterize (explicitly or implicitly) uncertainties by objec tive or subjective probabilities (measures of confidence or belief). This leads us to stochastic optimization problems which can rarely be solved by using the standard deterministic optimization and optimal control methods. In the stochastic optimization the accent is on problems with a large number of deci sion and random variables, and consequently the focus ofattention is directed to efficient solution procedures rather than to (analytical) closed-form solu tions. Objective an...
Computational Methods in Stochastic Dynamics Volume 2
Stefanou, George; Papadopoulos, Vissarion
2013-01-01
The considerable influence of inherent uncertainties on structural behavior has led the engineering community to recognize the importance of a stochastic approach to structural problems. Issues related to uncertainty quantification and its influence on the reliability of the computational models are continuously gaining in significance. In particular, the problems of dynamic response analysis and reliability assessment of structures with uncertain system and excitation parameters have been the subject of continuous research over the last two decades as a result of the increasing availability of powerful computing resources and technology. This book is a follow up of a previous book with the same subject (ISBN 978-90-481-9986-0) and focuses on advanced computational methods and software tools which can highly assist in tackling complex problems in stochastic dynamic/seismic analysis and design of structures. The selected chapters are authored by some of the most active scholars in their respective areas and...
Dynamical and hamiltonian dilations of stochastic processes
International Nuclear Information System (INIS)
Baumgartner, B.; Gruemm, H.-R.
1982-01-01
This is a study of the problem, which stochastic processes could arise from dynamical systems by loss of information. The notions of ''dilation'' and ''approximate dilation'' of a stochastic process are introduced to give exact definitions of this particular relationship. It is shown that every generalized stochastic process is approximately dilatable by a sequence of dynamical systems, but for stochastic processes in full generality one needs nets. (Author)
Simons, S.L.; Bartelings, H.; Hamon, K.G.; Kempf, A.J.; Doring, R.; Temming, A.
2014-01-01
There is growing interest in bioeconomic models as tools for understanding pathways of fishery behaviour in order to assess the impact of alternative policies on natural resources. A model system is presented that combines stochastic age-structured population dynamics with complex fisheries
The dynamics of stochastic processes
DEFF Research Database (Denmark)
Basse-O'Connor, Andreas
In the present thesis the dynamics of stochastic processes is studied with a special attention to the semimartingale property. This is mainly motivated by the fact that semimartingales provide the class of the processes for which it is possible to define a reasonable stochastic calculus due...... to the Bichteler-Dellacherie Theorem. The semimartingale property of Gaussian processes is characterized in terms of their covariance function, spectral measure and spectral representation. In addition, representation and expansion of filtration results are provided as well. Special attention is given to moving...... average processes, and when the driving process is a Lévy or a chaos process the semimartingale property is characterized in the filtration spanned by the driving process and in the natural filtration when the latter is a Brownian motion. To obtain some of the above results an integrability of seminorm...
Research on nonlinear stochastic dynamical price model
International Nuclear Information System (INIS)
Li Jiaorui; Xu Wei; Xie Wenxian; Ren Zhengzheng
2008-01-01
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
Geometric integrators for stochastic rigid body dynamics
Tretyakov, Mikhail
2016-01-05
Geometric integrators play an important role in simulating dynamical systems on long time intervals with high accuracy. We will illustrate geometric integration ideas within the stochastic context, mostly on examples of stochastic thermostats for rigid body dynamics. The talk will be mainly based on joint recent work with Rusland Davidchak and Tom Ouldridge.
Geometric integrators for stochastic rigid body dynamics
Tretyakov, Mikhail
2016-01-01
Geometric integrators play an important role in simulating dynamical systems on long time intervals with high accuracy. We will illustrate geometric integration ideas within the stochastic context, mostly on examples of stochastic thermostats for rigid body dynamics. The talk will be mainly based on joint recent work with Rusland Davidchak and Tom Ouldridge.
Nambu mechanics for stochastic magnetization dynamics
Energy Technology Data Exchange (ETDEWEB)
Thibaudeau, Pascal, E-mail: pascal.thibaudeau@cea.fr [CEA DAM/Le Ripault, BP 16, F-37260 Monts (France); Nussle, Thomas, E-mail: thomas.nussle@cea.fr [CEA DAM/Le Ripault, BP 16, F-37260 Monts (France); CNRS-Laboratoire de Mathématiques et Physique Théorique (UMR 7350), Fédération de Recherche “Denis Poisson” (FR2964), Département de Physique, Université de Tours, Parc de Grandmont, F-37200 Tours (France); Nicolis, Stam, E-mail: stam.nicolis@lmpt.univ-tours.fr [CNRS-Laboratoire de Mathématiques et Physique Théorique (UMR 7350), Fédération de Recherche “Denis Poisson” (FR2964), Département de Physique, Université de Tours, Parc de Grandmont, F-37200 Tours (France)
2017-06-15
Highlights: • The LLG equation can be formulated in the framework of dissipative Nambu mechanics. • A master equation is derived for the spin dynamics for additive/multiplicative noises. • The derived stochastic equations are compared to moment equations obtained by closures. - Abstract: The Landau–Lifshitz–Gilbert (LLG) equation describes the dynamics of a damped magnetization vector that can be understood as a generalization of Larmor spin precession. The LLG equation cannot be deduced from the Hamiltonian framework, by introducing a coupling to a usual bath, but requires the introduction of additional constraints. It is shown that these constraints can be formulated elegantly and consistently in the framework of dissipative Nambu mechanics. This has many consequences for both the variational principle and for topological aspects of hidden symmetries that control conserved quantities. We particularly study how the damping terms of dissipative Nambu mechanics affect the consistent interaction of magnetic systems with stochastic reservoirs and derive a master equation for the magnetization. The proposals are supported by numerical studies using symplectic integrators that preserve the topological structure of Nambu equations. These results are compared to computations performed by direct sampling of the stochastic equations and by using closure assumptions for the moment equations, deduced from the master equation.
Stochastic Thermodynamics: A Dynamical Systems Approach
Directory of Open Access Journals (Sweden)
Tanmay Rajpurohit
2017-12-01
Full Text Available In this paper, we develop an energy-based, large-scale dynamical system model driven by Markov diffusion processes to present a unified framework for statistical thermodynamics predicated on a stochastic dynamical systems formalism. Specifically, using a stochastic state space formulation, we develop a nonlinear stochastic compartmental dynamical system model characterized by energy conservation laws that is consistent with statistical thermodynamic principles. In particular, we show that the difference between the average supplied system energy and the average stored system energy for our stochastic thermodynamic model is a martingale with respect to the system filtration. In addition, we show that the average stored system energy is equal to the mean energy that can be extracted from the system and the mean energy that can be delivered to the system in order to transfer it from a zero energy level to an arbitrary nonempty subset in the state space over a finite stopping time.
Dynamic and stochastic multi-project planning
Melchiors, Philipp
2015-01-01
This book deals with dynamic and stochastic methods for multi-project planning. Based on the idea of using queueing networks for the analysis of dynamic-stochastic multi-project environments this book addresses two problems: detailed scheduling of project activities, and integrated order acceptance and capacity planning. In an extensive simulation study, the book thoroughly investigates existing scheduling policies. To obtain optimal and near optimal scheduling policies new models and algorithms are proposed based on the theory of Markov decision processes and Approximate Dynamic programming.
DEFF Research Database (Denmark)
Nielsen, Søren R.K.
The present textbook has been written for a course on stochastic vibration theory that is being given on the 9th semester at Aalborg University for M.Sc. students in structural engineering.......The present textbook has been written for a course on stochastic vibration theory that is being given on the 9th semester at Aalborg University for M.Sc. students in structural engineering....
Energy Technology Data Exchange (ETDEWEB)
Karakulov, Valerii V., E-mail: valery@ftf.tsu.ru [National Research Tomsk State University, Tomsk, 634050 (Russian Federation); Smolin, Igor Yu., E-mail: smolin@ispms.ru, E-mail: skrp@ftf.tsu.ru; Skripnyak, Vladimir A., E-mail: smolin@ispms.ru, E-mail: skrp@ftf.tsu.ru [National Research Tomsk State University, Tomsk, 634050, Russia and Institute of Strength Physics and Materials Science SB RAS, Tomsk, 634055 (Russian Federation)
2014-11-14
Mechanical behavior of stochastic metal-ceramic composites with the aluminum matrix under high-rate deformation at shock-wave loading is numerically simulated with consideration for structural evolution. Effective values of mechanical parameters of metal-ceramic composites Al
Automated Flight Routing Using Stochastic Dynamic Programming
Ng, Hok K.; Morando, Alex; Grabbe, Shon
2010-01-01
Airspace capacity reduction due to convective weather impedes air traffic flows and causes traffic congestion. This study presents an algorithm that reroutes flights in the presence of winds, enroute convective weather, and congested airspace based on stochastic dynamic programming. A stochastic disturbance model incorporates into the reroute design process the capacity uncertainty. A trajectory-based airspace demand model is employed for calculating current and future airspace demand. The optimal routes minimize the total expected traveling time, weather incursion, and induced congestion costs. They are compared to weather-avoidance routes calculated using deterministic dynamic programming. The stochastic reroutes have smaller deviation probability than the deterministic counterpart when both reroutes have similar total flight distance. The stochastic rerouting algorithm takes into account all convective weather fields with all severity levels while the deterministic algorithm only accounts for convective weather systems exceeding a specified level of severity. When the stochastic reroutes are compared to the actual flight routes, they have similar total flight time, and both have about 1% of travel time crossing congested enroute sectors on average. The actual flight routes induce slightly less traffic congestion than the stochastic reroutes but intercept more severe convective weather.
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.
Pricing decisions in an experimental dynamic stochastic general equilibrium economy
Noussair, C.N.; Pfajfar, D.; Zsiros, J.
We construct experimental economies, populated with human subjects, with a structure based on a nonlinear version of the New Keynesian dynamic stochastic general equilibrium (DSGE) model. We analyze the behavior of firms’ pricing decisions in four different experimental economies. We consider how
Stochastic dynamic stiffness of surface footing for offshore wind turbines
DEFF Research Database (Denmark)
Vahdatirad, Mohammadjavad; Andersen, Lars Vabbersgaard; Ibsen, Lars Bo
2014-01-01
Highlights •This study concerns the stochastic dynamic stiffness of foundations for large offshore wind turbines. •A simple model of wind turbine structure with equivalent coupled springs at the base is utilized. •The level of uncertainties is quantified through a sensitivity analysis. •Estimation...
Stochastic evolution of the Universe: A possible dynamical process ...
Indian Academy of Sciences (India)
C Sivakumar
2017-12-11
Dec 11, 2017 ... https://doi.org/10.1007/s12043-017-1491-z. Stochastic evolution of the Universe: A possible dynamical process leading to fractal structures. C SIVAKUMAR. Department of Physics, Maharaja's College, Ernakulam 682 011, India. E-mail: thrisivc@yahoo.com. MS received 6 July 2016; revised 26 June 2017; ...
Stochastic deformation of a thermodynamic symplectic structure
Kazinski, P. O.
2008-01-01
A stochastic deformation of a thermodynamic symplectic structure is studied. The stochastic deformation procedure is analogous to the deformation of an algebra of observables like deformation quantization, but for an imaginary deformation parameter (the Planck constant). Gauge symmetries of thermodynamics and corresponding stochastic mechanics, which describes fluctuations of a thermodynamic system, are revealed and gauge fields are introduced. A physical interpretation to the gauge transform...
Stochastic integer programming by dynamic programming
Lageweg, B.J.; Lenstra, J.K.; Rinnooy Kan, A.H.G.; Stougie, L.; Ermoliev, Yu.; Wets, R.J.B.
1988-01-01
Stochastic integer programming is a suitable tool for modeling hierarchical decision situations with combinatorial features. In continuation of our work on the design and analysis of heuristics for such problems, we now try to find optimal solutions. Dynamic programming techniques can be used to
Sparse learning of stochastic dynamical equations
Boninsegna, Lorenzo; Nüske, Feliks; Clementi, Cecilia
2018-06-01
With the rapid increase of available data for complex systems, there is great interest in the extraction of physically relevant information from massive datasets. Recently, a framework called Sparse Identification of Nonlinear Dynamics (SINDy) has been introduced to identify the governing equations of dynamical systems from simulation data. In this study, we extend SINDy to stochastic dynamical systems which are frequently used to model biophysical processes. We prove the asymptotic correctness of stochastic SINDy in the infinite data limit, both in the original and projected variables. We discuss algorithms to solve the sparse regression problem arising from the practical implementation of SINDy and show that cross validation is an essential tool to determine the right level of sparsity. We demonstrate the proposed methodology on two test systems, namely, the diffusion in a one-dimensional potential and the projected dynamics of a two-dimensional diffusion process.
Spatial effect on stochastic dynamics of bistable evolutionary games
International Nuclear Information System (INIS)
So, Kohaku H Z; Ohtsuki, Hisashi; Kato, Takeo
2014-01-01
We consider the lifetimes of metastable states in bistable evolutionary games (coordination games), and examine how they are affected by spatial structure. A semiclassical approximation based on a path integral method is applied to stochastic evolutionary game dynamics with and without spatial structure, and the lifetimes of the metastable states are evaluated. It is shown that the population dependence of the lifetimes is qualitatively different in these two models. Our result indicates that spatial structure can accelerate the transitions between metastable states. (paper)
A Stochastic Model for Malaria Transmission Dynamics
Directory of Open Access Journals (Sweden)
Rachel Waema Mbogo
2018-01-01
Full Text Available Malaria is one of the three most dangerous infectious diseases worldwide (along with HIV/AIDS and tuberculosis. In this paper we compare the disease dynamics of the deterministic and stochastic models in order to determine the effect of randomness in malaria transmission dynamics. Relationships between the basic reproduction number for malaria transmission dynamics between humans and mosquitoes and the extinction thresholds of corresponding continuous-time Markov chain models are derived under certain assumptions. The stochastic model is formulated using the continuous-time discrete state Galton-Watson branching process (CTDSGWbp. The reproduction number of deterministic models is an essential quantity to predict whether an epidemic will spread or die out. Thresholds for disease extinction from stochastic models contribute crucial knowledge on disease control and elimination and mitigation of infectious diseases. Analytical and numerical results show some significant differences in model predictions between the stochastic and deterministic models. In particular, we find that malaria outbreak is more likely if the disease is introduced by infected mosquitoes as opposed to infected humans. These insights demonstrate the importance of a policy or intervention focusing on controlling the infected mosquito population if the control of malaria is to be realized.
Stochastic control theory dynamic programming principle
Nisio, Makiko
2015-01-01
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a nonlinear semigroup related to the dynamic programming principle (DPP), whose generator provides the Hamilton–Jacobi–Bellman (HJB) equation, and we characterize the value function via the nonlinear semigroup, besides the viscosity solution theory. When we control not only the dynamics of a system but also the terminal time of its evolution, control-stopping problems arise. This problem is treated in the same frameworks, via the nonlinear semigroup. Its results are applicable to the American option price problem. Zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games are studied via a nonlinear semigroup related to DPP (the min-ma...
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.
Stochastic beam dynamics in storage rings
International Nuclear Information System (INIS)
Pauluhn, A.
1993-12-01
In this thesis several approaches to stochastic dynamics in storage rings are investigated. In the first part the theory of stochastic differential equations and Fokker-Planck equations is used to describe the processes which have been assumed to be Markov processes. The mathematical theory of Markov processes is well known. Nevertheless, analytical solutions can be found only in special cases and numerical algorithms are required. Several numerical integration schemes for stochastic differential equations will therefore be tested in analytical solvable examples and then applied to examples from accelerator physics. In particular the stochastically perturbed synchrotron motion is treated. For the special case of a double rf system several perturbation theoretical methods for deriving the Fokker-Planck equation in the action variable are used and compared with numerical results. The second part is concerned with the dynamics of electron storage rings. Due to the synchrotron radiation the electron motion is influenced by damping and exciting forces. An algorithm for the computation of the density function in the phase space of such a dissipative stochastically excited system is introduced. The density function contains all information of a process, e.g. it determines the beam dimensions and the lifetime of a stored electron beam. The new algorithm consists in calculating a time propagator for the density function. By means of this propagator the time evolution of the density is modelled very computing time efficient. The method is applied to simple models of the beam-beam interaction (one-dimensional, round beams) and the results of the density calculations are compared with results obtained from multiparticle tracking. Furthermore some modifications of the algorithm are introduced to improve its efficiency concerning computing time and storage requirements. Finally, extensions to two-dimensional beam-beam models are described. (orig.)
Hybrid Differential Dynamic Programming with Stochastic Search
Aziz, Jonathan; Parker, Jeffrey; Englander, Jacob
2016-01-01
Differential dynamic programming (DDP) has been demonstrated as a viable approach to low-thrust trajectory optimization, namely with the recent success of NASAs Dawn mission. The Dawn trajectory was designed with the DDP-based Static Dynamic Optimal Control algorithm used in the Mystic software. Another recently developed method, Hybrid Differential Dynamic Programming (HDDP) is a variant of the standard DDP formulation that leverages both first-order and second-order state transition matrices in addition to nonlinear programming (NLP) techniques. Areas of improvement over standard DDP include constraint handling, convergence properties, continuous dynamics, and multi-phase capability. DDP is a gradient based method and will converge to a solution nearby an initial guess. In this study, monotonic basin hopping (MBH) is employed as a stochastic search method to overcome this limitation, by augmenting the HDDP algorithm for a wider search of the solution space.
Stochastic Dynamics through Hierarchically Embedded Markov Chains.
Vasconcelos, Vítor V; Santos, Fernando P; Santos, Francisco C; Pacheco, Jorge M
2017-02-03
Studying dynamical phenomena in finite populations often involves Markov processes of significant mathematical and/or computational complexity, which rapidly becomes prohibitive with increasing population size or an increasing number of individual configuration states. Here, we develop a framework that allows us to define a hierarchy of approximations to the stationary distribution of general systems that can be described as discrete Markov processes with time invariant transition probabilities and (possibly) a large number of states. This results in an efficient method for studying social and biological communities in the presence of stochastic effects-such as mutations in evolutionary dynamics and a random exploration of choices in social systems-including situations where the dynamics encompasses the existence of stable polymorphic configurations, thus overcoming the limitations of existing methods. The present formalism is shown to be general in scope, widely applicable, and of relevance to a variety of interdisciplinary problems.
Lectures on Dynamics of Stochastic Systems
Klyatskin, Valery I
2010-01-01
Fluctuating parameters appear in a variety of physical systems and phenomena. They typically come either as random forces/sources, or advecting velocities, or media (material) parameters, like refraction index, conductivity, diffusivity, etc. Models naturally render to statistical description, where random processes and fields express the input parameters and solutions. The fundamental problem of stochastic dynamics is to identify the essential characteristics of system (its state and evolution), and relate those to the input parameters of the system and initial data. This book is a revised a
Convergence of Sample Path Optimal Policies for Stochastic Dynamic Programming
National Research Council Canada - National Science Library
Fu, Michael C; Jin, Xing
2005-01-01
.... These results have practical implications for Monte Carlo simulation-based solution approaches to stochastic dynamic programming problems where it is impractical to extract the explicit transition...
Stochastic Relational Presheaves and Dynamic Logic for Contextuality
Directory of Open Access Journals (Sweden)
Kohei Kishida
2014-12-01
Full Text Available Presheaf models provide a formulation of labelled transition systems that is useful for, among other things, modelling concurrent computation. This paper aims to extend such models further to represent stochastic dynamics such as shown in quantum systems. After reviewing what presheaf models represent and what certain operations on them mean in terms of notions such as internal and external choices, composition of systems, and so on, I will show how to extend those models and ideas by combining them with ideas from other category-theoretic approaches to relational models and to stochastic processes. It turns out that my extension yields a transitional formulation of sheaf-theoretic structures that Abramsky and Brandenburger proposed to characterize non-locality and contextuality. An alternative characterization of contextuality will then be given in terms of a dynamic modal logic of the models I put forward.
Path to Stochastic Stability: Comparative Analysis of Stochastic Learning Dynamics in Games
Jaleel, Hassan; Shamma, Jeff S.
2018-01-01
dynamics: Log-Linear Learning (LLL) and Metropolis Learning (ML). Although both of these dynamics have the same stochastically stable states, LLL and ML correspond to different behavioral models for decision making. Moreover, we demonstrate through
Nonlinear and Stochastic Dynamics in the Heart
Qu, Zhilin; Hu, Gang; Garfinkel, Alan; Weiss, James N.
2014-01-01
In a normal human life span, the heart beats about 2 to 3 billion times. Under diseased conditions, a heart may lose its normal rhythm and degenerate suddenly into much faster and irregular rhythms, called arrhythmias, which may lead to sudden death. The transition from a normal rhythm to an arrhythmia is a transition from regular electrical wave conduction to irregular or turbulent wave conduction in the heart, and thus this medical problem is also a problem of physics and mathematics. In the last century, clinical, experimental, and theoretical studies have shown that dynamical theories play fundamental roles in understanding the mechanisms of the genesis of the normal heart rhythm as well as lethal arrhythmias. In this article, we summarize in detail the nonlinear and stochastic dynamics occurring in the heart and their links to normal cardiac functions and arrhythmias, providing a holistic view through integrating dynamics from the molecular (microscopic) scale, to the organelle (mesoscopic) scale, to the cellular, tissue, and organ (macroscopic) scales. We discuss what existing problems and challenges are waiting to be solved and how multi-scale mathematical modeling and nonlinear dynamics may be helpful for solving these problems. PMID:25267872
Nonlinear and stochastic dynamics in the heart
Energy Technology Data Exchange (ETDEWEB)
Qu, Zhilin, E-mail: zqu@mednet.ucla.edu [Department of Medicine (Cardiology), David Geffen School of Medicine, University of California, Los Angeles, CA 90095 (United States); Hu, Gang [Department of Physics, Beijing Normal University, Beijing 100875 (China); Garfinkel, Alan [Department of Medicine (Cardiology), David Geffen School of Medicine, University of California, Los Angeles, CA 90095 (United States); Department of Integrative Biology and Physiology, University of California, Los Angeles, CA 90095 (United States); Weiss, James N. [Department of Medicine (Cardiology), David Geffen School of Medicine, University of California, Los Angeles, CA 90095 (United States); Department of Physiology, David Geffen School of Medicine, University of California, Los Angeles, CA 90095 (United States)
2014-10-10
In a normal human life span, the heart beats about 2–3 billion times. Under diseased conditions, a heart may lose its normal rhythm and degenerate suddenly into much faster and irregular rhythms, called arrhythmias, which may lead to sudden death. The transition from a normal rhythm to an arrhythmia is a transition from regular electrical wave conduction to irregular or turbulent wave conduction in the heart, and thus this medical problem is also a problem of physics and mathematics. In the last century, clinical, experimental, and theoretical studies have shown that dynamical theories play fundamental roles in understanding the mechanisms of the genesis of the normal heart rhythm as well as lethal arrhythmias. In this article, we summarize in detail the nonlinear and stochastic dynamics occurring in the heart and their links to normal cardiac functions and arrhythmias, providing a holistic view through integrating dynamics from the molecular (microscopic) scale, to the organelle (mesoscopic) scale, to the cellular, tissue, and organ (macroscopic) scales. We discuss what existing problems and challenges are waiting to be solved and how multi-scale mathematical modeling and nonlinear dynamics may be helpful for solving these problems.
Nonlinear and stochastic dynamics in the heart
International Nuclear Information System (INIS)
Qu, Zhilin; Hu, Gang; Garfinkel, Alan; Weiss, James N.
2014-01-01
In a normal human life span, the heart beats about 2–3 billion times. Under diseased conditions, a heart may lose its normal rhythm and degenerate suddenly into much faster and irregular rhythms, called arrhythmias, which may lead to sudden death. The transition from a normal rhythm to an arrhythmia is a transition from regular electrical wave conduction to irregular or turbulent wave conduction in the heart, and thus this medical problem is also a problem of physics and mathematics. In the last century, clinical, experimental, and theoretical studies have shown that dynamical theories play fundamental roles in understanding the mechanisms of the genesis of the normal heart rhythm as well as lethal arrhythmias. In this article, we summarize in detail the nonlinear and stochastic dynamics occurring in the heart and their links to normal cardiac functions and arrhythmias, providing a holistic view through integrating dynamics from the molecular (microscopic) scale, to the organelle (mesoscopic) scale, to the cellular, tissue, and organ (macroscopic) scales. We discuss what existing problems and challenges are waiting to be solved and how multi-scale mathematical modeling and nonlinear dynamics may be helpful for solving these problems
Stochastic Finite Elements in Reliability-Based Structural Optimization
DEFF Research Database (Denmark)
Sørensen, John Dalsgaard; Engelund, S.
1995-01-01
Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect to optimi......Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect...... to optimization variables can be performed. A computer implementation is described and an illustrative example is given....
Stochastic Finite Elements in Reliability-Based Structural Optimization
DEFF Research Database (Denmark)
Sørensen, John Dalsgaard; Engelund, S.
Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect to optimi......Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect...
Dynamics of non-holonomic systems with stochastic transport
Holm, D. D.; Putkaradze, V.
2018-01-01
This paper formulates a variational approach for treating observational uncertainty and/or computational model errors as stochastic transport in dynamical systems governed by action principles under non-holonomic constraints. For this purpose, we derive, analyse and numerically study the example of an unbalanced spherical ball rolling under gravity along a stochastic path. Our approach uses the Hamilton-Pontryagin variational principle, constrained by a stochastic rolling condition, which we show is equivalent to the corresponding stochastic Lagrange-d'Alembert principle. In the example of the rolling ball, the stochasticity represents uncertainty in the observation and/or error in the computational simulation of the angular velocity of rolling. The influence of the stochasticity on the deterministically conserved quantities is investigated both analytically and numerically. Our approach applies to a wide variety of stochastic, non-holonomically constrained systems, because it preserves the mathematical properties inherited from the variational principle.
Dynamic analysis of stochastic transcription cycles.
Directory of Open Access Journals (Sweden)
Claire V Harper
2011-04-01
Full Text Available In individual mammalian cells the expression of some genes such as prolactin is highly variable over time and has been suggested to occur in stochastic pulses. To investigate the origins of this behavior and to understand its functional relevance, we quantitatively analyzed this variability using new mathematical tools that allowed us to reconstruct dynamic transcription rates of different reporter genes controlled by identical promoters in the same living cell. Quantitative microscopic analysis of two reporter genes, firefly luciferase and destabilized EGFP, was used to analyze the dynamics of prolactin promoter-directed gene expression in living individual clonal and primary pituitary cells over periods of up to 25 h. We quantified the time-dependence and cyclicity of the transcription pulses and estimated the length and variation of active and inactive transcription phases. We showed an average cycle period of approximately 11 h and demonstrated that while the measured time distribution of active phases agreed with commonly accepted models of transcription, the inactive phases were differently distributed and showed strong memory, with a refractory period of transcriptional inactivation close to 3 h. Cycles in transcription occurred at two distinct prolactin-promoter controlled reporter genes in the same individual clonal or primary cells. However, the timing of the cycles was independent and out-of-phase. For the first time, we have analyzed transcription dynamics from two equivalent loci in real-time in single cells. In unstimulated conditions, cells showed independent transcription dynamics at each locus. A key result from these analyses was the evidence for a minimum refractory period in the inactive-phase of transcription. The response to acute signals and the result of manipulation of histone acetylation was consistent with the hypothesis that this refractory period corresponded to a phase of chromatin remodeling which significantly
Path to Stochastic Stability: Comparative Analysis of Stochastic Learning Dynamics in Games
Jaleel, Hassan
2018-04-08
Stochastic stability is a popular solution concept for stochastic learning dynamics in games. However, a critical limitation of this solution concept is its inability to distinguish between different learning rules that lead to the same steady-state behavior. We address this limitation for the first time and develop a framework for the comparative analysis of stochastic learning dynamics with different update rules but same steady-state behavior. We present the framework in the context of two learning dynamics: Log-Linear Learning (LLL) and Metropolis Learning (ML). Although both of these dynamics have the same stochastically stable states, LLL and ML correspond to different behavioral models for decision making. Moreover, we demonstrate through an example setup of sensor coverage game that for each of these dynamics, the paths to stochastically stable states exhibit distinctive behaviors. Therefore, we propose multiple criteria to analyze and quantify the differences in the short and medium run behavior of stochastic learning dynamics. We derive and compare upper bounds on the expected hitting time to the set of Nash equilibria for both LLL and ML. For the medium to long-run behavior, we identify a set of tools from the theory of perturbed Markov chains that result in a hierarchical decomposition of the state space into collections of states called cycles. We compare LLL and ML based on the proposed criteria and develop invaluable insights into the comparative behavior of the two dynamics.
International Nuclear Information System (INIS)
Kim, Du Gi
2005-08-01
This book introduces summary of structural dynamics, the reason of learning of structural dynamics, single-degree of freedom system, simple harmonic vibration and application, numerical analysis method, such as time domain and frequency domain and nonlinear system, multi-degree of freedom system random vibration over discrete distribution, continuous distribution and extreme value distribution, circumstance vibration, earth quake vibration, including input earthquake, and earthquake-resistant design and capacity spectrum method, wind oscillation wave vibration, vibration control and maintenance control.
Stochastic dynamics for reinfection by transmitted diseases
Barros, Alessandro S.; Pinho, Suani T. R.
2017-06-01
The use of stochastic models to study the dynamics of infectious diseases is an important tool to understand the epidemiological process. For several directly transmitted diseases, reinfection is a relevant process, which can be expressed by endogenous reactivation of the pathogen or by exogenous reinfection due to direct contact with an infected individual (with smaller reinfection rate σ β than infection rate β ). In this paper, we examine the stochastic susceptible, infected, recovered, infected (SIRI) model simulating the endogenous reactivation by a spontaneous reaction, while exogenous reinfection by a catalytic reaction. Analyzing the mean-field approximations of a site and pairs of sites, and Monte Carlo (MC) simulations for the particular case of exogenous reinfection, we obtained continuous phase transitions involving endemic, epidemic, and no transmission phases for the simple approach; the approach of pairs is better to describe the phase transition from endemic phase (susceptible, infected, susceptible (SIS)-like model) to epidemic phase (susceptible, infected, and removed or recovered (SIR)-like model) considering the comparison with MC results; the reinfection increases the peaks of outbreaks until the system reaches endemic phase. For the particular case of endogenous reactivation, the approach of pairs leads to a continuous phase transition from endemic phase (SIS-like model) to no transmission phase. Finally, there is no phase transition when both effects are taken into account. We hope the results of this study can be generalized for the susceptible, exposed, infected, and removed or recovered (SEIRIE) model, for which the state exposed (infected but not infectious), describing more realistically transmitted diseases such as tuberculosis. In future work, we also intend to investigate the effect of network topology on phase transitions when the SIRI model describes both transmitted diseases (σ social contagions (σ >1 ).
Extended Plefka expansion for stochastic dynamics
International Nuclear Information System (INIS)
Bravi, B; Sollich, P; Opper, M
2016-01-01
We propose an extension of the Plefka expansion, which is well known for the dynamics of discrete spins, to stochastic differential equations with continuous degrees of freedom and exhibiting generic nonlinearities. The scenario is sufficiently general to allow application to e.g. biochemical networks involved in metabolism and regulation. The main feature of our approach is to constrain in the Plefka expansion not just first moments akin to magnetizations, but also second moments, specifically two-time correlations and responses for each degree of freedom. The end result is an effective equation of motion for each single degree of freedom, where couplings to other variables appear as a self-coupling to the past (i.e. memory term) and a coloured noise. This constitutes a new mean field approximation that should become exact in the thermodynamic limit of a large network, for suitably long-ranged couplings. For the analytically tractable case of linear dynamics we establish this exactness explicitly by appeal to spectral methods of random matrix theory, for Gaussian couplings with arbitrary degree of symmetry. (paper)
Extended Plefka expansion for stochastic dynamics
Bravi, B.; Sollich, P.; Opper, M.
2016-05-01
We propose an extension of the Plefka expansion, which is well known for the dynamics of discrete spins, to stochastic differential equations with continuous degrees of freedom and exhibiting generic nonlinearities. The scenario is sufficiently general to allow application to e.g. biochemical networks involved in metabolism and regulation. The main feature of our approach is to constrain in the Plefka expansion not just first moments akin to magnetizations, but also second moments, specifically two-time correlations and responses for each degree of freedom. The end result is an effective equation of motion for each single degree of freedom, where couplings to other variables appear as a self-coupling to the past (i.e. memory term) and a coloured noise. This constitutes a new mean field approximation that should become exact in the thermodynamic limit of a large network, for suitably long-ranged couplings. For the analytically tractable case of linear dynamics we establish this exactness explicitly by appeal to spectral methods of random matrix theory, for Gaussian couplings with arbitrary degree of symmetry.
Collisionally induced stochastic dynamics of fast ions in solids
International Nuclear Information System (INIS)
Burgdoerfer, J.
1989-01-01
Recent developments in the theory of excited state formation in collisions of fast highly charged ions with solids are reviewed. We discuss a classical transport theory employing Monte-Carlo sampling of solutions of a microscopic Langevin equation. Dynamical screening by the dielectric medium as well as multiple collisions are incorporated through the drift and stochastic forces in the Langevin equation. The close relationship between the extrinsically stochastic dynamics described by the Langevin and the intrinsic stochasticity in chaotic nonlinear dynamical systems is stressed. Comparison with experimental data and possible modification by quantum corrections are discussed. 49 refs., 11 figs
Reliability-based Dynamic Network Design with Stochastic Networks
Li, H.
2009-01-01
Transportation systems are stochastic and dynamic systems. The road capacities and the travel demand are fluctuating from time to time within a day and at the same time from day to day. For road users, the travel time and travel costs experienced over time and space are stochastic, thus desire
Parallel Stochastic discrete event simulation of calcium dynamics in neuron.
Ishlam Patoary, Mohammad Nazrul; Tropper, Carl; McDougal, Robert A; Zhongwei, Lin; Lytton, William W
2017-09-26
The intra-cellular calcium signaling pathways of a neuron depends on both biochemical reactions and diffusions. Some quasi-isolated compartments (e.g. spines) are so small and calcium concentrations are so low that one extra molecule diffusing in by chance can make a nontrivial difference in its concentration (percentage-wise). These rare events can affect dynamics discretely in such way that they cannot be evaluated by a deterministic simulation. Stochastic models of such a system provide a more detailed understanding of these systems than existing deterministic models because they capture their behavior at a molecular level. Our research focuses on the development of a high performance parallel discrete event simulation environment, Neuron Time Warp (NTW), which is intended for use in the parallel simulation of stochastic reaction-diffusion systems such as intra-calcium signaling. NTW is integrated with NEURON, a simulator which is widely used within the neuroscience community. We simulate two models, a calcium buffer and a calcium wave model. The calcium buffer model is employed in order to verify the correctness and performance of NTW by comparing it to a serial deterministic simulation in NEURON. We also derived a discrete event calcium wave model from a deterministic model using the stochastic IP3R structure.
Safety Analysis of Stochastic Dynamical Systems
DEFF Research Database (Denmark)
Sloth, Christoffer; Wisniewski, Rafael
2015-01-01
This paper presents a method for verifying the safety of a stochastic system. In particular, we show how to compute the largest set of initial conditions such that a given stochastic system is safe with probability p. To compute the set of initial conditions we rely on the moment method that via...... that shows how the p-safe initial set is computed numerically....
Stochastic dynamics of genetic broadcasting networks
Potoyan, Davit A.; Wolynes, Peter G.
2017-11-01
The complex genetic programs of eukaryotic cells are often regulated by key transcription factors occupying or clearing out of a large number of genomic locations. Orchestrating the residence times of these factors is therefore important for the well organized functioning of a large network. The classic models of genetic switches sidestep this timing issue by assuming the binding of transcription factors to be governed entirely by thermodynamic protein-DNA affinities. Here we show that relying on passive thermodynamics and random release times can lead to a "time-scale crisis" for master genes that broadcast their signals to a large number of binding sites. We demonstrate that this time-scale crisis for clearance in a large broadcasting network can be resolved by actively regulating residence times through molecular stripping. We illustrate these ideas by studying a model of the stochastic dynamics of the genetic network of the central eukaryotic master regulator NFκ B which broadcasts its signals to many downstream genes that regulate immune response, apoptosis, etc.
Improved Stochastic Subspace System Identification for Structural Health Monitoring
Chang, Chia-Ming; Loh, Chin-Hsiung
2015-07-01
Structural health monitoring acquires structural information through numerous sensor measurements. Vibrational measurement data render the dynamic characteristics of structures to be extracted, in particular of the modal properties such as natural frequencies, damping, and mode shapes. The stochastic subspace system identification has been recognized as a power tool which can present a structure in the modal coordinates. To obtain qualitative identified data, this tool needs to spend computational expense on a large set of measurements. In study, a stochastic system identification framework is proposed to improve the efficiency and quality of the conventional stochastic subspace system identification. This framework includes 1) measured signal processing, 2) efficient space projection, 3) system order selection, and 4) modal property derivation. The measured signal processing employs the singular spectrum analysis algorithm to lower the noise components as well as to present a data set in a reduced dimension. The subspace is subsequently derived from the data set presented in a delayed coordinate. With the proposed order selection criteria, the number of structural modes is determined, resulting in the modal properties. This system identification framework is applied to a real-world bridge for exploring the feasibility in real-time applications. The results show that this improved system identification method significantly decreases computational time, while qualitative modal parameters are still attained.
Advanced models of neural networks nonlinear dynamics and stochasticity in biological neurons
Rigatos, Gerasimos G
2015-01-01
This book provides a complete study on neural structures exhibiting nonlinear and stochastic dynamics, elaborating on neural dynamics by introducing advanced models of neural networks. It overviews the main findings in the modelling of neural dynamics in terms of electrical circuits and examines their stability properties with the use of dynamical systems theory. It is suitable for researchers and postgraduate students engaged with neural networks and dynamical systems theory.
Stochastic population dynamics in spatially extended predator-prey systems
Dobramysl, Ulrich; Mobilia, Mauro; Pleimling, Michel; Täuber, Uwe C.
2018-02-01
Spatially extended population dynamics models that incorporate demographic noise serve as case studies for the crucial role of fluctuations and correlations in biological systems. Numerical and analytic tools from non-equilibrium statistical physics capture the stochastic kinetics of these complex interacting many-particle systems beyond rate equation approximations. Including spatial structure and stochastic noise in models for predator-prey competition invalidates the neutral Lotka-Volterra population cycles. Stochastic models yield long-lived erratic oscillations stemming from a resonant amplification mechanism. Spatially extended predator-prey systems display noise-stabilized activity fronts that generate persistent correlations. Fluctuation-induced renormalizations of the oscillation parameters can be analyzed perturbatively via a Doi-Peliti field theory mapping of the master equation; related tools allow detailed characterization of extinction pathways. The critical steady-state and non-equilibrium relaxation dynamics at the predator extinction threshold are governed by the directed percolation universality class. Spatial predation rate variability results in more localized clusters, enhancing both competing species’ population densities. Affixing variable interaction rates to individual particles and allowing for trait inheritance subject to mutations induces fast evolutionary dynamics for the rate distributions. Stochastic spatial variants of three-species competition with ‘rock-paper-scissors’ interactions metaphorically describe cyclic dominance. These models illustrate intimate connections between population dynamics and evolutionary game theory, underscore the role of fluctuations to drive populations toward extinction, and demonstrate how space can support species diversity. Two-dimensional cyclic three-species May-Leonard models are characterized by the emergence of spiraling patterns whose properties are elucidated by a mapping onto a complex
Hybrid Semantics of Stochastic Programs with Dynamic Reconfiguration
Directory of Open Access Journals (Sweden)
Alberto Policriti
2009-10-01
Full Text Available We begin by reviewing a technique to approximate the dynamics of stochastic programs --written in a stochastic process algebra-- by a hybrid system, suitable to capture a mixed discrete/continuous evolution. In a nutshell, the discrete dynamics is kept stochastic while the continuous evolution is given in terms of ODEs, and the overall technique, therefore, naturally associates a Piecewise Deterministic Markov Process with a stochastic program. The speciﬁc contribution in this work consists in an increase of the ﬂexibility of the translation scheme, obtained by allowing a dynamic reconﬁguration of the degree of discreteness/continuity of the semantics. We also discuss the relationships of this approach with other hybrid simulation strategies for biochemical systems.
Strømmen, Einar N
2014-01-01
This book introduces to the theory of structural dynamics, with focus on civil engineering structures that may be described by line-like beam or beam-column type of systems, or by a system of rectangular plates. Throughout this book the mathematical presentation contains a classical analytical description as well as a description in a discrete finite element format, covering the mathematical development from basic assumptions to the final equations ready for practical dynamic response predictions. Solutions are presented in time domain as well as in frequency domain. Structural Dynamics starts off at a basic level and step by step brings the reader up to a level where the necessary safety considerations to wind or horizontal ground motion induced dynamic design problems can be performed. The special theory of the tuned mass damper has been given a comprehensive treatment, as this is a theory not fully covered elsewhere. For the same reason a chapter on the problem of moving loads on beams has been included.
Stochastic Dynamics Underlying Cognitive Stability and Flexibility.
Directory of Open Access Journals (Sweden)
Kai Ueltzhöffer
2015-06-01
updating and dopaminergic modulation of cognitive flexibility. These results show that stochastic dynamical systems can implement the basic computations underlying cognitive stability and flexibility and explain neurobiological bases of individual differences.
The Theory of Dynamic Public Transit Priority with Dynamic Stochastic Park and Ride
Directory of Open Access Journals (Sweden)
Chengming Zhu
2014-01-01
Full Text Available Public transit priority is very important for relieving traffic congestion. The connotation of dynamic public transit priority and dynamic stochastic park and ride is presented. Based on the point that the travel cost of public transit is not higher than the travel cost of car, how to determine the level of dynamic public transit priority is discussed. The traffic organization method of dynamic public transit priority is introduced. For dynamic stochastic park and ride, layout principle, scale, and charging standard are discussed. Traveler acceptability is high through the analysis of questionnaire survey. Dynamic public transit priority with dynamic stochastic park and ride has application feasibility.
Stochastic Fatigue Analysis of Jacket Type Offshore Structures
DEFF Research Database (Denmark)
Sigurdsson, Gudfinnur
In this paper, a stochastic reliability assessment for jacket type offshore structures subjected to wave loads in deep water environments is outlined. In the reliability assessment, structural and loading uncertainties are taken into account by means of some stochastic variables. To estimate stat...... statistical measures of structural stress variations the modal spectral analysis method is applied....
Forecasting financial asset processes: stochastic dynamics via learning neural networks.
Giebel, S; Rainer, M
2010-01-01
Models for financial asset dynamics usually take into account their inherent unpredictable nature by including a suitable stochastic component into their process. Unknown (forward) values of financial assets (at a given time in the future) are usually estimated as expectations of the stochastic asset under a suitable risk-neutral measure. This estimation requires the stochastic model to be calibrated to some history of sufficient length in the past. Apart from inherent limitations, due to the stochastic nature of the process, the predictive power is also limited by the simplifying assumptions of the common calibration methods, such as maximum likelihood estimation and regression methods, performed often without weights on the historic time series, or with static weights only. Here we propose a novel method of "intelligent" calibration, using learning neural networks in order to dynamically adapt the parameters of the stochastic model. Hence we have a stochastic process with time dependent parameters, the dynamics of the parameters being themselves learned continuously by a neural network. The back propagation in training the previous weights is limited to a certain memory length (in the examples we consider 10 previous business days), which is similar to the maximal time lag of autoregressive processes. We demonstrate the learning efficiency of the new algorithm by tracking the next-day forecasts for the EURTRY and EUR-HUF exchange rates each.
Stochastic Online Learning in Dynamic Networks under Unknown Models
2016-08-02
The key is to develop online learning strategies at each individual node. Specifically, through local information exchange with its neighbors, each...infinitely repeated game with incomplete information and developed a dynamic pricing strategy referred to as Competitive and Cooperative Demand Learning...Stochastic Online Learning in Dynamic Networks under Unknown Models This research aims to develop fundamental theories and practical algorithms for
Efficient stochastic thermostatting of path integral molecular dynamics.
Ceriotti, Michele; Parrinello, Michele; Markland, Thomas E; Manolopoulos, David E
2010-09-28
The path integral molecular dynamics (PIMD) method provides a convenient way to compute the quantum mechanical structural and thermodynamic properties of condensed phase systems at the expense of introducing an additional set of high frequency normal modes on top of the physical vibrations of the system. Efficiently sampling such a wide range of frequencies provides a considerable thermostatting challenge. Here we introduce a simple stochastic path integral Langevin equation (PILE) thermostat which exploits an analytic knowledge of the free path integral normal mode frequencies. We also apply a recently developed colored noise thermostat based on a generalized Langevin equation (GLE), which automatically achieves a similar, frequency-optimized sampling. The sampling efficiencies of these thermostats are compared with that of the more conventional Nosé-Hoover chain (NHC) thermostat for a number of physically relevant properties of the liquid water and hydrogen-in-palladium systems. In nearly every case, the new PILE thermostat is found to perform just as well as the NHC thermostat while allowing for a computationally more efficient implementation. The GLE thermostat also proves to be very robust delivering a near-optimum sampling efficiency in all of the cases considered. We suspect that these simple stochastic thermostats will therefore find useful application in many future PIMD simulations.
The stochastic system approach for estimating dynamic treatments effect.
Commenges, Daniel; Gégout-Petit, Anne
2015-10-01
The problem of assessing the effect of a treatment on a marker in observational studies raises the difficulty that attribution of the treatment may depend on the observed marker values. As an example, we focus on the analysis of the effect of a HAART on CD4 counts, where attribution of the treatment may depend on the observed marker values. This problem has been treated using marginal structural models relying on the counterfactual/potential response formalism. Another approach to causality is based on dynamical models, and causal influence has been formalized in the framework of the Doob-Meyer decomposition of stochastic processes. Causal inference however needs assumptions that we detail in this paper and we call this approach to causality the "stochastic system" approach. First we treat this problem in discrete time, then in continuous time. This approach allows incorporating biological knowledge naturally. When working in continuous time, the mechanistic approach involves distinguishing the model for the system and the model for the observations. Indeed, biological systems live in continuous time, and mechanisms can be expressed in the form of a system of differential equations, while observations are taken at discrete times. Inference in mechanistic models is challenging, particularly from a numerical point of view, but these models can yield much richer and reliable results.
Stabilizing simulations of complex stochastic representations for quantum dynamical systems
Energy Technology Data Exchange (ETDEWEB)
Perret, C; Petersen, W P, E-mail: wpp@math.ethz.ch [Seminar for Applied Mathematics, ETH, Zurich (Switzerland)
2011-03-04
Path integral representations of quantum dynamics can often be formulated as stochastic differential equations (SDEs). In a series of papers, Corney and Drummond (2004 Phys. Rev. Lett. 93 260401), Deuar and Drummond (2001 Comput. Phys. Commun. 142 442-5), Drummond and Gardnier (1980 J. Phys. A: Math. Gen. 13 2353-68), Gardiner and Zoller (2004 Quantum Noise: A Handbook of Markovian and Non-Markovian Quantum Stochastic Methods with Applications to Quantum Optics (Springer Series in Synergetics) 3rd edn (Berlin: Springer)) and Gilchrist et al (1997 Phys. Rev. A 55 3014-32) and their collaborators have derived SDEs from coherent states representations for density matrices. Computationally, these SDEs are attractive because they seem simple to simulate. They can be quite unstable, however. In this paper, we consider some of the instabilities and propose a few remedies. Particularly, because the variances of the simulated paths typically grow exponentially, the processes become de-localized in relatively short times. Hence, the issues of boundary conditions and stable integration methods become important. We use the Bose-Einstein Hamiltonian as an example. Our results reveal that it is possible to significantly extend integration times and show the periodic structure of certain functionals.
The Theory of Dynamic Public Transit Priority with Dynamic Stochastic Park and Ride
Zhu, Chengming; Chen, Yanyan; Ma, Changxi
2014-01-01
Public transit priority is very important for relieving traffic congestion. The connotation of dynamic public transit priority and dynamic stochastic park and ride is presented. Based on the point that the travel cost of public transit is not higher than the travel cost of car, how to determine the level of dynamic public transit priority is discussed. The traffic organization method of dynamic public transit priority is introduced. For dynamic stochastic park and ride, layout principle, scal...
Fast stochastic algorithm for simulating evolutionary population dynamics
Tsimring, Lev; Hasty, Jeff; Mather, William
2012-02-01
Evolution and co-evolution of ecological communities are stochastic processes often characterized by vastly different rates of reproduction and mutation and a coexistence of very large and very small sub-populations of co-evolving species. This creates serious difficulties for accurate statistical modeling of evolutionary dynamics. In this talk, we introduce a new exact algorithm for fast fully stochastic simulations of birth/death/mutation processes. It produces a significant speedup compared to the direct stochastic simulation algorithm in a typical case when the total population size is large and the mutation rates are much smaller than birth/death rates. We illustrate the performance of the algorithm on several representative examples: evolution on a smooth fitness landscape, NK model, and stochastic predator-prey system.
Stochastic dynamical models for ecological regime shifts
DEFF Research Database (Denmark)
Møller, Jan Kloppenborg; Carstensen, Jacob; Madsen, Henrik
the physical and biological knowledge of the system, and nonlinearities introduced here can generate regime shifts or enhance the probability of regime shifts in the case of stochastic models, typically characterized by a threshold value for the known driver. A simple model for light competition between...... definition and stability of regimes become less subtle. Ecological regime shifts and their modeling must be viewed in a probabilistic manner, particularly if such model results are to be used in ecosystem management....
Stochastic dynamic modeling of regular and slow earthquakes
Aso, N.; Ando, R.; Ide, S.
2017-12-01
Both regular and slow earthquakes are slip phenomena on plate boundaries and are simulated by a (quasi-)dynamic modeling [Liu and Rice, 2005]. In these numerical simulations, spatial heterogeneity is usually considered not only for explaining real physical properties but also for evaluating the stability of the calculations or the sensitivity of the results on the condition. However, even though we discretize the model space with small grids, heterogeneity at smaller scales than the grid size is not considered in the models with deterministic governing equations. To evaluate the effect of heterogeneity at the smaller scales we need to consider stochastic interactions between slip and stress in a dynamic modeling. Tidal stress is known to trigger or affect both regular and slow earthquakes [Yabe et al., 2015; Ide et al., 2016], and such an external force with fluctuation can also be considered as a stochastic external force. A healing process of faults may also be stochastic, so we introduce stochastic friction law. In the present study, we propose a stochastic dynamic model to explain both regular and slow earthquakes. We solve mode III problem, which corresponds to the rupture propagation along the strike direction. We use BIEM (boundary integral equation method) scheme to simulate slip evolution, but we add stochastic perturbations in the governing equations, which is usually written in a deterministic manner. As the simplest type of perturbations, we adopt Gaussian deviations in the formulation of the slip-stress kernel, external force, and friction. By increasing the amplitude of perturbations of the slip-stress kernel, we reproduce complicated rupture process of regular earthquakes including unilateral and bilateral ruptures. By perturbing external force, we reproduce slow rupture propagation at a scale of km/day. The slow propagation generated by a combination of fast interaction at S-wave velocity is analogous to the kinetic theory of gasses: thermal
Stochasticity in materials structure, properties, and processing—A review
Hull, Robert; Keblinski, Pawel; Lewis, Dan; Maniatty, Antoinette; Meunier, Vincent; Oberai, Assad A.; Picu, Catalin R.; Samuel, Johnson; Shephard, Mark S.; Tomozawa, Minoru; Vashishth, Deepak; Zhang, Shengbai
2018-03-01
We review the concept of stochasticity—i.e., unpredictable or uncontrolled fluctuations in structure, chemistry, or kinetic processes—in materials. We first define six broad classes of stochasticity: equilibrium (thermodynamic) fluctuations; structural/compositional fluctuations; kinetic fluctuations; frustration and degeneracy; imprecision in measurements; and stochasticity in modeling and simulation. In this review, we focus on the first four classes that are inherent to materials phenomena. We next develop a mathematical framework for describing materials stochasticity and then show how it can be broadly applied to these four materials-related stochastic classes. In subsequent sections, we describe structural and compositional fluctuations at small length scales that modify material properties and behavior at larger length scales; systems with engineered fluctuations, concentrating primarily on composite materials; systems in which stochasticity is developed through nucleation and kinetic phenomena; and configurations in which constraints in a given system prevent it from attaining its ground state and cause it to attain several, equally likely (degenerate) states. We next describe how stochasticity in these processes results in variations in physical properties and how these variations are then accentuated by—or amplify—stochasticity in processing and manufacturing procedures. In summary, the origins of materials stochasticity, the degree to which it can be predicted and/or controlled, and the possibility of using stochastic descriptions of materials structure, properties, and processing as a new degree of freedom in materials design are described.
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.
A stochastic MILP energy planning model incorporating power market dynamics
International Nuclear Information System (INIS)
Koltsaklis, Nikolaos E.; Nazos, Konstantinos
2017-01-01
Highlights: •Stochastic MILP model for the optimal energy planning of a power system. •Power market dynamics (offers/bids) are incorporated in the proposed model. •Monte Carlo method for capturing the uncertainty of some key parameters. •Analytical supply cost composition per power producer and activity. •Clean dark and spark spreads are calculated for each power unit. -- Abstract: This paper presents an optimization-based methodological approach to address the problem of the optimal planning of a power system at an annual level in competitive and uncertain power markets. More specifically, a stochastic mixed integer linear programming model (MILP) has been developed, combining advanced optimization techniques with Monte Carlo method in order to deal with uncertainty issues. The main focus of the proposed framework is the dynamic formulation of the strategy followed by all market participants in volatile market conditions, as well as detailed economic assessment of the power system’s operation. The applicability of the proposed approach has been tested on a real case study of the interconnected Greek power system, quantifying in detail all the relevant technical and economic aspects of the system’s operation. The proposed work identifies in the form of probability distributions the optimal power generation mix, electricity trade at a regional level, carbon footprint, as well as detailed total supply cost composition, according to the assumed market structure. The paper demonstrates that the proposed optimization approach is able to provide important insights into the appropriate energy strategies designed by market participants, as well as on the strategic long-term decisions to be made by investors and/or policy makers at a national and/or regional level, underscoring potential risks and providing appropriate price signals on critical energy projects under real market operating conditions.
Directory of Open Access Journals (Sweden)
Shaolin Ji
2013-01-01
Full Text Available This paper is devoted to a stochastic differential game (SDG of decoupled functional forward-backward stochastic differential equation (FBSDE. For our SDG, the associated upper and lower value functions of the SDG are defined through the solution of controlled functional backward stochastic differential equations (BSDEs. Applying the Girsanov transformation method introduced by Buckdahn and Li (2008, the upper and the lower value functions are shown to be deterministic. We also generalize the Hamilton-Jacobi-Bellman-Isaacs (HJBI equations to the path-dependent ones. By establishing the dynamic programming principal (DPP, we derive that the upper and the lower value functions are the viscosity solutions of the corresponding upper and the lower path-dependent HJBI equations, respectively.
Reformulation of a stochastic action principle for irregular dynamics
International Nuclear Information System (INIS)
Wang, Q.A.; Bangoup, S.; Dzangue, F.; Jeatsa, A.; Tsobnang, F.; Le Mehaute, A.
2009-01-01
A stochastic action principle for random dynamics is revisited. Numerical diffusion experiments are carried out to show that the diffusion path probability depends exponentially on the Lagrangian action A=∫ a b Ldt. This result is then used to derive the Shannon measure for path uncertainty. It is shown that the maximum entropy principle and the least action principle of classical mechanics can be unified into δA-bar=0 where the average is calculated over all possible paths of the stochastic motion between two configuration points a and b. It is argued that this action principle and the maximum entropy principle are a consequence of the mechanical equilibrium condition extended to the case of stochastic dynamics.
Noussair, C.N.; Pfajfar, D.; Zsiros, J.
2011-01-01
New Keynesian dynamic stochastic general equilibrium models are the principal paradigm currently employed for central bank policymaking. In this paper, we construct experimental economies, populated with human subjects, with the structure of a New Keynesian DSGE model. We give individuals monetary
Stochastic population dynamics under resource constraints
Energy Technology Data Exchange (ETDEWEB)
Gavane, Ajinkya S., E-mail: ajinkyagavane@gmail.com; Nigam, Rahul, E-mail: rahul.nigam@hyderabad.bits-pilani.ac.in [BITS Pilani Hyderabad Campus, Shameerpet, Hyd - 500078 (India)
2016-06-02
This paper investigates the population growth of a certain species in which every generation reproduces thrice over a period of predefined time, under certain constraints of resources needed for survival of population. We study the survival period of a species by randomizing the reproduction probabilities within a window at same predefined ages and the resources are being produced by the working force of the population at a variable rate. This randomness in the reproduction rate makes the population growth stochastic in nature and one cannot predict the exact form of evolution. Hence we study the growth by running simulations for such a population and taking an ensemble averaged over 500 to 5000 such simulations as per the need. While the population reproduces in a stochastic manner, we have implemented a constraint on the amount of resources available for the population. This is important to make the simulations more realistic. The rate of resource production then is tuned to find the rate which suits the survival of the species. We also compute the mean life time of the species corresponding to different resource production rate. Study for these outcomes in the parameter space defined by the reproduction probabilities and rate of resource production is carried out.
Stochastic Eulerian Lagrangian methods for fluid-structure interactions with thermal fluctuations
International Nuclear Information System (INIS)
Atzberger, Paul J.
2011-01-01
We present approaches for the study of fluid-structure interactions subject to thermal fluctuations. A mixed mechanical description is utilized combining Eulerian and Lagrangian reference frames. We establish general conditions for operators coupling these descriptions. Stochastic driving fields for the formalism are derived using principles from statistical mechanics. The stochastic differential equations of the formalism are found to exhibit significant stiffness in some physical regimes. To cope with this issue, we derive reduced stochastic differential equations for several physical regimes. We also present stochastic numerical methods for each regime to approximate the fluid-structure dynamics and to generate efficiently the required stochastic driving fields. To validate the methodology in each regime, we perform analysis of the invariant probability distribution of the stochastic dynamics of the fluid-structure formalism. We compare this analysis with results from statistical mechanics. To further demonstrate the applicability of the methodology, we perform computational studies for spherical particles having translational and rotational degrees of freedom. We compare these studies with results from fluid mechanics. The presented approach provides for fluid-structure systems a set of rather general computational methods for treating consistently structure mechanics, hydrodynamic coupling, and thermal fluctuations.
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.
Sharp asymptotics for stochastic dynamics with parallel updating rule
Nardi, F.R.; Spitoni, C.
2012-01-01
In this paper we study the metastability problem for a stochastic dynamics with a parallel updating rule; in particular we consider a ¿nite volume Probabilistic Cellular Automaton (PCA) in a small external ¿eld at low temperature regime. We are interested in the nucleation of the system, i.e., the
Sharp asymptotics for stochastic dynamics with parallel updating rule
Nardi, F.R.; Spitoni, C.
2012-01-01
In this paper we study the metastability problem for a stochastic dynamics with a parallel updating rule; in particular we consider a finite volume Probabilistic Cellular Automaton (PCA) in a small external field at low temperature regime. We are interested in the nucleation of the system, i.e., the
Sharp Asymptotics for Stochastic Dynamics with Parallel Updating Rule
Nardi, F.R.; Spitoni, C.
2012-01-01
In this paper we study the metastability problem for a stochastic dynamics with a parallel updating rule; in particular we consider a finite volume Probabilistic Cellular Automaton (PCA) in a small external field at low temperature regime. We are interested in the nucleation of the system, i.e.,
Regular and stochastic particle motion in plasma dynamics
International Nuclear Information System (INIS)
Kaufman, A.N.
1979-08-01
A Hamiltonian formalism is presented for the study of charged-particle trajectories in the self-consistent field of the particles. The intention is to develop a general approach to plasma dynamics. Transformations of phase-space variables are used to separate out the regular, adiabatic motion from the irregular, stochastic trajectories. Several new techniques are included in this presentation
Discriminating chaotic and stochastic dynamics through the permutation spectrum test
Energy Technology Data Exchange (ETDEWEB)
Kulp, C. W., E-mail: Kulp@lycoming.edu [Department of Astronomy and Physics, Lycoming College, Williamsport, Pennsylvania 17701 (United States); Zunino, L., E-mail: lucianoz@ciop.unlp.edu.ar [Centro de Investigaciones Ópticas (CONICET La Plata—CIC), C.C. 3, 1897 Gonnet (Argentina); Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de La Plata (UNLP), 1900 La Plata (Argentina)
2014-09-01
In this paper, we propose a new heuristic symbolic tool for unveiling chaotic and stochastic dynamics: the permutation spectrum test. Several numerical examples allow us to confirm the usefulness of the introduced methodology. Indeed, we show that it is robust in situations in which other techniques fail (intermittent chaos, hyperchaotic dynamics, stochastic linear and nonlinear correlated dynamics, and deterministic non-chaotic noise-driven dynamics). We illustrate the applicability and reliability of this pragmatic method by examining real complex time series from diverse scientific fields. Taking into account that the proposed test has the advantages of being conceptually simple and computationally fast, we think that it can be of practical utility as an alternative test for determinism.
Molecular dynamics with deterministic and stochastic numerical methods
Leimkuhler, Ben
2015-01-01
This book describes the mathematical underpinnings of algorithms used for molecular dynamics simulation, including both deterministic and stochastic numerical methods. Molecular dynamics is one of the most versatile and powerful methods of modern computational science and engineering and is used widely in chemistry, physics, materials science and biology. Understanding the foundations of numerical methods means knowing how to select the best one for a given problem (from the wide range of techniques on offer) and how to create new, efficient methods to address particular challenges as they arise in complex applications. Aimed at a broad audience, this book presents the basic theory of Hamiltonian mechanics and stochastic differential equations, as well as topics including symplectic numerical methods, the handling of constraints and rigid bodies, the efficient treatment of Langevin dynamics, thermostats to control the molecular ensemble, multiple time-stepping, and the dissipative particle dynamics method...
Stochastic Simulation of Cardiac Ventricular Myocyte Calcium Dynamics and Waves
Tuan, Hoang-Trong Minh; Williams, George S. B.; Chikando, Aristide C.; Sobie, Eric A.; Lederer, W. Jonathan; Jafri, M. Saleet
2011-01-01
A three dimensional model of calcium dynamics in the rat ventricular myocyte was developed to study the mechanism of calcium homeostasis and pathological calcium dynamics during calcium overload. The model contains 20,000 calcium release units (CRUs) each containing 49 ryanodine receptors. The model simulates calcium sparks with a realistic spontaneous calcium spark rate. It suggests that in addition to the calcium spark-based leak, there is an invisible calcium leak caused by the stochastic ...
DEFF Research Database (Denmark)
Nielsen, Søren R.K.
The present textbook has been written for a course on stochastic vibration theory that is being given on the 9th semester at Aalborg University for M.Sc. students in structural engineering.......The present textbook has been written for a course on stochastic vibration theory that is being given on the 9th semester at Aalborg University for M.Sc. students in structural engineering....
Stochastic dynamic programming model for optimal resource ...
Indian Academy of Sciences (India)
M Bhuvaneswari
2018-04-11
Apr 11, 2018 ... handover in VANET; because of high dynamics in net- work topology, collaboration ... containers, doctors, nurses, cash and stocks. Similarly, ... GTBA does not take the resource types and availability into consideration.
Stochastic dynamic analysis of marine risers considering Gaussian system uncertainties
Ni, Pinghe; Li, Jun; Hao, Hong; Xia, Yong
2018-03-01
This paper performs the stochastic dynamic response analysis of marine risers with material uncertainties, i.e. in the mass density and elastic modulus, by using Stochastic Finite Element Method (SFEM) and model reduction technique. These uncertainties are assumed having Gaussian distributions. The random mass density and elastic modulus are represented by using the Karhunen-Loève (KL) expansion. The Polynomial Chaos (PC) expansion is adopted to represent the vibration response because the covariance of the output is unknown. Model reduction based on the Iterated Improved Reduced System (IIRS) technique is applied to eliminate the PC coefficients of the slave degrees of freedom to reduce the dimension of the stochastic system. Monte Carlo Simulation (MCS) is conducted to obtain the reference response statistics. Two numerical examples are studied in this paper. The response statistics from the proposed approach are compared with those from MCS. It is noted that the computational time is significantly reduced while the accuracy is kept. The results demonstrate the efficiency of the proposed approach for stochastic dynamic response analysis of marine risers.
Dynamic option pricing with endogenous stochastic arbitrage
Contreras, Mauricio; Montalva, Rodrigo; Pellicer, Rely; Villena, Marcelo
2010-09-01
Only few efforts have been made in order to relax one of the key assumptions of the Black-Scholes model: the no-arbitrage assumption. This is despite the fact that arbitrage processes usually exist in the real world, even though they tend to be short-lived. The purpose of this paper is to develop an option pricing model with endogenous stochastic arbitrage, capable of modelling in a general fashion any future and underlying asset that deviate itself from its market equilibrium. Thus, this investigation calibrates empirically the arbitrage on the futures on the S&P 500 index using transaction data from September 1997 to June 2009, from here a specific type of arbitrage called “arbitrage bubble”, based on a t-step function, is identified and hence used in our model. The theoretical results obtained for Binary and European call options, for this kind of arbitrage, show that an investment strategy that takes advantage of the identified arbitrage possibility can be defined, whenever it is possible to anticipate in relative terms the amplitude and timespan of the process. Finally, the new trajectory of the stock price is analytically estimated for a specific case of arbitrage and some numerical illustrations are developed. We find that the consequences of a finite and small endogenous arbitrage not only change the trajectory of the asset price during the period when it started, but also after the arbitrage bubble has already gone. In this context, our model will allow us to calibrate the B-S model to that new trajectory even when the arbitrage already started.
Structural factoring approach for analyzing stochastic networks
Hayhurst, Kelly J.; Shier, Douglas R.
1991-01-01
The problem of finding the distribution of the shortest path length through a stochastic network is investigated. A general algorithm for determining the exact distribution of the shortest path length is developed based on the concept of conditional factoring, in which a directed, stochastic network is decomposed into an equivalent set of smaller, generally less complex subnetworks. Several network constructs are identified and exploited to reduce significantly the computational effort required to solve a network problem relative to complete enumeration. This algorithm can be applied to two important classes of stochastic path problems: determining the critical path distribution for acyclic networks and the exact two-terminal reliability for probabilistic networks. Computational experience with the algorithm was encouraging and allowed the exact solution of networks that have been previously analyzed only by approximation techniques.
On an aggregation in birth-and-death stochastic dynamics
Finkelshtein, Dmitri; Kondratiev, Yuri; Kutoviy, Oleksandr; Zhizhina, Elena
2014-06-01
We consider birth-and-death stochastic dynamics of particle systems with attractive interaction. The heuristic generator of the dynamics has a constant birth rate and density-dependent decreasing death rate. The corresponding statistical dynamics is constructed. Using the Vlasov-type scaling we derive the limiting mesoscopic evolution and prove that this evolution propagates chaos. We study a nonlinear non-local kinetic equation for the first correlation function (density of population). The existence of uniformly bounded solutions as well as solutions growing inside of a bounded domain and expanding in the space are shown. These solutions describe two regimes in the mesoscopic system: regulation and aggregation.
On an aggregation in birth-and-death stochastic dynamics
International Nuclear Information System (INIS)
Finkelshtein, Dmitri; Kondratiev, Yuri; Kutoviy, Oleksandr; Zhizhina, Elena
2014-01-01
We consider birth-and-death stochastic dynamics of particle systems with attractive interaction. The heuristic generator of the dynamics has a constant birth rate and density-dependent decreasing death rate. The corresponding statistical dynamics is constructed. Using the Vlasov-type scaling we derive the limiting mesoscopic evolution and prove that this evolution propagates chaos. We study a nonlinear non-local kinetic equation for the first correlation function (density of population). The existence of uniformly bounded solutions as well as solutions growing inside of a bounded domain and expanding in the space are shown. These solutions describe two regimes in the mesoscopic system: regulation and aggregation. (paper)
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. Copyright © 2015 The Authors. Published by Elsevier Ireland Ltd.. All rights reserved.
Stochastic GARCH dynamics describing correlations between stocks
Prat-Ortega, G.; Savel'ev, S. E.
2014-09-01
The ARCH and GARCH processes have been successfully used for modelling price dynamics such as stock returns or foreign exchange rates. Analysing the long range correlations between stocks, we propose a model, based on the GARCH process, which is able to describe the main characteristics of the stock price correlations, including the mean, variance, probability density distribution and the noise spectrum.
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...
International Nuclear Information System (INIS)
Jiang, Shixiao W; Lu, Haihao; Zhou, Douglas; Cai, David
2016-01-01
Characterizing dispersive wave turbulence in the long time dynamics is central to understanding of many natural phenomena, e.g., in atmosphere ocean dynamics, nonlinear optics, and plasma physics. Using the β -Fermi–Pasta–Ulam nonlinear system as a prototypical example, we show that in thermal equilibrium and non-equilibrium steady state the turbulent state even in the strongly nonlinear regime possesses an effective linear stochastic structure in renormalized normal variables. In this framework, we can well characterize the spatiotemporal dynamics, which are dominated by long-wavelength renormalized waves. We further demonstrate that the energy flux is nearly saturated by the long-wavelength renormalized waves in non-equilibrium steady state. The scenario of such effective linear stochastic dynamics can be extended to study turbulent states in other nonlinear wave systems. (paper)
Stochastic Rotation Dynamics simulations of wetting multi-phase flows
Hiller, Thomas; Sanchez de La Lama, Marta; Brinkmann, Martin
2016-06-01
Multi-color Stochastic Rotation Dynamics (SRDmc) has been introduced by Inoue et al. [1,2] as a particle based simulation method to study the flow of emulsion droplets in non-wetting microchannels. In this work, we extend the multi-color method to also account for different wetting conditions. This is achieved by assigning the color information not only to fluid particles but also to virtual wall particles that are required to enforce proper no-slip boundary conditions. To extend the scope of the original SRDmc algorithm to e.g. immiscible two-phase flow with viscosity contrast we implement an angular momentum conserving scheme (SRD+mc). We perform extensive benchmark simulations to show that a mono-phase SRDmc fluid exhibits bulk properties identical to a standard SRD fluid and that SRDmc fluids are applicable to a wide range of immiscible two-phase flows. To quantify the adhesion of a SRD+mc fluid in contact to the walls we measure the apparent contact angle from sessile droplets in mechanical equilibrium. For a further verification of our wettability implementation we compare the dewetting of a liquid film from a wetting stripe to experimental and numerical studies of interfacial morphologies on chemically structured surfaces.
Age distribution dynamics with stochastic jumps in mortality.
Calabrese, Salvatore; Porporato, Amilcare; Laio, Francesco; D'Odorico, Paolo; Ridolfi, Luca
2017-11-01
While deterministic age distribution models have been extensively studied and applied in various disciplines, little work has been devoted to understanding the role of stochasticity in birth and mortality terms. In this paper, we analyse a stochastic M'Kendrick-von Foerster equation in which jumps in mortality represent intense losses of population due to external events. We present explicit solutions for the probability density functions of the age distribution and the total population and for the temporal dynamics of their moments. We also derive the dynamics of the mean age of the population and its harmonic mean. The framework is then used to calculate the age distribution of salt in the soil root zone, where the accumulation of salt by atmospheric deposition is counteracted by plant uptake and by jump losses due to percolation events.
Effects of stochastic noise on dynamical decoupling procedures
Energy Technology Data Exchange (ETDEWEB)
Bernad, Jozsef Zsolt; Frydrych, Holger; Alber, Gernot [Institut fuer Angewandte Physik, Technische Universitaet Darmstadt, D-64289 Darmstadt (Germany)
2013-07-01
Dynamical decoupling is a well-established technique to protect quantum systems from unwanted influences of their environment by exercising active control. It has been used experimentally to drastically increase the lifetime of qubit states in various implementations. The efficiency of different dynamical decoupling schemes defines the lifetime. However, errors in control operations always limit this efficiency. We propose a stochastic model as a possible description of imperfect control pulses and discuss the impact of this kind of error on different decoupling schemes. In the limit of continuous control, i.e. if the number of pulses N → ∞, we derive a stochastic differential equation for the evolution of the density operator of the controlled system and its environment. In the context of this modified time evolution we discuss possibilities of protecting qubit states against environmental noise.
Measures of thermodynamic irreversibility in deterministic and stochastic dynamics
International Nuclear Information System (INIS)
Ford, Ian J
2015-01-01
It is generally observed that if a dynamical system is sufficiently complex, then as time progresses it will share out energy and other properties amongst its component parts to eliminate any initial imbalances, retaining only fluctuations. This is known as energy dissipation and it is closely associated with the concept of thermodynamic irreversibility, measured by the increase in entropy according to the second law. It is of interest to quantify such behaviour from a dynamical rather than a thermodynamic perspective and to this end stochastic entropy production and the time-integrated dissipation function have been introduced as analogous measures of irreversibility, principally for stochastic and deterministic dynamics, respectively. We seek to compare these measures. First we modify the dissipation function to allow it to measure irreversibility in situations where the initial probability density function (pdf) of the system is asymmetric as well as symmetric in velocity. We propose that it tests for failure of what we call the obversibility of the system, to be contrasted with reversibility, the failure of which is assessed by stochastic entropy production. We note that the essential difference between stochastic entropy production and the time-integrated modified dissipation function lies in the sequence of procedures undertaken in the associated tests of irreversibility. We argue that an assumed symmetry of the initial pdf with respect to velocity inversion (within a framework of deterministic dynamics) can be incompatible with the Past Hypothesis, according to which there should be a statistical distinction between the behaviour of certain properties of an isolated system as it evolves into the far future and the remote past. Imposing symmetry on a velocity distribution is acceptable for many applications of statistical physics, but can introduce difficulties when discussing irreversible behaviour. (paper)
Dynamic asset allocation for bank under stochastic interest rates.
Chakroun, Fatma; Abid, Fathi
2014-01-01
This paper considers the optimal asset allocation strategy for bank with stochastic interest rates when there are three types of asset: Bank account, loans and securities. The asset allocation problem is to maximize the expected utility from terminal wealth of a bank's shareholders over a finite time horizon. As a consequence, we apply a dynamic programming principle to solve the Hamilton-Jacobi-Bellman (HJB) equation explicitly in the case of the CRRA utility function. A case study is given ...
Nonperturbative stochastic dynamics driven by strongly correlated colored noise
Jing, Jun; Li, Rui; You, J. Q.; Yu, Ting
2015-02-01
We propose a quantum model consisting of two remote qubits interacting with two correlated colored noises and establish an exact stochastic Schrödinger equation for this open quantum system. It is shown that the quantum dynamics of the qubit system is profoundly modulated by the mutual correlation between baths and the bath memory capability through dissipation and fluctuation. We report a physical effect on generating inner correlation and entanglement of two distant qubits arising from the strong bath-bath correlation.
Stochastic dynamics of a delayed bistable system with multiplicative noise
Energy Technology Data Exchange (ETDEWEB)
Dung, Nguyen Tien, E-mail: dung-nguyentien10@yahoo.com, E-mail: dungnt@fpt.edu.vn [Department of Mathematics, FPT University, No 8 Ton That Thuyet, My Dinh, Tu Liem, Hanoi (Viet Nam)
2014-05-15
In this paper we investigate the properties of a delayed bistable system under the effect of multiplicative noise. We first prove the existence and uniqueness of the positive solution and show that its moments are uniformly bounded. Then, we study stochastic dynamics of the solution in long time, the lower and upper bounds for the paths and an estimate for the average value are provided.
Dynamic electricity pricing for electric vehicles using stochastic programming
International Nuclear Information System (INIS)
Soares, João; Ghazvini, Mohammad Ali Fotouhi; Borges, Nuno; Vale, Zita
2017-01-01
Electric Vehicles (EVs) are an important source of uncertainty, due to their variable demand, departure time and location. In smart grids, the electricity demand can be controlled via Demand Response (DR) programs. Smart charging and vehicle-to-grid seem highly promising methods for EVs control. However, high capital costs remain a barrier to implementation. Meanwhile, incentive and price-based schemes that do not require high level of control can be implemented to influence the EVs' demand. Having effective tools to deal with the increasing level of uncertainty is increasingly important for players, such as energy aggregators. This paper formulates a stochastic model for day-ahead energy resource scheduling, integrated with the dynamic electricity pricing for EVs, to address the challenges brought by the demand and renewable sources uncertainty. The two-stage stochastic programming approach is used to obtain the optimal electricity pricing for EVs. A realistic case study projected for 2030 is presented based on Zaragoza network. The results demonstrate that it is more effective than the deterministic model and that the optimal pricing is preferable. This study indicates that adequate DR schemes like the proposed one are promising to increase the customers' satisfaction in addition to improve the profitability of the energy aggregation business. - Highlights: • A stochastic model for energy scheduling tackling several uncertainty sources. • A two-stage stochastic programming is used to tackle the developed model. • Optimal EV electricity pricing seems to improve the profits. • The propose results suggest to increase the customers' satisfaction.
The stochastic network dynamics underlying perceptual discrimination
Directory of Open Access Journals (Sweden)
Genis Prat-Ortega
2015-04-01
Full Text Available The brain is able to interpret streams of high-dimensional ambiguous information and yield coherent percepts. The mechanisms governing sensory integration have been extensively characterized using time-varying visual stimuli (Britten et al. 1996; Roitman and Shadlen 2002, but some of the basic principles regarding the network dynamics underlying this process remain largely unknown. We captured the basic features of a neural integrator using three canonical one-dimensional models: (1 the Drift Diffusion Model (DDM, (2 the Perfect Integrator (PI which is a particular case of the DDM where the bounds are set to infinity and (3 the double-well potential (DW which captures the dynamics of the attractor networks (Wang 2002; Roxin and Ledberg 2008. Although these models has been widely studied (Bogacz et al. 2006; Roxin and Ledberg 2008; Gold and Shadlen 2002, it has been difficult to experimentally discriminate among them because most of the observables measured are only quantitatively different among these models (e.g. psychometric curves. Here we aim to find experimentally measurable quantities that can yield qualitatively different behaviors depending on the nature of the underlying network dynamics. We examined the categorization dynamics of these models in response to fluctuating stimuli of different duration (T. On each time step, stimuli are drawn from a Gaussian distribution N(μ, σ and the two stimulus categories are defined by μ > 0 and μ < 0. Psychometric curves can therefore be obtained by quantifying the probability of the integrator to yield one category versus μ . We find however that varying σ can reveal more clearly the differences among the different integrators. In the small σ regime, both the DW and the DDM perform transient integration and exhibit a decaying stimulus reverse correlation kernel revealing a primacy effect (Nienborg and Cumming 2009; Wimmer et al. 2015 . In the large σ regime, the integration in the DDM
A stochastic phase-field model determined from molecular dynamics
von Schwerin, Erik; Szepessy, Anders
2010-01-01
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 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.
Stochastic dynamics of penetrable rods in one dimension: Entangled dynamics and transport properties
Energy Technology Data Exchange (ETDEWEB)
Craven, Galen T.; Popov, Alexander V.; Hernandez, Rigoberto, E-mail: hernandez@chemistry.gatech.edu [Center for Computational Molecular Science and Technology, School of Chemistry and Biochemistry, Georgia Institute of Technology, Atlanta, Georgia 30332-0400 (United States)
2015-04-21
The dynamical properties of a system of soft rods governed by stochastic hard collisions (SHCs) have been determined over a varying range of softness using molecular dynamics simulations in one dimension and analytic theory. The SHC model allows for interpenetration of the system’s constituent particles in the simulations, generating overlapping clustering behavior analogous to the spatial structures observed in systems governed by deterministic bounded potentials. Through variation of an assigned softness parameter δ, the limiting ranges of intermolecular softness are bridged, connecting the limiting ensemble behavior from hard to ideal (completely soft). Various dynamical and structural observables are measured from simulation and compared to developed theoretical values. The spatial properties are found to be well predicted by theories developed for the deterministic penetrable-sphere model with a transformation from energetic to probabilistic arguments. While the overlapping spatial structures are complex, the dynamical properties can be adequately approximated through a theory built on impulsive interactions with Enskog corrections. Our theory suggests that as the softness of interaction is varied toward the ideal limit, correlated collision processes are less important to the energy transfer mechanism, and Markovian processes dominate the evolution of the configuration space ensemble. For interaction softness close to hard limit, collision processes are highly correlated and overlapping spatial configurations give rise to entanglement of single-particle trajectories.
Stochastic population dynamics of a montane ground-dwelling squirrel.
Directory of Open Access Journals (Sweden)
Jeffrey A Hostetler
Full Text Available Understanding the causes and consequences of population fluctuations is a central goal of ecology. We used demographic data from a long-term (1990-2008 study and matrix population models to investigate factors and processes influencing the dynamics and persistence of a golden-mantled ground squirrel (Callospermophilus lateralis population, inhabiting a dynamic subalpine habitat in Colorado, USA. The overall deterministic population growth rate λ was 0.94±SE 0.05 but it varied widely over time, ranging from 0.45±0.09 in 2006 to 1.50±0.12 in 2003, and was below replacement (λ<1 for 9 out of 18 years. The stochastic population growth rate λ(s was 0.92, suggesting a declining population; however, the 95% CI on λ(s included 1.0 (0.52-1.60. Stochastic elasticity analysis showed that survival of adult females, followed by survival of juvenile females and litter size, were potentially the most influential vital rates; analysis of life table response experiments revealed that the same three life history variables made the largest contributions to year-to year changes in λ. Population viability analysis revealed that, when the influences of density dependence and immigration were not considered, the population had a high (close to 1.0 in 50 years probability of extinction. However, probability of extinction declined to as low as zero when density dependence and immigration were considered. Destabilizing effects of stochastic forces were counteracted by regulating effects of density dependence and rescue effects of immigration, which allowed our study population to bounce back from low densities and prevented extinction. These results suggest that dynamics and persistence of our study population are determined synergistically by density-dependence, stochastic forces, and immigration.
On the stochastic approach to marine population dynamics
Directory of Open Access Journals (Sweden)
Eduardo Ferrandis
2007-03-01
Full Text Available The purpose of this article is to deepen and structure the statistical basis of marine population dynamics. The starting point is the correspondence between the concepts of mortality, survival and lifetime distribution. This is the kernel of the possibilities that survival analysis techniques offer to marine population dynamics. A rigorous definition of survival and mortality based on their properties and their probabilistic versions is briefly presented. Some well established models for lifetime distribution, which generalise the usual simple exponential distribution, might be used with their corresponding survivals and mortalities. A critical review of some published models is also made, including original models proposed in the way opened by Caddy (1991 and Sparholt (1990, which allow for a continuously decreasing natural mortality. Considering these elements, the pure death process dealt with in the literature is used as a theoretical basis for the evolution of a marine cohort. The elaboration of this process is based on Chiang´s study of the probability distribution of the life table (Chiang, 1960 and provides specific structured models for stock evolution as a Markovian process. These models may introduce new ideas in the line of thinking developed by Gudmundsson (1987 and Sampson (1990 in order to model the evolution of a marine cohort by stochastic processes. The suitable approximation of these processes by means of Gaussian processes may allow theoretical and computational multivariate Gaussian analysis to be applied to the probabilistic treatment of fisheries issues. As a consequence, the necessary catch equation appears as a stochastic integral with respect to the mentioned Markovian process of the stock. The solution of this equation is available when the mortalities are proportional, hence the use of the proportional hazards model (Cox, 1959. The assumption of these proportional mortalities leads naturally to the construction of a
Quantum dynamics of classical stochastic systems
Energy Technology Data Exchange (ETDEWEB)
Casati, G
1983-01-01
It is shown that one hand Quantum Mechanics introduces limitations to the manifestations of chaotic motion resulting, for the case of the periodically kicked rotator, in the limitation of energy growth; also, as it is confirmed by numerical experiments, phenomena like the exponential instability of orbits, inherent to strongly chaotic systems, are absent here and therefore Quantum Mechanics appear to be more stable and predictable than Classical Mechanics. On the other hand, we have seen that nonrecurrent behavior may arise in Quantum Systems and it is connected to the presence of singular continuous spectrum. We conjecture that the classical chaotic behavior is reflected, at least partially, in the nature of the spectrum and the singular-continuity of the latter may possess a self-similar structure typical of classical chaos.
Modeling and stochastic analysis of dynamic mechanisms of the perception
Pisarchik, A.; Bashkirtseva, I.; Ryashko, L.
2017-10-01
Modern studies in physiology and cognitive neuroscience consider a noise as an important constructive factor of the brain functionality. Under the adequate noise, the brain can rapidly access different ordered states, and provide decision-making by preventing deadlocks. Bistable dynamic models are often used for the study of the underlying mechanisms of the visual perception. In the present paper, we consider a bistable energy model subject to both additive and parametric noise. Using the catastrophe theory formalism and stochastic sensitivity functions technique, we analyze a response of the equilibria to noise, and study noise-induced transitions between equilibria. We demonstrate and analyse the effect of hysteresis squeezing when the intensity of noise is increased. Stochastic bifurcations connected with the suppression of oscillations by parametric noises are discussed.
Dynamic Stochastic Superresolution of sparsely observed turbulent systems
International Nuclear Information System (INIS)
Branicki, M.; Majda, A.J.
2013-01-01
Real-time capture of the relevant features of the unresolved turbulent dynamics of complex natural systems from sparse noisy observations and imperfect models is a notoriously difficult problem. The resulting lack of observational resolution and statistical accuracy in estimating the important turbulent processes, which intermittently send significant energy to the large-scale fluctuations, hinders efficient parameterization and real-time prediction using discretized PDE models. This issue is particularly subtle and important when dealing with turbulent geophysical systems with an vast range of interacting spatio-temporal scales and rough energy spectra near the mesh scale of numerical models. Here, we introduce and study a suite of general Dynamic Stochastic Superresolution (DSS) algorithms and show that, by appropriately filtering sparse regular observations with the help of cheap stochastic exactly solvable models, one can derive stochastically ‘superresolved’ velocity fields and gain insight into the important characteristics of the unresolved dynamics, including the detection of the so-called black swans. The DSS algorithms operate in Fourier domain and exploit the fact that the coarse observation network aliases high-wavenumber information into the resolved waveband. It is shown that these cheap algorithms are robust and have significant skill on a test bed of turbulent solutions from realistic nonlinear turbulent spatially extended systems in the presence of a significant model error. In particular, the DSS algorithms are capable of successfully capturing time-localized extreme events in the unresolved modes, and they provide good and robust skill for recovery of the unresolved processes in terms of pattern correlation. Moreover, we show that DSS improves the skill for recovering the primary modes associated with the sparse observation mesh which is equally important in applications. The skill of the various DSS algorithms depends on the energy spectrum
Kinetic theory of age-structured stochastic birth-death processes
Greenman, Chris D.; Chou, Tom
2016-01-01
Classical age-structured mass-action models such as the McKendrick-von Foerster equation have been extensively studied but are unable to describe stochastic fluctuations or population-size-dependent birth and death rates. Stochastic theories that treat semi-Markov age-dependent processes using, e.g., the Bellman-Harris equation do not resolve a population's age structure and are unable to quantify population-size dependencies. Conversely, current theories that include size-dependent population dynamics (e.g., mathematical models that include carrying capacity such as the logistic equation) cannot be easily extended to take into account age-dependent birth and death rates. In this paper, we present a systematic derivation of a new, fully stochastic kinetic theory for interacting age-structured populations. By defining multiparticle probability density functions, we derive a hierarchy of kinetic equations for the stochastic evolution of an aging population undergoing birth and death. We show that the fully stochastic age-dependent birth-death process precludes factorization of the corresponding probability densities, which then must be solved by using a Bogoliubov--Born--Green--Kirkwood--Yvon-like hierarchy. Explicit solutions are derived in three limits: no birth, no death, and steady state. These are then compared with their corresponding mean-field results. Our results generalize both deterministic models and existing master equation approaches by providing an intuitive and efficient way to simultaneously model age- and population-dependent stochastic dynamics applicable to the study of demography, stem cell dynamics, and disease evolution.
Stochastic population dynamics of a montane ground-dwelling squirrel.
Hostetler, Jeffrey A; Kneip, Eva; Van Vuren, Dirk H; Oli, Madan K
2012-01-01
Understanding the causes and consequences of population fluctuations is a central goal of ecology. We used demographic data from a long-term (1990-2008) study and matrix population models to investigate factors and processes influencing the dynamics and persistence of a golden-mantled ground squirrel (Callospermophilus lateralis) population, inhabiting a dynamic subalpine habitat in Colorado, USA. The overall deterministic population growth rate λ was 0.94±SE 0.05 but it varied widely over time, ranging from 0.45±0.09 in 2006 to 1.50±0.12 in 2003, and was below replacement (λbounce back from low densities and prevented extinction. These results suggest that dynamics and persistence of our study population are determined synergistically by density-dependence, stochastic forces, and immigration.
Spreading dynamics on complex networks: a general stochastic approach.
Noël, Pierre-André; Allard, Antoine; Hébert-Dufresne, Laurent; Marceau, Vincent; Dubé, Louis J
2014-12-01
Dynamics on networks is considered from the perspective of Markov stochastic processes. We partially describe the state of the system through network motifs and infer any missing data using the available information. This versatile approach is especially well adapted for modelling spreading processes and/or population dynamics. In particular, the generality of our framework and the fact that its assumptions are explicitly stated suggests that it could be used as a common ground for comparing existing epidemics models too complex for direct comparison, such as agent-based computer simulations. We provide many examples for the special cases of susceptible-infectious-susceptible and susceptible-infectious-removed dynamics (e.g., epidemics propagation) and we observe multiple situations where accurate results may be obtained at low computational cost. Our perspective reveals a subtle balance between the complex requirements of a realistic model and its basic assumptions.
Noise-sustained fluctuations in stochastic dynamics with a delay.
D'Odorico, Paolo; Laio, Francesco; Ridolfi, Luca
2012-04-01
Delayed responses to external drivers are ubiquitous in environmental, social, and biological processes. Delays may induce oscillations, Hopf bifurcations, and instabilities in deterministic systems even in the absence of nonlinearities. Despite recent advances in the study of delayed stochastic differential equations, the interaction of random drivers with delays remains poorly understood. In particular, it is unclear whether noise-induced behaviors may emerge from these interactions. Here we show that noise may enhance and sustain transient periodic oscillations inherent to deterministic delayed systems. We investigate the conditions conducive to the emergence and disappearance of these dynamics in a linear system in the presence of both additive and multiplicative noise.
Automated planning through abstractions in dynamic and stochastic environments
Martínez Muñoz, Moisés
2016-01-01
Mención Internacional en el título de doctor Generating sequences of actions - plans - for an automatic system, like a robot, using Automated Planning is particularly diflicult in stochastic and/or dynamic environments. These plans are composed of actions whose execution, in certain scenarios, might fail, which in tum prevents the execution of the rest of the actions in the plan. Also, in some environments, plans must he generated fast, hoth at the start of the execution and after every ex...
Emerging of Stochastic Dynamical Equalities and Steady State Thermodynamics from Darwinian Dynamics
International Nuclear Information System (INIS)
Ao, P.
2008-01-01
The evolutionary dynamics first conceived by Darwin and Wallace, referring to as Darwinian dynamics in the present paper, has been found to be universally valid in biology. The statistical mechanics and thermodynamics, while enormous successful in physics, have been in an awkward situation of wanting a consistent dynamical understanding. Here we present from a formal point of view an exploration of the connection between thermodynamics and Darwinian dynamics and a few related topics. We first show that the stochasticity in Darwinian dynamics implies the existence temperature, hence the canonical distribution of Boltzmann-Gibbs type. In term of relative entropy the Second Law of thermodynamics is dynamically demonstrated without detailed balance condition, and is valid regardless of size of the system. In particular, the dynamical component responsible for breaking detailed balance condition does not contribute to the change of the relative entropy. Two types of stochastic dynamical equalities of current interest are explicitly discussed in the present approach: One is based on Feynman-Kac formula and another is a generalization of Einstein relation. Both are directly accessible to experimental tests. Our demonstration indicates that Darwinian dynamics represents logically a simple and straightforward starting point for statistical mechanics and thermodynamics and is complementary to and consistent with conservative dynamics that dominates the physical sciences. Present exploration suggests the existence of a unified stochastic dynamical framework both near and far from equilibrium
A stochastic differential equation analysis of cerebrospinal fluid dynamics.
Raman, Kalyan
2011-01-18
Clinical measurements of intracranial pressure (ICP) over time show fluctuations around the deterministic time path predicted by a classic mathematical model in hydrocephalus research. Thus an important issue in mathematical research on hydrocephalus remains unaddressed--modeling the effect of noise on CSF dynamics. Our objective is to mathematically model the noise in the data. The classic model relating the temporal evolution of ICP in pressure-volume studies to infusions is a nonlinear differential equation based on natural physical analogies between CSF dynamics and an electrical circuit. Brownian motion was incorporated into the differential equation describing CSF dynamics to obtain a nonlinear stochastic differential equation (SDE) that accommodates the fluctuations in ICP. The SDE is explicitly solved and the dynamic probabilities of exceeding critical levels of ICP under different clinical conditions are computed. A key finding is that the probabilities display strong threshold effects with respect to noise. Above the noise threshold, the probabilities are significantly influenced by the resistance to CSF outflow and the intensity of the noise. Fluctuations in the CSF formation rate increase fluctuations in the ICP and they should be minimized to lower the patient's risk. The nonlinear SDE provides a scientific methodology for dynamic risk management of patients. The dynamic output of the SDE matches the noisy ICP data generated by the actual intracranial dynamics of patients better than the classic model used in prior research.
A stochastic differential equation analysis of cerebrospinal fluid dynamics
Directory of Open Access Journals (Sweden)
Raman Kalyan
2011-01-01
Full Text Available Abstract Background Clinical measurements of intracranial pressure (ICP over time show fluctuations around the deterministic time path predicted by a classic mathematical model in hydrocephalus research. Thus an important issue in mathematical research on hydrocephalus remains unaddressed--modeling the effect of noise on CSF dynamics. Our objective is to mathematically model the noise in the data. Methods The classic model relating the temporal evolution of ICP in pressure-volume studies to infusions is a nonlinear differential equation based on natural physical analogies between CSF dynamics and an electrical circuit. Brownian motion was incorporated into the differential equation describing CSF dynamics to obtain a nonlinear stochastic differential equation (SDE that accommodates the fluctuations in ICP. Results The SDE is explicitly solved and the dynamic probabilities of exceeding critical levels of ICP under different clinical conditions are computed. A key finding is that the probabilities display strong threshold effects with respect to noise. Above the noise threshold, the probabilities are significantly influenced by the resistance to CSF outflow and the intensity of the noise. Conclusions Fluctuations in the CSF formation rate increase fluctuations in the ICP and they should be minimized to lower the patient's risk. The nonlinear SDE provides a scientific methodology for dynamic risk management of patients. The dynamic output of the SDE matches the noisy ICP data generated by the actual intracranial dynamics of patients better than the classic model used in prior research.
Fundamentals of structural dynamics
Craig, Roy R
2006-01-01
From theory and fundamentals to the latest advances in computational and experimental modal analysis, this is the definitive, updated reference on structural dynamics.This edition updates Professor Craig's classic introduction to structural dynamics, which has been an invaluable resource for practicing engineers and a textbook for undergraduate and graduate courses in vibrations and/or structural dynamics. Along with comprehensive coverage of structural dynamics fundamentals, finite-element-based computational methods, and dynamic testing methods, this Second Edition includes new and e
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.
Evaluation of Electric Power Procurement Strategies by Stochastic Dynamic Programming
Saisho, Yuichi; Hayashi, Taketo; Fujii, Yasumasa; Yamaji, Kenji
In deregulated electricity markets, the role of a distribution company is to purchase electricity from the wholesale electricity market at randomly fluctuating prices and to provide it to its customers at a given fixed price. Therefore the company has to take risk stemming from the uncertainties of electricity prices and/or demand fluctuation instead of the customers. The way to avoid the risk is to make a bilateral contact with generating companies or install its own power generation facility. This entails the necessity to develop a certain method to make an optimal strategy for electric power procurement. In such a circumstance, this research has the purpose for proposing a mathematical method based on stochastic dynamic programming and additionally considering the characteristics of the start-up cost of electric power generation facility to evaluate strategies of combination of the bilateral contract and power auto-generation with its own facility for procuring electric power in deregulated electricity market. In the beginning we proposed two approaches to solve the stochastic dynamic programming, and they are a Monte Carlo simulation method and a finite difference method to derive the solution of a partial differential equation of the total procurement cost of electric power. Finally we discussed the influences of the price uncertainty on optimal strategies of power procurement.
Comparison of stochastic resonance in static and dynamical nonlinearities
International Nuclear Information System (INIS)
Ma, Yumei; Duan, Fabing
2014-01-01
We compare the stochastic resonance (SR) effects in parallel arrays of static and dynamical nonlinearities via the measure of output signal-to-noise ratio (SNR). For a received noisy periodic signal, parallel arrays of both static and dynamical nonlinearities can enhance the output SNR by optimizing the internal noise level. The static nonlinearity is easily implementable, while the dynamical nonlinearity has more parameters to be tuned, at the risk of not exploiting the beneficial role of internal noise components. It is of interest to note that, for an input signal buried in the external Laplacian noise, we show that the dynamical nonlinearity is superior to the static nonlinearity in obtaining a better output SNR. This characteristic is assumed to be closely associated with the kurtosis of noise distribution. - Highlights: • Comparison of SR effects in arrays of both static and dynamical nonlinearities. • Static nonlinearity is easily implementable for the SNR enhancement. • Dynamical nonlinearity yields a better output SNR for external Laplacian noise
Assessing predictability of a hydrological stochastic-dynamical system
Gelfan, Alexander
2014-05-01
The water cycle includes the processes with different memory that creates potential for predictability of hydrological system based on separating its long and short memory components and conditioning long-term prediction on slower evolving components (similar to approaches in climate prediction). In the face of the Panta Rhei IAHS Decade questions, it is important to find a conceptual approach to classify hydrological system components with respect to their predictability, define predictable/unpredictable patterns, extend lead-time and improve reliability of hydrological predictions based on the predictable patterns. Representation of hydrological systems as the dynamical systems subjected to the effect of noise (stochastic-dynamical systems) provides possible tool for such conceptualization. A method has been proposed for assessing predictability of hydrological system caused by its sensitivity to both initial and boundary conditions. The predictability is defined through a procedure of convergence of pre-assigned probabilistic measure (e.g. variance) of the system state to stable value. The time interval of the convergence, that is the time interval during which the system losses memory about its initial state, defines limit of the system predictability. The proposed method was applied to assess predictability of soil moisture dynamics in the Nizhnedevitskaya experimental station (51.516N; 38.383E) located in the agricultural zone of the central European Russia. A stochastic-dynamical model combining a deterministic one-dimensional model of hydrothermal regime of soil with a stochastic model of meteorological inputs was developed. The deterministic model describes processes of coupled heat and moisture transfer through unfrozen/frozen soil and accounts for the influence of phase changes on water flow. The stochastic model produces time series of daily meteorological variables (precipitation, air temperature and humidity), whose statistical properties are similar
Information Dynamics of a Nonlinear Stochastic Nanopore System
Directory of Open Access Journals (Sweden)
Claire Gilpin
2018-03-01
Full Text Available Nanopores have become a subject of interest in the scientific community due to their potential uses in nanometer-scale laboratory and research applications, including infectious disease diagnostics and DNA sequencing. Additionally, they display behavioral similarity to molecular and cellular scale physiological processes. Recent advances in information theory have made it possible to probe the information dynamics of nonlinear stochastic dynamical systems, such as autonomously fluctuating nanopore systems, which has enhanced our understanding of the physical systems they model. We present the results of local (LER and specific entropy rate (SER computations from a simulation study of an autonomously fluctuating nanopore system. We learn that both metrics show increases that correspond to fluctuations in the nanopore current, indicating fundamental changes in information generation surrounding these fluctuations.
On the stochastic dynamics of disordered spin models
International Nuclear Information System (INIS)
Semerjian, G.; Montanari, A.; Cugliandolo, L.F.
2003-09-01
In this article we discuss several aspects of the stochastic dynamics of spin models. The paper has two independent parts. Firstly, we explore a few properties of the multi-point correlations and responses of generic systems evolving in equilibrium with a thermal bath. We propose a fluctuation principle that allows us to derive fluctuation-dissipation relations for many-time correlations and linear responses. We also speculate on how these features will be modified in systems evolving slowly out of equilibrium, as finite-dimensional or dilute spin-glasses. Secondly, we present a formalism that allows one to derive a series of approximated equations that determine the dynamics of disordered spin models on random (hyper) graphs. (author)
Interactive macroeconomics stochastic aggregate dynamics with heterogeneous and interacting agents
Di Guilmi, Corrado
2017-01-01
One of the major problems of macroeconomic theory is the way in which the people exchange goods in decentralized market economies. There are major disagreements among macroeconomists regarding tools to influence required outcomes. Since the mainstream efficient market theory fails to provide an internal coherent framework, there is a need for an alternative theory. The book provides an innovative approach for the analysis of agent based models, populated by the heterogeneous and interacting agents in the field of financial fragility. The text is divided in two parts; the first presents analytical developments of stochastic aggregation and macro-dynamics inference methods. The second part introduces macroeconomic models of financial fragility for complex systems populated by heterogeneous and interacting agents. The concepts of financial fragility and macroeconomic dynamics are explained in detail in separate chapters. The statistical physics approach is applied to explain theories of macroeconomic modelling a...
Stochastic dynamics of melt ponds and sea ice-albedo climate feedback
Sudakov, Ivan
Evolution of melt ponds on the Arctic sea surface is a complicated stochastic process. We suggest a low-order model with ice-albedo feedback which describes stochastic dynamics of melt ponds geometrical characteristics. The model is a stochastic dynamical system model of energy balance in the climate system. We describe the equilibria in this model. We conclude the transition in fractal dimension of melt ponds affects the shape of the sea ice albedo curve.
Directory of Open Access Journals (Sweden)
Xiaona Leng
2017-06-01
Full Text Available Abstract This paper proposes a new nonlinear stochastic SIVS epidemic model with double epidemic hypothesis and Lévy jumps. The main purpose of this paper is to investigate the threshold dynamics of the stochastic SIVS epidemic model. By using the technique of a series of stochastic inequalities, we obtain sufficient conditions for the persistence in mean and extinction of the stochastic system and the threshold which governs the extinction and the spread of the epidemic diseases. Finally, this paper describes the results of numerical simulations investigating the dynamical effects of stochastic disturbance. Our results significantly improve and generalize the corresponding results in recent literatures. The developed theoretical methods and stochastic inequalities technique can be used to investigate the high-dimensional nonlinear stochastic differential systems.
Dynamic Response of a Floating Bridge Structure
Viuff, Thomas; Leira, Bernt Johan; Øiseth, Ole; Xiang, Xu
2016-01-01
A theoretical overview of the stochastic dynamic analysis of a floating bridge structure is presented. Emphasis is on the wave-induced response and the waves on the sea surface are idealized as a zero mean stationary Gaussian process. The first-order wave load processes are derived using linear potential theory and the structural idealization is based on the Finite Element Method. A frequency response calculation is presented for a simplified floating bridge structure example emphasising the ...
Structured population dynamics: continuous size and discontinuous stage structures.
Buffoni, Giuseppe; Pasquali, Sara
2007-04-01
A nonlinear stochastic model for the dynamics of a population with either a continuous size structure or a discontinuous stage structure is formulated in the Eulerian formalism. It takes into account dispersion effects due to stochastic variability of the development process of the individuals. The discrete equations of the numerical approximation are derived, and an analysis of the existence and stability of the equilibrium states is performed. An application to a copepod population is illustrated; numerical results of Eulerian and Lagrangian models are compared.
Stochastic Extreme Load Predictions for Marine Structures
DEFF Research Database (Denmark)
Jensen, Jørgen Juncher
1999-01-01
Development of rational design criteria for marine structures requires reliable estimates for the maximum wave-induced loads the structure may encounter during its operational lifetime. The paper discusses various methods for extreme value predictions taking into account the non-linearity of the ......Development of rational design criteria for marine structures requires reliable estimates for the maximum wave-induced loads the structure may encounter during its operational lifetime. The paper discusses various methods for extreme value predictions taking into account the non......-linearity of the waves and the response. As example the wave-induced bending moment in the ship hull girder is considered....
Symplectic Integrators to Stochastic Hamiltonian Dynamical Systems Derived from Composition Methods
Directory of Open Access Journals (Sweden)
Tetsuya Misawa
2010-01-01
Full Text Available “Symplectic” schemes for stochastic Hamiltonian dynamical systems are formulated through “composition methods (or operator splitting methods” proposed by Misawa (2001. In the proposed methods, a symplectic map, which is given by the solution of a stochastic Hamiltonian system, is approximated by composition of the stochastic flows derived from simpler Hamiltonian vector fields. The global error orders of the numerical schemes derived from the stochastic composition methods are provided. To examine the superiority of the new schemes, some illustrative numerical simulations on the basis of the proposed schemes are carried out for a stochastic harmonic oscillator system.
Stochastic transport through complex comb structures
International Nuclear Information System (INIS)
Zaburdaev, V. Yu.; Popov, P. V.; Romanov, A. S.; Chukbar, K. V.
2008-01-01
A unified rigorous approach is used to derive fractional differential equations describing subdiffusive transport through comb structures of various geometrical complexity. A general nontrivial effect of the initial particle distribution on the subsequent evolution is exposed. Solutions having qualitative features of practical importance are given for joined structures with widely different fractional exponents
Stochastic models for structured populations scaling limits and long time behavior
Meleard, Sylvie
2015-01-01
In this contribution, several probabilistic tools to study population dynamics are developed. The focus is on scaling limits of qualitatively different stochastic individual based models and the long time behavior of some classes of limiting processes. Structured population dynamics are modeled by measure-valued processes describing the individual behaviors and taking into account the demographic and mutational parameters, and possible interactions between individuals. Many quantitative parameters appear in these models and several relevant normalizations are considered, leading to infinite-dimensional deterministic or stochastic large-population approximations. Biologically relevant questions are considered, such as extinction criteria, the effect of large birth events, the impact of environmental catastrophes, the mutation-selection trade-off, recovery criteria in parasite infections, genealogical properties of a sample of individuals. These notes originated from a lecture series on Structured P...
Nelson's stochastic quantization of free linearized gravitational field and its Markovian structure
International Nuclear Information System (INIS)
Lim, S.C.
1983-05-01
It is shown that by applying Nelson's stochastic quantization scheme to free linearized gravitational field tensor one can associate with the resulting stochastic system a stochastic tensor field which coincides with the ''space'' part of the Riemannian tensor in Euclidean space-time. However, such a stochastic field fails to satisfy the Markov property. Instead, it satisfies the reflection positivity. The Markovian structure of the stochastic fields associated with the electromagnetic field is also discussed. (author)
Setting development goals using stochastic dynamical system models.
Ranganathan, Shyam; Nicolis, Stamatios C; Bali Swain, Ranjula; Sumpter, David J T
2017-01-01
The Millennium Development Goals (MDG) programme was an ambitious attempt to encourage a globalised solution to important but often-overlooked development problems. The programme led to wide-ranging development but it has also been criticised for unrealistic and arbitrary targets. In this paper, we show how country-specific development targets can be set using stochastic, dynamical system models built from historical data. In particular, we show that the MDG target of two-thirds reduction of child mortality from 1990 levels was infeasible for most countries, especially in sub-Saharan Africa. At the same time, the MDG targets were not ambitious enough for fast-developing countries such as Brazil and China. We suggest that model-based setting of country-specific targets is essential for the success of global development programmes such as the Sustainable Development Goals (SDG). This approach should provide clear, quantifiable targets for policymakers.
The sequence relay selection strategy based on stochastic dynamic programming
Zhu, Rui; Chen, Xihao; Huang, Yangchao
2017-07-01
Relay-assisted (RA) network with relay node selection is a kind of effective method to improve the channel capacity and convergence performance. However, most of the existing researches about the relay selection did not consider the statically channel state information and the selection cost. This shortage limited the performance and application of RA network in practical scenarios. In order to overcome this drawback, a sequence relay selection strategy (SRSS) was proposed. And the performance upper bound of SRSS was also analyzed in this paper. Furthermore, in order to make SRSS more practical, a novel threshold determination algorithm based on the stochastic dynamic program (SDP) was given to work with SRSS. Numerical results are also presented to exhibit the performance of SRSS with SDP.
Dynamic analysis and design of offshore structures
Chandrasekaran, Srinivasan
2015-01-01
This book attempts to provide readers with an overall idea of various types of offshore platform geometries. It covers the various environmental loads encountered by these structures, a detailed description of the fundamentals of structural dynamics in a class-room style, estimate of damping in offshore structures and their applications in the preliminary analysis and design. Basic concepts of structural dynamics are emphasized through simple illustrative examples and exercises. Design methodologies and guidelines, which are FORM based concepts are explained through a few applied example structures. Each chapter also has tutorials and exercises for self-learning. A dedicated chapter on stochastic dynamics will help the students to extend the basic concepts of structural dynamics to this advanced domain of research. Hydrodynamic response of offshore structures with perforated members is one of the recent research applications, which is found to be one of the effective manner of retrofitting offshore structur...
The stochastic dynamics of intermittent porescale particle motion
Dentz, Marco; Morales, Veronica; Puyguiraud, Alexandre; Gouze, Philippe; Willmann, Matthias; Holzner, Markus
2017-04-01
Numerical and experimental data for porescale particle dynamics show intermittent patterns in Lagrangian velocities and accelerations, which manifest in long time intervals of low and short durations of high velocities [1, 2]. This phenomenon is due to the spatial persistence of particle velocities on characteristic heterogeneity length scales. In order to systematically quantify these behaviors and extract the stochastic dynamics of particle motion, we focus on the analysis of Lagrangian velocities sampled equidistantly along trajectories [3]. This method removes the intermittency observed under isochrone sampling. The space-Lagrangian velocity series can be quantified by a Markov process that is continuous in distance along streamline. It is fully parameterized in terms of the flux-weighted Eulerian velocity PDF and the characteristic pore-length. The resulting stochastic particle motion describes a continuous time random walk (CTRW). This approach allows for the process based interpretation of experimental and numerical porescale velocity, acceleration and displacement data. It provides a framework for the characterization and upscaling of particle transport and dispersion from the pore to the Darcy-scale based on the medium geometry and Eulerian flow attributes. [1] P. De Anna, T. Le Borgne, M. Dentz, A.M. Tartakovsky, D. Bolster, and P. Davy, "Flow intermittency, dispersion, and correlated continuous time random walks in porous media," Phys. Rev. Lett. 110, 184502 (2013). [2] M. Holzner, V. L. Morales, M. Willmann, and M. Dentz, "Intermittent Lagrangian velocities and accelerations in three- dimensional porous medium flow," Phys. Rev. E 92, 013015 (2015). [3] M. Dentz, P. K. Kang, A. Comolli, T. Le Borgne, and D. R. Lester, "Continuous time random walks for the evolution of Lagrangian velocities," Phys. Rev. Fluids (2016).
Abdullaev, Sadrilla
2014-01-01
This is the first book to systematically consider the modern aspects of chaotic dynamics of magnetic field lines and charged particles in magnetically confined fusion plasmas. The analytical models describing the generic features of equilibrium magnetic fields and magnetic perturbations in modern fusion devices are presented. It describes mathematical and physical aspects of onset of chaos, generic properties of the structure of stochastic magnetic fields, transport of charged particles in tokamaks induced by magnetic perturbations, new aspects of particle turbulent transport, etc. The presentation is based on the classical and new unique mathematical tools of Hamiltonian dynamics, like the action--angle formalism, classical perturbation theory, canonical transformations of variables, symplectic mappings, the Poincaré-Melnikov integrals. They are extensively used for analytical studies as well as for numerical simulations of magnetic field lines, particle dynamics, their spatial structures and statisti...
MacKenzie, K; Bishop, S C
2001-08-01
A stochastic model describing disease transmission dynamics for a microparasitic infection in a structured domestic animal population is developed and applied to hypothetical epidemics on a pig farm. Rational decision making regarding appropriate control strategies for infectious diseases in domestic livestock requires an understanding of the disease dynamics and risk profiles for different groups of animals. This is best achieved by means of stochastic epidemic models. Methodologies are presented for 1) estimating the probability of an epidemic, given the presence of an infected animal, whether this epidemic is major (requires intervention) or minor (dies out without intervention), and how the location of the infected animal on the farm influences the epidemic probabilities; 2) estimating the basic reproductive ratio, R0 (i.e., the expected number of secondary cases on the introduction of a single infected animal) and the variability of the estimate of this parameter; and 3) estimating the total proportion of animals infected during an epidemic and the total proportion infected at any point in time. The model can be used for assessing impact of altering farm structure on disease dynamics, as well as disease control strategies, including altering farm structure, vaccination, culling, and genetic selection.
Stochastic Ocean Predictions with Dynamically-Orthogonal Primitive Equations
Subramani, D. N.; Haley, P., Jr.; Lermusiaux, P. F. J.
2017-12-01
The coastal ocean is a prime example of multiscale nonlinear fluid dynamics. Ocean fields in such regions are complex and intermittent with unstationary heterogeneous statistics. Due to the limited measurements, there are multiple sources of uncertainties, including the initial conditions, boundary conditions, forcing, parameters, and even the model parameterizations and equations themselves. For efficient and rigorous quantification and prediction of these uncertainities, the stochastic Dynamically Orthogonal (DO) PDEs for a primitive equation ocean modeling system with a nonlinear free-surface are derived and numerical schemes for their space-time integration are obtained. Detailed numerical studies with idealized-to-realistic regional ocean dynamics are completed. These include consistency checks for the numerical schemes and comparisons with ensemble realizations. As an illustrative example, we simulate the 4-d multiscale uncertainty in the Middle Atlantic/New York Bight region during the months of Jan to Mar 2017. To provide intitial conditions for the uncertainty subspace, uncertainties in the region were objectively analyzed using historical data. The DO primitive equations were subsequently integrated in space and time. The probability distribution function (pdf) of the ocean fields is compared to in-situ, remote sensing, and opportunity data collected during the coincident POSYDON experiment. Results show that our probabilistic predictions had skill and are 3- to 4- orders of magnitude faster than classic ensemble schemes.
The stochastic dynamics of tethered microcantilevers in a viscous fluid
Energy Technology Data Exchange (ETDEWEB)
Robbins, Brian A.; Paul, Mark R. [Department of Mechanical Engineering, Virginia Tech, Blacksburg, Virginia 24061 (United States); Radiom, Milad; Ducker, William A. [Department of Chemical Engineering, Virginia Tech, Blacksburg, Virginia 24061 (United States); Walz, John Y. [Department of Chemical Engineering, University of Kentucky, Lexington, Kentucky 40506 (United States)
2014-10-28
We explore and quantify the coupled dynamics of a pair of micron scale cantilevers immersed in a viscous fluid that are also directly tethered to one another at their tips by a spring force. The spring force, for example, could represent the molecular stiffness or elasticity of a biomolecule or material tethered between the cantilevers. We use deterministic numerical simulations with the fluctuation-dissipation theorem to compute the stochastic dynamics of the cantilever pair for the conditions of experiment when driven only by Brownian motion. We validate our approach by comparing directly with experimental measurements in the absence of the tether which shows excellent agreement. Using numerical simulations, we quantify the correlated dynamics of the cantilever pair over a range of tether stiffness. Our results quantify the sensitivity of the auto- and cross-correlations of equilibrium fluctuations in cantilever displacement to the stiffness of the tether. We show that the tether affects the magnitude of the correlations which can be used in a measurement to probe the properties of an attached tethering substance. For the configurations of current interest using micron scale cantilevers in water, we show that the magnitude of the fluid coupling between the cantilevers is sufficiently small such that the influence of the tether can be significant. Our results show that the cross-correlation is more sensitive to tether stiffness than the auto-correlation indicating that a two-cantilever measurement has improved sensitivity when compared with a measurement using a single cantilever.
Quantization of dynamical systems and stochastic control theory
International Nuclear Information System (INIS)
Guerra, F.; Morato, L.M.
1982-09-01
In the general framework of stochastic control theory we introduce a suitable form of stochastic action associated to the controlled process. Then a variational principle gives all main features of Nelson's stochastic mechanics. In particular we derive the expression of the current velocity field as the gradient of the phase action. Moreover the stochastic corrections to the Hamilton-Jacobi equation are in agreement with the quantum mechanical form of the Madelung fluid (equivalent to the Schroedinger equation). Therefore stochastic control theory can provide a very simple model simulating quantum mechanical behavior
Cotter, C J; Gottwald, G A; Holm, D D
2017-09-01
In Holm (Holm 2015 Proc. R. Soc. A 471 , 20140963. (doi:10.1098/rspa.2014.0963)), stochastic fluid equations were derived by employing a variational principle with an assumed stochastic Lagrangian particle dynamics. Here we show that the same stochastic Lagrangian dynamics naturally arises in a multi-scale decomposition of the deterministic Lagrangian flow map into a slow large-scale mean and a rapidly fluctuating small-scale map. We employ homogenization theory to derive effective slow stochastic particle dynamics for the resolved mean part, thereby obtaining stochastic fluid partial equations in the Eulerian formulation. To justify the application of rigorous homogenization theory, we assume mildly chaotic fast small-scale dynamics, as well as a centring condition. The latter requires that the mean of the fluctuating deviations is small, when pulled back to the mean flow.
Stochastic search in structural optimization - Genetic algorithms and simulated annealing
Hajela, Prabhat
1993-01-01
An account is given of illustrative applications of genetic algorithms and simulated annealing methods in structural optimization. The advantages of such stochastic search methods over traditional mathematical programming strategies are emphasized; it is noted that these methods offer a significantly higher probability of locating the global optimum in a multimodal design space. Both genetic-search and simulated annealing can be effectively used in problems with a mix of continuous, discrete, and integer design variables.
Joint effects of habitat configuration and temporal stochasticity on population dynamics
Jennifer M. Fraterrigo; Scott M. Pearson; Monica G. Turner
2009-01-01
Habitat configuration and temporal stochasticity in the environment are recognized as important drivers of population structure, yet few studies have examined the combined influence of these factors....
Peng, Yijie; Fu, Michael C.; Hu, Jian Qiang; Heidergott, Bernd
In this paper, we propose a new unbiased stochastic derivative estimator in a framework that can handle discontinuous sample performances with structural parameters. This work extends the three most popular unbiased stochastic derivative estimators: (1) infinitesimal perturbation analysis (IPA), (2)
Structure, Reactivity and Dynamics
Indian Academy of Sciences (India)
Understanding structure, reactivity and dynamics is the core issue in chemical ... functional theory (DFT) calculations, molecular dynamics (MD) simulations, light- ... between water and protein oxygen atoms, the superionic conductors which ...
A Stochastic Fractional Dynamics Model of Rainfall Statistics
Kundu, Prasun; Travis, James
2013-04-01
Rainfall varies in space and time in a highly irregular manner and is described naturally in terms of a stochastic process. A characteristic feature of rainfall statistics is that they depend strongly on the space-time scales over which rain data are averaged. A spectral model of precipitation has been developed based on a stochastic differential equation of fractional order for the point rain rate, that allows a concise description of the second moment statistics of rain at any prescribed space-time averaging scale. The model is designed to faithfully reflect the scale dependence and is thus capable of providing a unified description of the statistics of both radar and rain gauge data. The underlying dynamical equation can be expressed in terms of space-time derivatives of fractional orders that are adjusted together with other model parameters to fit the data. The form of the resulting spectrum gives the model adequate flexibility to capture the subtle interplay between the spatial and temporal scales of variability of rain but strongly constrains the predicted statistical behavior as a function of the averaging length and times scales. The main restriction is the assumption that the statistics of the precipitation field is spatially homogeneous and isotropic and stationary in time. We test the model with radar and gauge data collected contemporaneously at the NASA TRMM ground validation sites located near Melbourne, Florida and in Kwajalein Atoll, Marshall Islands in the tropical Pacific. We estimate the parameters by tuning them to the second moment statistics of the radar data. The model predictions are then found to fit the second moment statistics of the gauge data reasonably well without any further adjustment. Some data sets containing periods of non-stationary behavior that involves occasional anomalously correlated rain events, present a challenge for the model.
Identification of the structure parameters using short-time non-stationary stochastic excitation
Jarczewska, Kamila; Koszela, Piotr; Śniady, PaweŁ; Korzec, Aleksandra
2011-07-01
In this paper, we propose an approach to the flexural stiffness or eigenvalue frequency identification of a linear structure using a non-stationary stochastic excitation process. The idea of the proposed approach lies within time domain input-output methods. The proposed method is based on transforming the dynamical problem into a static one by integrating the input and the output signals. The output signal is the structure reaction, i.e. structure displacements due to the short-time, irregular load of random type. The systems with single and multiple degrees of freedom, as well as continuous systems are considered.
Effect of Stochastic Charge Fluctuations on Dust Dynamics
Matthews, Lorin; Shotorban, Babak; Hyde, Truell
2017-10-01
The charging of particles in a plasma environment occurs through the collection of electrons and ions on the particle surface. Depending on the particle size and the plasma density, the standard deviation of the number of collected elementary charges, which fluctuates due to the randomness in times of collisions with electrons or ions, may be a significant fraction of the equilibrium charge. We use a discrete stochastic charging model to simulate the variations in charge across the dust surface as well as in time. The resultant asymmetric particle potentials, even for spherical grains, has a significant impact on the particle coagulation rate as well as the structure of the resulting aggregates. We compare the effects on particle collisions and growth in typical laboratory and astrophysical plasma environments. This work was supported by the National Science Foundation under Grant PHY-1414523.
Stochastic modeling of reinforced concrete structures exposed to chloride attack
DEFF Research Database (Denmark)
Sørensen, John Dalsgaard; Frier, Christian
2004-01-01
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...... 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 able to perform reliability investigations....... The distribution of the time to initiation of corrosion is estimated by simulation. As an example a bridge pier in a marine environment is considered....
Stochastic Modeling of Reinforced Concrete Structures Exposed to Chloride Attack
DEFF Research Database (Denmark)
Sørensen, John Dalsgaard; Frier, Christian
2003-01-01
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...... 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 distribution of the time to initiation of corrosion is estimated by simulation. As an example a bridge pier in a marine environment is considered....
Structural Dynamics Laboratory (SDL)
Federal Laboratory Consortium — Structural dynamic testing is performed to verify the survivability of a component or assembly when exposed to vibration stress screening, or a controlled simulation...
Optically levitated nanoparticle as a model system for stochastic bistable dynamics.
Ricci, F; Rica, R A; Spasenović, M; Gieseler, J; Rondin, L; Novotny, L; Quidant, R
2017-05-09
Nano-mechanical resonators have gained an increasing importance in nanotechnology owing to their contributions to both fundamental and applied science. Yet, their small dimensions and mass raises some challenges as their dynamics gets dominated by nonlinearities that degrade their performance, for instance in sensing applications. Here, we report on the precise control of the nonlinear and stochastic bistable dynamics of a levitated nanoparticle in high vacuum. We demonstrate how it can lead to efficient signal amplification schemes, including stochastic resonance. This work contributes to showing the use of levitated nanoparticles as a model system for stochastic bistable dynamics, with applications to a wide variety of fields.
Dynamics of the stochastic Lorenz chaotic system with long memory effects
Energy Technology Data Exchange (ETDEWEB)
Zeng, Caibin, E-mail: zeng.cb@mail.scut.edu.cn; Yang, Qigui, E-mail: qgyang@scut.edu.cn [School of Mathematics, South China University of Technology, Guangzhou 510640 (China)
2015-12-15
Little seems to be known about the ergodic dynamics of stochastic systems with fractional noise. This paper is devoted to discern such long time dynamics through the stochastic Lorenz chaotic system (SLCS) with long memory effects. By a truncation technique, the SLCS is proved to generate a continuous stochastic dynamical system Λ. Based on the Krylov-Bogoliubov criterion, the required Lyapunov function is further established to ensure the existence of the invariant measure of Λ. Meanwhile, the uniqueness of the invariant measure of Λ is proved by examining the strong Feller property, together with an irreducibility argument. Therefore, the SLCS has exactly one adapted stationary solution.
Anderson, James C
2012-01-01
A concise introduction to structural dynamics and earthquake engineering Basic Structural Dynamics serves as a fundamental introduction to the topic of structural dynamics. Covering single and multiple-degree-of-freedom systems while providing an introduction to earthquake engineering, the book keeps the coverage succinct and on topic at a level that is appropriate for undergraduate and graduate students. Through dozens of worked examples based on actual structures, it also introduces readers to MATLAB, a powerful software for solving both simple and complex structural d
Extension of Nelson's stochastic quantization to finite temperature using thermo field dynamics
International Nuclear Information System (INIS)
Kobayashi, K.; Yamanaka, Y.
2011-01-01
We present an extension of Nelson's stochastic quantum mechanics to finite temperature. Utilizing the formulation of Thermo Field Dynamics (TFD), we can show that Ito's stochastic equations for tilde and non-tilde particle positions reproduce the TFD-type Schroedinger equation which is equivalent to the Liouville-von Neumann equation. In our formalism, the drift terms in the Ito's stochastic equation have the temperature dependence and the thermal fluctuation is induced through the correlation of the non-tilde and tilde particles. We show that our formalism satisfies the position-momentum uncertainty relation at finite temperature. -- Highlights: → Utilizing TFD, we extend Nelson's stochastic method to finite temperature. → We introduce stochastic equations for tilde and non-tilde particles. → Our stochastic equations can reproduce the TFD-type Schroedinger equation. → Our formalism satisfies the uncertainly relation at finite temperature.
Stochastic Modelling, Analysis, and Simulations of the Solar Cycle Dynamic Process
Turner, Douglas C.; Ladde, Gangaram S.
2018-03-01
Analytical solutions, discretization schemes and simulation results are presented for the time delay deterministic differential equation model of the solar dynamo presented by Wilmot-Smith et al. In addition, this model is extended under stochastic Gaussian white noise parametric fluctuations. The introduction of stochastic fluctuations incorporates variables affecting the dynamo process in the solar interior, estimation error of parameters, and uncertainty of the α-effect mechanism. Simulation results are presented and analyzed to exhibit the effects of stochastic parametric volatility-dependent perturbations. The results generalize and extend the work of Hazra et al. In fact, some of these results exhibit the oscillatory dynamic behavior generated by the stochastic parametric additative perturbations in the absence of time delay. In addition, the simulation results of the modified stochastic models influence the change in behavior of the very recently developed stochastic model of Hazra et al.
Advanced Dynamically Adaptive Algorithms for Stochastic Simulations on Extreme Scales
Energy Technology Data Exchange (ETDEWEB)
Xiu, Dongbin [Univ. of Utah, Salt Lake City, UT (United States)
2017-03-03
The focus of the project is the development of mathematical methods and high-performance computational tools for stochastic simulations, with a particular emphasis on computations on extreme scales. The core of the project revolves around the design of highly efficient and scalable numerical algorithms that can adaptively and accurately, in high dimensional spaces, resolve stochastic problems with limited smoothness, even containing discontinuities.
DEFF Research Database (Denmark)
Nielsen, Søren R.K.
This book has been prepared for the course on Computational Dynamics given at the 8th semester at the structural program in civil engineering at Aalborg University.......This book has been prepared for the course on Computational Dynamics given at the 8th semester at the structural program in civil engineering at Aalborg University....
Constant-pH molecular dynamics using stochastic titration
Baptista, António M.; Teixeira, Vitor H.; Soares, Cláudio M.
2002-09-01
A new method is proposed for performing constant-pH molecular dynamics (MD) simulations, that is, MD simulations where pH is one of the external thermodynamic parameters, like the temperature or the pressure. The protonation state of each titrable site in the solute is allowed to change during a molecular mechanics (MM) MD simulation, the new states being obtained from a combination of continuum electrostatics (CE) calculations and Monte Carlo (MC) simulation of protonation equilibrium. The coupling between the MM/MD and CE/MC algorithms is done in a way that ensures a proper Markov chain, sampling from the intended semigrand canonical distribution. This stochastic titration method is applied to succinic acid, aimed at illustrating the method and examining the choice of its adjustable parameters. The complete titration of succinic acid, using constant-pH MD simulations at different pH values, gives a clear picture of the coupling between the trans/gauche isomerization and the protonation process, making it possible to reconcile some apparently contradictory results of previous studies. The present constant-pH MD method is shown to require a moderate increase of computational cost when compared to the usual MD method.
Mean, covariance, and effective dimension of stochastic distributed delay dynamics
René, Alexandre; Longtin, André
2017-11-01
Dynamical models are often required to incorporate both delays and noise. However, the inherently infinite-dimensional nature of delay equations makes formal solutions to stochastic delay differential equations (SDDEs) challenging. Here, we present an approach, similar in spirit to the analysis of functional differential equations, but based on finite-dimensional matrix operators. This results in a method for obtaining both transient and stationary solutions that is directly amenable to computation, and applicable to first order differential systems with either discrete or distributed delays. With fewer assumptions on the system's parameters than other current solution methods and no need to be near a bifurcation, we decompose the solution to a linear SDDE with arbitrary distributed delays into natural modes, in effect the eigenfunctions of the differential operator, and show that relatively few modes can suffice to approximate the probability density of solutions. Thus, we are led to conclude that noise makes these SDDEs effectively low dimensional, which opens the possibility of practical definitions of probability densities over their solution space.
Stochastic Dynamics of Clay Translocation and Formation of Argillic Horizons
Calabrese, S.; Richter, D. D., Jr.; Porporato, A. M.
2017-12-01
The formation of argillic horizons in vertical soil profiles is mainly attributed to lessivage, namely the transport of clay from an upper E horizon to a deeper illuviated horizon. Because of the long timescales involved in this phenomenon, quantitative modeling is useful to explore the role of clay lessivage on soil formation and sub-surface clay accumulation. The limitations of detailed models of colloidal transport to short timescales make it necessary to resort to simple models. Here, we present a parsimonious model of clay transport in which lessivage is interpreted stochastically. Clay particles approach the soil surface at a speed equal to the erosion rate and are intermittently transported to deeper soil layers when percolation events occur or removed by erosion. Along with the evolution of clay particles trajectories, the model predicts the vertical clay profile, the depth of the B horizon, and the mean time to erosion. Dimensional analysis reveals the two dimensionless parameters governing the dynamics, leading to a new classification of soil types based on erosion rates and intensity of lessivage.
Systemic risk in dynamical networks with stochastic failure criterion
Podobnik, B.; Horvatic, D.; Bertella, M. A.; Feng, L.; Huang, X.; Li, B.
2014-06-01
Complex non-linear interactions between banks and assets we model by two time-dependent Erdős-Renyi network models where each node, representing a bank, can invest either to a single asset (model I) or multiple assets (model II). We use a dynamical network approach to evaluate the collective financial failure —systemic risk— quantified by the fraction of active nodes. The systemic risk can be calculated over any future time period, divided into sub-periods, where within each sub-period banks may contiguously fail due to links to either i) assets or ii) other banks, controlled by two parameters, probability of internal failure p and threshold Th (“solvency” parameter). The systemic risk decreases with the average network degree faster when all assets are equally distributed across banks than if assets are randomly distributed. The more inactive banks each bank can sustain (smaller Th), the smaller the systemic risk —for some Th values in I we report a discontinuity in systemic risk. When contiguous spreading becomes stochastic ii) controlled by probability p2 —a condition for the bank to be solvent (active) is stochastic— the systemic risk decreases with decreasing p2. We analyse the asset allocation for the U.S. banks.
Nonlinear dynamics of structures
Oller, Sergio
2014-01-01
This book lays the foundation of knowledge that will allow a better understanding of nonlinear phenomena that occur in structural dynamics. This work is intended for graduate engineering students who want to expand their knowledge on the dynamic behavior of structures, specifically in the nonlinear field, by presenting the basis of dynamic balance in non‐linear behavior structures due to the material and kinematics mechanical effects. Particularly, this publication shows the solution of the equation of dynamic equilibrium for structure with nonlinear time‐independent materials (plasticity, damage and frequencies evolution), as well as those time dependent non‐linear behavior materials (viscoelasticity and viscoplasticity). The convergence conditions for the non‐linear dynamic structure solution are studied, and the theoretical concepts and its programming algorithms are presented.
Stochastic Analysis of Offshore Steel Structures An Analytical Appraisal
Karadeniz, Halil
2013-01-01
Stochastic Analysis of Offshore Steel Structures provides a clear and detailed guide to advanced analysis methods of fixed offshore steel structures using 3D beam finite elements under random wave and earthquake loadings. Advanced and up-to-date research results are coupled with modern analysis methods and essential theoretical information to consider optimal solutions to structural issues. As these methods require and use knowledge of different subject matters, a general introduction to the key areas is provided. This is followed by in-depth explanations supported by design examples, relevant calculations and supplementary material containing related computer programmers. By combining this theoretical and practical approach Stochastic Analysis of Offshore Steel Structures cover a range of key concepts in detail including: · The basic principles of standard 3D beam finite elements and special connections, · Wave loading - from hydrodynamics to the calculation of wave load...
Feature Extraction for Structural Dynamics Model Validation
Energy Technology Data Exchange (ETDEWEB)
Farrar, Charles [Los Alamos National Laboratory; Nishio, Mayuko [Yokohama University; Hemez, Francois [Los Alamos National Laboratory; Stull, Chris [Los Alamos National Laboratory; Park, Gyuhae [Chonnam Univesity; Cornwell, Phil [Rose-Hulman Institute of Technology; Figueiredo, Eloi [Universidade Lusófona; Luscher, D. J. [Los Alamos National Laboratory; Worden, Keith [University of Sheffield
2016-01-13
As structural dynamics becomes increasingly non-modal, stochastic and nonlinear, finite element model-updating technology must adopt the broader notions of model validation and uncertainty quantification. For example, particular re-sampling procedures must be implemented to propagate uncertainty through a forward calculation, and non-modal features must be defined to analyze nonlinear data sets. The latter topic is the focus of this report, but first, some more general comments regarding the concept of model validation will be discussed.
Unifying dynamical and structural stability of equilibria
Arnoldi, Jean-François; Haegeman, Bart
2016-09-01
We exhibit a fundamental relationship between measures of dynamical and structural stability of linear dynamical systems-e.g. linearized models in the vicinity of equilibria. We show that dynamical stability, quantified via the response to external perturbations (i.e. perturbation of dynamical variables), coincides with the minimal internal perturbation (i.e. perturbations of interactions between variables) able to render the system unstable. First, by reformulating a result of control theory, we explain that harmonic external perturbations reflect the spectral sensitivity of the Jacobian matrix at the equilibrium, with respect to constant changes of its coefficients. However, for this equivalence to hold, imaginary changes of the Jacobian's coefficients have to be allowed. The connection with dynamical stability is thus lost for real dynamical systems. We show that this issue can be avoided, thus recovering the fundamental link between dynamical and structural stability, by considering stochastic noise as external and internal perturbations. More precisely, we demonstrate that a linear system's response to white-noise perturbations directly reflects the intensity of internal white-noise disturbance that it can accommodate before becoming stochastically unstable.
Exact and Approximate Stochastic Simulation of Intracellular Calcium Dynamics
Directory of Open Access Journals (Sweden)
Nicolas Wieder
2011-01-01
pathways. The purpose of the present paper is to provide an overview of the aforementioned simulation approaches and their mutual relationships in the spectrum ranging from stochastic to deterministic algorithms.
On the theory of stochastic dynamics of magnetically confined plasma
Energy Technology Data Exchange (ETDEWEB)
El-Sharif, R.N.; El-Atoy, N.S. [Plasma and Nuclear Fusion Dept., N.R.C, Atomic Energy Authority, Cairo (Egypt)]|[Physics Dept., Girls Colleges, KSA (Saudi Arabia)
2004-07-01
This work is devoted to a study of the motion of plasma electrons in a system of two fields, a magnetic field along z-axis and wave-packet field, which propagates in the x-z plane. The strongest interaction between plasma electrons and both fields is due to their resonance with these fields. The motion of plasma electrons become stochastic when a set of resonance overlapping. Conditions for stochasticity are obtained. (orig.)
Analysis of dynamic regimes in stochastically forced Kaldor model
International Nuclear Information System (INIS)
Bashkirtseva, Irina; Ryazanova, Tatyana; Ryashko, Lev
2015-01-01
We consider the business cycle Kaldor model forced by random noise. Detailed parametric analysis of deterministic system is carried out and zones of coexisting stable equilibrium and stable limit cycle are found. Noise-induced transitions between these attractors are studied using stochastic sensitivity function technique and confidence domains method. Critical values of noise intensity corresponding to noise-induced transitions “equilibrium → cycle” and “cycle → equilibrium” are estimated. Dominants in combined stochastic regimes are discussed.
On the theory of stochastic dynamics of magnetically confined plasma
International Nuclear Information System (INIS)
El-Sharif, R.N.; El-Atoy, N.S.
2004-01-01
This work is devoted to a study of the motion of plasma electrons in a system of two fields, a magnetic field along z-axis and wave-packet field, which propagates in the x-z plane. The strongest interaction between plasma electrons and both fields is due to their resonance with these fields. The motion of plasma electrons become stochastic when a set of resonance overlapping. Conditions for stochasticity are obtained. (orig.)
Efficient estimators for likelihood ratio sensitivity indices of complex stochastic dynamics
Energy Technology Data Exchange (ETDEWEB)
Arampatzis, Georgios; Katsoulakis, Markos A.; Rey-Bellet, Luc [Department of Mathematics and Statistics, University of Massachusetts, Amherst, Massachusetts 01003 (United States)
2016-03-14
We demonstrate that centered likelihood ratio estimators for the sensitivity indices of complex stochastic dynamics are highly efficient with low, constant in time variance and consequently they are suitable for sensitivity analysis in long-time and steady-state regimes. These estimators rely on a new covariance formulation of the likelihood ratio that includes as a submatrix a Fisher information matrix for stochastic dynamics and can also be used for fast screening of insensitive parameters and parameter combinations. The proposed methods are applicable to broad classes of stochastic dynamics such as chemical reaction networks, Langevin-type equations and stochastic models in finance, including systems with a high dimensional parameter space and/or disparate decorrelation times between different observables. Furthermore, they are simple to implement as a standard observable in any existing simulation algorithm without additional modifications.
International Nuclear Information System (INIS)
Sabass, Benedikt; Schwarz, Ulrich S
2010-01-01
In migrating cells, retrograde flow of the actin cytoskeleton is related to traction at adhesion sites located at the base of the lamellipodium. The coupling between the moving cytoskeleton and the stationary adhesions is mediated by the continuous association and dissociation of molecular bonds. We introduce a simple model for the competition between the stochastic dynamics of elastic bonds at the moving interface and relaxation within the moving actin cytoskeleton represented by an internal viscous friction coefficient. Using exact stochastic simulations and an analytical mean field theory, we show that the stochastic bond dynamics lead to biphasic friction laws as observed experimentally. At low internal dissipation, stochastic bond dynamics lead to a regime of irregular stick-and-slip motion. High internal dissipation effectively suppresses cooperative effects among bonds and hence stabilizes the adhesion.
Irving, J. D.; Singha, K.
2010-12-01
Traditionally, hydrological measurements have been used to estimate subsurface properties controlling groundwater flow and contaminant transport. However, such measurements are limited by their support volume and expense. A considerable benefit of geophysical measurements is that they provide a degree of spatial coverage and resolution that are unattainable with other methods, and the data can be acquired in a cost-effective manner. In particular, dynamic geophysical data allow us to indirectly observe changes in hydrological state variables as flow and transport processes occur, and can thus provide a link to hydrological properties when coupled with a process-based model. Stochastic fusion of these two data types offers the potential to provide not only estimates of subsurface hydrological properties, but also a quantification of their uncertainty. This information is critical when considering the end use of the data, which may be for groundwater remediation and management decision making. Here, we examine a number of key issues in the stochastic fusion of dynamic hydrogeophysical data. We focus our attention on the specific problem of integrating time-lapse crosshole electrical resistivity measurements and saline tracer-test concentration data in order to estimate the spatial distribution of hydraulic conductivity (K). To assimilate the geophysical and hydrological measurements in a stochastic manner, we use a Bayesian Markov-chain-Monte-Carlo (McMC) methodology. This provides multiple realizations of the subsurface K field that are consistent with the measured data and assumptions regarding model structure and data errors. To account for incomplete petrophysical knowledge, the geophysical and hydrological forward models are linked through an uncertain relationship between electrical resistivity and concentration following the general form of Archie’s law. To make the spatially distributed, fully stochastic inverse problem computationally tractable, we take
Stochastic optimal control in infinite dimension dynamic programming and HJB equations
Fabbri, Giorgio; Święch, Andrzej
2017-01-01
Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite ...
Erdal, Jørgen Sørgård
2017-01-01
This master thesis develops a stochastic optimisation software for household grid-connected batteries combined with PV-systems. The objective of the optimisation is to operate the battery system in order to minimise the costs of the consumer, and it was implemented in MATLAB using a self-written stochastic dynamic programming algorithm. Load was considered as a stochastic variable and modelled as a Markov Chain. Transition probabilities between time steps were calculated using historic load p...
International Nuclear Information System (INIS)
Qian, Hong
2011-01-01
The nonlinear dynamics of biochemical reactions in a small-sized system on the order of a cell are stochastic. Assuming spatial homogeneity, the populations of n molecular species follow a multi-dimensional birth-and-death process on Z n . We introduce the Delbrück–Gillespie process, a continuous-time Markov jump process, whose Kolmogorov forward equation has been known as the chemical master equation, and whose stochastic trajectories can be computed via the Gillespie algorithm. Using simple models, we illustrate that a system of nonlinear ordinary differential equations on R n emerges in the infinite system size limit. For finite system size, transitions among multiple attractors of the nonlinear dynamical system are rare events with exponentially long transit times. There is a separation of time scales between the deterministic ODEs and the stochastic Markov jumps between attractors. No diffusion process can provide a global representation that is accurate on both short and long time scales for the nonlinear, stochastic population dynamics. On the short time scale and near deterministic stable fixed points, Ornstein–Uhlenbeck Gaussian processes give linear stochastic dynamics that exhibit time-irreversible circular motion for open, driven chemical systems. Extending this individual stochastic behaviour-based nonlinear population theory of molecular species to other biological systems is discussed. (invited article)
Structural stability of nonlinear population dynamics.
Cenci, Simone; Saavedra, Serguei
2018-01-01
In population dynamics, the concept of structural stability has been used to quantify the tolerance of a system to environmental perturbations. Yet, measuring the structural stability of nonlinear dynamical systems remains a challenging task. Focusing on the classic Lotka-Volterra dynamics, because of the linearity of the functional response, it has been possible to measure the conditions compatible with a structurally stable system. However, the functional response of biological communities is not always well approximated by deterministic linear functions. Thus, it is unclear the extent to which this linear approach can be generalized to other population dynamics models. Here, we show that the same approach used to investigate the classic Lotka-Volterra dynamics, which is called the structural approach, can be applied to a much larger class of nonlinear models. This class covers a large number of nonlinear functional responses that have been intensively investigated both theoretically and experimentally. We also investigate the applicability of the structural approach to stochastic dynamical systems and we provide a measure of structural stability for finite populations. Overall, we show that the structural approach can provide reliable and tractable information about the qualitative behavior of many nonlinear dynamical systems.
Structural stability of nonlinear population dynamics
Cenci, Simone; Saavedra, Serguei
2018-01-01
In population dynamics, the concept of structural stability has been used to quantify the tolerance of a system to environmental perturbations. Yet, measuring the structural stability of nonlinear dynamical systems remains a challenging task. Focusing on the classic Lotka-Volterra dynamics, because of the linearity of the functional response, it has been possible to measure the conditions compatible with a structurally stable system. However, the functional response of biological communities is not always well approximated by deterministic linear functions. Thus, it is unclear the extent to which this linear approach can be generalized to other population dynamics models. Here, we show that the same approach used to investigate the classic Lotka-Volterra dynamics, which is called the structural approach, can be applied to a much larger class of nonlinear models. This class covers a large number of nonlinear functional responses that have been intensively investigated both theoretically and experimentally. We also investigate the applicability of the structural approach to stochastic dynamical systems and we provide a measure of structural stability for finite populations. Overall, we show that the structural approach can provide reliable and tractable information about the qualitative behavior of many nonlinear dynamical systems.
DEFF Research Database (Denmark)
Andreasen, Martin Møller; Meldrum, Andrew
This paper studies whether dynamic term structure models for US nominal bond yields should enforce the zero lower bound by a quadratic policy rate or a shadow rate specification. We address the question by estimating quadratic term structure models (QTSMs) and shadow rate models with at most four...
Dynamics of the stochastic low concentration trimolecular oscillatory chemical system with jumps
Wei, Yongchang; Yang, Qigui
2018-06-01
This paper is devoted to discern long time dynamics through the stochastic low concentration trimolecular oscillatory chemical system with jumps. By Lyapunov technique, this system is proved to have a unique global positive solution, and the asymptotic stability in mean square of such model is further established. Moreover, the existence of random attractor and Lyapunov exponents are obtained for the stochastic homeomorphism flow generated by the corresponding global positive solution. And some numerical simulations are given to illustrate the presented results.
Dynamic-stochastic modeling of snow cover formation on the European territory of Russia
A. N. Gelfan; V. M. Moreido
2014-01-01
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 ...
Stochastic linear dynamical programming in order to apply it in energy modelling
Energy Technology Data Exchange (ETDEWEB)
El Hachem, S
1995-11-01
This thesis contributes to the development of new algorithms for the computation of stochastic dynamic problem and its mini-maxi variant for the case of imperfect knowledge on random data. The proposed algorithms are scenarios aggregation type. It also contributes to integrate these algorithms in a decision support approach and to discuss the stochastic modeling of two energy problems: the refining and the portfolio gas contracts. (author). 112 refs., 5 tabs.
International Nuclear Information System (INIS)
Bhoje, S.B.
2003-01-01
In view of thin walled large diameter shell structures with associated fluid effects, structural dynamics problems are very critical in a fast breeder reactor. Structural characteristics and consequent structural dynamics problems in typical pool type Fast Breeder Reactor are highlighted. A few important structural dynamics problems are pump induced as well as flow induced vibrations, seismic excitations, pressure transients in the intermediate heat exchangers and pipings due to a large sodium water reaction in the steam generator, and core disruptive accident loadings. The vibration problems which call for identification of excitation forces, formulation of special governing equations and detailed analysis with fluid structure interaction and sloshing effects, particularly for the components such as PSP, inner vessel, CP, CSRDM and TB are elaborated. Seismic design issues are presented in a comprehensive way. Other transient loadings which are specific to FBR, resulting from sodium-water reaction and core disruptive accident are highlighted. A few important results of theoretical as well as experimental works carried out for 500 MWe Prototype Fast Breeder Reactor (PFBR), in the domain of structural dynamics are presented. (author)
International Nuclear Information System (INIS)
Volchenkov, D.
2009-01-01
Stochastic counterparts of nonlinear dynamics are studied by means of nonperturbative functional methods developed in the framework of quantum field theory (QFT). In particular, we discuss fully developed turbulence, including leading corrections on possible compressibility of fluids, transport through porous media, theory of waterspouts and tsunami waves, stochastic magnetohydrodynamics, turbulent transport in crossed fields, self-organized criticality, and dynamics of accelerated wrinkled flame fronts advancing in a wide canal. This report would be of interest to the broad auditorium of physicists and applied mathematicians, with a background in nonperturbative QFT methods or nonlinear dynamical systems, having an interest in both methodological developments and interdisciplinary applications. (author)
Energy Technology Data Exchange (ETDEWEB)
Volchenkov, D. [Bielefeld Univ., Center of Excellence Cognitive Interaction Technology (CITEC) (Germany)
2009-03-15
Stochastic counterparts of nonlinear dynamics are studied by means of nonperturbative functional methods developed in the framework of quantum field theory (QFT). In particular, we discuss fully developed turbulence, including leading corrections on possible compressibility of fluids, transport through porous media, theory of waterspouts and tsunami waves, stochastic magnetohydrodynamics, turbulent transport in crossed fields, self-organized criticality, and dynamics of accelerated wrinkled flame fronts advancing in a wide canal. This report would be of interest to the broad auditorium of physicists and applied mathematicians, with a background in nonperturbative QFT methods or nonlinear dynamical systems, having an interest in both methodological developments and interdisciplinary applications. (author)
Stochastic Control Synthesis of Systems with Structured Uncertainty
Padula, Sharon L. (Technical Monitor); Crespo, Luis G.
2003-01-01
This paper presents a study on the design of robust controllers by using random variables to model structured uncertainty for both SISO and MIMO feedback systems. Once the parameter uncertainty is prescribed with probability density functions, its effects are propagated through the analysis leading to stochastic metrics for the system's output. Control designs that aim for satisfactory performances while guaranteeing robust closed loop stability are attained by solving constrained non-linear optimization problems in the frequency domain. This approach permits not only to quantify the probability of having unstable and unfavorable responses for a particular control design but also to search for controls while favoring the values of the parameters with higher chance of occurrence. In this manner, robust optimality is achieved while the characteristic conservatism of conventional robust control methods is eliminated. Examples that admit closed form expressions for the probabilistic metrics of the output are used to elucidate the nature of the problem at hand and validate the proposed formulations.
International Nuclear Information System (INIS)
Sturm, R.
1991-01-01
Two aspects of performance are of main concern: plant availability and plant reliability (defined as the conditional probability of an unplanned shutdown). The goal of the research is a unified framework that combines behavioral models of optimizing agents with models of complex technical systems that take into account the dynamic and stochastic features of the system. In order to achieve this synthesis, two liens of work are necessary. One line requires a deeper understanding of complex production systems and the type of data they give rise to; the other line involves the specification and estimation of a rigorously specified behavioral model. Plant operations are modeled as a controlled stochastic process, and the sequence of up and downtime spells is analyzed during failure time and point process models. Similar to work on rational expectations and structural econometric models, the behavior model of how the plant process is controlled is formulated at the level of basic processes, i.e., the objective function of the plant manager, technical constraints, and stochastic disturbances
Directory of Open Access Journals (Sweden)
Driss Sarsri
2014-05-01
Full Text Available In this paper, we propose a method to calculate the first two moments (mean and variance of the structural dynamics response of a structure with uncertain variables and subjected to random excitation. For this, Newmark method is used to transform the equation of motion of the structure into a quasistatic equilibrium equation in the time domain. The Neumann development method was coupled with Monte Carlo simulations to calculate the statistical values of the random response. The use of modal synthesis methods can reduce the dimensions of the model before integration of the equation of motion. Numerical applications have been developed to highlight effectiveness of the method developed to analyze the stochastic response of large structures.
Metastable states and quasicycles in a stochastic Wilson-Cowan model of neuronal population dynamics
Bressloff, Paul C.
2010-01-01
We analyze a stochastic model of neuronal population dynamics with intrinsic noise. In the thermodynamic limit N→∞, where N determines the size of each population, the dynamics is described by deterministic Wilson-Cowan equations. On the other hand
Path integral methods for the dynamics of stochastic and disordered systems
DEFF Research Database (Denmark)
Hertz, John A.; Roudi, Yasser; Sollich, Peter
2017-01-01
We review some of the techniques used to study the dynamics of disordered systems subject to both quenched and fast (thermal) noise. Starting from the Martin–Siggia–Rose/Janssen–De Dominicis–Peliti path integral formalism for a single variable stochastic dynamics, we provide a pedagogical survey...
Energy Technology Data Exchange (ETDEWEB)
Kaczmarczyk, S [School of Applied Sciences, University of Northampton, St. George' s Avenue, Northampton NN2 6JD (United Kingdom); Iwankiewicz, R [Institute of Mechanics and Ocean Engineering, Hamburg University of Technology, Eissendorfer Strasse 42 D-21073, Hamburg (Germany); Terumichi, Y, E-mail: stefan.kaczmarczyk@northampton.ac.u [Faculty of Science and Technology, Sophia University, 7-1 KIOI-CHO, CHIYODAKU, Tokyo, 102-8554 Japan (Japan)
2009-08-01
Moving slender elastic elements such as ropes, cables and belts are pivotal components of vertical transportation systems such as traction elevators. Their lengths vary within the host building structure during the elevator operation which results in the change of the mass and stiffness characteristics of the system. The structure of modern high-rise buildings is flexible and when subjected to loads due to strong winds and earthquakes it vibrates at low frequencies. The inertial load induced by the building motion excites the flexible components of the elevator system. The compensating ropes due to their lower tension are particularly affected and undergo large dynamic deformations. The paper focuses on the presentation of the non-stationary model of a building-compensating rope system and on the analysis to predict its dynamic response. The excitation mechanism is represented by a harmonic process and the results of computer simulations to predict transient resonance response are presented. The analysis of the simulation results leads to recommendations concerning the selection of the weight of the compensation assembly to minimize the effects of an adverse dynamic response of the system. The scenario when the excitation is represented as a narrow-band stochastic process with the state vector governed by stochastic equations is then discussed and the stochastic differential equations governing the second-order statistical moments of the state vector are developed.
International Nuclear Information System (INIS)
Lu, Yunfan; Wang, Jun; Niu, Hongli
2015-01-01
An agent-based financial stock price model is developed and investigated by a stochastic interacting epidemic system, which is one of the statistical physics systems and has been used to model the spread of an epidemic or a forest fire. Numerical and statistical analysis are performed on the simulated returns of the proposed financial model. Complexity properties of the financial time series are explored by calculating the correlation dimension and using the modified multiscale entropy method. In order to verify the rationality of the financial model, the real stock market indexes, Shanghai Composite Index and Shenzhen Component Index, are studied in comparison with the simulation data of the proposed model for the different infectiousness parameters. The empirical research reveals that this financial model can reproduce some important features of the real stock markets. - Highlights: • A new agent-based financial price model is developed by stochastic interacting epidemic system. • The structure of the proposed model allows to simulate the financial dynamics. • Correlation dimension and MMSE are applied to complexity analysis of financial time series. • Empirical results show the rationality of the proposed financial model
Energy Technology Data Exchange (ETDEWEB)
Lu, Yunfan, E-mail: yunfanlu@yeah.net; Wang, Jun; Niu, Hongli
2015-06-12
An agent-based financial stock price model is developed and investigated by a stochastic interacting epidemic system, which is one of the statistical physics systems and has been used to model the spread of an epidemic or a forest fire. Numerical and statistical analysis are performed on the simulated returns of the proposed financial model. Complexity properties of the financial time series are explored by calculating the correlation dimension and using the modified multiscale entropy method. In order to verify the rationality of the financial model, the real stock market indexes, Shanghai Composite Index and Shenzhen Component Index, are studied in comparison with the simulation data of the proposed model for the different infectiousness parameters. The empirical research reveals that this financial model can reproduce some important features of the real stock markets. - Highlights: • A new agent-based financial price model is developed by stochastic interacting epidemic system. • The structure of the proposed model allows to simulate the financial dynamics. • Correlation dimension and MMSE are applied to complexity analysis of financial time series. • Empirical results show the rationality of the proposed financial model.
Optimal Stochastic Modeling and Control of Flexible Structures
1988-09-01
1.37] and McLane [1.18] considered multivariable systems and derived their optimal control characteristics. Kleinman, Gorman and Zaborsky considered...Leondes [1.72,1.73] studied various aspects of multivariable linear stochastic, discrete-time systems that are partly deterministic, and partly stochastic...June 1966. 1.8. A.V. Balaknishnan, Applied Functional Analaysis , 2nd ed., New York, N.Y.: Springer-Verlag, 1981 1.9. Peter S. Maybeck, Stochastic
Paultre, Patrick
2013-01-01
This book covers structural dynamics from a theoretical and algorithmic approach. It covers systems with both single and multiple degrees-of-freedom. Numerous case studies are given to provide the reader with a deeper insight into the practicalities of the area, and the solutions to these case studies are given in terms of real-time and frequency in both geometric and modal spaces. Emphasis is also given to the subject of seismic loading. The text is based on many lectures on the subject of structural dynamics given at numerous institutions and thus will be an accessible and practical aid to
Directory of Open Access Journals (Sweden)
Dongping Wei
2015-01-01
Full Text Available Management of ecological tourism in protected areas faces many challenges, with visitation-related resource degradations and cultural impacts being two of them. To address those issues, several strategies including regulations, site managements, and visitor education programs have been commonly used in China and other countries. This paper presents a multiparameter stochastic differential equation model of an Ecological Tourism System to study how the populations of stakeholders vary in a finite time. The solution of Ordinary Differential Equation of Ecological Tourism System reveals that the system collapses when there is a lack of visitor educational intervention. Hence, the Stochastic Dynamic of Ecological Tourism System is introduced to suppress the explosion of the system. But the simulation results of the Stochastic Dynamic of Ecological Tourism System show that the system is still unstable and chaos in some small time interval. The Multiparameters Stochastic Dynamics of Ecological Tourism System is proposed to improve the performance in this paper. The Multiparameters Stochastic Dynamics of Ecological Tourism System not only suppresses the explosion of the system in a finite time, but also keeps the populations of stakeholders in an acceptable level. In conclusion, the Ecological Tourism System develops steadily and sustainably when land managers employ effective visitor education intervention programs to deal with recreation impacts.
Liu, Xiangdong; Li, Qingze; Pan, Jianxin
2018-06-01
Modern medical studies show that chemotherapy can help most cancer patients, especially for those diagnosed early, to stabilize their disease conditions from months to years, which means the population of tumor cells remained nearly unchanged in quite a long time after fighting against immune system and drugs. In order to better understand the dynamics of tumor-immune responses under chemotherapy, deterministic and stochastic differential equation models are constructed to characterize the dynamical change of tumor cells and immune cells in this paper. The basic dynamical properties, such as boundedness, existence and stability of equilibrium points, are investigated in the deterministic model. Extended stochastic models include stochastic differential equations (SDEs) model and continuous-time Markov chain (CTMC) model, which accounts for the variability in cellular reproduction, growth and death, interspecific competitions, and immune response to chemotherapy. The CTMC model is harnessed to estimate the extinction probability of tumor cells. Numerical simulations are performed, which confirms the obtained theoretical results.
Numerical simulation of stochastic point kinetic equation in the dynamical system of nuclear reactor
International Nuclear Information System (INIS)
Saha Ray, S.
2012-01-01
Highlights: ► In this paper stochastic neutron point kinetic equations have been analyzed. ► Euler–Maruyama method and Strong Taylor 1.5 order method have been discussed. ► These methods are applied for the solution of stochastic point kinetic equations. ► Comparison between the results of these methods and others are presented in tables. ► Graphs for neutron and precursor sample paths are also presented. -- Abstract: In the present paper, the numerical approximation methods, applied to efficiently calculate the solution for stochastic point kinetic equations () in nuclear reactor dynamics, are investigated. A system of Itô stochastic differential equations has been analyzed to model the neutron density and the delayed neutron precursors in a point nuclear reactor. The resulting system of Itô stochastic differential equations are solved over each time-step size. The methods are verified by considering different initial conditions, experimental data and over constant reactivities. The computational results indicate that the methods are simple and suitable for solving stochastic point kinetic equations. In this article, a numerical investigation is made in order to observe the random oscillations in neutron and precursor population dynamics in subcritical and critical reactors.
Quantum dynamical time evolutions as stochastic flows on phase space
International Nuclear Information System (INIS)
Combe, P.; Rodriguez, R.; Guerra, F.; Sirigue, M.; Sirigue-Collin, M.
1984-01-01
We are mainly interested in describing the time development of the Wigner functions by means of stochastic processes. In the second section we recall the main properties of the Wigner functions as well as those of their Fourier transform. In the next one we derive the evolution equation of these functions for a class of Hamiltonians and we give a probabilistic expression for the solution of these equations by means of a stochastic flow in phase space which reminds of the classical flows. In the last section we remark that the previously defined flow can be extended to the bounded continuous functions on phase space and that this flow conserves the cone generated by the Wigner functions. (orig./HSI)
A stochastic approach to multi-gene expression dynamics
International Nuclear Information System (INIS)
Ochiai, T.; Nacher, J.C.; Akutsu, T.
2005-01-01
In the last years, tens of thousands gene expression profiles for cells of several organisms have been monitored. Gene expression is a complex transcriptional process where mRNA molecules are translated into proteins, which control most of the cell functions. In this process, the correlation among genes is crucial to determine the specific functions of genes. Here, we propose a novel multi-dimensional stochastic approach to deal with the gene correlation phenomena. Interestingly, our stochastic framework suggests that the study of the gene correlation requires only one theoretical assumption-Markov property-and the experimental transition probability, which characterizes the gene correlation system. Finally, a gene expression experiment is proposed for future applications of the model
Effects of stochastic time-delayed feedback on a dynamical system modeling a chemical oscillator
González Ochoa, Héctor O.; Perales, Gualberto Solís; Epstein, Irving R.; Femat, Ricardo
2018-05-01
We examine how stochastic time-delayed negative feedback affects the dynamical behavior of a model oscillatory reaction. We apply constant and stochastic time-delayed negative feedbacks to a point Field-Körös-Noyes photosensitive oscillator and compare their effects. Negative feedback is applied in the form of simulated inhibitory electromagnetic radiation with an intensity proportional to the concentration of oxidized light-sensitive catalyst in the oscillator. We first characterize the system under nondelayed inhibitory feedback; then we explore and compare the effects of constant (deterministic) versus stochastic time-delayed feedback. We find that the oscillatory amplitude, frequency, and waveform are essentially preserved when low-dispersion stochastic delayed feedback is used, whereas small but measurable changes appear when a large dispersion is applied.
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 ...
Dynamic analysis of a stochastic delayed rumor propagation model
Jia, Fangju; Lv, Guangying; Wang, Shuangfeng; Zou, Guang-an
2018-02-01
The rapid development of the Internet, especially the emergence of the social networks, has led rumor propagation into a new media era. In this paper, we are concerned with a stochastic delayed rumor propagation model. Firstly, we obtain the existence of the global solution. Secondly, sufficient conditions for extinction of the rumor are established. Lastly, the boundedness of solution is proved and some simulations are given to verify our results.
Analytical vs. Simulation Solution Techniques for Pulse Problems in Non-linear Stochastic Dynamics
DEFF Research Database (Denmark)
Iwankiewicz, R.; Nielsen, Søren R. K.
Advantages and disadvantages of available analytical and simulation techniques for pulse problems in non-linear stochastic dynamics are discussed. First, random pulse problems, both those which do and do not lead to Markov theory, are presented. Next, the analytical and analytically-numerical tec......Advantages and disadvantages of available analytical and simulation techniques for pulse problems in non-linear stochastic dynamics are discussed. First, random pulse problems, both those which do and do not lead to Markov theory, are presented. Next, the analytical and analytically...
DEFF Research Database (Denmark)
Kejlberg-Rasmussen, Casper
statements about our data structure, which are based on the structure of the underlying problem, that we are trying to solve. We can rely on the properties of the invariants when performing queries, and in return we need to ensure that the invariants remain true after we perform updates. When designing data......In this thesis I will address three dynamic data structure problems using the concept of invariants. The first problem is maintaining a dynamically changing set of keys – a dictionary – where the queries we can ask are: does it contain a given key? and what is the preceding (or succeeding) key...... to a given key? The updates we can do are: inserting a new key or deleting a given key. Our dictionary has the working set property, which means that the running time of a query depends on the query distribution. Specifically the time to search for a key depends on when we last searched for it. Our data...
Structural damage diagnosis based on on-line recursive stochastic subspace identification
International Nuclear Information System (INIS)
Loh, Chin-Hsiung; Weng, Jian-Huang; Liu, Yi-Cheng; Lin, Pei-Yang; Huang, Shieh-Kung
2011-01-01
This paper presents a recursive stochastic subspace identification (RSSI) technique for on-line and almost real-time structural damage diagnosis using output-only measurements. Through RSSI the time-varying natural frequencies of a system can be identified. To reduce the computation time in conducting LQ decomposition in RSSI, the Givens rotation as well as the matrix operation appending a new data set are derived. The relationship between the size of the Hankel matrix and the data length in each shifting moving window is examined so as to extract the time-varying features of the system without loss of generality and to establish on-line and almost real-time system identification. The result from the RSSI technique can also be applied to structural damage diagnosis. Off-line data-driven stochastic subspace identification was used first to establish the system matrix from the measurements of an undamaged (reference) case. Then the RSSI technique incorporating a Kalman estimator is used to extract the dynamic characteristics of the system through continuous monitoring data. The predicted residual error is defined as a damage feature and through the outlier statistics provides an indicator of damage. Verification of the proposed identification algorithm by using the bridge scouring test data and white noise response data of a reinforced concrete frame structure is conducted
Dynamics and Physiological Roles of Stochastic Firing Patterns Near Bifurcation Points
Jia, Bing; Gu, Huaguang
2017-06-01
Different stochastic neural firing patterns or rhythms that appeared near polarization or depolarization resting states were observed in biological experiments on three nervous systems, and closely matched those simulated near bifurcation points between stable equilibrium point and limit cycle in a theoretical model with noise. The distinct dynamics of spike trains and interspike interval histogram (ISIH) of these stochastic rhythms were identified and found to build a relationship to the coexisting behaviors or fixed firing frequency of four different types of bifurcations. Furthermore, noise evokes coherence resonances near bifurcation points and plays important roles in enhancing information. The stochastic rhythms corresponding to Hopf bifurcation points with fixed firing frequency exhibited stronger coherence degree and a sharper peak in the power spectrum of the spike trains than those corresponding to saddle-node bifurcation points without fixed firing frequency. Moreover, the stochastic firing patterns changed to a depolarization resting state as the extracellular potassium concentration increased for the injured nerve fiber related to pathological pain or static blood pressure level increased for aortic depressor nerve fiber, and firing frequency decreased, which were different from the physiological viewpoint that firing frequency increased with increasing pressure level or potassium concentration. This shows that rhythms or firing patterns can reflect pressure or ion concentration information related to pathological pain information. Our results present the dynamics of stochastic firing patterns near bifurcation points, which are helpful for the identification of both dynamics and physiological roles of complex neural firing patterns or rhythms, and the roles of noise.
Stochastic dynamics for two biological species and ecological niches
Ruziska, Flávia M.; Arashiro, Everaldo; Tomé, Tânia
2018-01-01
We consider an ecological system in which two species interact with two niches. To this end we introduce a stochastic model with four states. Our analysis is founded in three approaches: Monte Carlo simulations of the model on a square lattice, mean-field approximation, and birth and death master equation. From this last approach we obtain a description in terms of Langevin equations which show in an explicit way the role of noise in population biology. We focus mainly on the description of time oscillations of the species population and the alternating dominance between them. The model treated here may provide insights on these properties.
Dynamic analysis of a stochastic rumor propagation model
Jia, Fangju; Lv, Guangying
2018-01-01
The rapid development of the Internet, especially the emergence of the social networks, leads rumor propagation into a new media era. In this paper, we are concerned with a stochastic rumor propagation model. Sufficient conditions for extinction and persistence in the mean of the rumor are established. The threshold between persistence in the mean and extinction of the rumor is obtained. Compared with the corresponding deterministic model, the threshold affected by the white noise is smaller than the basic reproduction number R0 of the deterministic system.
Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters
Directory of Open Access Journals (Sweden)
Wen Xu
2016-10-01
Full Text Available Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate likelihood obtained via Rao-Blackwellized particle filters. Monte Carlo studies reveal the good and stable performance of our particle filter-based estimator. When the volatility of volatility is high, or when regressors are absent but stochastic volatility exists, our approach can be better than the maximum likelihood estimator which neglects stochastic volatility and generalized method of moments (GMM estimators.
Threshold Dynamics of a Stochastic SIR Model with Vertical Transmission and Vaccination
Miao, Anqi; Zhang, Jian; Zhang, Tongqian; Pradeep, B. G. Sampath Aruna
2017-01-01
A stochastic SIR model with vertical transmission and vaccination is proposed and investigated in this paper. The threshold dynamics are explored when the noise is small. The conditions for the extinction or persistence of infectious diseases are deduced. Our results show that large noise can lead to the extinction of infectious diseases which is conducive to epidemic diseases control.
Threshold Dynamics of a Stochastic SIR Model with Vertical Transmission and Vaccination
Directory of Open Access Journals (Sweden)
Anqi Miao
2017-01-01
Full Text Available A stochastic SIR model with vertical transmission and vaccination is proposed and investigated in this paper. The threshold dynamics are explored when the noise is small. The conditions for the extinction or persistence of infectious diseases are deduced. Our results show that large noise can lead to the extinction of infectious diseases which is conducive to epidemic diseases control.
Inter-species competition-facilitation in stochastic riparian vegetation dynamics.
Tealdi, Stefano; Camporeale, Carlo; Ridolfi, Luca
2013-02-07
Riparian vegetation is a highly dynamic community that lives on river banks and which depends to a great extent on the fluvial hydrology. The stochasticity of the discharge and erosion/deposition processes in fact play a key role in determining the distribution of vegetation along a riparian transect. These abiotic processes interact with biotic competition/facilitation mechanisms, such as plant competition for light, water, and nutrients. In this work, we focus on the dynamics of plants characterized by three components: (1) stochastic forcing due to river discharges, (2) competition for resources, and (3) inter-species facilitation due to the interplay between vegetation and fluid dynamics processes. A minimalist stochastic bio-hydrological model is proposed for the dynamics of the biomass of two vegetation species: one species is assumed dominant and slow-growing, the other is subdominant, but fast-growing. The stochastic model is solved analytically and the probability density function of the plant biomasses is obtained as a function of both the hydrologic and biologic parameters. The impact of the competition/facilitation processes on the distribution of vegetation species along the riparian transect is investigated and remarkable effects are observed. Finally, a good qualitative agreement is found between the model results and field data. Copyright © 2012 Elsevier Ltd. All rights reserved.
Directory of Open Access Journals (Sweden)
Jingtao Shi
2013-01-01
Full Text Available This paper is concerned with the relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems. Under certain differentiability conditions, relations among the adjoint processes, the generalized Hamiltonian function, and the value function are given. A linear quadratic recursive utility portfolio optimization problem in the financial engineering is discussed as an explicitly illustrated example of the main result.
A Volterra series approach to the approximation of stochastic nonlinear dynamics
Wouw, van de N.; Nijmeijer, H.; Campen, van D.H.
2002-01-01
A response approximation method for stochastically excited, nonlinear, dynamic systems is presented. Herein, the output of the nonlinear system isapproximated by a finite-order Volterra series. The original nonlinear system is replaced by a bilinear system in order to determine the kernels of this
DEFF Research Database (Denmark)
Davidsen, Claus; Cardenal, Silvio Javier Pereira; Liu, Suxia
2015-01-01
of stochastic dynamic programming, to optimize water resources management in the Ziya River basin. Natural runoff from the upper basin was estimated with a rainfall-runoff model autocalibrated using in situ measured discharge. The runoff serial correlation was described by a Markov chain and used as input...
Sharp asymptotics for stochastic dynamics with parallel updating rule with self-interaction
Bovier, A.; Nardi, F.R.; Spitoni, C.
2011-01-01
In this paper we study metastability for a stochastic dynamics with a parallel updating rule in particular for a probabilistic cellular automata. The problem is addressed in the Freidlin Wentzel regime, i.e., finite volume, small magnetic field, and in the limit when temperature tends to zero. We
Dynamical Behaviors of Stochastic Reaction-Diffusion Cohen-Grossberg Neural Networks with Delays
Directory of Open Access Journals (Sweden)
Li Wan
2012-01-01
Full Text Available This paper investigates dynamical behaviors of stochastic Cohen-Grossberg neural network with delays and reaction diffusion. By employing Lyapunov method, Poincaré inequality and matrix technique, some sufficient criteria on ultimate boundedness, weak attractor, and asymptotic stability are obtained. Finally, a numerical example is given to illustrate the correctness and effectiveness of our theoretical results.
Dynamic Asset Allocation with Stochastic Income and Interest Rates
DEFF Research Database (Denmark)
Munk, Claus; Sørensen, Carsten
2010-01-01
We solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine in the short-term interest rate in order to encompass business cycle variations in wages. Our calibration based on the Panel Study of Income Dynamics (PSID) data supports...
A stochastic differential equation framework for the timewise dynamics of turbulent velocities
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen
2008-01-01
We discuss a stochastic differential equation as a modeling framework for the timewise dynamics of turbulent velocities. The equation is capable of capturing basic stylized facts of the statistics of temporal velocity increments. In particular, we focus on the evolution of the probability density...
Who Is Afraid of Liquidity Risk? : Dynamic Portfolio Choice with Stochastic Illiquidity
J.J.A.G. Driessen (Joost); R. Xing (Rang)
2016-01-01
textabstractRecent empirical work documents large liquidity risk premiums in stock markets. We calculate the liquidity risk premiums demanded by large investors by solving a dynamic portfolio choice problem with stochastic price impact of trading, CRRA utility and a time-varying investment
Is There Really a Global Business Cycle? : A Dynamic Factor Model with Stochastic Factor Selection
T. Berger (Tino); L.C.G. Pozzi (Lorenzo)
2016-01-01
textabstractWe investigate the presence of international business cycles in macroeconomic aggregates (output, consumption, investment) using a panel of 60 countries over the period 1961-2014. The paper presents a Bayesian stochastic factor selection approach for dynamic factor models with
P.A.N. Bosman (Peter); J.A. La Poutré (Han); D. Thierens (Dirk)
2007-01-01
htmlabstractThe focus of this paper is on how to design evolutionary algorithms (EAs) for solving stochastic dynamic optimization problems online, i.e. as time goes by. For a proper design, the EA must not only be capable of tracking shifting optima, it must also take into account the future
Who Is Afraid of Liquidity Risk? : Dynamic Portfolio Choice with Stochastic Illiquidity
Driessen, Joost; Xing, R.
Recent empirical work documents large liquidity risk premiums in stock markets. We calculate the liquidity risk premiums demanded by large investors by solving a dynamic portfolio choice problem with stochastic price impact of trading, CRRA utility and a time-varying investment opportunity set. We
International Nuclear Information System (INIS)
Bauer, J.
1980-01-01
Thesis dealing with the analysis of earthquake response of structures. In order to achieve a reliable risk assessment, the results of the seismic risk analysis have to be seen in an overall view together with the results of stochastic vibrational analyses, and the data on maximum supportable stresses of the structure. Taking into account stochastic seismic focus models and calculation methods is of special significance in this connection. Based upon well-known seismic risk assessment models, the calculation of the annual probability for exceeding the acceleration level is carried out also considering the length of the failure zone, assuming that the energy released during an earthquake is uniformly, distributed over this fracture zone. The strong influence of local parameters on the annual exceeding probability is shown by a sensitivity analysis. (orig./RW) [de
Stochastic dynamics of spatial effects in fragmentation of clusters
International Nuclear Information System (INIS)
Salinas-Rodriguez, E.; Rodriguez, R.F.; Zamora, J.M.
1991-01-01
We use a stochastic approach to study the effects of spatial in homogeneities in the kinetics of a fragmentation model which occurs in cluster breakup and polymer degradation. The analytical form of the cluster size distribution function is obtained for both the discrete and continuous limits. From it we calculate numerically the average size and volume of the clusters, their total concentration and the total scattering of the dispersion in both limits. The influence of spatial effects is explicitly shown in the last two quantities. From our description the equations for the equal-time and the two times density correlation functions are also derived in the continuous limit. Finally, the perspectives and limitations of our approach are discussed (Author)
Nonlinear dynamics of mushy layers induced by external stochastic fluctuations.
Alexandrov, Dmitri V; Bashkirtseva, Irina A; Ryashko, Lev B
2018-02-28
The time-dependent process of directional crystallization in the presence of a mushy layer is considered with allowance for arbitrary fluctuations in the atmospheric temperature and friction velocity. A nonlinear set of mushy layer equations and boundary conditions is solved analytically when the heat and mass fluxes at the boundary between the mushy layer and liquid phase are induced by turbulent motion in the liquid and, as a result, have the corresponding convective form. Namely, the 'solid phase-mushy layer' and 'mushy layer-liquid phase' phase transition boundaries as well as the solid fraction, temperature and concentration (salinity) distributions are found. If the atmospheric temperature and friction velocity are constant, the analytical solution takes a parametric form. In the more common case when they represent arbitrary functions of time, the analytical solution is given by means of the standard Cauchy problem. The deterministic and stochastic behaviour of the phase transition process is analysed on the basis of the obtained analytical solutions. In the case of stochastic fluctuations in the atmospheric temperature and friction velocity, the phase transition interfaces (mushy layer boundaries) move faster than in the deterministic case. A cumulative effect of these noise contributions is revealed as well. In other words, when the atmospheric temperature and friction velocity fluctuate simultaneously due to the influence of different external processes and phenomena, the phase transition boundaries move even faster. This article is part of the theme issue 'From atomistic interfaces to dendritic patterns'.This article is part of the theme issue 'From atomistic interfaces to dendritic patterns'. © 2018 The Author(s).
Simulation of quantum dynamics based on the quantum stochastic differential equation.
Li, Ming
2013-01-01
The quantum stochastic differential equation derived from the Lindblad form quantum master equation is investigated. The general formulation in terms of environment operators representing the quantum state diffusion is given. The numerical simulation algorithm of stochastic process of direct photodetection of a driven two-level system for the predictions of the dynamical behavior is proposed. The effectiveness and superiority of the algorithm are verified by the performance analysis of the accuracy and the computational cost in comparison with the classical Runge-Kutta algorithm.
Kopsaftopoulos, Fotis; Nardari, Raphael; Li, Yu-Hung; Chang, Fu-Kuo
2018-01-01
In this work, a novel data-based stochastic "global" identification framework is introduced for aerospace structures operating under varying flight states and uncertainty. In this context, the term "global" refers to the identification of a model that is capable of representing the structure under any admissible flight state based on data recorded from a sample of these states. The proposed framework is based on stochastic time-series models for representing the structural dynamics and aeroelastic response under multiple flight states, with each state characterized by several variables, such as the airspeed, angle of attack, altitude and temperature, forming a flight state vector. The method's cornerstone lies in the new class of Vector-dependent Functionally Pooled (VFP) models which allow the explicit analytical inclusion of the flight state vector into the model parameters and, hence, system dynamics. This is achieved via the use of functional data pooling techniques for optimally treating - as a single entity - the data records corresponding to the various flight states. In this proof-of-concept study the flight state vector is defined by two variables, namely the airspeed and angle of attack of the vehicle. The experimental evaluation and assessment is based on a prototype bio-inspired self-sensing composite wing that is subjected to a series of wind tunnel experiments under multiple flight states. Distributed micro-sensors in the form of stretchable sensor networks are embedded in the composite layup of the wing in order to provide the sensing capabilities. Experimental data collected from piezoelectric sensors are employed for the identification of a stochastic global VFP model via appropriate parameter estimation and model structure selection methods. The estimated VFP model parameters constitute two-dimensional functions of the flight state vector defined by the airspeed and angle of attack. The identified model is able to successfully represent the wing
Barthel, Thomas; De Bacco, Caterina; Franz, Silvio
2018-01-01
We introduce and apply an efficient method for the precise simulation of stochastic dynamical processes on locally treelike graphs. Networks with cycles are treated in the framework of the cavity method. Such models correspond, for example, to spin-glass systems, Boolean networks, neural networks, or other technological, biological, and social networks. Building upon ideas from quantum many-body theory, our approach is based on a matrix product approximation of the so-called edge messages—conditional probabilities of vertex variable trajectories. Computation costs and accuracy can be tuned by controlling the matrix dimensions of the matrix product edge messages (MPEM) in truncations. In contrast to Monte Carlo simulations, the algorithm has a better error scaling and works for both single instances as well as the thermodynamic limit. We employ it to examine prototypical nonequilibrium Glauber dynamics in the kinetic Ising model. Because of the absence of cancellation effects, observables with small expectation values can be evaluated accurately, allowing for the study of decay processes and temporal correlations.
Stochastic structure of annual discharges of large European rivers
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Stojković Milan
2015-03-01
Full Text Available Water resource has become a guarantee for sustainable development on both local and global scales. Exploiting water resources involves development of hydrological models for water management planning. In this paper we present a new stochastic model for generation of mean annul flows. The model is based on historical characteristics of time series of annual flows and consists of the trend component, long-term periodic component and stochastic component. The rest of specified components are model errors which are represented as a random time series. The random time series is generated by the single bootstrap model (SBM. Stochastic ensemble of error terms at the single hydrological station is formed using the SBM method. The ultimate stochastic model gives solutions of annual flows and presents a useful tool for integrated river basin planning and water management studies. The model is applied for ten large European rivers with long observed period. Validation of model results suggests that the stochastic flows simulated by the model can be used for hydrological simulations in river basins.
Multiscale structure in eco-evolutionary dynamics
Stacey, Blake C.
In a complex system, the individual components are neither so tightly coupled or correlated that they can all be treated as a single unit, nor so uncorrelated that they can be approximated as independent entities. Instead, patterns of interdependency lead to structure at multiple scales of organization. Evolution excels at producing such complex structures. In turn, the existence of these complex interrelationships within a biological system affects the evolutionary dynamics of that system. I present a mathematical formalism for multiscale structure, grounded in information theory, which makes these intuitions quantitative, and I show how dynamics defined in terms of population genetics or evolutionary game theory can lead to multiscale organization. For complex systems, "more is different," and I address this from several perspectives. Spatial host--consumer models demonstrate the importance of the structures which can arise due to dynamical pattern formation. Evolutionary game theory reveals the novel effects which can result from multiplayer games, nonlinear payoffs and ecological stochasticity. Replicator dynamics in an environment with mesoscale structure relates to generalized conditionalization rules in probability theory. The idea of natural selection "acting at multiple levels" has been mathematized in a variety of ways, not all of which are equivalent. We will face down the confusion, using the experience developed over the course of this thesis to clarify the situation.
Zhang, Wei; Wang, Jun
2018-05-01
A novel nonlinear stochastic interacting price dynamics is proposed and investigated by the bond percolation on Sierpinski gasket fractal-like lattice, aim to make a new approach to reproduce and study the complexity dynamics of real security markets. Fractal-like lattices correspond to finite graphs with vertices and edges, which are similar to fractals, and Sierpinski gasket is a well-known example of fractals. Fractional ordinal array entropy and fractional ordinal array complexity are introduced to analyze the complexity behaviors of financial signals. To deeper comprehend the fluctuation characteristics of the stochastic price evolution, the complexity analysis of random logarithmic returns and volatility are preformed, including power-law distribution, fractional sample entropy and fractional ordinal array complexity. For further verifying the rationality and validity of the developed stochastic price evolution, the actual security market dataset are also studied with the same statistical methods for comparison. The empirical results show that this stochastic price dynamics can reconstruct complexity behaviors of the actual security markets to some extent.
Threshold Dynamics in Stochastic SIRS Epidemic Models with Nonlinear Incidence and Vaccination
Directory of Open Access Journals (Sweden)
Lei Wang
2017-01-01
Full Text Available In this paper, the dynamical behaviors for a stochastic SIRS epidemic model with nonlinear incidence and vaccination are investigated. In the models, the disease transmission coefficient and the removal rates are all affected by noise. Some new basic properties of the models are found. Applying these properties, we establish a series of new threshold conditions on the stochastically exponential extinction, stochastic persistence, and permanence in the mean of the disease with probability one for the models. Furthermore, we obtain a sufficient condition on the existence of unique stationary distribution for the model. Finally, a series of numerical examples are introduced to illustrate our main theoretical results and some conjectures are further proposed.
The global dynamics for a stochastic SIS epidemic model with isolation
Chen, Yiliang; Wen, Buyu; Teng, Zhidong
2018-02-01
In this paper, we investigate the dynamical behavior for a stochastic SIS epidemic model with isolation which is as an important strategy for the elimination of infectious diseases. It is assumed that the stochastic effects manifest themselves mainly as fluctuation in the transmission coefficient, the death rate and the proportional coefficient of the isolation of infective. It is shown that the extinction and persistence in the mean of the model are determined by a threshold value R0S . That is, if R0S 1, then the disease is stochastic persistent in the means with probability one. Furthermore, the existence of a unique stationary distribution is discussed, and the sufficient conditions are established by using the Lyapunov function method. Finally, some numerical examples are carried out to confirm the analytical results.
International Nuclear Information System (INIS)
Sun, Zhi-Yuan; Gao, Yi-Tian; Yu, Xin; Liu, Ying
2013-01-01
We respectively investigate breakup and switching of the Manakov-typed bound vector solitons (BVSs) induced by two types of stochastic perturbations: the homogenous and nonhomogenous. Symmetry-recovering is discovered for the asymmetrical homogenous case, while soliton switching is found to relate with the perturbation amplitude and soliton coherence. Simulations show that soliton switching in the circularly-polarized light system is much weaker than that in the Manakov and linearly-polarized systems. In addition, the homogenous perturbations can enhance the soliton switching in both of the Manakov and non-integrable (linearly- and circularly-polarized) systems. Our results might be helpful in interpreting dynamics of the BVSs with stochastic noises in nonlinear optics or with stochastic quantum fluctuations in Bose–Einstein condensates.
Optimal Stochastic Control Problem for General Linear Dynamical Systems in Neuroscience
Directory of Open Access Journals (Sweden)
Yan Chen
2017-01-01
Full Text Available This paper considers a d-dimensional stochastic optimization problem in neuroscience. Suppose the arm’s movement trajectory is modeled by high-order linear stochastic differential dynamic system in d-dimensional space, the optimal trajectory, velocity, and variance are explicitly obtained by using stochastic control method, which allows us to analytically establish exact relationships between various quantities. Moreover, the optimal trajectory is almost a straight line for a reaching movement; the optimal velocity bell-shaped and the optimal variance are consistent with the experimental Fitts law; that is, the longer the time of a reaching movement, the higher the accuracy of arriving at the target position, and the results can be directly applied to designing a reaching movement performed by a robotic arm in a more general environment.
Metaheuristics for the dynamic stochastic dial-a-ride problem with expected return transports.
Schilde, M; Doerner, K F; Hartl, R F
2011-12-01
The problem of transporting patients or elderly people has been widely studied in literature and is usually modeled as a dial-a-ride problem (DARP). In this paper we analyze the corresponding problem arising in the daily operation of the Austrian Red Cross. This nongovernmental organization is the largest organization performing patient transportation in Austria. The aim is to design vehicle routes to serve partially dynamic transportation requests using a fixed vehicle fleet. Each request requires transportation from a patient's home location to a hospital (outbound request) or back home from the hospital (inbound request). Some of these requests are known in advance. Some requests are dynamic in the sense that they appear during the day without any prior information. Finally, some inbound requests are stochastic. More precisely, with a certain probability each outbound request causes a corresponding inbound request on the same day. Some stochastic information about these return transports is available from historical data. The purpose of this study is to investigate, whether using this information in designing the routes has a significant positive effect on the solution quality. The problem is modeled as a dynamic stochastic dial-a-ride problem with expected return transports. We propose four different modifications of metaheuristic solution approaches for this problem. In detail, we test dynamic versions of variable neighborhood search (VNS) and stochastic VNS (S-VNS) as well as modified versions of the multiple plan approach (MPA) and the multiple scenario approach (MSA). Tests are performed using 12 sets of test instances based on a real road network. Various demand scenarios are generated based on the available real data. Results show that using the stochastic information on return transports leads to average improvements of around 15%. Moreover, improvements of up to 41% can be achieved for some test instances.
The Return to Schooling in Structural Dynamic Models: A Survey
Christian Belzil
2007-01-01
Working paper du GATE 2006-09; This papers contains a survey of the recent literature devoted to the returns to schooling within a dynamic structural framework. I present a historical perspective on the evolution of the literature, from early static models set in a selectivity framework (Willis and Rosen, 1979) to the recent literature, stimulated by Keane and Wolpin (1997), and which uses stochastic dynamic programming techniques. After reviewing the literature thoroughly, I compare the stru...
Electron thermal confinement in a partially stochastic magnetic structure
Morton, L. A.; Young, W. C.; Hegna, C. C.; Parke, E.; Reusch, J. A.; Den Hartog, D. J.
2018-04-01
Using a high-repetition-rate Thomson scattering diagnostic, we observe a peak in electron temperature Te coinciding with the location of a large magnetic island in the Madison Symmetric Torus. Magnetohydrodynamic modeling of this quasi-single helicity plasma indicates that smaller adjacent islands overlap with and destroy the large island flux surfaces. The estimated stochastic electron thermal conductivity ( ≈30 m 2/s ) is consistent with the conductivity inferred from the observed Te gradient and ohmic heating power. Island-shaped Te peaks can result from partially stochastic magnetic islands.
Stochastic quasi-gradient based optimization algorithms for dynamic reliability applications
International Nuclear Information System (INIS)
Bourgeois, F.; Labeau, P.E.
2001-01-01
On one hand, PSA results are increasingly used in decision making, system management and optimization of system design. On the other hand, when severe accidental transients are considered, dynamic reliability appears appropriate to account for the complex interaction between the transitions between hardware configurations, the operator behavior and the dynamic evolution of the system. This paper presents an exploratory work in which the estimation of the system unreliability in a dynamic context is coupled with an optimization algorithm to determine the 'best' safety policy. Because some reliability parameters are likely to be distributed, the cost function to be minimized turns out to be a random variable. Stochastic programming techniques are therefore envisioned to determine an optimal strategy. Monte Carlo simulation is used at all stages of the computations, from the estimation of the system unreliability to that of the stochastic quasi-gradient. The optimization algorithm is illustrated on a HNO 3 supply system
Stochastic modeling and simulation of reaction-diffusion system with Hill function dynamics.
Chen, Minghan; Li, Fei; Wang, Shuo; Cao, Young
2017-03-14
Stochastic simulation of reaction-diffusion systems presents great challenges for spatiotemporal biological modeling and simulation. One widely used framework for stochastic simulation of reaction-diffusion systems is reaction diffusion master equation (RDME). Previous studies have discovered that for the RDME, when discretization size approaches zero, reaction time for bimolecular reactions in high dimensional domains tends to infinity. In this paper, we demonstrate that in the 1D domain, highly nonlinear reaction dynamics given by Hill function may also have dramatic change when discretization size is smaller than a critical value. Moreover, we discuss methods to avoid this problem: smoothing over space, fixed length smoothing over space and a hybrid method. Our analysis reveals that the switch-like Hill dynamics reduces to a linear function of discretization size when the discretization size is small enough. The three proposed methods could correctly (under certain precision) simulate Hill function dynamics in the microscopic RDME system.
Stochastic feeding dynamics arise from the need for information and energy.
Scholz, Monika; Dinner, Aaron R; Levine, Erel; Biron, David
2017-08-29
Animals regulate their food intake in response to the available level of food. Recent observations of feeding dynamics in small animals showed feeding patterns of bursts and pauses, but their function is unknown. Here, we present a data-driven decision-theoretical model of feeding in Caenorhabditis elegans Our central assumption is that food intake serves a dual purpose: to gather information about the external food level and to ingest food when the conditions are good. The model recapitulates experimentally observed feeding patterns. It naturally implements trade-offs between speed versus accuracy and exploration versus exploitation in responding to a dynamic environment. We find that the model predicts three distinct regimes in responding to a dynamical environment, with a transition region where animals respond stochastically to periodic signals. This stochastic response accounts for previously unexplained experimental data.
Stochastic dynamics: Crossover from 1/f3 to flicker noise
International Nuclear Information System (INIS)
Canessa, E.; Nguyen, V.L.
1993-01-01
Finite time processes within the limits of the Newton equation and zero inertia motion (i.e., road to chaos) are studied by numerically solving the ordinary, stochastic Langevin equation in 1D for a free particle with inertial moving in a medium with viscosity γ. In this simulations, the scaling behaviour of particle trajectories χ(t) and velocities v(t) with time are derived and the inclusion of non-zero particle masses is shown to define the asymptotic time limit τ c at which - independently of γ - the system evolves into the well-known statistically stationary state characterized by 2 (t) > is proportional to t and flicker noise. The time τ c is further analysed from the correlation length given by the 2-point autocorrelation function of the particle velocity at each value of γ. It is found that the noise power spectrum of v(t) is characterized by flicker noise for frequencies f ≤ f c ∼ 1/τ c , whereas for f > f c , the noise power spectra behave as 1/f υ , where υ varies between the limits of Newton's equation (i.e., υ = 3) and road to chaos (i.e., υ = 1). Furthermore, at times τ c and 0 f (γ) while the single particle trajectories are shown to display a rather different subset of exponents on increasing γ. Generic features of this transition are nicely given by Poincare maps in the velocity space. (author). 23 refs, 8 figs
Computing the optimal path in stochastic dynamical systems
International Nuclear Information System (INIS)
Bauver, Martha; Forgoston, Eric; Billings, Lora
2016-01-01
In stochastic systems, one is often interested in finding the optimal path that maximizes the probability of escape from a metastable state or of switching between metastable states. Even for simple systems, it may be impossible to find an analytic form of the optimal path, and in high-dimensional systems, this is almost always the case. In this article, we formulate a constructive methodology that is used to compute the optimal path numerically. The method utilizes finite-time Lyapunov exponents, statistical selection criteria, and a Newton-based iterative minimizing scheme. The method is applied to four examples. The first example is a two-dimensional system that describes a single population with internal noise. This model has an analytical solution for the optimal path. The numerical solution found using our computational method agrees well with the analytical result. The second example is a more complicated four-dimensional system where our numerical method must be used to find the optimal path. The third example, although a seemingly simple two-dimensional system, demonstrates the success of our method in finding the optimal path where other numerical methods are known to fail. In the fourth example, the optimal path lies in six-dimensional space and demonstrates the power of our method in computing paths in higher-dimensional spaces.
Kernel methods and flexible inference for complex stochastic dynamics
Capobianco, Enrico
2008-07-01
Approximation theory suggests that series expansions and projections represent standard tools for random process applications from both numerical and statistical standpoints. Such instruments emphasize the role of both sparsity and smoothness for compression purposes, the decorrelation power achieved in the expansion coefficients space compared to the signal space, and the reproducing kernel property when some special conditions are met. We consider these three aspects central to the discussion in this paper, and attempt to analyze the characteristics of some known approximation instruments employed in a complex application domain such as financial market time series. Volatility models are often built ad hoc, parametrically and through very sophisticated methodologies. But they can hardly deal with stochastic processes with regard to non-Gaussianity, covariance non-stationarity or complex dependence without paying a big price in terms of either model mis-specification or computational efficiency. It is thus a good idea to look at other more flexible inference tools; hence the strategy of combining greedy approximation and space dimensionality reduction techniques, which are less dependent on distributional assumptions and more targeted to achieve computationally efficient performances. Advantages and limitations of their use will be evaluated by looking at algorithmic and model building strategies, and by reporting statistical diagnostics.
Modeling energy price dynamics: GARCH versus stochastic volatility
International Nuclear Information System (INIS)
Chan, Joshua C.C.; Grant, Angelia L.
2016-01-01
We compare a number of GARCH and stochastic volatility (SV) models using nine series of oil, petroleum product and natural gas prices in a formal Bayesian model comparison exercise. The competing models include the standard models of GARCH(1,1) and SV with an AR(1) log-volatility process, as well as more flexible models with jumps, volatility in mean, leverage effects, and t distributed and moving average innovations. We find that: (1) SV models generally compare favorably to their GARCH counterparts; (2) the jump component and t distributed innovations substantially improve the performance of the standard GARCH, but are unimportant for the SV model; (3) the volatility feedback channel seems to be superfluous; (4) the moving average component markedly improves the fit of both GARCH and SV models; and (5) the leverage effect is important for modeling crude oil prices—West Texas Intermediate and Brent—but not for other energy prices. Overall, the SV model with moving average innovations is the best model for all nine series. - Highlights: • We compare a variety of GARCH and SV models for fitting nine series of energy prices. • We find that SV models generally compare favorably to their GARCH counterparts. • The SV model with moving average innovations is the best model for all nine series.
Stochastic Wilson–Cowan models of neuronal network dynamics with memory and delay
International Nuclear Information System (INIS)
Goychuk, Igor; Goychuk, Andriy
2015-01-01
We consider a simple Markovian class of the stochastic Wilson–Cowan type models of neuronal network dynamics, which incorporates stochastic delay caused by the existence of a refractory period of neurons. From the point of view of the dynamics of the individual elements, we are dealing with a network of non-Markovian stochastic two-state oscillators with memory, which are coupled globally in a mean-field fashion. This interrelation of a higher-dimensional Markovian and lower-dimensional non-Markovian dynamics is discussed in its relevance to the general problem of the network dynamics of complex elements possessing memory. The simplest model of this class is provided by a three-state Markovian neuron with one refractory state, which causes firing delay with an exponentially decaying memory within the two-state reduced model. This basic model is used to study critical avalanche dynamics (the noise sustained criticality) in a balanced feedforward network consisting of the excitatory and inhibitory neurons. Such avalanches emerge due to the network size dependent noise (mesoscopic noise). Numerical simulations reveal an intermediate power law in the distribution of avalanche sizes with the critical exponent around −1.16. We show that this power law is robust upon a variation of the refractory time over several orders of magnitude. However, the avalanche time distribution is biexponential. It does not reflect any genuine power law dependence. (paper)
A Dynamic Momentum Compaction Factor Lattice for Improvements to Stochastic Cooling in Storage Rings
Energy Technology Data Exchange (ETDEWEB)
Olivieri, David Nicholas [Massachusetts U., Amherst
1996-01-01
A dynamic momentum compaction factor, also referred to as a dynamic $\\Delta \\gamma \\tau$, lattice for the FNAL Antiproton Source Debuncher Storage Ring is studied, both theoretically and experimentally, for the purpose of improving stochastic precooling, and hence, improving the global antiproton production and stacking performance. A dynamic $\\Delta \\gamma \\tau$ lattice is proposed due to the competing requirements inherent within the Debuncher storage ring upon $\\gamma \\tau$· Specifically, the Debuncher storage ring performs two disparate functions, $(i)$ accepting and debunching a large number of $\\overline{p}$s/pulse at the outset of the production cycle, which would perform ideally with a large value of $\\gamma\\tau$, and $(ii)$ subsequently employing stochastic cooling throughout the remainder of the $\\overline{p}$ production cycle for improved transfer and stacking efficiency into the Accumulator, for which a small value $\\gamma \\tau$ is ideal in order to reduce the diffusive heating caused by the mixing factor. In the initial design of the Debuncher optical lattice, an intermediate value of $\\gamma \\tau$ was chosen as a compromise between the two functional requirements. The goal of the thesis is to improve stochastic precooling by changing $\\gamma \\tau$ between two desired values during each p production cycle. In particular, the dynamic $\\Delta \\gamma \\tau$ lattice accomplishes a reduction in $\\gamma \\tau$, and hence the mixing factor, through an uniform increase to the dispersion throughout the arc sections of the storage ring. Experimental measurements of cooling rates and system performance parameters, with the implementation of the dynamic $\\Delta \\gamma \\tau$ lattice, are in agreement with theoretical predictions based upon a detailed integration of the stochastic cooling Fokker Planck equations. Based upon the consistency between theory and experiment, predictions of cooling rates are presented for future operational
Energy Technology Data Exchange (ETDEWEB)
Guo, Kong-Ming, E-mail: kmguo@xidian.edu.cn [School of Electromechanical Engineering, Xidian University, P.O. Box 187, Xi' an 710071 (China); Jiang, Jun, E-mail: jun.jiang@mail.xjtu.edu.cn [State Key Laboratory for Strength and Vibration, Xi' an Jiaotong University, Xi' an 710049 (China)
2014-07-04
To apply stochastic sensitivity function method, which can estimate the probabilistic distribution of stochastic attractors, to non-autonomous dynamical systems, a 1/N-period stroboscopic map for a periodic motion is constructed in order to discretize the continuous cycle into a discrete one. In this way, the sensitivity analysis of a cycle for discrete map can be utilized and a numerical algorithm for the stochastic sensitivity analysis of periodic solutions of non-autonomous nonlinear dynamical systems under stochastic disturbances is devised. An external excited Duffing oscillator and a parametric excited laser system are studied as examples to show the validity of the proposed method. - Highlights: • A method to analyze sensitivity of stochastic periodic attractors in non-autonomous dynamical systems is proposed. • Probabilistic distribution around periodic attractors in an external excited Φ{sup 6} Duffing system is obtained. • Probabilistic distribution around a periodic attractor in a parametric excited laser system is determined.
A Simulation-Based Dynamic Stochastic Route Choice Model for Evacuation
Directory of Open Access Journals (Sweden)
Xing Zhao
2012-01-01
Full Text Available This paper establishes a dynamic stochastic route choice model for evacuation to simulate the propagation process of traffic flow and estimate the stochastic route choice under evacuation situations. The model contains a lane-group-based cell transmission model (CTM which sets different traffic capacities for links with different turning movements to flow out in an evacuation situation, an actual impedance model which is to obtain the impedance of each route in time units at each time interval and a stochastic route choice model according to the probit-based stochastic user equilibrium. In this model, vehicles loading at each origin at each time interval are assumed to choose an evacuation route under determinate road network, signal design, and OD demand. As a case study, the proposed model is validated on the network nearby Nanjing Olympic Center after the opening ceremony of the 10th National Games of the People's Republic of China. The traffic volumes and clearing time at five exit points of the evacuation zone are calculated by the model to compare with survey data. The results show that this model can appropriately simulate the dynamic route choice and evolution process of the traffic flow on the network in an evacuation situation.
Darmon, David
2018-03-01
In the absence of mechanistic or phenomenological models of real-world systems, data-driven models become necessary. The discovery of various embedding theorems in the 1980s and 1990s motivated a powerful set of tools for analyzing deterministic dynamical systems via delay-coordinate embeddings of observations of their component states. However, in many branches of science, the condition of operational determinism is not satisfied, and stochastic models must be brought to bear. For such stochastic models, the tool set developed for delay-coordinate embedding is no longer appropriate, and a new toolkit must be developed. We present an information-theoretic criterion, the negative log-predictive likelihood, for selecting the embedding dimension for a predictively optimal data-driven model of a stochastic dynamical system. We develop a nonparametric estimator for the negative log-predictive likelihood and compare its performance to a recently proposed criterion based on active information storage. Finally, we show how the output of the model selection procedure can be used to compare candidate predictors for a stochastic system to an information-theoretic lower bound.
Buesing, Lars; Bill, Johannes; Nessler, Bernhard; Maass, Wolfgang
2011-11-01
The organization of computations in networks of spiking neurons in the brain is still largely unknown, in particular in view of the inherently stochastic features of their firing activity and the experimentally observed trial-to-trial variability of neural systems in the brain. In principle there exists a powerful computational framework for stochastic computations, probabilistic inference by sampling, which can explain a large number of macroscopic experimental data in neuroscience and cognitive science. But it has turned out to be surprisingly difficult to create a link between these abstract models for stochastic computations and more detailed models of the dynamics of networks of spiking neurons. Here we create such a link and show that under some conditions the stochastic firing activity of networks of spiking neurons can be interpreted as probabilistic inference via Markov chain Monte Carlo (MCMC) sampling. Since common methods for MCMC sampling in distributed systems, such as Gibbs sampling, are inconsistent with the dynamics of spiking neurons, we introduce a different approach based on non-reversible Markov chains that is able to reflect inherent temporal processes of spiking neuronal activity through a suitable choice of random variables. We propose a neural network model and show by a rigorous theoretical analysis that its neural activity implements MCMC sampling of a given distribution, both for the case of discrete and continuous time. This provides a step towards closing the gap between abstract functional models of cortical computation and more detailed models of networks of spiking neurons.
DEFF Research Database (Denmark)
Davidsen, Claus; Liu, Suxia; Mo, Xinguo
2014-01-01
. A stochastic dynamic programming (SDP) approach is used to minimize the basin-wide total costs arising from water allocations and water curtailments. Dynamic allocation problems with inclusion of groundwater resources proved to be more complex to solve with SDP than pure surface water allocation problems due...... to head-dependent pumping costs. These dynamic pumping costs strongly affect the total costs and can lead to non-convexity of the future cost function. The water user groups (agriculture, industry, domestic) are characterized by inelastic demands and fixed water allocation and water supply curtailment...
Emergence of dynamic cooperativity in the stochastic kinetics of fluctuating enzymes
International Nuclear Information System (INIS)
Kumar, Ashutosh; Chatterjee, Sambarta; Nandi, Mintu; Dua, Arti
2016-01-01
Dynamic co-operativity in monomeric enzymes is characterized in terms of a non-Michaelis-Menten kinetic behaviour. The latter is believed to be associated with mechanisms that include multiple reaction pathways due to enzymatic conformational fluctuations. Recent advances in single-molecule fluorescence spectroscopy have provided new fundamental insights on the possible mechanisms underlying reactions catalyzed by fluctuating enzymes. Here, we present a bottom-up approach to understand enzyme turnover kinetics at physiologically relevant mesoscopic concentrations informed by mechanisms extracted from single-molecule stochastic trajectories. The stochastic approach, presented here, shows the emergence of dynamic co-operativity in terms of a slowing down of the Michaelis-Menten (MM) kinetics resulting in negative co-operativity. For fewer enzymes, dynamic co-operativity emerges due to the combined effects of enzymatic conformational fluctuations and molecular discreteness. The increase in the number of enzymes, however, suppresses the effect of enzymatic conformational fluctuations such that dynamic co-operativity emerges solely due to the discrete changes in the number of reacting species. These results confirm that the turnover kinetics of fluctuating enzyme based on the parallel-pathway MM mechanism switches over to the single-pathway MM mechanism with the increase in the number of enzymes. For large enzyme numbers, convergence to the exact MM equation occurs in the limit of very high substrate concentration as the stochastic kinetics approaches the deterministic behaviour.
Emergence of dynamic cooperativity in the stochastic kinetics of fluctuating enzymes
Energy Technology Data Exchange (ETDEWEB)
Kumar, Ashutosh; Chatterjee, Sambarta; Nandi, Mintu; Dua, Arti, E-mail: arti@iitm.ac.in [Department of Chemistry, Indian Institute of Technology, Madras, Chennai 600036 (India)
2016-08-28
Dynamic co-operativity in monomeric enzymes is characterized in terms of a non-Michaelis-Menten kinetic behaviour. The latter is believed to be associated with mechanisms that include multiple reaction pathways due to enzymatic conformational fluctuations. Recent advances in single-molecule fluorescence spectroscopy have provided new fundamental insights on the possible mechanisms underlying reactions catalyzed by fluctuating enzymes. Here, we present a bottom-up approach to understand enzyme turnover kinetics at physiologically relevant mesoscopic concentrations informed by mechanisms extracted from single-molecule stochastic trajectories. The stochastic approach, presented here, shows the emergence of dynamic co-operativity in terms of a slowing down of the Michaelis-Menten (MM) kinetics resulting in negative co-operativity. For fewer enzymes, dynamic co-operativity emerges due to the combined effects of enzymatic conformational fluctuations and molecular discreteness. The increase in the number of enzymes, however, suppresses the effect of enzymatic conformational fluctuations such that dynamic co-operativity emerges solely due to the discrete changes in the number of reacting species. These results confirm that the turnover kinetics of fluctuating enzyme based on the parallel-pathway MM mechanism switches over to the single-pathway MM mechanism with the increase in the number of enzymes. For large enzyme numbers, convergence to the exact MM equation occurs in the limit of very high substrate concentration as the stochastic kinetics approaches the deterministic behaviour.
Emergence of dynamic cooperativity in the stochastic kinetics of fluctuating enzymes
Kumar, Ashutosh; Chatterjee, Sambarta; Nandi, Mintu; Dua, Arti
2016-08-01
Dynamic co-operativity in monomeric enzymes is characterized in terms of a non-Michaelis-Menten kinetic behaviour. The latter is believed to be associated with mechanisms that include multiple reaction pathways due to enzymatic conformational fluctuations. Recent advances in single-molecule fluorescence spectroscopy have provided new fundamental insights on the possible mechanisms underlying reactions catalyzed by fluctuating enzymes. Here, we present a bottom-up approach to understand enzyme turnover kinetics at physiologically relevant mesoscopic concentrations informed by mechanisms extracted from single-molecule stochastic trajectories. The stochastic approach, presented here, shows the emergence of dynamic co-operativity in terms of a slowing down of the Michaelis-Menten (MM) kinetics resulting in negative co-operativity. For fewer enzymes, dynamic co-operativity emerges due to the combined effects of enzymatic conformational fluctuations and molecular discreteness. The increase in the number of enzymes, however, suppresses the effect of enzymatic conformational fluctuations such that dynamic co-operativity emerges solely due to the discrete changes in the number of reacting species. These results confirm that the turnover kinetics of fluctuating enzyme based on the parallel-pathway MM mechanism switches over to the single-pathway MM mechanism with the increase in the number of enzymes. For large enzyme numbers, convergence to the exact MM equation occurs in the limit of very high substrate concentration as the stochastic kinetics approaches the deterministic behaviour.
Deng, Chenhui; Plan, Elodie L; Karlsson, Mats O
2016-06-01
Parameter variation in pharmacometric analysis studies can be characterized as within subject parameter variability (WSV) in pharmacometric models. WSV has previously been successfully modeled using inter-occasion variability (IOV), but also stochastic differential equations (SDEs). In this study, two approaches, dynamic inter-occasion variability (dIOV) and adapted stochastic differential equations, were proposed to investigate WSV in pharmacometric count data analysis. These approaches were applied to published count models for seizure counts and Likert pain scores. Both approaches improved the model fits significantly. In addition, stochastic simulation and estimation were used to explore further the capability of the two approaches to diagnose and improve models where existing WSV is not recognized. The results of simulations confirmed the gain in introducing WSV as dIOV and SDEs when parameters vary randomly over time. Further, the approaches were also informative as diagnostics of model misspecification, when parameters changed systematically over time but this was not recognized in the structural model. The proposed approaches in this study offer strategies to characterize WSV and are not restricted to count data.
Stochastic entangled chain dynamics of dense polymer solutions.
Kivotides, Demosthenes; Wilkin, S Louise; Theofanous, Theo G
2010-10-14
We propose an adjustable-parameter-free, entangled chain dynamics model of dense polymer solutions. The model includes the self-consistent dynamics of molecular chains and solvent by describing the former via coarse-grained polymer dynamics that incorporate hydrodynamic interaction effects, and the latter via the forced Stokes equation. Real chain elasticity is modeled via the inclusion of a Pincus regime in the polymer's force-extension curve. Excluded volume effects are taken into account via the combined action of coarse-grained intermolecular potentials and explicit geometric tracking of chain entanglements. We demonstrate that entanglements are responsible for a new (compared to phantom chain dynamics), slow relaxation mode whose characteristic time scale agrees very well with experiment. Similarly good agreement between theory and experiment is also obtained for the equilibrium chain size. We develop methods for the solution of the model in periodic flow domains and apply them to the computation of entangled polymer solutions in equilibrium. We show that the number of entanglements Π agrees well with the number of entanglements expected on the basis of tube theory, satisfactorily reproducing the latter's scaling of Π with the polymer volume fraction φ. Our model predicts diminishing chain size with concentration, thus vindicating Flory's suggestion of excluded volume effects screening in dense solutions. The predicted scaling of chain size with φ is consistent with the heuristic, Flory theory based value.
Modelling the heat dynamics of a building using stochastic differential equations
DEFF Research Database (Denmark)
Andersen, Klaus Kaae; Madsen, Henrik; Hansen, Lars Henrik
2000-01-01
estimation and model validation, while physical knowledge is used in forming the model structure. The suggested lumped parameter model is thus based on thermodynamics and formulated as a system of stochastic differential equations. Due to the continuous time formulation the parameters of the model...
Ren, W. X.; Lin, Y. Q.; Fang, S. E.
2011-11-01
One of the key issues in vibration-based structural health monitoring is to extract the damage-sensitive but environment-insensitive features from sampled dynamic response measurements and to carry out the statistical analysis of these features for structural damage detection. A new damage feature is proposed in this paper by using the system matrices of the forward innovation model based on the covariance-driven stochastic subspace identification of a vibrating system. To overcome the variations of the system matrices, a non-singularity transposition matrix is introduced so that the system matrices are normalized to their standard forms. For reducing the effects of modeling errors, noise and environmental variations on measured structural responses, a statistical pattern recognition paradigm is incorporated into the proposed method. The Mahalanobis and Euclidean distance decision functions of the damage feature vector are adopted by defining a statistics-based damage index. The proposed structural damage detection method is verified against one numerical signal and two numerical beams. It is demonstrated that the proposed statistics-based damage index is sensitive to damage and shows some robustness to the noise and false estimation of the system ranks. The method is capable of locating damage of the beam structures under different types of excitations. The robustness of the proposed damage detection method to the variations in environmental temperature is further validated in a companion paper by a reinforced concrete beam tested in the laboratory and a full-scale arch bridge tested in the field.
Dynamic structural disorder in supported nanoscale catalysts
International Nuclear Information System (INIS)
Rehr, J. J.; Vila, F. D.
2014-01-01
We investigate the origin and physical effects of “dynamic structural disorder” (DSD) in supported nano-scale catalysts. DSD refers to the intrinsic fluctuating, inhomogeneous structure of such nano-scale systems. In contrast to bulk materials, nano-scale systems exhibit substantial fluctuations in structure, charge, temperature, and other quantities, as well as large surface effects. The DSD is driven largely by the stochastic librational motion of the center of mass and fluxional bonding at the nanoparticle surface due to thermal coupling with the substrate. Our approach for calculating and understanding DSD is based on a combination of real-time density functional theory/molecular dynamics simulations, transient coupled-oscillator models, and statistical mechanics. This approach treats thermal and dynamic effects over multiple time-scales, and includes bond-stretching and -bending vibrations, and transient tethering to the substrate at longer ps time-scales. Potential effects on the catalytic properties of these clusters are briefly explored. Model calculations of molecule-cluster interactions and molecular dissociation reaction paths are presented in which the reactant molecules are adsorbed on the surface of dynamically sampled clusters. This model suggests that DSD can affect both the prefactors and distribution of energy barriers in reaction rates, and thus can significantly affect catalytic activity at the nano-scale
Dynamic structural disorder in supported nanoscale catalysts
Energy Technology Data Exchange (ETDEWEB)
Rehr, J. J.; Vila, F. D. [Department of Physics, University of Washington, Seattle, Washington 98195 (United States)
2014-04-07
We investigate the origin and physical effects of “dynamic structural disorder” (DSD) in supported nano-scale catalysts. DSD refers to the intrinsic fluctuating, inhomogeneous structure of such nano-scale systems. In contrast to bulk materials, nano-scale systems exhibit substantial fluctuations in structure, charge, temperature, and other quantities, as well as large surface effects. The DSD is driven largely by the stochastic librational motion of the center of mass and fluxional bonding at the nanoparticle surface due to thermal coupling with the substrate. Our approach for calculating and understanding DSD is based on a combination of real-time density functional theory/molecular dynamics simulations, transient coupled-oscillator models, and statistical mechanics. This approach treats thermal and dynamic effects over multiple time-scales, and includes bond-stretching and -bending vibrations, and transient tethering to the substrate at longer ps time-scales. Potential effects on the catalytic properties of these clusters are briefly explored. Model calculations of molecule-cluster interactions and molecular dissociation reaction paths are presented in which the reactant molecules are adsorbed on the surface of dynamically sampled clusters. This model suggests that DSD can affect both the prefactors and distribution of energy barriers in reaction rates, and thus can significantly affect catalytic activity at the nano-scale.
Fundamentals of stochastic nature sciences
Klyatskin, Valery I
2017-01-01
This book addresses the processes of stochastic structure formation in two-dimensional geophysical fluid dynamics based on statistical analysis of Gaussian random fields, as well as stochastic structure formation in dynamic systems with parametric excitation of positive random fields f(r,t) described by partial differential equations. Further, the book considers two examples of stochastic structure formation in dynamic systems with parametric excitation in the presence of Gaussian pumping. In dynamic systems with parametric excitation in space and time, this type of structure formation either happens – or doesn’t! However, if it occurs in space, then this almost always happens (exponentially quickly) in individual realizations with a unit probability. In the case considered, clustering of the field f(r,t) of any nature is a general feature of dynamic fields, and one may claim that structure formation is the Law of Nature for arbitrary random fields of such type. The study clarifies the conditions under wh...
Numerical schemes for dynamically orthogonal equations of stochastic fluid and ocean flows
International Nuclear Information System (INIS)
Ueckermann, M.P.; Lermusiaux, P.F.J.; Sapsis, T.P.
2013-01-01
The quantification of uncertainties is critical when systems are nonlinear and have uncertain terms in their governing equations or are constrained by limited knowledge of initial and boundary conditions. Such situations are common in multiscale, intermittent and non-homogeneous fluid and ocean flows. The dynamically orthogonal (DO) field equations provide an adaptive methodology to predict the probability density functions of such flows. The present work derives efficient computational schemes for the DO methodology applied to unsteady stochastic Navier–Stokes and Boussinesq equations, and illustrates and studies the numerical aspects of these schemes. Semi-implicit projection methods are developed for the mean and for the DO modes, and time-marching schemes of first to fourth order are used for the stochastic coefficients. Conservative second-order finite-volumes are employed in physical space with new advection schemes based on total variation diminishing methods. Other results include: (i) the definition of pseudo-stochastic pressures to obtain a number of pressure equations that is linear in the subspace size instead of quadratic; (ii) symmetric advection schemes for the stochastic velocities; (iii) the use of generalized inversion to deal with singular subspace covariances or deterministic modes; and (iv) schemes to maintain orthonormal modes at the numerical level. To verify our implementation and study the properties of our schemes and their variations, a set of stochastic flow benchmarks are defined including asymmetric Dirac and symmetric lock-exchange flows, lid-driven cavity flows, and flows past objects in a confined channel. Different Reynolds number and Grashof number regimes are employed to illustrate robustness. Optimal convergence under both time and space refinements is shown as well as the convergence of the probability density functions with the number of stochastic realizations.
Fluctuating dynamics of nematic liquid crystals using the stochastic method of lines
Bhattacharjee, A. K.; Menon, Gautam I.; Adhikari, R.
2010-07-01
We construct Langevin equations describing the fluctuations of the tensor order parameter Qαβ in nematic liquid crystals by adding noise terms to time-dependent variational equations that follow from the Ginzburg-Landau-de Gennes free energy. The noise is required to preserve the symmetry and tracelessness of the tensor order parameter and must satisfy a fluctuation-dissipation relation at thermal equilibrium. We construct a noise with these properties in a basis of symmetric traceless matrices and show that the Langevin equations can be solved numerically in this basis using a stochastic version of the method of lines. The numerical method is validated by comparing equilibrium probability distributions, structure factors, and dynamic correlations obtained from these numerical solutions with analytic predictions. We demonstrate excellent agreement between numerics and theory. This methodology can be applied to the study of phenomena where fluctuations in both the magnitude and direction of nematic order are important, as for instance, in the nematic swarms which produce enhanced opalescence near the isotropic-nematic transition or the problem of nucleation of the nematic from the isotropic phase.
Theory of time-averaged neutral dynamics with environmental stochasticity
Danino, Matan; Shnerb, Nadav M.
2018-04-01
Competition is the main driver of population dynamics, which shapes the genetic composition of populations and the assembly of ecological communities. Neutral models assume that all the individuals are equivalent and that the dynamics is governed by demographic (shot) noise, with a steady state species abundance distribution (SAD) that reflects a mutation-extinction equilibrium. Recently, many empirical and theoretical studies emphasized the importance of environmental variations that affect coherently the relative fitness of entire populations. Here we consider two generic time-averaged neutral models; in both the relative fitness of each species fluctuates independently in time but its mean is zero. The first (model A) describes a system with local competition and linear fitness dependence of the birth-death rates, while in the second (model B) the competition is global and the fitness dependence is nonlinear. Due to this nonlinearity, model B admits a noise-induced stabilization mechanism that facilitates the invasion of new mutants. A self-consistent mean-field approach is used to reduce the multispecies problem to two-species dynamics, and the large-N asymptotics of the emerging set of Fokker-Planck equations is presented and solved. Our analytic expressions are shown to fit the SADs obtained from extensive Monte Carlo simulations and from numerical solutions of the corresponding master equations.
Path integral methods for the dynamics of stochastic and disordered systems
International Nuclear Information System (INIS)
Hertz, John A; Roudi, Yasser; Sollich, Peter
2017-01-01
We review some of the techniques used to study the dynamics of disordered systems subject to both quenched and fast (thermal) noise. Starting from the Martin–Siggia–Rose/Janssen–De Dominicis–Peliti path integral formalism for a single variable stochastic dynamics, we provide a pedagogical survey of the perturbative, i.e. diagrammatic, approach to dynamics and how this formalism can be used for studying soft spin models. We review the supersymmetric formulation of the Langevin dynamics of these models and discuss the physical implications of the supersymmetry. We also describe the key steps involved in studying the disorder-averaged dynamics. Finally, we discuss the path integral approach for the case of hard Ising spins and review some recent developments in the dynamics of such kinetic Ising models. (topical review)
Institute of Scientific and Technical Information of China (English)
ZHANG Ning; ZHANG Hui-Min; LIU Zhi-Qiang; DING Xue-Li; YANG Ming-Hao; GU Hua-Guang; REN Wei
2009-01-01
Dissolved cardiac myocytes can couple together and generate synchronous beatings in culture. We observed a synchronized early after-depolarization(EAD)-like rhythm in cultured cardiac myocytes and reproduced the experimental observation in a network mathematical model whose dynamics are close to a Hopf bifurcation. The mechanism for this EAD-like rhythm is attributed to noised-induced stochastic alternatings between the focus and the limit cycle. These results provide novel understandings for pathological heart rhythms like the early immature beatings.
Raso , L.; Malaterre , P.O.; Bader , J.C.
2017-01-01
International audience; This article presents an innovative streamflow process model for use in reservoir operational rule design in stochastic dual dynamic programming (SDDP). Model features, which can be applied independently, are (1) a multiplicative process model for the forward phase and its linearized version for the backward phase; and (2) a nonuniform time-step length that is inversely proportional to seasonal variability. The advantages are (1) guaranteeing positive streamflow values...
Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons
Guillermo Gallego; Garrett van Ryzin
1994-01-01
In many industries, managers face the problem of selling a given stock of items by a deadline. We investigate the problem of dynamically pricing such inventories when demand is price sensitive and stochastic and the firm's objective is to maximize expected revenues. Examples that fit this framework include retailers selling fashion and seasonal goods and the travel and leisure industry, which markets space such as seats on airline flights, cabins on vacation cruises, and rooms in hotels that ...
Kemper, A; Nishino, T; Schadschneider, A; Zittartz, J
2003-01-01
We develop a new variant of the recently introduced stochastic transfer matrix DMRG which we call stochastic light-cone corner-transfer-matrix DMRG (LCTMRG). It is a numerical method to compute dynamic properties of one-dimensional stochastic processes. As suggested by its name, the LCTMRG is a modification of the corner-transfer-matrix DMRG, adjusted by an additional causality argument. As an example, two reaction-diffusion models, the diffusion-annihilation process and the branch-fusion process are studied and compared with exact data and Monte Carlo simulations to estimate the capability and accuracy of the new method. The number of possible Trotter steps of more than 10 sup 5 shows a considerable improvement on the old stochastic TMRG algorithm.
Modelling 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...
Stochastic Calculus: Application to Dynamic Bifurcations and Threshold Crossings
Jansons, Kalvis M.; Lythe, G. D.
1998-01-01
For the dynamic pitchfork bifurcation in the presence of white noise, the statistics of the last time at zero are calculated as a function of the noise level ∈ and the rate of change of the parameter μ. The threshold crossing problem used, for example, to model the firing of a single cortical neuron is considered, concentrating on quantities that may be experimentally measurable but have so far received little attention. Expressions for the statistics of pre-threshold excursions, occupation density, and last crossing time of zero are compared with results from numerical generation of paths.
Liu, Zhangjun; Liu, Zenghui
2018-06-01
This paper develops a hybrid approach of spectral representation and random function for simulating stationary stochastic vector processes. In the proposed approach, the high-dimensional random variables, included in the original spectral representation (OSR) formula, could be effectively reduced to only two elementary random variables by introducing the random functions that serve as random constraints. Based on this, a satisfactory simulation accuracy can be guaranteed by selecting a small representative point set of the elementary random variables. The probability information of the stochastic excitations can be fully emerged through just several hundred of sample functions generated by the proposed approach. Therefore, combined with the probability density evolution method (PDEM), it could be able to implement dynamic response analysis and reliability assessment of engineering structures. For illustrative purposes, a stochastic turbulence wind velocity field acting on a frame-shear-wall structure is simulated by constructing three types of random functions to demonstrate the accuracy and efficiency of the proposed approach. Careful and in-depth studies concerning the probability density evolution analysis of the wind-induced structure have been conducted so as to better illustrate the application prospects of the proposed approach. Numerical examples also show that the proposed approach possesses a good robustness.
International Nuclear Information System (INIS)
Sutrisno; Widowati; Solikhin
2016-01-01
In this paper, we propose a mathematical model in stochastic dynamic optimization form to determine the optimal strategy for an integrated single product inventory control problem and supplier selection problem where the demand and purchasing cost parameters are random. For each time period, by using the proposed model, we decide the optimal supplier and calculate the optimal product volume purchased from the optimal supplier so that the inventory level will be located at some point as close as possible to the reference point with minimal cost. We use stochastic dynamic programming to solve this problem and give several numerical experiments to evaluate the model. From the results, for each time period, the proposed model was generated the optimal supplier and the inventory level was tracked the reference point well. (paper)
Directory of Open Access Journals (Sweden)
Junhai Ma
2017-01-01
Full Text Available Apart from the price fluctuation, the retailers’ service level becomes another key factor that affects the market demand. This paper depicts a modified price and demand game model based on the stochastic demand and the retailer’s service level which influences the market demand decided by customers’ preference, while the market demand is stochastic in this model. We explore how the price adjustment speed affects the stability of the supply chain system with respect to service level and stochastic demand. The dynamic behavior of the system is researched by simulation and the stability domain and the bifurcation phenomenon are shown clearly. The largest Lyapunov exponent and the chaotic attractor are also given to confirm the chaotic characteristic of the system. The simulation results indicate that relatively small price adjustment speed may maintain the system at stable state. With the price adjustment speed gradually increasing, the price system gets unstable and finally becomes chaotic. This chaotic phenomenon will perturb the product market and this phenomenon should be controlled to keep the system stay in the stable region. So the chaos control is done and the chaos can be controlled completely. The conclusion makes significant contribution to the system referring to the price fluctuation based on the service level and stochastic demand.
4th International Conference on Structural Nonlinear Dynamics and Diagnosis
2018-01-01
This book presents contributions on the most active lines of recent advanced research in the field of nonlinear mechanics and physics selected from the 4th International Conference on Structural Nonlinear Dynamics and Diagnosis. It includes fifteen chapters by outstanding scientists, covering various aspects of applications, including road tanker dynamics and stability, simulation of abrasive wear, energy harvesting, modeling and analysis of flexoelectric nanoactuator, periodic Fermi–Pasta–Ulam problems, nonlinear stability in Hamiltonian systems, nonlinear dynamics of rotating composites, nonlinear vibrations of a shallow arch, extreme pulse dynamics in mode-locked lasers, localized structures in a photonic crystal fiber resonator, nonlinear stochastic dynamics, linearization of nonlinear resonances, treatment of a linear delay differential equation, and fractional nonlinear damping. It appeals to a wide range of experts in the field of structural nonlinear dynamics and offers researchers and engineers a...
Stochastic optimal foraging: tuning intensive and extensive dynamics in random searches.
Directory of Open Access Journals (Sweden)
Frederic Bartumeus
Full Text Available Recent theoretical developments had laid down the proper mathematical means to understand how the structural complexity of search patterns may improve foraging efficiency. Under information-deprived scenarios and specific landscape configurations, Lévy walks and flights are known to lead to high search efficiencies. Based on a one-dimensional comparative analysis we show a mechanism by which, at random, a searcher can optimize the encounter with close and distant targets. The mechanism consists of combining an optimal diffusivity (optimally enhanced diffusion with a minimal diffusion constant. In such a way the search dynamics adequately balances the tension between finding close and distant targets, while, at the same time, shifts the optimal balance towards relatively larger close-to-distant target encounter ratios. We find that introducing a multiscale set of reorientations ensures both a thorough local space exploration without oversampling and a fast spreading dynamics at the large scale. Lévy reorientation patterns account for these properties but other reorientation strategies providing similar statistical signatures can mimic or achieve comparable efficiencies. Hence, the present work unveils general mechanisms underlying efficient random search, beyond the Lévy model. Our results suggest that animals could tune key statistical movement properties (e.g. enhanced diffusivity, minimal diffusion constant to cope with the very general problem of balancing out intensive and extensive random searching. We believe that theoretical developments to mechanistically understand stochastic search strategies, such as the one here proposed, are crucial to develop an empirically verifiable and comprehensive animal foraging theory.
Drummond, Jen; Davies-Colley, Rob; Stott, Rebecca; Sukias, James; Nagels, John; Sharp, Alice; Packman, Aaron
2014-05-01
Transport dynamics of microbial cells and organic fine particles are important to stream ecology and biogeochemistry. Cells and particles continuously deposit and resuspend during downstream transport owing to a variety of processes including gravitational settling, interactions with in-stream structures or biofilms at the sediment-water interface, and hyporheic exchange and filtration within underlying sediments. Deposited cells and particles are also resuspended following increases in streamflow. Fine particle retention influences biogeochemical processing of substrates and nutrients (C, N, P), while remobilization of pathogenic microbes during flood events presents a hazard to downstream uses such as water supplies and recreation. We are conducting studies to gain insights into the dynamics of fine particles and microbes in streams, with a campaign of experiments and modeling. The results improve understanding of fine sediment transport, carbon cycling, nutrient spiraling, and microbial hazards in streams. We developed a stochastic model to describe the transport and retention of fine particles and microbes in rivers that accounts for hyporheic exchange and transport through porewaters, reversible filtration within the streambed, and microbial inactivation in the water column and subsurface. This model framework is an advance over previous work in that it incorporates detailed transport and retention processes that are amenable to measurement. Solute, particle, and microbial transport were observed both locally within sediment and at the whole-stream scale. A multi-tracer whole-stream injection experiment compared the transport and retention of a conservative solute, fluorescent fine particles, and the fecal indicator bacterium Escherichia coli. Retention occurred within both the underlying sediment bed and stands of submerged macrophytes. The results demonstrate that the combination of local measurements, whole-stream tracer experiments, and advanced modeling
Babaee, Hessam; Choi, Minseok; Sapsis, Themistoklis P.; Karniadakis, George Em
2017-09-01
We develop a new robust methodology for the stochastic Navier-Stokes equations based on the dynamically-orthogonal (DO) and bi-orthogonal (BO) methods [1-3]. Both approaches are variants of a generalized Karhunen-Loève (KL) expansion in which both the stochastic coefficients and the spatial basis evolve according to system dynamics, hence, capturing the low-dimensional structure of the solution. The DO and BO formulations are mathematically equivalent [3], but they exhibit computationally complimentary properties. Specifically, the BO formulation may fail due to crossing of the eigenvalues of the covariance matrix, while both BO and DO become unstable when there is a high condition number of the covariance matrix or zero eigenvalues. To this end, we combine the two methods into a robust hybrid framework and in addition we employ a pseudo-inverse technique to invert the covariance matrix. The robustness of the proposed method stems from addressing the following issues in the DO/BO formulation: (i) eigenvalue crossing: we resolve the issue of eigenvalue crossing in the BO formulation by switching to the DO near eigenvalue crossing using the equivalence theorem and switching back to BO when the distance between eigenvalues is larger than a threshold value; (ii) ill-conditioned covariance matrix: we utilize a pseudo-inverse strategy to invert the covariance matrix; (iii) adaptivity: we utilize an adaptive strategy to add/remove modes to resolve the covariance matrix up to a threshold value. In particular, we introduce a soft-threshold criterion to allow the system to adapt to the newly added/removed mode and therefore avoid repetitive and unnecessary mode addition/removal. When the total variance approaches zero, we show that the DO/BO formulation becomes equivalent to the evolution equation of the Optimally Time-Dependent modes [4]. We demonstrate the capability of the proposed methodology with several numerical examples, namely (i) stochastic Burgers equation: we
GPELab, a Matlab toolbox to solve Gross-Pitaevskii equations II: Dynamics and stochastic simulations
Antoine, Xavier; Duboscq, Romain
2015-08-01
GPELab is a free Matlab toolbox for modeling and numerically solving large classes of systems of Gross-Pitaevskii equations that arise in the physics of Bose-Einstein condensates. The aim of this second paper, which follows (Antoine and Duboscq, 2014), is to first present the various pseudospectral schemes available in GPELab for computing the deterministic and stochastic nonlinear dynamics of Gross-Pitaevskii equations (Antoine, et al., 2013). Next, the corresponding GPELab functions are explained in detail. Finally, some numerical examples are provided to show how the code works for the complex dynamics of BEC problems.
Analysis of dynamic characteristics of stochastic influences in cognitive systems
Directory of Open Access Journals (Sweden)
Alexander A. Solodov
2017-01-01
Full Text Available The aim of the study is to provide an analytical description of the dynamics of the processes to form images in the cognitive system and their subsequent processing by the consciousness, as well as the study of the simplest characteristics of the quality of the cognitive system functioning in the form of the signal/noise ratio.In accordance with the ideas of the cognitive theory, it is believed that images (schemes, categories, Gestalt, systems, archetypes, etc. are firstly generated in the human brain and then processed by the consciousness.These images are formed at random in time and are characterized by a random force of effects and subsequently processed by the consciousness.The images are characterized by random numbers, the common interpretation of which is the amount of information corresponding to the appearance of a certain image. The times of appearance are points on the time axis; their number and position are random as well.The work consists of a logically completed model including the following components:• Justification of a statistical model of the appearance of effects during the operation of the cognitive system in the form of the Poisson point process, characterized by the intensity of occurrence of effects and the random values of those effects.• Development of a mathematical model in the consciousness processing of the random effects in the form of reducing response function, which depends on the current time, the time of occurrence of effects and the magnitudes of these effects. To obtain applied results, exponential response function was applied and the analytical results for the mathematical expectations of the processed and not processed information by the consciousness were received.• Introduction for consideration of the signal/noise ratio, characterizing the performance of cognitive systems in the presence of interference and study of its behavior in the situations with the presence of random background noise
Energy Technology Data Exchange (ETDEWEB)
Karimirad, Madjid
2011-03-15
Floating wind turbines can be the most practical and economical way to extract the vast offshore wind energy resources at deep and intermediate water depths. The Norwegian Ministry of Petroleum and Energy is strongly committed to developing offshore wind technology that utilises available renewable energy sources. As the wind is steadier and stronger over the sea than over land, the wind industry recently moved to offshore areas. Analysis of the structural dynamic response of offshore wind turbines subjected to stochastic wave and wind loads is an important aspect of the assessment of their potential for power production and of their structural integrity. Of the concepts that have been proposed for floating wind turbines, spar-types such as the catenary moored spar (CMS) and tension leg spar (TLS) wind turbines seem to be well-suited to the harsh environmental conditions that exist in the North Sea. Hywind and Sway are two examples of such Norwegian concepts; they are based on the CMS and TLS, respectively. Floating wind turbines are sophisticated structures that are subjected to simultaneous wind and wave actions. The coupled nonlinear structural dynamics and motion response equations of these turbines introduce geometrical nonlinearities through the relative motions and velocities. Moreover, the hydrodynamic and aerodynamic loading of this type of structure is nonlinear. A floating wind turbine is a multi body aero-hydro-servo-elastic structural system; for such structures, the coupled nonlinear equations of motion considering nonlinear excitation and damping forces, including all wave- and wind-induced features, should be solved in the time domain. In this thesis, the motion and structural responses for operational and extreme environmental conditions were considered to investigate the performance and the structural integrity of spar-type floating wind turbines. The power production and the effects of aerodynamic and hydrodynamic damping, including wind
Stochastic evolutionary dynamics in minimum-effort coordination games
Li, Kun; Cong, Rui; Wang, Long
2016-08-01
The minimum-effort coordination game draws recently more attention for the fact that human behavior in this social dilemma is often inconsistent with the predictions of classical game theory. Here, we combine evolutionary game theory and coalescence theory to investigate this game in finite populations. Both analytic results and individual-based simulations show that effort costs play a key role in the evolution of contribution levels, which is in good agreement with those observed experimentally. Besides well-mixed populations, set structured populations have also been taken into consideration. Therein we find that large number of sets and moderate migration rate greatly promote effort levels, especially for high effort costs.
Momentum Maps and Stochastic Clebsch Action Principles
Cruzeiro, Ana Bela; Holm, Darryl D.; Ratiu, Tudor S.
2018-01-01
We derive stochastic differential equations whose solutions follow the flow of a stochastic nonlinear Lie algebra operation on a configuration manifold. For this purpose, we develop a stochastic Clebsch action principle, in which the noise couples to the phase space variables through a momentum map. This special coupling simplifies the structure of the resulting stochastic Hamilton equations for the momentum map. In particular, these stochastic Hamilton equations collectivize for Hamiltonians that depend only on the momentum map variable. The Stratonovich equations are derived from the Clebsch variational principle and then converted into Itô form. In comparing the Stratonovich and Itô forms of the stochastic dynamical equations governing the components of the momentum map, we find that the Itô contraction term turns out to be a double Poisson bracket. Finally, we present the stochastic Hamiltonian formulation of the collectivized momentum map dynamics and derive the corresponding Kolmogorov forward and backward equations.
Wang, Ting; Plecháč, Petr
2017-12-01
Stochastic reaction networks that exhibit bistable behavior are common in systems biology, materials science, and catalysis. Sampling of stationary distributions is crucial for understanding and characterizing the long-time dynamics of bistable stochastic dynamical systems. However, simulations are often hindered by the insufficient sampling of rare transitions between the two metastable regions. In this paper, we apply the parallel replica method for a continuous time Markov chain in order to improve sampling of the stationary distribution in bistable stochastic reaction networks. The proposed method uses parallel computing to accelerate the sampling of rare transitions. Furthermore, it can be combined with the path-space information bounds for parametric sensitivity analysis. With the proposed methodology, we study three bistable biological networks: the Schlögl model, the genetic switch network, and the enzymatic futile cycle network. We demonstrate the algorithmic speedup achieved in these numerical benchmarks. More significant acceleration is expected when multi-core or graphics processing unit computer architectures and programming tools such as CUDA are employed.
Wang, Ting; Plecháč, Petr
2017-12-21
Stochastic reaction networks that exhibit bistable behavior are common in systems biology, materials science, and catalysis. Sampling of stationary distributions is crucial for understanding and characterizing the long-time dynamics of bistable stochastic dynamical systems. However, simulations are often hindered by the insufficient sampling of rare transitions between the two metastable regions. In this paper, we apply the parallel replica method for a continuous time Markov chain in order to improve sampling of the stationary distribution in bistable stochastic reaction networks. The proposed method uses parallel computing to accelerate the sampling of rare transitions. Furthermore, it can be combined with the path-space information bounds for parametric sensitivity analysis. With the proposed methodology, we study three bistable biological networks: the Schlögl model, the genetic switch network, and the enzymatic futile cycle network. We demonstrate the algorithmic speedup achieved in these numerical benchmarks. More significant acceleration is expected when multi-core or graphics processing unit computer architectures and programming tools such as CUDA are employed.
Distributed Dynamic Condition Response Structures
DEFF Research Database (Denmark)
Hildebrandt, Thomas; Mukkamala, Raghava Rao
We present distributed dynamic condition response structures as a declarative process model inspired by the workflow language employed by our industrial partner and conservatively generalizing labelled event structures. The model adds to event structures the possibility to 1) finitely specify...... as a labelled transition system. Exploration of the relationship between dynamic condition response structures and traditional models for concurrency, application to more complex scenarios, and further extensions of the model is left to future work....
Stochastic optimization in insurance a dynamic programming approach
Azcue, Pablo
2014-01-01
The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance. The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model. The authors consider the possibility of controlling the risk process by reinsurance as well as by investments. They show that optimal value functions are characterized as either the unique or the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation; they also study the structure of the optimal strategies and show how to find them. The viscosity approach was widely used in control problems related to mathematical finance but until quite recently it was not used to solve control problems related to actuarial mathematical science. This book is designed to familiarize the reader on how to use this approach. The intended audience is graduate students as well as researchers in this area.
Dynamic Programming and Error Estimates for Stochastic Control Problems with Maximum Cost
International Nuclear Information System (INIS)
Bokanowski, Olivier; Picarelli, Athena; Zidani, Hasnaa
2015-01-01
This work is concerned with stochastic optimal control for a running maximum cost. A direct approach based on dynamic programming techniques is studied leading to the characterization of the value function as the unique viscosity solution of a second order Hamilton–Jacobi–Bellman (HJB) equation with an oblique derivative boundary condition. A general numerical scheme is proposed and a convergence result is provided. Error estimates are obtained for the semi-Lagrangian scheme. These results can apply to the case of lookback options in finance. Moreover, optimal control problems with maximum cost arise in the characterization of the reachable sets for a system of controlled stochastic differential equations. Some numerical simulations on examples of reachable analysis are included to illustrate our approach
Dynamic Programming and Error Estimates for Stochastic Control Problems with Maximum Cost
Energy Technology Data Exchange (ETDEWEB)
Bokanowski, Olivier, E-mail: boka@math.jussieu.fr [Laboratoire Jacques-Louis Lions, Université Paris-Diderot (Paris 7) UFR de Mathématiques - Bât. Sophie Germain (France); Picarelli, Athena, E-mail: athena.picarelli@inria.fr [Projet Commands, INRIA Saclay & ENSTA ParisTech (France); Zidani, Hasnaa, E-mail: hasnaa.zidani@ensta.fr [Unité de Mathématiques appliquées (UMA), ENSTA ParisTech (France)
2015-02-15
This work is concerned with stochastic optimal control for a running maximum cost. A direct approach based on dynamic programming techniques is studied leading to the characterization of the value function as the unique viscosity solution of a second order Hamilton–Jacobi–Bellman (HJB) equation with an oblique derivative boundary condition. A general numerical scheme is proposed and a convergence result is provided. Error estimates are obtained for the semi-Lagrangian scheme. These results can apply to the case of lookback options in finance. Moreover, optimal control problems with maximum cost arise in the characterization of the reachable sets for a system of controlled stochastic differential equations. Some numerical simulations on examples of reachable analysis are included to illustrate our approach.
Price-Dynamics of Shares and Bohmian Mechanics: Deterministic or Stochastic Model?
Choustova, Olga
2007-02-01
We apply the mathematical formalism of Bohmian mechanics to describe dynamics of shares. The main distinguishing feature of the financial Bohmian model is the possibility to take into account market psychology by describing expectations of traders by the pilot wave. We also discuss some objections (coming from conventional financial mathematics of stochastic processes) against the deterministic Bohmian model. In particular, the objection that such a model contradicts to the efficient market hypothesis which is the cornerstone of the modern market ideology. Another objection is of pure mathematical nature: it is related to the quadratic variation of price trajectories. One possibility to reply to this critique is to consider the stochastic Bohm-Vigier model, instead of the deterministic one. We do this in the present note.
Miller, David A; Clark, William R; Arnold, Stevan J; Bronikowski, Anne M
2011-08-01
Comparative evaluations of population dynamics in species with temporal and spatial variation in life-history traits are rare because they require long-term demographic time series from multiple populations. We present such an analysis using demographic data collected during the interval 1978-1996 for six populations of western terrestrial garter snakes (Thamnophis elegans) from two evolutionarily divergent ecotypes. Three replicate populations from a slow-living ecotype, found in mountain meadows of northeastern California, were characterized by individuals that develop slowly, mature late, reproduce infrequently with small reproductive effort, and live longer than individuals of three populations of a fast-living ecotype found at lakeshore locales. We constructed matrix population models for each of the populations based on 8-13 years of data per population and analyzed both deterministic dynamics based on mean annual vital rates and stochastic dynamics incorporating annual variation in vital rates. (1) Contributions of highly variable vital rates to fitness (lambda(s)) were buffered against the negative effects of stochastic variation, and this relationship was consistent with differences between the meadow (M-slow) and lakeshore (L-fast) ecotypes. (2) Annual variation in the proportion of gravid females had the greatest negative effect among all vital rates on lambda(s). The magnitude of variation in the proportion of gravid females and its effect on lambda(s) was greater in M-slow than L-fast populations. (3) Variation in the proportion of gravid females, in turn, depended on annual variation in prey availability, and its effect on lambda(s) was 4 23 times greater in M-slow than L-fast populations. In addition to differences in stochastic dynamics between ecotypes, we also found higher mean mortality rates across all age classes in the L-fast populations. Our results suggest that both deterministic and stochastic selective forces have affected the evolution of
Patterns of Stochastic Behavior in Dynamically Unstable High-Dimensional Biochemical Networks
Directory of Open Access Journals (Sweden)
Simon Rosenfeld
2009-01-01
Full Text Available The question of dynamical stability and stochastic behavior of large biochemical networks is discussed. It is argued that stringent conditions of asymptotic stability have very little chance to materialize in a multidimensional system described by the differential equations of chemical kinetics. The reason is that the criteria of asymptotic stability (Routh- Hurwitz, Lyapunov criteria, Feinberg’s Deficiency Zero theorem would impose the limitations of very high algebraic order on the kinetic rates and stoichiometric coefficients, and there are no natural laws that would guarantee their unconditional validity. Highly nonlinear, dynamically unstable systems, however, are not necessarily doomed to collapse, as a simple Jacobian analysis would suggest. It is possible that their dynamics may assume the form of pseudo-random fluctuations quite similar to a shot noise, and, therefore, their behavior may be described in terms of Langevin and Fokker-Plank equations. We have shown by simulation that the resulting pseudo-stochastic processes obey the heavy-tailed Generalized Pareto Distribution with temporal sequence of pulses forming the set of constituent-specific Poisson processes. Being applied to intracellular dynamics, these properties are naturally associated with burstiness, a well documented phenomenon in the biology of gene expression.
Metastable states and quasicycles in a stochastic Wilson-Cowan model of neuronal population dynamics
Bressloff, Paul C.
2010-11-03
We analyze a stochastic model of neuronal population dynamics with intrinsic noise. In the thermodynamic limit N→∞, where N determines the size of each population, the dynamics is described by deterministic Wilson-Cowan equations. On the other hand, for finite N the dynamics is described by a master equation that determines the probability of spiking activity within each population. We first consider a single excitatory population that exhibits bistability in the deterministic limit. The steady-state probability distribution of the stochastic network has maxima at points corresponding to the stable fixed points of the deterministic network; the relative weighting of the two maxima depends on the system size. For large but finite N, we calculate the exponentially small rate of noise-induced transitions between the resulting metastable states using a Wentzel-Kramers- Brillouin (WKB) approximation and matched asymptotic expansions. We then consider a two-population excitatory or inhibitory network that supports limit cycle oscillations. Using a diffusion approximation, we reduce the dynamics to a neural Langevin equation, and show how the intrinsic noise amplifies subthreshold oscillations (quasicycles). © 2010 The American Physical Society.
Tuckwell, H C; Toubiana, L; Vibert, J F
2000-05-01
We extend a previous dynamical viral network model to include stochastic effects. The dynamical equations for the viral and immune effector densities within a host population of size n are bilinear, and the noise is white, additive, and Gaussian. The individuals are connected with an n x n transmission matrix, with terms which decay exponentially with distance. In a single individual, for the range of noise parameters considered, it is found that increasing the amplitude of the noise tends to decrease the maximum mean virion level, and slightly accelerate its attainment. Two different spatial dynamical models are employed to ascertain the effects of environmental stochasticity on viral spread. In the first model transmission is unrestricted and there is no threshold within individuals. This model has the advantage that it can be analyzed using a Fokker-Planck approach. The noise is found both to synchronize and uniformize the trajectories of the viral levels across the population of infected individuals, and thus to promote the epidemic spread of the virus. Quantitative measures of the speed of spread and overall amplitude of the epidemic are obtained as functions of the noise and virulence parameters. The mean amplitude increases steadily without threshold effects for a fixed value of the virulence as the noise amplitude sigma is increased, and there is no evidence of a stochastic resonance. However, the speed of transmission, both with respect to its mean and variance, undergoes rapid increases as sigma changes by relatively small amounts. In the second, more realistic, model, there is a threshold for infection and an upper limit to the transmission rate. There may be no spread of infection at all in the absence of noise. With increasing noise level and a low threshold, the mean maximum virion level grows quickly and shows a broad-based stochastic resonance effect. When the threshold within individuals is increased, the mean population virion level increases only
Structural dynamic modification
Indian Academy of Sciences (India)
and stiffness matrices) andaor modal parameters, in order to acquire some ... For the above reasons, another modification approach is presented here ... The data necessary to solve the direct problem are dynamic behaviour of the original.
Dynamic testing of cable structures
Directory of Open Access Journals (Sweden)
Caetano Elsa
2015-01-01
Full Text Available The paper discusses the role of dynamic testing in the study of cable structures. In this context, the identification of cable force based on vibration measurements is discussed. Vibration and damping assessment are then introduced as the focus of dynamic monitoring systems, and particular aspects of the structural behaviour under environmental loads are analysed. Diverse application results are presented to support the discussion centred on cable-stayed bridges, roof structures, a guyed mast and a transmission line.
Synthetic chloride-selective carbon nanotubes examined by using molecular and stochastic dynamics.
Hilder, Tamsyn A; Gordon, Dan; Chung, Shin-Ho
2010-09-22
Synthetic channels, such as nanotubes, offer the possibility of ion-selective nanoscale pores which can broadly mimic the functions of various biological ion channels, and may one day be used as antimicrobial agents, or for treatment of cystic fibrosis. We have designed a carbon nanotube that is selectively permeable to anions. The virtual nanotubes are constructed from a hexagonal array of carbon atoms (graphene) rolled up to form a tubular structure, with an effective radius of 4.53 Å and length of 34 Å. The pore ends are terminated with polar carbonyl groups. The nanotube thus formed is embedded in a lipid bilayer and a reservoir containing ionic solutions is added at each end of the pore. The conductance properties of these synthetic channels are then examined with molecular and stochastic dynamics simulations. Profiles of the potential of mean force at 0 mM reveal that a cation moving across the pore encounters an insurmountable free energy barrier of ∼25 kT in height. In contrast, for anions, there are two energy wells of ∼12 kT near each end of the tube, separated by a central free energy barrier of 4 kT. The conductance of the pore, with symmetrical 500 mM solutions in the reservoirs, is 72 pS at 100 mV. The current saturates with an increasing ionic concentration, obeying a Michaelis-Menten relationship. The pore is normally occupied by two ions, and the rate-limiting step in conduction is the time taken for the resident ion near the exit gate to move out of the energy well. Copyright © 2010 Biophysical Society. Published by Elsevier Inc. All rights reserved.
Bashkirtseva, Irina; Ryashko, Lev; Ryazanova, Tatyana
2018-01-01
A problem of mathematical modeling of complex stochastic processes in macroeconomics is discussed. For the description of dynamics of income and capital stock, the well-known Kaldor model of business cycles is used as a basic example. The aim of the paper is to give an overview of the variety of stochastic phenomena which occur in Kaldor model forced by additive and parametric random noise. We study a generation of small- and large-amplitude stochastic oscillations, and their mixed-mode intermittency. To analyze these phenomena, we suggest a constructive approach combining the study of the peculiarities of deterministic phase portrait, and stochastic sensitivity of attractors. We show how parametric noise can stabilize the unstable equilibrium and transform dynamics of Kaldor system from order to chaos.
Directory of Open Access Journals (Sweden)
Wenying Yue
2014-01-01
Full Text Available Cloud computing has come to be a significant commercial infrastructure offering utility-oriented IT services to users worldwide. However, data centers hosting cloud applications consume huge amounts of energy, leading to high operational cost and greenhouse gas emission. Therefore, green cloud computing solutions are needed not only to achieve high level service performance but also to minimize energy consumption. This paper studies the dynamic placement of virtual machines (VMs with deterministic and stochastic demands. In order to ensure a quick response to VM requests and improve the energy efficiency, a two-phase optimization strategy has been proposed, in which VMs are deployed in runtime and consolidated into servers periodically. Based on an improved multidimensional space partition model, a modified energy efficient algorithm with balanced resource utilization (MEAGLE and a live migration algorithm based on the basic set (LMABBS are, respectively, developed for each phase. Experimental results have shown that under different VMs’ stochastic demand variations, MEAGLE guarantees the availability of stochastic resources with a defined probability and reduces the number of required servers by 2.49% to 20.40% compared with the benchmark algorithms. Also, the difference between the LMABBS solution and Gurobi solution is fairly small, but LMABBS significantly excels in computational efficiency.
Energy Technology Data Exchange (ETDEWEB)
Velickovic, Lj; Petrovic, M [Boris Kidric Institute of nuclear sciences Vinca, Belgrade (Yugoslavia)
1968-12-15
Stochastic reactor oscillator and cross correlation method were used for determining reactor dynamics characteristics. Experimental equipment, fast reactor oscillator (BOR-1) was activated by random pulses from the GBS-16 generator. Tape recorder AMPEX-SF-300 and data acquisition tool registered reactor response to perturbations having different frequencies. Reactor response and activation signals were cross correlated by digital computer for different positions of stochastic oscillator and ionization chamber.
A stochastic agent-based model of pathogen propagation in dynamic multi-relational social networks
Khan, Bilal; Dombrowski, Kirk; Saad, Mohamed
2015-01-01
We describe a general framework for modeling and stochastic simulation of epidemics in realistic dynamic social networks, which incorporates heterogeneity in the types of individuals, types of interconnecting risk-bearing relationships, and types of pathogens transmitted across them. Dynamism is supported through arrival and departure processes, continuous restructuring of risk relationships, and changes to pathogen infectiousness, as mandated by natural history; dynamism is regulated through constraints on the local agency of individual nodes and their risk behaviors, while simulation trajectories are validated using system-wide metrics. To illustrate its utility, we present a case study that applies the proposed framework towards a simulation of HIV in artificial networks of intravenous drug users (IDUs) modeled using data collected in the Social Factors for HIV Risk survey. PMID:25859056
International Nuclear Information System (INIS)
Dybiec, Bartłomiej; Gudowska-Nowak, Ewa
2009-01-01
A standard approach to analysis of noise-induced effects in stochastic dynamics assumes a Gaussian character of the noise term describing interaction of the analyzed system with its complex surroundings. An additional assumption about the existence of timescale separation between the dynamics of the measured observable and the typical timescale of the noise allows external fluctuations to be modeled as temporally uncorrelated and therefore white. However, in many natural phenomena the assumptions concerning the above mentioned properties of 'Gaussianity' and 'whiteness' of the noise can be violated. In this context, in contrast to the spatiotemporal coupling characterizing general forms of non-Markovian or semi-Markovian Lévy walks, so called Lévy flights correspond to the class of Markov processes which can still be interpreted as white, but distributed according to a more general, infinitely divisible, stable and non-Gaussian law. Lévy noise-driven non-equilibrium systems are known to manifest interesting physical properties and have been addressed in various scenarios of physical transport exhibiting a superdiffusive behavior. Here we present a brief overview of our recent investigations aimed at understanding features of stochastic dynamics under the influence of Lévy white noise perturbations. We find that the archetypal phenomena of noise-induced ordering are robust and can be detected also in systems driven by memoryless, non-Gaussian, heavy-tailed fluctuations with infinite variance
Zhang, Wei; Wang, Jun
2017-09-01
In attempt to reproduce price dynamics of financial markets, a stochastic agent-based financial price model is proposed and investigated by stochastic exclusion process. The exclusion process, one of interacting particle systems, is usually thought of as modeling particle motion (with the conserved number of particles) in a continuous time Markov process. In this work, the process is utilized to imitate the trading interactions among the investing agents, in order to explain some stylized facts found in financial time series dynamics. To better understand the correlation behaviors of the proposed model, a new time-dependent intrinsic detrended cross-correlation (TDI-DCC) is introduced and performed, also, the autocorrelation analyses are applied in the empirical research. Furthermore, to verify the rationality of the financial price model, the actual return series are also considered to be comparatively studied with the simulation ones. The comparison results of return behaviors reveal that this financial price dynamics model can reproduce some correlation features of actual stock markets.
A principle of fractal-stochastic dualism and Gompertzian dynamics of growth and self-organization.
Waliszewski, Przemyslaw
2005-10-01
The emergence of Gompertzian dynamics at the macroscopic, tissue level during growth and self-organization is determined by the existence of fractal-stochastic dualism at the microscopic level of supramolecular, cellular system. On one hand, Gompertzian dynamics results from the complex coupling of at least two antagonistic, stochastic processes at the molecular cellular level. It is shown that the Gompertz function is a probability function, its derivative is a probability density function, and the Gompertzian distribution of probability is of non-Gaussian type. On the other hand, the Gompertz function is a contraction mapping and defines fractal dynamics in time-space; a prerequisite condition for the coupling of processes. Furthermore, the Gompertz function is a solution of the operator differential equation with the Morse-like anharmonic potential. This relationship indicates that distribution of intrasystemic forces is both non-linear and asymmetric. The anharmonic potential is a measure of the intrasystemic interactions. It attains a point of the minimum (U(0), t(0)) along with a change of both complexity and connectivity during growth and self-organization. It can also be modified by certain factors, such as retinoids.
Coron, Camille
2016-01-01
We are interested in the long-time behavior of a diploid population with sexual reproduction and randomly varying population size, characterized by its genotype composition at one bi-allelic locus. The population is modeled by a 3-dimensional birth-and-death process with competition, weak cooperation and Mendelian reproduction. This stochastic process is indexed by a scaling parameter K that goes to infinity, following a large population assumption. When the individual birth and natural death rates are of order K, the sequence of stochastic processes indexed by K converges toward a new slow-fast dynamics with variable population size. We indeed prove the convergence toward 0 of a fast variable giving the deviation of the population from quasi Hardy-Weinberg equilibrium, while the sequence of slow variables giving the respective numbers of occurrences of each allele converges toward a 2-dimensional diffusion process that reaches (0,0) almost surely in finite time. The population size and the proportion of a given allele converge toward a Wright-Fisher diffusion with stochastically varying population size and diploid selection. We insist on differences between haploid and diploid populations due to population size stochastic variability. Using a non trivial change of variables, we study the absorption of this diffusion and its long time behavior conditioned on non-extinction. In particular we prove that this diffusion starting from any non-trivial state and conditioned on not hitting (0,0) admits a unique quasi-stationary distribution. We give numerical approximations of this quasi-stationary behavior in three biologically relevant cases: neutrality, overdominance, and separate niches.
International Nuclear Information System (INIS)
Ghirardi, G.C.; Pearle, P.
1991-02-01
The problem of getting a relativistic generalization of the CSL dynamical reduction model, which has been presented in part I, is discussed. In so doing we have the opportunity to introduce the idea of a stochastically invariant theory. The theoretical model we present, that satisfies this kind of invariance requirement, offers us the possibility to reconsider, from a new point of view, some conceptually relevant issues such as nonlocality, the legitimacy of attributing elements of physical reality to physical systems and the problem of establishing causal relations between physical events. (author). Refs, 3 figs
Inverse stochastic-dynamic models for high-resolution Greenland ice core records
DEFF Research Database (Denmark)
Boers, Niklas; Chekroun, Mickael D.; Liu, Honghu
2017-01-01
as statistical properties such as probability density functions, waiting times and power spectra, with no need for any external forcing. The crucial ingredients for capturing these properties are (i) high-resolution training data, (ii) cubic drift terms, (iii) nonlinear coupling terms between the 18O and dust......Proxy records from Greenland ice cores have been studied for several decades, yet many open questions remain regarding the climate variability encoded therein. Here, we use a Bayesian framework for inferring inverse, stochastic-dynamic models from 18O and dust records of unprecedented, subdecadal...
Stochastic differential equations for quantum dynamics of spin-boson networks
International Nuclear Information System (INIS)
Mandt, Stephan; Sadri, Darius; Houck, Andrew A; Türeci, Hakan E
2015-01-01
A popular approach in quantum optics is to map a master equation to a stochastic differential equation, where quantum effects manifest themselves through noise terms. We generalize this approach based on the positive-P representation to systems involving spin, in particular networks or lattices of interacting spins and bosons. We test our approach on a driven dimer of spins and photons, compare it to the master equation, and predict a novel dynamic phase transition in this system. Our numerical approach has scaling advantages over existing methods, but typically requires regularization in terms of drive and dissipation. (paper)
The ‘hit’ phenomenon: a mathematical model of human dynamics interactions as a stochastic process
Ishii, Akira; Arakaki, Hisashi; Matsuda, Naoya; Umemura, Sanae; Urushidani, Tamiko; Yamagata, Naoya; Yoshida, Narihiko
2012-06-01
A mathematical model for the ‘hit’ phenomenon in entertainment within a society is presented as a stochastic process of human dynamics interactions. The model uses only the advertisement budget time distribution as an input, and word-of-mouth (WOM), represented by posts on social network systems, is used as data to make a comparison with the calculated results. The unit of time is days. The WOM distribution in time is found to be very close to the revenue distribution in time. Calculations for the Japanese motion picture market based on the mathematical model agree well with the actual revenue distribution in time.
Lima, L. S.; Miranda, L. L. B.
2018-01-01
We have used the Itô's stochastic differential equation for the double well with additive white noise as a mathematical model for price dynamics of the financial market. We have presented a model which allows us to test within the same framework the comparative explanatory power of rational agents versus irrational agents, with respect to the facts of financial markets. We have obtained the mean price in terms of the β parameter that represents the force of the randomness term of the model.
International Nuclear Information System (INIS)
Tung Wenwen; Qi Yan; Gao, J.B.; Cao Yinhe; Billings, Lora
2005-01-01
In recent years it has been increasingly recognized that noise and determinism may have comparable but different influences on population dynamics. However, no simple analysis methods have been introduced into ecology which can readily characterize those impacts. In this paper, we study a population model with strong periodicity and both with and without noise. The noise-free model generates both quasi-periodic and chaotic dynamics for certain parameter values. Due to the strong periodicity, however, the generated chaotic dynamics have not been satisfactorily described. The dynamics becomes even more complicated when there is noise. Characterizing the chaotic and stochastic dynamics in this model thus represents a challenging problem. Here we show how the chaotic dynamics can be readily characterized by the direct dynamical test for deterministic chaos developed by [Gao JB, Zheng ZM. Europhys. Lett. 1994;25:485] and how the influence of noise on quasi-periodic motions can be characterized as asymmetric diffusions wandering along the quasi-periodic orbit. It is hoped that the introduced methods will be useful in studying other population models as well as population time series obtained both in field and laboratory experiments
Structural dynamic modifications via models
Indian Academy of Sciences (India)
The study shows that as many as half of the matrix ... the dynamicist's analytical modelling skill which would appear both in the numerator as. Figure 2. ..... Brandon J A 1990 Strategies for structural dynamic modification (New York: John Wiley).
Multilayer Stochastic Block Models Reveal the Multilayer Structure of Complex Networks
Directory of Open Access Journals (Sweden)
Toni Vallès-Català
2016-03-01
Full Text Available In complex systems, the network of interactions we observe between systems components is the aggregate of the interactions that occur through different mechanisms or layers. Recent studies reveal that the existence of multiple interaction layers can have a dramatic impact in the dynamical processes occurring on these systems. However, these studies assume that the interactions between systems components in each one of the layers are known, while typically for real-world systems we do not have that information. Here, we address the issue of uncovering the different interaction layers from aggregate data by introducing multilayer stochastic block models (SBMs, a generalization of single-layer SBMs that considers different mechanisms of layer aggregation. First, we find the complete probabilistic solution to the problem of finding the optimal multilayer SBM for a given aggregate-observed network. Because this solution is computationally intractable, we propose an approximation that enables us to verify that multilayer SBMs are more predictive of network structure in real-world complex systems.
DEFF Research Database (Denmark)
Wang, Kai; Moan, Torgeir; Hansen, Martin Otto Laver
2016-01-01
Floating vertical-axis wind turbines (FVAWTs) provide the potential for utilizing offshore wind resources in moderate and deep water because of their economical installation and maintenance. Therefore, it is important to assess the performance of the FVAWT concept. This paper presents a stochastic...... on the response is demonstrated by comparing the floating wind turbine with the equivalent land-based wind turbine. Additionally, by comparing the behaviour of FVAWTs with flexible and rigid rotors, the effect of rotor flexibility is evaluated. Furthermore, the FVAWT is also investigated in the parked condition...... dynamic response analysis of a 5MW FVAWT based on fully coupled nonlinear time domain simulations. The studied FVAWT, which is composed of a Darrieus rotor and a semi-submersible floater, is subjected to various wind and wave conditions. The global motion, structural response and mooring line tension...
International Nuclear Information System (INIS)
De Canio, G.; Ranieri, N.
2009-01-01
Shake table tests allow to assess the effectiveness of technologies for structures protection from natural events such as earthquakes. The article summarizes the remarkable results of the most significant projects. [it
On the precision of quasi steady state assumptions in stochastic dynamics
Agarwal, Animesh; Adams, Rhys; Castellani, Gastone C.; Shouval, Harel Z.
2012-07-01
Many biochemical networks have complex multidimensional dynamics and there is a long history of methods that have been used for dimensionality reduction for such reaction networks. Usually a deterministic mass action approach is used; however, in small volumes, there are significant fluctuations from the mean which the mass action approach cannot capture. In such cases stochastic simulation methods should be used. In this paper, we evaluate the applicability of one such dimensionality reduction method, the quasi-steady state approximation (QSSA) [L. Menten and M. Michaelis, "Die kinetik der invertinwirkung," Biochem. Z 49, 333369 (1913)] for dimensionality reduction in case of stochastic dynamics. First, the applicability of QSSA approach is evaluated for a canonical system of enzyme reactions. Application of QSSA to such a reaction system in a deterministic setting leads to Michaelis-Menten reduced kinetics which can be used to derive the equilibrium concentrations of the reaction species. In the case of stochastic simulations, however, the steady state is characterized by fluctuations around the mean equilibrium concentration. Our analysis shows that a QSSA based approach for dimensionality reduction captures well the mean of the distribution as obtained from a full dimensional simulation but fails to accurately capture the distribution around that mean. Moreover, the QSSA approximation is not unique. We have then extended the analysis to a simple bistable biochemical network model proposed to account for the stability of synaptic efficacies; the substrate of learning and memory [J. E. Lisman, "A mechanism of memory storage insensitive to molecular turnover: A bistable autophosphorylating kinase," Proc. Natl. Acad. Sci. U.S.A. 82, 3055-3057 (1985)], 10.1073/pnas.82.9.3055. Our analysis shows that a QSSA based dimensionality reduction method results in errors as big as two orders of magnitude in predicting the residence times in the two stable states.
International Conference on Structural Nonlinear Dynamics and Diagnosis
CSNDD 2012; CSNDD 2014
2015-01-01
This book, which presents the peer-reviewed post-proceedings of CSNDD 2012 and CSNDD 2014, addresses the important role that relevant concepts and tools from nonlinear and complex dynamics could play in present and future engineering applications. It includes 22 chapters contributed by outstanding researchers and covering various aspects of applications, including: structural health monitoring, diagnosis and damage detection, experimental methodologies, active vibration control and smart structures, passive control of structures using nonlinear energy sinks, vibro-impact dynamic MEMS/NEMS/AFM, energy-harvesting materials and structures, and time-delayed feedback control, as well as aspects of deterministic versus stochastic dynamics and control of nonlinear phenomena in physics. Researchers and engineers interested in the challenges posed and opportunities offered by nonlinearities in the development of passive and active control strategies, energy harvesting, novel design criteria, modeling and characteriz...
The Stochastic Dynamics for Ecological Tourism System with Visitor Educational Intervention
Directory of Open Access Journals (Sweden)
Dongping Wei
2013-01-01
Full Text Available The ever-increasing visitation in parks and protected areas continues to present a considerable challenge for worldwide land managers with allowing recreational use while preserving natural conditions. In China, the fast expanding visitation in protected areas is quickly damaging the natural resources and precious culture without effective visitor education, while regulation and site management are also gaining very limited efficacy. We propose a differential equation to describe the ecological tourism system. Shown by the theoretical proof and numerical simulation, the ecological tourism system is unstable without any perturbed factors, especially visitor educational intervention, because the solution of the dynamic system explodes in a finite time given any initial value. Supposing that the intrinsic increasing rate of stakeholders in the systems stochastically perturbed by the visitor educational intervention, we discover that the stochastic dynamic model can effectively suppress the explosion of the solution. As such, we demonstrate that the tourism system can develop steadily and safely even under a large amount of visitors in public vacation, when employing continuous visitor education intervention programmes.
Energy Technology Data Exchange (ETDEWEB)
Chorošajev, Vladimir [Department of Theoretical Physics, Faculty of Physics, Vilnius University, Sauletekio 9-III, 10222 Vilnius (Lithuania); Gelzinis, Andrius; Valkunas, Leonas [Department of Theoretical Physics, Faculty of Physics, Vilnius University, Sauletekio 9-III, 10222 Vilnius (Lithuania); Department of Molecular Compound Physics, Center for Physical Sciences and Technology, Sauletekio 3, 10222 Vilnius (Lithuania); Abramavicius, Darius, E-mail: darius.abramavicius@ff.vu.lt [Department of Theoretical Physics, Faculty of Physics, Vilnius University, Sauletekio 9-III, 10222 Vilnius (Lithuania)
2016-12-20
Highlights: • The Davydov ansatze can be used for finite temperature simulations with an extension. • The accuracy is high if the system is strongly coupled to the environmental phonons. • The approach can simulate time-resolved fluorescence spectra. - Abstract: Time dependent variational approach is a convenient method to characterize the excitation dynamics in molecular aggregates for different strengths of system-bath interaction a, which does not require any additional perturbative schemes. Until recently, however, this method was only applicable in zero temperature case. It has become possible to extend this method for finite temperatures with the introduction of stochastic time dependent variational approach. Here we present a comparison between this approach and the exact hierarchical equations of motion approach for describing excitation dynamics in a broad range of temperatures. We calculate electronic population evolution, absorption and auxiliary time resolved fluorescence spectra in different regimes and find that the stochastic approach shows excellent agreement with the exact approach when the system-bath coupling is sufficiently large and temperatures are high. The differences between the two methods are larger, when temperatures are lower or the system-bath coupling is small.
A Stochastic Framework for Modeling the Population Dynamics of Convective Clouds
Hagos, Samson; Feng, Zhe; Plant, Robert S.; Houze, Robert A.; Xiao, Heng
2018-02-01
A stochastic prognostic framework for modeling the population dynamics of convective clouds and representing them in climate models is proposed. The framework follows the nonequilibrium statistical mechanical approach to constructing a master equation for representing the evolution of the number of convective cells of a specific size and their associated cloud-base mass flux, given a large-scale forcing. In this framework, referred to as STOchastic framework for Modeling Population dynamics of convective clouds (STOMP), the evolution of convective cell size is predicted from three key characteristics of convective cells: (i) the probability of growth, (ii) the probability of decay, and (iii) the cloud-base mass flux. STOMP models are constructed and evaluated against CPOL radar observations at Darwin and convection permitting model (CPM) simulations. Multiple models are constructed under various assumptions regarding these three key parameters and the realisms of these models are evaluated. It is shown that in a model where convective plumes prefer to aggregate spatially and the cloud-base mass flux is a nonlinear function of convective cell area, the mass flux manifests a recharge-discharge behavior under steady forcing. Such a model also produces observed behavior of convective cell populations and CPM simulated cloud-base mass flux variability under diurnally varying forcing. In addition to its use in developing understanding of convection processes and the controls on convective cell size distributions, this modeling framework is also designed to serve as a nonequilibrium closure formulations for spectral mass flux parameterizations.
Stochastic sampling of the RNA structural alignment space.
Harmanci, Arif Ozgun; Sharma, Gaurav; Mathews, David H
2009-07-01
A novel method is presented for predicting the common secondary structures and alignment of two homologous RNA sequences by sampling the 'structural alignment' space, i.e. the joint space of their alignments and common secondary structures. The structural alignment space is sampled according to a pseudo-Boltzmann distribution based on a pseudo-free energy change that combines base pairing probabilities from a thermodynamic model and alignment probabilities from a hidden Markov model. By virtue of the implicit comparative analysis between the two sequences, the method offers an improvement over single sequence sampling of the Boltzmann ensemble. A cluster analysis shows that the samples obtained from joint sampling of the structural alignment space cluster more closely than samples generated by the single sequence method. On average, the representative (centroid) structure and alignment of the most populated cluster in the sample of structures and alignments generated by joint sampling are more accurate than single sequence sampling and alignment based on sequence alone, respectively. The 'best' centroid structure that is closest to the known structure among all the centroids is, on average, more accurate than structure predictions of other methods. Additionally, cluster analysis identifies, on average, a few clusters, whose centroids can be presented as alternative candidates. The source code for the proposed method can be downloaded at http://rna.urmc.rochester.edu.
Viñuelas, José; Kaneko, Gaël; Coulon, Antoine; Vallin, Elodie; Morin, Valérie; Mejia-Pous, Camila; Kupiec, Jean-Jacques; Beslon, Guillaume; Gandrillon, Olivier
2013-02-25
A number of studies have established that stochasticity in gene expression may play an important role in many biological phenomena. This therefore calls for further investigations to identify the molecular mechanisms at stake, in order to understand and manipulate cell-to-cell variability. In this work, we explored the role played by chromatin dynamics in the regulation of stochastic gene expression in higher eukaryotic cells. For this purpose, we generated isogenic chicken-cell populations expressing a fluorescent reporter integrated in one copy per clone. Although the clones differed only in the genetic locus at which the reporter was inserted, they showed markedly different fluorescence distributions, revealing different levels of stochastic gene expression. Use of chromatin-modifying agents showed that direct manipulation of chromatin dynamics had a marked effect on the extent of stochastic gene expression. To better understand the molecular mechanism involved in these phenomena, we fitted these data to a two-state model describing the opening/closing process of the chromatin. We found that the differences between clones seemed to be due mainly to the duration of the closed state, and that the agents we used mainly seem to act on the opening probability. In this study, we report biological experiments combined with computational modeling, highlighting the importance of chromatin dynamics in stochastic gene expression. This work sheds a new light on the mechanisms of gene expression in higher eukaryotic cells, and argues in favor of relatively slow dynamics with long (hours to days) periods of quiet state.
Structure, entanglements and dynamics of polymer nanocomposites containing spherical nanoparticles
International Nuclear Information System (INIS)
Karatrantos, A; Clarke, N; Composto, R J; Winey, K I
2014-01-01
We investigate the effect of nanoparticles on polymer structure, nanoparticle dynamics and topological constraints (entanglements) in polymer melts for nanoparticle loading above percolation threshold as high as 40.9% using stochastic molecular dynamics (MD) simulations. An increase in the number of entanglements (decrease of N e with 40.9% volume fraction of nanoparticles dispersed in the polymer matrix) in the nanocomposites is observed as evidenced by larger contour lengths of the primitive paths. Attraction between polymers and nanoparticles affects the entanglements in the nanocomposites and alters the primitive path. The diffusivity of small sized nanoparticles deviates significantly from the Stokes- Einstein relation
Schilde, M; Doerner, K F; Hartl, R F
2014-10-01
In urban areas, logistic transportation operations often run into problems because travel speeds change, depending on the current traffic situation. If not accounted for, time-dependent and stochastic travel speeds frequently lead to missed time windows and thus poorer service. Especially in the case of passenger transportation, it often leads to excessive passenger ride times as well. Therefore, time-dependent and stochastic influences on travel speeds are relevant for finding feasible and reliable solutions. This study considers the effect of exploiting statistical information available about historical accidents, using stochastic solution approaches for the dynamic dial-a-ride problem (dynamic DARP). The authors propose two pairs of metaheuristic solution approaches, each consisting of a deterministic method (average time-dependent travel speeds for planning) and its corresponding stochastic version (exploiting stochastic information while planning). The results, using test instances with up to 762 requests based on a real-world road network, show that in certain conditions, exploiting stochastic information about travel speeds leads to significant improvements over deterministic approaches.
DEFF Research Database (Denmark)
Tsakalidis, Konstantinos
multi-versioned indexing database. We ﬁrst present a generic method for making data structures fully persistent in external memory. This method can render any database multi-versioned, as long as its implementation abides by our assumptions. We obtain the result by presenting an implementation of B...
Theory on the Coupled Stochastic Dynamics of Transcription and Splice-Site Recognition
Murugan, Rajamanickam; Kreiman, Gabriel
2012-01-01
Eukaryotic genes are typically split into exons that need to be spliced together to form the mature mRNA. The splicing process depends on the dynamics and interactions among transcription by the RNA polymerase II complex (RNAPII) and the spliceosomal complex consisting of multiple small nuclear ribonucleo proteins (snRNPs). Here we propose a biophysically plausible initial theory of splicing that aims to explain the effects of the stochastic dynamics of snRNPs on the splicing patterns of eukaryotic genes. We consider two different ways to model the dynamics of snRNPs: pure three-dimensional diffusion and a combination of three- and one-dimensional diffusion along the emerging pre-mRNA. Our theoretical analysis shows that there exists an optimum position of the splice sites on the growing pre-mRNA at which the time required for snRNPs to find the 5′ donor site is minimized. The minimization of the overall search time is achieved mainly via the increase in non-specific interactions between the snRNPs and the growing pre-mRNA. The theory further predicts that there exists an optimum transcript length that maximizes the probabilities for exons to interact with the snRNPs. We evaluate these theoretical predictions by considering human and mouse exon microarray data as well as RNAseq data from multiple different tissues. We observe that there is a broad optimum position of splice sites on the growing pre-mRNA and an optimum transcript length, which are roughly consistent with the theoretical predictions. The theoretical and experimental analyses suggest that there is a strong interaction between the dynamics of RNAPII and the stochastic nature of snRNP search for 5′ donor splicing sites. PMID:23133354
Theory on the coupled stochastic dynamics of transcription and splice-site recognition.
Directory of Open Access Journals (Sweden)
Rajamanickam Murugan
Full Text Available Eukaryotic genes are typically split into exons that need to be spliced together to form the mature mRNA. The splicing process depends on the dynamics and interactions among transcription by the RNA polymerase II complex (RNAPII and the spliceosomal complex consisting of multiple small nuclear ribonucleo proteins (snRNPs. Here we propose a biophysically plausible initial theory of splicing that aims to explain the effects of the stochastic dynamics of snRNPs on the splicing patterns of eukaryotic genes. We consider two different ways to model the dynamics of snRNPs: pure three-dimensional diffusion and a combination of three- and one-dimensional diffusion along the emerging pre-mRNA. Our theoretical analysis shows that there exists an optimum position of the splice sites on the growing pre-mRNA at which the time required for snRNPs to find the 5' donor site is minimized. The minimization of the overall search time is achieved mainly via the increase in non-specific interactions between the snRNPs and the growing pre-mRNA. The theory further predicts that there exists an optimum transcript length that maximizes the probabilities for exons to interact with the snRNPs. We evaluate these theoretical predictions by considering human and mouse exon microarray data as well as RNAseq data from multiple different tissues. We observe that there is a broad optimum position of splice sites on the growing pre-mRNA and an optimum transcript length, which are roughly consistent with the theoretical predictions. The theoretical and experimental analyses suggest that there is a strong interaction between the dynamics of RNAPII and the stochastic nature of snRNP search for 5' donor splicing sites.
Cantat, Isabelle; Graner, François; Pitois, Olivier; Höhler, Reinard; Elias, Florence; Saint-Jalmes, Arnaud; Rouyer, Florence
2013-01-01
This book is the first to provide a thorough description of all aspects of the physico-chemical properties of foams. It sets out what is known about their structure, their stability, and their rheology. Engineers, researchers and students will find descriptions of all the key concepts, illustrated by numerous applications, as well as experiments and exercises for the reader. A solutions manual for lecturers is available via the publisher's web site.
Reliability estimation of structures under stochastic loading—A case study on nuclear piping
International Nuclear Information System (INIS)
Hari Prasad, M.; Rami Reddy, G.; Dubey, P.N.; Srividya, A.; Verma, A.K.
2013-01-01
Highlights: ► Structures are generally subjected to different types of loadings. ► One such type of loading is random sequence and has been treated as a stochastic fatigue loading. ► In this methodology both stress amplitude and number of cycles to failure have been considered as random variables. ► The methodology has been demonstrated with a case study on nuclear piping. ► The failure probability of piping has been estimated as a function of time. - Abstract: Generally structures are subjected to different types of loadings throughout their life time. These loads can be either discrete in nature or continuous in nature and also these can be either stationary or non stationary processes. This means that the structural reliability analysis not only considers random variables but also considers random variables which are functions of time, referred to as stochastic processes. A stochastic process can be viewed as a family of random variables. When a structure is subjected to a random loading, based on the stresses developed in the structure and failure criteria the failure probability can be estimated. In practice the structures are designed with higher factor of safety to take care of such random loads. In such cases the structure will fail only when the random loads are cyclic in nature. In traditional reliability analysis, the variation in the load is treated as a random variable and to account for the number of occurrences of the loading the concept of extreme value theory is used. But with this method one is neglecting the damage accumulation that will take place from one loading to another loading. Hence, in this paper, a new way of dealing with these types of problems has been discussed by using the concept of stochastic fatigue loading. The random loading has been considered as earthquake loading. The methodology has been demonstrated with a case study on nuclear power plant piping.
Stochasticity in the Josephson map
International Nuclear Information System (INIS)
Nomura, Y.; Ichikawa, Y.H.; Filippov, A.T.
1996-04-01
The Josephson map describes nonlinear dynamics of systems characterized by standard map with the uniform external bias superposed. The intricate structures of the phase space portrait of the Josephson map are examined on the basis of the tangent map associated with the Josephson map. Numerical observation of the stochastic diffusion in the Josephson map is examined in comparison with the renormalized diffusion coefficient calculated by the method of characteristic function. The global stochasticity of the Josephson map occurs at the values of far smaller stochastic parameter than the case of the standard map. (author)
Threshold Dynamics of a Stochastic Chemostat Model with Two Nutrients and One Microorganism
Directory of Open Access Journals (Sweden)
Jian Zhang
2017-01-01
Full Text Available A new stochastic chemostat model with two substitutable nutrients and one microorganism is proposed and investigated. Firstly, for the corresponding deterministic model, the threshold for extinction and permanence of the microorganism is obtained by analyzing the stability of the equilibria. Then, for the stochastic model, the threshold of the stochastic chemostat for extinction and permanence of the microorganism is explored. Difference of the threshold of the deterministic model and the stochastic model shows that a large stochastic disturbance can affect the persistence of the microorganism and is harmful to the cultivation of the microorganism. To illustrate this phenomenon, we give some computer simulations with different intensity of stochastic noise disturbance.
Dynamic UAV-based traffic monitoring under uncertainty as a stochastic arc-inventory routing policy
Directory of Open Access Journals (Sweden)
Joseph Y.J. Chow
2016-10-01
Full Text Available Given the rapid advances in unmanned aerial vehicles, or drones, and increasing need to monitor at a city level, one of the current research gaps is how to systematically deploy drones over multiple periods. We propose a real-time data-driven approach: we formulate the first deterministic arc-inventory routing problem and derive its stochastic dynamic policy. The policy is expected to be of greatest value in scenarios where uncertainty is highest and costliest, such as city monitoring during major events. The Bellman equation for an approximation of the proposed inventory routing policy is formulated as a selective vehicle routing problem. We propose an approximate dynamic programming algorithm based on Least Squares Monte Carlo simulation to find that policy. The algorithm has been modified so that the least squares dependent variable is defined to be the “expected stock out cost upon the next replenishment”. The new algorithm is tested on 30 simulated instances of real time trajectories over 5 time periods of the selective vehicle routing problem to evaluate the proposed policy and algorithm. Computational results on the selected instances show that the algorithm on average outperforms the myopic policy by 23–28%, depending on the parametric design. Further tests are conducted on classic benchmark arc routing problem instances. The 11-link instance gdb19 (Golden et al., 1983 is expanded into a sequential 15-period stochastic dynamic example and used to demonstrate why a naïve static multi-period deployment plan would not be effective in real networks.
Stochastic Geometric Network Models for Groups of Functional and Structural Connectomes
Friedman, Eric J.; Landsberg, Adam S.; Owen, Julia P.; Li, Yi-Ou; Mukherjee, Pratik
2014-01-01
Structural and functional connectomes are emerging as important instruments in the study of normal brain function and in the development of new biomarkers for a variety of brain disorders. In contrast to single-network studies that presently dominate the (non-connectome) network literature, connectome analyses typically examine groups of empirical networks and then compare these against standard (stochastic) network models. Current practice in connectome studies is to employ stochastic network models derived from social science and engineering contexts as the basis for the comparison. However, these are not necessarily best suited for the analysis of connectomes, which often contain groups of very closely related networks, such as occurs with a set of controls or a set of patients with a specific disorder. This paper studies important extensions of standard stochastic models that make them better adapted for analysis of connectomes, and develops new statistical fitting methodologies that account for inter-subject variations. The extensions explicitly incorporate geometric information about a network based on distances and inter/intra hemispherical asymmetries (to supplement ordinary degree-distribution information), and utilize a stochastic choice of networks' density levels (for fixed threshold networks) to better capture the variance in average connectivity among subjects. The new statistical tools introduced here allow one to compare groups of networks by matching both their average characteristics and the variations among them. A notable finding is that connectomes have high “smallworldness” beyond that arising from geometric and degree considerations alone. PMID:25067815
Viswanath, Shruthi; Chemmama, Ilan E; Cimermancic, Peter; Sali, Andrej
2017-12-05
Modeling of macromolecular structures involves structural sampling guided by a scoring function, resulting in an ensemble of good-scoring models. By necessity, the sampling is often stochastic, and must be exhaustive at a precision sufficient for accurate modeling and assessment of model uncertainty. Therefore, the very first step in analyzing the ensemble is an estimation of the highest precision at which the sampling is exhaustive. Here, we present an objective and automated method for this task. As a proxy for sampling exhaustiveness, we evaluate whether two independently and stochastically generated sets of models are sufficiently similar. The protocol includes testing 1) convergence of the model score, 2) whether model scores for the two samples were drawn from the same parent distribution, 3) whether each structural cluster includes models from each sample proportionally to its size, and 4) whether there is sufficient structural similarity between the two model samples in each cluster. The evaluation also provides the sampling precision, defined as the smallest clustering threshold that satisfies the third, most stringent test. We validate the protocol with the aid of enumerated good-scoring models for five illustrative cases of binary protein complexes. Passing the proposed four tests is necessary, but not sufficient for thorough sampling. The protocol is general in nature and can be applied to the stochastic sampling of any set of models, not just structural models. In addition, the tests can be used to stop stochastic sampling as soon as exhaustiveness at desired precision is reached, thereby improving sampling efficiency; they may also help in selecting a model representation that is sufficiently detailed to be informative, yet also sufficiently coarse for sampling to be exhaustive. Copyright © 2017 Biophysical Society. Published by Elsevier Inc. All rights reserved.
Stochastic Dynamics of a Time-Delayed Ecosystem Driven by Poisson White Noise Excitation
Directory of Open Access Journals (Sweden)
Wantao Jia
2018-02-01
Full Text Available We investigate the stochastic dynamics of a prey-predator type ecosystem with time delay and the discrete random environmental fluctuations. In this model, the delay effect is represented by a time delay parameter and the effect of the environmental randomness is modeled as Poisson white noise. The stochastic averaging method and the perturbation method are applied to calculate the approximate stationary probability density functions for both predator and prey populations. The influences of system parameters and the Poisson white noises are investigated in detail based on the approximate stationary probability density functions. It is found that, increasing time delay parameter as well as the mean arrival rate and the variance of the amplitude of the Poisson white noise will enhance the fluctuations of the prey and predator population. While the larger value of self-competition parameter will reduce the fluctuation of the system. Furthermore, the results from Monte Carlo simulation are also obtained to show the effectiveness of the results from averaging method.
A stochastic fractional dynamics model of space-time variability of rain
Kundu, Prasun K.; Travis, James E.
2013-09-01
varies in space and time in a highly irregular manner and is described naturally in terms of a stochastic process. A characteristic feature of rainfall statistics is that they depend strongly on the space-time scales over which rain data are averaged. A spectral model of precipitation has been developed based on a stochastic differential equation of fractional order for the point rain rate, which allows a concise description of the second moment statistics of rain at any prescribed space-time averaging scale. The model is thus capable of providing a unified description of the statistics of both radar and rain gauge data. The underlying dynamical equation can be expressed in terms of space-time derivatives of fractional orders that are adjusted together with other model parameters to fit the data. The form of the resulting spectrum gives the model adequate flexibility to capture the subtle interplay between the spatial and temporal scales of variability of rain but strongly constrains the predicted statistical behavior as a function of the averaging length and time scales. We test the model with radar and gauge data collected contemporaneously at the NASA TRMM ground validation sites located near Melbourne, Florida and on the Kwajalein Atoll, Marshall Islands in the tropical Pacific. We estimate the parameters by tuning them to fit the second moment statistics of radar data at the smaller spatiotemporal scales. The model predictions are then found to fit the second moment statistics of the gauge data reasonably well at these scales without any further adjustment.
International Nuclear Information System (INIS)
Yan-Mei, Kang; Yao-Lin, Jiang
2008-01-01
To explore the influence of anomalous diffusion on stochastic resonance (SR) more deeply and effectively, the method of moments is extended to subdiffusive overdamped bistable fractional Fokker-Planck systems for calculating the long-time linear dynamic response. It is found that the method of moments attains high accuracy with the truncation order N = 10, and in normal diffusion such obtained spectral amplification factor (SAF) of the first-order harmonic is also confirmed by stochastic simulation. Observing the SAF of the odd-order harmonics we find some interesting results, i.e. for smaller driving frequency the decrease of sub diffusion exponent inhibits the stochastic resonance (SR), while for larger driving frequency the decrease of sub diffusion exponent enhances the second SR peak, but the first one vanishes and a double SR is induced in the third-order harmonic at the same time. These observations suggest that the anomalous diffusion has important influence on the bistable dynamics
Coherent structures and dynamical systems
Jimenez, Javier
1987-01-01
Any flow of a viscous fluid has a finite number of degrees of freedom, and can therefore be seen as a dynamical system. A coherent structure can be thought of as a lower dimensional manifold in whose neighborhood the dynamical system spends a substantial fraction of its time. If such a manifold exists, and if its dimensionality is substantially lower that that of the full flow, it is conceivable that the flow could be described in terms of the reduced set of degrees of freedom, and that such a description would be simpler than one in which the existence of structure was not recognized. Several examples are briefly summarized.
International Nuclear Information System (INIS)
Wu, Wei; Wang, Jin
2014-01-01
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
Optimal Linear Responses for Markov Chains and Stochastically Perturbed Dynamical Systems
Antown, Fadi; Dragičević, Davor; Froyland, Gary
2018-03-01
The linear response of a dynamical system refers to changes to properties of the system when small external perturbations are applied. We consider the little-studied question of selecting an optimal perturbation so as to (i) maximise the linear response of the equilibrium distribution of the system, (ii) maximise the linear response of the expectation of a specified observable, and (iii) maximise the linear response of the rate of convergence of the system to the equilibrium distribution. We also consider the inhomogeneous, sequential, or time-dependent situation where the governing dynamics is not stationary and one wishes to select a sequence of small perturbations so as to maximise the overall linear response at some terminal time. We develop the theory for finite-state Markov chains, provide explicit solutions for some illustrative examples, and numerically apply our theory to stochastically perturbed dynamical systems, where the Markov chain is replaced by a matrix representation of an approximate annealed transfer operator for the random dynamical system.
International Nuclear Information System (INIS)
Zhu, Zhi-Wen; Zhang, Qing-Xin; Xu, Jia
2014-01-01
A kind of shape memory alloy (SMA) hysteretic nonlinear model was developed, and the nonlinear dynamics and bifurcation characteristics of the SMA thin film subjected to in-plane stochastic excitation were investigated. Van der Pol difference item was introduced to describe the hysteretic phenomena of the SMA strain–stress curves, and the nonlinear dynamic model of the SMA thin film subjected to in-plane stochastic excitation was developed. The conditions of global stochastic stability of the system were determined in singular boundary theory, and the probability density function of the system response was obtained. Finally, the conditions of stochastic Hopf bifurcation were analyzed. The results of theoretical analysis and numerical simulation indicate that self-excited vibration is induced by the hysteretic nonlinear characteristics of SMA, and stochastic Hopf bifurcation appears when the bifurcation parameter was changed; there are two limit cycles in the stationary probability density of the dynamic response of the system in some cases, which means that there are two vibration amplitudes whose probabilities are both very high, and jumping phenomena between the two vibration amplitudes appear with the change in conditions. The results obtained in this current paper are helpful for the application of the SMA thin film in stochastic vibration fields. - Highlights: • Hysteretic nonlinear model of shape memory alloy was developed. • Van der Pol item was introduced to interpret hysteretic strain–stress curves. • Nonlinear dynamic characteristics of the shape memory alloy film were analyzed. • Jumping phenomena were observed in the change of the parameters
Stochastic demography and the neutral substitution rate in class-structured populations.
Lehmann, Laurent
2014-05-01
The neutral rate of allelic substitution is analyzed for a class-structured population subject to a stationary stochastic demographic process. The substitution rate is shown to be generally equal to the effective mutation rate, and under overlapping generations it can be expressed as the effective mutation rate in newborns when measured in units of average generation time. With uniform mutation rate across classes the substitution rate reduces to the mutation rate.
Relating structure and dynamics in organisation models
Jonkers, C.M.; Treur, J.
2002-01-01
To understand how an organisational structure relates to dynamics is an interesting fundamental challenge in the area of social modelling. Specifications of organisational structure usually have a diagrammatic form that abstracts from more detailed dynamics. Dynamic properties of agent systems,
Stochastic Dynamic Programming for Three-Echelon Inventory System of Limited Shelf Life Products
Directory of Open Access Journals (Sweden)
Galal Noha M.
2016-01-01
Full Text Available Coordination of inventory decisions within the supply chain is one of the major determinants of its competitiveness in the global market. Products with limited shelf life impose additional challenges in managing the inventory across the supply chain because of the additional wastage costs incurred in case of being stored beyond product’s useful life. This paper presents a stochastic dynamic programming model for inventory replenishment in a serial multi-echelon distribution supply chain. The model considers uncertain stationary discrete demand at the retailer and zero lead time. The objective is to minimize expected total costs across the supply chain echelons, while maintaining a preset service level. The results illustrate that a cost saving of around 17% is achievable due to coordinating inventory decisions across the supply chain.
Druce, Donald J.
1990-01-01
A monthly stochastic dynamic programing model was recently developed and implemented at British Columbia (B.C.) Hydro to provide decision support for short-term energy exports and, if necessary, for flood control on the Peace River in northern British Columbia. The model establishes the marginal cost of supplying energy from the B.C. Hydro system, as well as a monthly operating policy for the G.M. Shrum and Peace Canyon hydroelectric plants and the Williston Lake storage reservoir. A simulation model capable of following the operating policy then determines the probability of refilling Williston Lake and possible spill rates and volumes. Reservoir inflows are input to both models in daily and monthly formats. The results indicate that flood control can be accommodated without sacrificing significant export revenue.
Energy Technology Data Exchange (ETDEWEB)
Druce, D.J. (British Columbia Hydro and Power Authority, Vancouver, British Columbia (Canada))
1990-01-01
A monthly stochastic dynamic programing model was recently developed and implemented at British Columbia (B.C.) Hydro to provide decision support for short-term energy exports and, if necessary, for flood control on the Peace River in northern British Columbia. The model established the marginal cost of supplying energy from the B.C. Hydro system, as well as a monthly operating policy for the G.M. Shrum and Peace Canyon hydroelectric plants and the Williston Lake storage reservoir. A simulation model capable of following the operating policy then determines the probability of refilling Williston Lake and possible spill rates and volumes. Reservoir inflows are input to both models in daily and monthly formats. The results indicate that flood control can be accommodated without sacrificing significant export revenue.
Stochastic dynamical model of a growing citation network based on a self-exciting point process.
Golosovsky, Michael; Solomon, Sorin
2012-08-31
We put under experimental scrutiny the preferential attachment model that is commonly accepted as a generating mechanism of the scale-free complex networks. To this end we chose a citation network of physics papers and traced the citation history of 40,195 papers published in one year. Contrary to common belief, we find that the citation dynamics of the individual papers follows the superlinear preferential attachment, with the exponent α=1.25-1.3. Moreover, we show that the citation process cannot be described as a memoryless Markov chain since there is a substantial correlation between the present and recent citation rates of a paper. Based on our findings we construct a stochastic growth model of the citation network, perform numerical simulations based on this model and achieve an excellent agreement with the measured citation distributions.
DEFF Research Database (Denmark)
Davidsen, Claus; Liu, Suxia; Mo, Xingguo
2015-01-01
Few studies address water quality in hydro-economic models, which often focus primarily on optimal allocation of water quantities. Water quality and water quantity are closely coupled, and optimal management with focus solely on either quantity or quality may cause large costs in terms of the oth......-er component. In this study, we couple water quality and water quantity in a joint hydro-economic catchment-scale optimization problem. Stochastic dynamic programming (SDP) is used to minimize the basin-wide total costs arising from water allocation, water curtailment and water treatment. The simple water...... quality module can handle conservative pollutants, first order depletion and non-linear reactions. For demonstration purposes, we model pollutant releases as biochemical oxygen demand (BOD) and use the Streeter-Phelps equation for oxygen deficit to compute the resulting min-imum dissolved oxygen...
Stochastic two-delay differential model of delayed visual feedback effects on postural dynamics.
Boulet, Jason; Balasubramaniam, Ramesh; Daffertshofer, Andreas; Longtin, André
2010-01-28
We report on experiments and modelling involving the 'visuo-postural control loop' in the upright stance. We experimentally manipulated an artificial delay to the visual feedback during standing, presented at delays ranging from 0 to 1 s in increments of 250 ms. Using stochastic delay differential equations, we explicitly modelled the centre-of-pressure (COP) and centre-of-mass (COM) dynamics with two independent delay terms for vision and proprioception. A novel 'drifting fixed point' hypothesis was used to describe the fluctuations of the COM with the COP being modelled as a faster, corrective process of the COM. The model was in good agreement with the data in terms of probability density functions, power spectral densities, short- and long-term correlations (Hurst exponents) as well the critical time between the two ranges. This journal is © 2010 The Royal Society
Limit theorems for Markov chains and stochastic properties of dynamical systems by quasi-compactness
Hervé, Loïc
2001-01-01
This book shows how techniques from the perturbation theory of operators, applied to a quasi-compact positive kernel, may be used to obtain limit theorems for Markov chains or to describe stochastic properties of dynamical systems. A general framework for this method is given and then applied to treat several specific cases. An essential element of this work is the description of the peripheral spectra of a quasi-compact Markov kernel and of its Fourier-Laplace perturbations. This is first done in the ergodic but non-mixing case. This work is extended by the second author to the non-ergodic case. The only prerequisites for this book are a knowledge of the basic techniques of probability theory and of notions of elementary functional analysis.
Stochastic Predator-Prey Dynamics of Transposons in the Human Genome
Xue, Chi; Goldenfeld, Nigel
2016-11-01
Transposable elements, or transposons, are DNA sequences that can jump from site to site in the genome during the life cycle of a cell, usually encoding the very enzymes which perform their excision. However, some transposons are parasitic, relying on the enzymes produced by the regular transposons. In this case, we show that a stochastic model, which takes into account the small copy numbers of the active transposons in a cell, predicts noise-induced predator-prey oscillations with a characteristic time scale that is much longer than the cell replication time, indicating that the state of the predator-prey oscillator is stored in the genome and transmitted to successive generations. Our work demonstrates the important role of the number fluctuations in the expression of mobile genetic elements, and shows explicitly how ecological concepts can be applied to the dynamics and fluctuations of living genomes.
Static and Dynamic Membrane Structures
Directory of Open Access Journals (Sweden)
Sergiu Ivanov
2012-10-01
Full Text Available While originally P systems were defined to contain multiset rewriting rules, it turned out that considering different types of rules may produce important results, such as increasing the computational power of the rules. This paper focuses on factoring out the concept of a membrane structure out of various P system models with the goal of providing useful formalisations. Both static and dynamic membrane structures are considered.
International Nuclear Information System (INIS)
Luhur, M.R.
2014-01-01
This contribution provides the development of a stochastic lift and drag model for an airfoil FX 79-W-151A under unsteady wind inflow based on wind tunnel measurements. Here we present the integration of the stochastic model into a well-known standard BEM (Blade Element Momentum) model to obtain the corresponding aerodynamic forces on a rotating blade element. The stochastic model is integrated as an alternative to static tabulated data used by classical BEM. The results show that in comparison to classical BEM, the BEM with stochastic approach additionally reflects the local force dynamics and therefore provides more information on aerodynamic forces that can be used by wind turbine simulation codes. (author)
Directory of Open Access Journals (Sweden)
Muhammad Ramzan Luhur
2014-01-01
Full Text Available This contribution provides the development of a stochastic lift and drag model for an airfoil FX 79-W-151A under unsteady wind inflow based on wind tunnel measurements. Here we present the integration of the stochastic model into a well-known standard BEM (Blade Element Momentum model to obtain the corresponding aerodynamic forces on a rotating blade element. The stochastic model is integrated as an alternative to static tabulated data used by classical BEM. The results show that in comparison to classical BEM, the BEM with stochastic approach additionally reflects the local force dynamics and therefore provides more information on aerodynamic forces that can be used by wind turbine simulation codes
Tarim, S.A.; Ozen, U.; Dogru, M.K.; Rossi, R.
2011-01-01
We provide an efficient computational approach to solve the mixed integer programming (MIP) model developed by Tarim and Kingsman [8] for solving a stochastic lot-sizing problem with service level constraints under the static–dynamic uncertainty strategy. The effectiveness of the proposed method
Nonparametric inference of network structure and dynamics
Peixoto, Tiago P.
The network structure of complex systems determine their function and serve as evidence for the evolutionary mechanisms that lie behind them. Despite considerable effort in recent years, it remains an open challenge to formulate general descriptions of the large-scale structure of network systems, and how to reliably extract such information from data. Although many approaches have been proposed, few methods attempt to gauge the statistical significance of the uncovered structures, and hence the majority cannot reliably separate actual structure from stochastic fluctuations. Due to the sheer size and high-dimensionality of many networks, this represents a major limitation that prevents meaningful interpretations of the results obtained with such nonstatistical methods. In this talk, I will show how these issues can be tackled in a principled and efficient fashion by formulating appropriate generative models of network structure that can have their parameters inferred from data. By employing a Bayesian description of such models, the inference can be performed in a nonparametric fashion, that does not require any a priori knowledge or ad hoc assumptions about the data. I will show how this approach can be used to perform model comparison, and how hierarchical models yield the most appropriate trade-off between model complexity and quality of fit based on the statistical evidence present in the data. I will also show how this general approach can be elegantly extended to networks with edge attributes, that are embedded in latent spaces, and that change in time. The latter is obtained via a fully dynamic generative network model, based on arbitrary-order Markov chains, that can also be inferred in a nonparametric fashion. Throughout the talk I will illustrate the application of the methods with many empirical networks such as the internet at the autonomous systems level, the global airport network, the network of actors and films, social networks, citations among
Energy Technology Data Exchange (ETDEWEB)
Zhang, Xiaodong, E-mail: xiaodong.zhang@beg.utexas.edu [Bureau of Economic Geology, Jackson School of Geosciences, The University of Texas at Austin, Austin, TX 78713 (United States); Huang, Gordon [Institute of Energy, Environment and Sustainable Communities, University of Regina, Regina, Saskatchewan S4S 0A2 (Canada)
2013-02-15
Highlights: ► A dynamic stochastic possibilistic multiobjective programming model is developed. ► Greenhouse gas emission control is considered. ► Three planning scenarios are analyzed and compared. ► Optimal decision schemes under three scenarios and different p{sub i} levels are obtained. ► Tradeoffs between economics and environment are reflected. -- Abstract: Greenhouse gas (GHG) emissions from municipal solid waste (MSW) management facilities have become a serious environmental issue. In MSW management, not only economic objectives but also environmental objectives should be considered simultaneously. In this study, a dynamic stochastic possibilistic multiobjective programming (DSPMP) model is developed for supporting MSW management and associated GHG emission control. The DSPMP model improves upon the existing waste management optimization methods through incorporation of fuzzy possibilistic programming and chance-constrained programming into a general mixed-integer multiobjective linear programming (MOP) framework where various uncertainties expressed as fuzzy possibility distributions and probability distributions can be effectively reflected. Two conflicting objectives are integrally considered, including minimization of total system cost and minimization of total GHG emissions from waste management facilities. Three planning scenarios are analyzed and compared, representing different preferences of the decision makers for economic development and environmental-impact (i.e. GHG-emission) issues in integrated MSW management. Optimal decision schemes under three scenarios and different p{sub i} levels (representing the probability that the constraints would be violated) are generated for planning waste flow allocation and facility capacity expansions as well as GHG emission control. The results indicate that economic and environmental tradeoffs can be effectively reflected through the proposed DSPMP model. The generated decision variables can help
Structural system identification: Structural dynamics model validation
Energy Technology Data Exchange (ETDEWEB)
Red-Horse, J.R.
1997-04-01
Structural system identification is concerned with the development of systematic procedures and tools for developing predictive analytical models based on a physical structure`s dynamic response characteristics. It is a multidisciplinary process that involves the ability (1) to define high fidelity physics-based analysis models, (2) to acquire accurate test-derived information for physical specimens using diagnostic experiments, (3) to validate the numerical simulation model by reconciling differences that inevitably exist between the analysis model and the experimental data, and (4) to quantify uncertainties in the final system models and subsequent numerical simulations. The goal of this project was to develop structural system identification techniques and software suitable for both research and production applications in code and model validation.
Analysis of Nonlinear Dynamic Structures
African Journals Online (AJOL)
Bheema
work a two degrees of freedom nonlinear system with zero memory was ... FRF is the most widely used method in structural dynamics which gives information about the ..... 3.6, which is the waterfall diagram of the same response, as well.
Directory of Open Access Journals (Sweden)
J. Song
2016-05-01
Full Text Available Urban land–atmosphere interactions can be captured by numerical modeling framework with coupled land surface and atmospheric processes, while the model performance depends largely on accurate input parameters. In this study, we use an advanced stochastic approach to quantify parameter uncertainty and model sensitivity of a coupled numerical framework for urban land–atmosphere interactions. It is found that the development of urban boundary layer is highly sensitive to surface characteristics of built terrains. Changes of both urban land use and geometry impose significant impact on the overlying urban boundary layer dynamics through modification on bottom boundary conditions, i.e., by altering surface energy partitioning and surface aerodynamic resistance, respectively. Hydrothermal properties of conventional and green roofs have different impacts on atmospheric dynamics due to different surface energy partitioning mechanisms. Urban geometry (represented by the canyon aspect ratio, however, has a significant nonlinear impact on boundary layer structure and temperature. Besides, managing rooftop roughness provides an alternative option to change the boundary layer thermal state through modification of the vertical turbulent transport. The sensitivity analysis deepens our insight into the fundamental physics of urban land–atmosphere interactions and provides useful guidance for urban planning under challenges of changing climate and continuous global urbanization.
Uncertainty Aware Structural Topology Optimization Via a Stochastic Reduced Order Model Approach
Aguilo, Miguel A.; Warner, James E.
2017-01-01
This work presents a stochastic reduced order modeling strategy for the quantification and propagation of uncertainties in topology optimization. Uncertainty aware optimization problems can be computationally complex due to the substantial number of model evaluations that are necessary to accurately quantify and propagate uncertainties. This computational complexity is greatly magnified if a high-fidelity, physics-based numerical model is used for the topology optimization calculations. Stochastic reduced order model (SROM) methods are applied here to effectively 1) alleviate the prohibitive computational cost associated with an uncertainty aware topology optimization problem; and 2) quantify and propagate the inherent uncertainties due to design imperfections. A generic SROM framework that transforms the uncertainty aware, stochastic topology optimization problem into a deterministic optimization problem that relies only on independent calls to a deterministic numerical model is presented. This approach facilitates the use of existing optimization and modeling tools to accurately solve the uncertainty aware topology optimization problems in a fraction of the computational demand required by Monte Carlo methods. Finally, an example in structural topology optimization is presented to demonstrate the effectiveness of the proposed uncertainty aware structural topology optimization approach.
Sakellariou, J. S.; Fassois, S. D.
2006-11-01
A stochastic output error (OE) vibration-based methodology for damage detection and assessment (localization and quantification) in structures under earthquake excitation is introduced. The methodology is intended for assessing the state of a structure following potential damage occurrence by exploiting vibration signal measurements produced by low-level earthquake excitations. It is based upon (a) stochastic OE model identification, (b) statistical hypothesis testing procedures for damage detection, and (c) a geometric method (GM) for damage assessment. The methodology's advantages include the effective use of the non-stationary and limited duration earthquake excitation, the handling of stochastic uncertainties, the tackling of the damage localization and quantification subproblems, the use of "small" size, simple and partial (in both the spatial and frequency bandwidth senses) identified OE-type models, and the use of a minimal number of measured vibration signals. Its feasibility and effectiveness are assessed via Monte Carlo experiments employing a simple simulation model of a 6 storey building. It is demonstrated that damage levels of 5% and 20% reduction in a storey's stiffness characteristics may be properly detected and assessed using noise-corrupted vibration signals.
Fiore, Andrew M.; Swan, James W.
2018-01-01
equations of motion leads to a stochastic differential algebraic equation (SDAE) of index 1, which is integrated forward in time using a mid-point integration scheme that implicitly produces stochastic displacements consistent with the fluctuation-dissipation theorem for the constrained system. Calculations for hard sphere dispersions are illustrated and used to explore the performance of the algorithm. An open source, high-performance implementation on graphics processing units capable of dynamic simulations of millions of particles and integrated with the software package HOOMD-blue is used for benchmarking and made freely available in the supplementary material (ftp://ftp.aip.org/epaps/journ_chem_phys/E-JCPSA6-148-012805)
Directory of Open Access Journals (Sweden)
David Fouchet
Full Text Available BACKGROUND: In natural cat populations, Feline Immunodeficiency Virus (FIV is transmitted through bites between individuals. Factors such as the density of cats within the population or the sex-ratio can have potentially strong effects on the frequency of fight between individuals and hence appear as important population risk factors for FIV. METHODOLOGY/PRINCIPAL FINDINGS: To study such population risk factors, we present data on FIV prevalence in 15 cat populations in northeastern France. We investigate five key social factors of cat populations; the density of cats, the sex-ratio, the number of males and the mean age of males and females within the population. We overcome the problem of dependence in the infective status data using sexually-structured dynamic stochastic models. Only the age of males and females had an effect (p = 0.043 and p = 0.02, respectively on the male-to-female transmission rate. Due to multiple tests, it is even likely that these effects are, in reality, not significant. Finally we show that, in our study area, the data can be explained by a very simple model that does not invoke any risk factor. CONCLUSION: Our conclusion is that, in host-parasite systems in general, fluctuations due to stochasticity in the transmission process are naturally very large and may alone explain a larger part of the variability in observed disease prevalence between populations than previously expected. Finally, we determined confidence intervals for the simple model parameters that can be used to further aid in management of the disease.
Peters, M; Battaglia, C; Forberich, K; Bläsi, B; Sahraei, N; Aberle, A G
2012-12-31
Light trapping is of very high importance for silicon photovoltaics (PV) and especially for thin-film silicon solar cells. In this paper we investigate and compare theoretically the light trapping properties of periodic and stochastic structures having similar geometrical features. The theoretical investigations are based on the actual surface geometry of a scattering structure, characterized by an atomic force microscope. This structure is used for light trapping in thin-film microcrystalline silicon solar cells. Very good agreement is found in a first comparison between simulation and experimental results. The geometrical parameters of the stochastic structure are varied and it is found that the light trapping mainly depends on the aspect ratio (length/height). Furthermore, the maximum possible light trapping with this kind of stochastic structure geometry is investigated. In a second step, the stochastic structure is analysed and typical geometrical features are extracted, which are then arranged in a periodic structure. Investigating the light trapping properties of the periodic structure, we find that it performs very similar to the stochastic structure, in agreement with reports in literature. From the obtained results we conclude that a potential advantage of periodic structures for PV applications will very likely not be found in the absorption enhancement in the solar cell material. However, uniformity and higher definition in production of these structures can lead to potential improvements concerning electrical characteristics and parasitic absorption, e.g. in a back reflector.
Energy Technology Data Exchange (ETDEWEB)
Van Kessel, L.B.M.
2003-06-11
with the on-line calorific value sensor from chapter 2 and a validated dynamic model of the process is available, the theory from stochastic processes can be applied to MSWC. This new application field of stochastics is discussed in chapter 4. The results obtained in chapter 2 will be used in this analysis. Also new linear transfer functions for thermal processes will be given and applied to MSWC. Finally, applications of the new developed tools will be discussed. As already mentioned, the validation experiments lead to the conclusion that the dynamics of the combustion process can change when the primary air temperature changes. This was a new result, which has never been reported in literature before. For that reason during the research it was decided to start an extensive study into the influence of the primary air temperature on the combustion process. This has been performed by using laboratory experiments. In chapter 5 the results from this search will be presented. The existing theory for combustion of solid fuels is extended with a qualitative as well as a quantitative description of the influence of primary preheating. The new theory is used to explain observations from real plants and the results from system identification. Furthermore, the value of laboratory experiments to simulate the real combustion process on a grate is discussed.
DEFF Research Database (Denmark)
Ghoreishi, Maryam
2018-01-01
Many models within the field of optimal dynamic pricing and lot-sizing models for deteriorating items assume everything is deterministic and develop a differential equation as the core of analysis. Two prominent examples are the papers by Rajan et al. (Manag Sci 38:240–262, 1992) and Abad (Manag......, we will try to expose the model by Abad (1996) and Rajan et al. (1992) to stochastic inputs; however, designing these stochastic inputs such that they as closely as possible are aligned with the assumptions of those papers. We do our investigation through a numerical test where we test the robustness...... of the numerical results reported in Rajan et al. (1992) and Abad (1996) in a simulation model. Our numerical results seem to confirm that the results stated in these papers are indeed robust when being imposed to stochastic inputs....
Evolving stochastic context-free grammars for RNA secondary structure prediction
DEFF Research Database (Denmark)
Anderson, James WJ; Tataru, Paula Cristina; Stains, Joe
2012-01-01
Background Stochastic Context-Free Grammars (SCFGs) were applied successfully to RNA secondary structure prediction in the early 90s, and used in combination with comparative methods in the late 90s. The set of SCFGs potentially useful for RNA secondary structure prediction is very large, but a few...... to structure prediction as has been previously suggested. Results These search techniques were applied to predict RNA secondary structure on a maximal data set and revealed new and interesting grammars, though none are dramatically better than classic grammars. In general, results showed that many grammars...... with quite different structure could have very similar predictive ability. Many ambiguous grammars were found which were at least as effective as the best current unambiguous grammars. Conclusions Overall the method of evolving SCFGs for RNA secondary structure prediction proved effective in finding many...
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.
Antisymmetrized molecular dynamics of wave packets with stochastic incorporation of Vlasov equation
International Nuclear Information System (INIS)
Ono, Akira; Horiuchi, Hisashi.
1996-01-01
The first purpose of this report is to present an extended AMD model which can generally describe such minor branching processes by removing the restriction on the one-body distribution function. This is done not by generalizing the wave packets to arbitrary single-particle wave functions but by representing the diffused and/or deformed wave packet as an ensemble of Gaussian wave packets. In other words, stochastic displacements are given to the wave packets in phase space so that the ensemble-average of the time evolution of the one-body distribution function is essentially equivalent to the solution of Vlasov equation which does not have any restriction on the shape of wave packets. This new model is called AMD-V. Although AMD-V is equivalent to Vlasov equation in the instantaneous time evolution of the one-body distribution function for an AMD wave function, AMD-V describes the branching into channels and the fluctuation of the mean field which are caused by the spreading or the splitting of the single-particle wave function. The second purpose of this report is to show the drastic effect of this new stochastic process of wave packet splitting on the dynamics of heavy ion collisions, especially in the fragmentation mechanism. We take the 40 Ca + 40 Ca system at the incident energy 35 MeV/nucleon. It will be shown that the reproduction of data by the AMD-V calculation is surprisingly good. We will see that the effect of the wave packet diffusion is crucially important to remove the spurious binary feature of the AMD calculation and to enable the multi-fragment final state. (J.P.N.)
Dynamic Soil-Structure-Interaction
DEFF Research Database (Denmark)
Kellezi, Lindita
1998-01-01
The aim of this thesis is to investigate and develop alternative methods of analyzing problems in dynamic soil-structure-interaction. The main focus is the major difficulty posed by such an analysis - the phenomenon of waves which radiate outward from the excited structures towards infinity....... In numerical calculations, only a finite region of the foundation metium is analyzed and something is done to prevent the outgoing radiating waves to reflect from the regions's boundary. The prosent work concerns itself with the study of such effects, using the finite element method, and artificial...... transmitting boundary at the edges of the computational mesh. To start with, an investigation of the main effects of the interaction phenomena is carried out employing a widely used model, considering dynamic stiffness of the unbounded soil as frequency independent. Then a complete description...
International Nuclear Information System (INIS)
Hu, Yan; Wen, Jing-ya; Li, Xiao-li; Wang, Da-zhou; Li, Yu
2013-01-01
Highlights: • Using interval mathematics to describe spatial and temporal variability and parameter uncertainty. • Using fuzzy theory to quantify variability of environmental guideline values. • Using probabilistic approach to integrate interval concentrations and fuzzy environmental guideline. • Establishment of dynamic multimedia environmental integrated risk assessment framework. -- Abstract: A dynamic multimedia fuzzy-stochastic integrated environmental risk assessment approach was developed for contaminated sites management. The contaminant concentrations were simulated by a validated interval dynamic multimedia fugacity model, and different guideline values for the same contaminant were represented as a fuzzy environmental guideline. Then, the probability of violating environmental guideline (Pv) can be determined by comparison between the modeled concentrations and the fuzzy environmental guideline, and the constructed relationship between the Pvs and environmental risk levels was used to assess the environmental risk level. The developed approach was applied to assess the integrated environmental risk at a case study site in China, simulated from 1985 to 2020. Four scenarios were analyzed, including “residential land” and “industrial land” environmental guidelines under “strict” and “loose” strictness. It was found that PAH concentrations will increase steadily over time, with soil found to be the dominant sink. Source emission in soil was the leading input and atmospheric sedimentation was the dominant transfer process. The integrated environmental risks primarily resulted from petroleum spills and coke ovens, while the soil environmental risks came from coal combustion. The developed approach offers an effective tool for quantifying variability and uncertainty in the dynamic multimedia integrated environmental risk assessment and the contaminated site management
Energy Technology Data Exchange (ETDEWEB)
Hu, Yan; Wen, Jing-ya; Li, Xiao-li; Wang, Da-zhou; Li, Yu, E-mail: liyuxx8@hotmail.com
2013-10-15
Highlights: • Using interval mathematics to describe spatial and temporal variability and parameter uncertainty. • Using fuzzy theory to quantify variability of environmental guideline values. • Using probabilistic approach to integrate interval concentrations and fuzzy environmental guideline. • Establishment of dynamic multimedia environmental integrated risk assessment framework. -- Abstract: A dynamic multimedia fuzzy-stochastic integrated environmental risk assessment approach was developed for contaminated sites management. The contaminant concentrations were simulated by a validated interval dynamic multimedia fugacity model, and different guideline values for the same contaminant were represented as a fuzzy environmental guideline. Then, the probability of violating environmental guideline (Pv) can be determined by comparison between the modeled concentrations and the fuzzy environmental guideline, and the constructed relationship between the Pvs and environmental risk levels was used to assess the environmental risk level. The developed approach was applied to assess the integrated environmental risk at a case study site in China, simulated from 1985 to 2020. Four scenarios were analyzed, including “residential land” and “industrial land” environmental guidelines under “strict” and “loose” strictness. It was found that PAH concentrations will increase steadily over time, with soil found to be the dominant sink. Source emission in soil was the leading input and atmospheric sedimentation was the dominant transfer process. The integrated environmental risks primarily resulted from petroleum spills and coke ovens, while the soil environmental risks came from coal combustion. The developed approach offers an effective tool for quantifying variability and uncertainty in the dynamic multimedia integrated environmental risk assessment and the contaminated site management.
Stochastic dynamics of penetrable rods in one dimension: occupied volume and spatial order.
Craven, Galen T; Popov, Alexander V; Hernandez, Rigoberto
2013-06-28
The occupied volume of a penetrable hard rod (HR) system in one dimension is probed through the use of molecular dynamics simulations. In these dynamical simulations, collisions between penetrable rods are governed by a stochastic penetration algorithm (SPA), which allows for rods to either interpenetrate with a probability δ, or collide elastically otherwise. The limiting values of this parameter, δ = 0 and δ = 1, correspond to the HR and the ideal limits, respectively. At intermediate values, 0 exclusive and independent events is observed, making prediction of the occupied volume nontrivial. At high hard core volume fractions φ0, the occupied volume expression derived by Rikvold and Stell [J. Chem. Phys. 82, 1014 (1985)] for permeable systems does not accurately predict the occupied volume measured from the SPA simulations. Multi-body effects contribute significantly to the pair correlation function g2(r) and the simplification by Rikvold and Stell that g2(r) = δ in the penetrative region is observed to be inaccurate for the SPA model. We find that an integral over the penetrative region of g2(r) is the principal quantity that describes the particle overlap ratios corresponding to the observed penetration probabilities. Analytic formulas are developed to predict the occupied volume of mixed systems and agreement is observed between these theoretical predictions and the results measured from simulation.
Inverse stochastic-dynamic models for high-resolution Greenland ice core records
Boers, Niklas; Chekroun, Mickael D.; Liu, Honghu; Kondrashov, Dmitri; Rousseau, Denis-Didier; Svensson, Anders; Bigler, Matthias; Ghil, Michael
2017-12-01
Proxy records from Greenland ice cores have been studied for several decades, yet many open questions remain regarding the climate variability encoded therein. Here, we use a Bayesian framework for inferring inverse, stochastic-dynamic models from δ18O and dust records of unprecedented, subdecadal temporal resolution. The records stem from the North Greenland Ice Core Project (NGRIP), and we focus on the time interval 59-22 ka b2k. Our model reproduces the dynamical characteristics of both the δ18O and dust proxy records, including the millennial-scale Dansgaard-Oeschger variability, as well as statistical properties such as probability density functions, waiting times and power spectra, with no need for any external forcing. The crucial ingredients for capturing these properties are (i) high-resolution training data, (ii) cubic drift terms, (iii) nonlinear coupling terms between the δ18O and dust time series, and (iv) non-Markovian contributions that represent short-term memory effects.
High-energy hadron dynamics based on a stochastic-field multieikonal theory
International Nuclear Information System (INIS)
Arnold, R.C.
1977-01-01
Multieikonal theory, using a stochastic-field representation for collective long-range rapidity correlations, is developed and applied to the calculation of Regge-pole parameters, high-transverse-momentum enhancements, and fluctuation patterns in rapidity densities. If a short-range-order model, such as the one-dimensional planar bootstrap, with only leading t-channel meson poles, is utilized as input to the multieikonal method, the pole spectrum is modified in three ways: promotion and renormalization of leading trajectories (suggesting an effective Pomeron above unity at intermediate energies), and a proliferation of dynamical secondary trajectories, reminiscent of dual models. When transverse dimensions are included, the collective effects produce a growth with energy of large-P/sub T/ inclusive cross sections. Typical-event rapidity distributions, at energies of a few TeV, can be estimated by suitable approximations; the fluctuations give rise to ''domain'' patterns, which have the appearance of clusters separated by rapidity gaps. The relations between this approach to strong-interaction dynamics and a possible unification of weak, electromagnetic, and strong interactions are outlined
Helbing, Dirk; Schönhof, Martin; Kern, Daniel
2002-06-01
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc, they normally make decisions based on aggregate rather than complete information, such as TV news or stock market indices. In related experiments, we have observed a volatile decision dynamics and far-from-optimal payoff distributions. We have also identified methods of information presentation that can considerably improve the overall performance of the system. In order to determine optimal strategies of decision guidance by means of user-specific recommendations, a stochastic behavioural description is developed. These strategies manage to increase the adaptibility to changing conditions and to reduce the deviation from the time-dependent user equilibrium, thereby enhancing the average and individual payoffs. Hence, our guidance strategies can increase the performance of all users by reducing overreaction and stabilizing the decision dynamics. These results are highly significant for predicting decision behaviour, for reaching optimal behavioural distributions by decision support systems and for information service providers. One of the promising fields of application is traffic optimization.
Stochastic dynamics of complex systems: from glasses to evolution (series on complexity science)
Sibani, Paolo
2013-01-01
Dynamical evolution over long time scales is a prominent feature of all the systems we intuitively think of as complex - for example, ecosystems, the brain or the economy. In physics, the term ageing is used for this type of slow change, occurring over time scales much longer than the patience, or indeed the lifetime, of the observer. The main focus of this book is on the stochastic processes which cause ageing, and the surprising fact that the ageing dynamics of systems which are very different at the microscopic level can be treated in similar ways. The first part of this book provides the necessary mathematical and computational tools and the second part describes the intuition needed to deal with these systems. Some of the first few chapters have been covered in several other books, but the emphasis and selection of the topics reflect both the authors' interests and the overall theme of the book. The second part contains an introduction to the scientific literature and deals in some detail with the desc...
THE GROSSER ALETSCHGLETSCHER DYNAMICS: FROM A “MINIMAL MODEL” TO A STOCHASTIC EQUATION
Directory of Open Access Journals (Sweden)
Alexander V. Kislov
2016-01-01
Full Text Available Mountain glaciers manifest oscillations at different time-scales. Apart from synchronous reaction to lasting changes, there is asynchronism between climatic forcing and observed anomalies of the glaciers. Based on general theories on the laws of temporal dynamics relating to massive inertial objects, the observed interannual changes of glacier length could result from the accumulation of small anomalies in the heat/water fluxes. Despite the fact that the original model of the dynamics of mountain glaciers is deterministically based on the physical law of conservation of water mass, the model of length change is interpreted as stochastic; from this perspective, it is the Langevin equation that incorporates the action of temperature anomalies and precipitation like random white noise. The process is analogous to Brownian motion. Under these conditions, the Grosser Aletschgletscher (selected as an example is represented by a system undergoing a random walk. It was shown that the possible range of variability covers the observed interval of length fluctuations.
Stochastic dynamics of phase singularities under ventricular fibrillation in 2D Beeler-Reuter model
Directory of Open Access Journals (Sweden)
Akio Suzuki
2011-09-01
Full Text Available The dynamics of ventricular fibrillation (VF has been studied extensively, and the initiation mechanism of VF has been elucidated to some extent. However, the stochastic dynamical nature of sustained VF remains unclear so far due to the complexity of high dimensional chaos in a heterogeneous system. In this paper, various statistical mechanical properties of sustained VF are studied numerically in 2D Beeler-Reuter-Drouhard-Roberge (BRDR model with normal and modified ionic current conductance. The nature of sustained VF is analyzed by measuring various fluctuations of spatial phase singularity (PS such as velocity, lifetime, the rates of birth and death. It is found that the probability density function (pdf for lifetime of PSs is independent of system size. It is also found that the hyper-Gamma distribution serves as a universal pdf for the counting number of PSs for various system sizes and various parameters of our model tissue under VF. Further, it is demonstrated that the nonlinear Langevin equation associated with a hyper-Gamma process can mimic the pdf and temporal variation of the number of PSs in the 2D BRDR model.
Hsu, Wei-Ting; Loh, Chin-Hsiung; Chao, Shu-Hsien
2015-03-01
Stochastic subspace identification method (SSI) has been proven to be an efficient algorithm for the identification of liner-time-invariant system using multivariate measurements. Generally, the estimated modal parameters through SSI may be afflicted with statistical uncertainty, e.g. undefined measurement noises, non-stationary excitation, finite number of data samples etc. Therefore, the identified results are subjected to variance errors. Accordingly, the concept of the stabilization diagram can help users to identify the correct model, i.e. through removing the spurious modes. Modal parameters are estimated at successive model orders where the physical modes of the system are extracted and separated from the spurious modes. Besides, an uncertainty computation scheme was derived for the calculation of uncertainty bounds for modal parameters at some given model order. The uncertainty bounds of damping ratios are particularly interesting, as the estimation of damping ratios are difficult to obtain. In this paper, an automated stochastic subspace identification algorithm is addressed. First, the identification of modal parameters through covariance-driven stochastic subspace identification from the output-only measurements is used for discussion. A systematic way of investigation on the criteria for the stabilization diagram is presented. Secondly, an automated algorithm of post-processing on stabilization diagram is demonstrated. Finally, the computation of uncertainty bounds for each mode with all model order in the stabilization diagram is utilized to determine system natural frequencies and damping ratios. Demonstration of this study on the system identification of a three-span steel bridge under operation condition is presented. It is shown that the proposed new operation procedure for the automated covariance-driven stochastic subspace identification can enhance the robustness and reliability in structural health monitoring.
Dynamic analysis of stochastic bidirectional associative memory neural networks with delays
International Nuclear Information System (INIS)
Zhao Hongyong; Ding Nan
2007-01-01
In this paper, stochastic bidirectional associative memory neural networks model with delays is considered. By constructing Lyapunov functionals, and using stochastic analysis method and inequality technique, we give some sufficient criteria ensuring almost sure exponential stability, pth exponential stability and mean value exponential stability. The obtained criteria can be used as theoretic guidance to stabilize neural networks in practical applications when stochastic noise is taken into consideration
National Research Council Canada - National Science Library
Khoo, Wai
1999-01-01
.... These problems model stochastic portfolio optimization problems (SPOPs) which assume deterministic unit weight, and normally distributed unit return with known mean and variance for each item type...
Modeling and Properties of Nonlinear Stochastic Dynamical System of Continuous Culture
Wang, Lei; Feng, Enmin; Ye, Jianxiong; Xiu, Zhilong
The stochastic counterpart to the deterministic description of continuous fermentation with ordinary differential equation is investigated in the process of glycerol bio-dissimilation to 1,3-propanediol by Klebsiella pneumoniae. We briefly discuss the continuous fermentation process driven by three-dimensional Brownian motion and Lipschitz coefficients, which is suitable for the factual fermentation. Subsequently, we study the existence and uniqueness of solutions for the stochastic system as well as the boundedness of the Two-order Moment and the Markov property of the solution. Finally stochastic simulation is carried out under the Stochastic Euler-Maruyama method.
Yu, Qian; Fang, Debin; Zhang, Xiaoling; Jin, Chen; Ren, Qiyu
2016-06-27
Stochasticity plays an important role in the evolutionary dynamic of cyclic dominance within a finite population. To investigate the stochastic evolution process of the behaviour of bounded rational individuals, we model the Rock-Scissors-Paper (RSP) game as a finite, state dependent Quasi Birth and Death (QBD) process. We assume that bounded rational players can adjust their strategies by imitating the successful strategy according to the payoffs of the last round of the game, and then analyse the limiting distribution of the QBD process for the game stochastic evolutionary dynamic. The numerical experiments results are exhibited as pseudo colour ternary heat maps. Comparisons of these diagrams shows that the convergence property of long run equilibrium of the RSP game in populations depends on population size and the parameter of the payoff matrix and noise factor. The long run equilibrium is asymptotically stable, neutrally stable and unstable respectively according to the normalised parameters in the payoff matrix. Moreover, the results show that the distribution probability becomes more concentrated with a larger population size. This indicates that increasing the population size also increases the convergence speed of the stochastic evolution process while simultaneously reducing the influence of the noise factor.
D'Onofrio, Giuseppe; Pirozzi, Enrica
2017-05-01
We consider a stochastic differential equation in a strip, with coefficients suitably chosen to describe the acto-myosin interaction subject to time-varying forces. By simulating trajectories of the stochastic dynamics via an Euler discretization-based algorithm, we fit experimental data and determine the values of involved parameters. The steps of the myosin are represented by the exit events from the strip. Motivated by these results, we propose a specific stochastic model based on the corresponding time-inhomogeneous Gauss-Markov and diffusion process evolving between two absorbing boundaries. We specify the mean and covariance functions of the stochastic modeling process taking into account time-dependent forces including the effect of an external load. We accurately determine the probability density function (pdf) of the first exit time (FET) from the strip by solving a system of two non singular second-type Volterra integral equations via a numerical quadrature. We provide numerical estimations of the mean of FET as approximations of the dwell-time of the proteins dynamics. The percentage of backward steps is given in agreement to experimental data. Numerical and simulation results are compared and discussed.
Nemeth, Noel N.; Bednarcyk, Brett A.; Pineda, Evan J.; Walton, Owen J.; Arnold, Steven M.
2016-01-01
Stochastic-based, discrete-event progressive damage simulations of ceramic-matrix composite and polymer matrix composite material structures have been enabled through the development of a unique multiscale modeling tool. This effort involves coupling three independently developed software programs: (1) the Micromechanics Analysis Code with Generalized Method of Cells (MAC/GMC), (2) the Ceramics Analysis and Reliability Evaluation of Structures Life Prediction Program (CARES/ Life), and (3) the Abaqus finite element analysis (FEA) program. MAC/GMC contributes multiscale modeling capabilities and micromechanics relations to determine stresses and deformations at the microscale of the composite material repeating unit cell (RUC). CARES/Life contributes statistical multiaxial failure criteria that can be applied to the individual brittle-material constituents of the RUC. Abaqus is used at the global scale to model the overall composite structure. An Abaqus user-defined material (UMAT) interface, referred to here as "FEAMAC/CARES," was developed that enables MAC/GMC and CARES/Life to operate seamlessly with the Abaqus FEA code. For each FEAMAC/CARES simulation trial, the stochastic nature of brittle material strength results in random, discrete damage events, which incrementally progress and lead to ultimate structural failure. This report describes the FEAMAC/CARES methodology and discusses examples that illustrate the performance of the tool. A comprehensive example problem, simulating the progressive damage of laminated ceramic matrix composites under various off-axis loading conditions and including a double notched tensile specimen geometry, is described in a separate report.
Misol, Malte; Haase, Thomas; Monner, Hans Peter; Sinapius, Michael
2014-10-01
This paper provides experimental results of an aircraft-relevant double panel structure mounted in a sound transmission loss facility. The primary structure of the double panel system is excited either by a stochastic point force or by a diffuse sound field synthesized in the reverberation room of the transmission loss facility. The secondary structure, which is connected to the frames of the primary structure, is augmented by actuators and sensors implementing an active feedforward control system. Special emphasis is placed on the causality of the active feedforward control system and its implications on the disturbance rejection at the error sensors. The coherence of the sensor signals is analyzed for the two different disturbance excitations. Experimental results are presented regarding the causality, coherence, and disturbance rejection of the active feedforward control system. Furthermore, the sound transmission loss of the double panel system is evaluated for different configurations of the active system. A principal result of this work is the evidence that it is possible to strongly influence the transmission of stochastic disturbance sources through double panel configurations by means of an active feedforward control system.
International Nuclear Information System (INIS)
Babykina, Génia; Brînzei, Nicolae; Aubry, Jean-François; Deleuze, Gilles
2016-01-01
The paper proposes a modeling framework to support Monte Carlo simulations of the behavior of a complex industrial system. The aim is to analyze the system dependability in the presence of random events, described by any type of probability distributions. Continuous dynamic evolutions of physical parameters are taken into account by a system of differential equations. Dynamic reliability is chosen as theoretical framework. Based on finite state automata theory, the formal model is built by parallel composition of elementary sub-models using a bottom-up approach. Considerations of a stochastic nature lead to a model called the Stochastic Hybrid Automaton. The Scilab/Scicos open source environment is used for implementation. The case study is carried out on an example of a steam generator of a nuclear power plant. The behavior of the system is studied by exploring its trajectories. Possible system trajectories are analyzed both empirically, using the results of Monte Carlo simulations, and analytically, using the formal system model. The obtained results are show to be relevant. The Stochastic Hybrid Automaton appears to be a suitable tool to address the dynamic reliability problem and to model real systems of high complexity; the bottom-up design provides precision and coherency of the system model. - Highlights: • A part of a nuclear power plant is modeled in the context of dynamic reliability. • Stochastic Hybrid Automaton is used as an input model for Monte Carlo simulations. • The model is formally built using a bottom-up approach. • The behavior of the system is analyzed empirically and analytically. • A formally built SHA shows to be a suitable tool to approach dynamic reliability.
Filin, I
2009-06-01
Using diffusion processes, I model stochastic individual growth, given exogenous hazards and starvation risk. By maximizing survival to final size, optimal life histories (e.g. switching size for habitat/dietary shift) are determined by two ratios: mean growth rate over growth variance (diffusion coefficient) and mortality rate over mean growth rate; all are size dependent. For example, switching size decreases with either ratio, if both are positive. I provide examples and compare with previous work on risk-sensitive foraging and the energy-predation trade-off. I then decompose individual size into reversibly and irreversibly growing components, e.g. reserves and structure. I provide a general expression for optimal structural growth, when reserves grow stochastically. I conclude that increased growth variance of reserves delays structural growth (raises threshold size for its commencement) but may eventually lead to larger structures. The effect depends on whether the structural trait is related to foraging or defence. Implications for population dynamics are discussed.
Dynamics of Quantum Causal Structures
Castro-Ruiz, Esteban; Giacomini, Flaminia; Brukner, Časlav
2018-01-01
It was recently suggested that causal structures are both dynamical, because of general relativity, and indefinite, because of quantum theory. The process matrix formalism furnishes a framework for quantum mechanics on indefinite causal structures, where the order between operations of local laboratories is not definite (e.g., one cannot say whether operation in laboratory A occurs before or after operation in laboratory B ). Here, we develop a framework for "dynamics of causal structures," i.e., for transformations of process matrices into process matrices. We show that, under continuous and reversible transformations, the causal order between operations is always preserved. However, the causal order between a subset of operations can be changed under continuous yet nonreversible transformations. An explicit example is that of the quantum switch, where a party in the past affects the causal order of operations of future parties, leading to a transition from a channel from A to B , via superposition of causal orders, to a channel from B to A . We generalize our framework to construct a hierarchy of quantum maps based on transformations of process matrices and transformations thereof.
Dynamics of Quantum Causal Structures
Directory of Open Access Journals (Sweden)
Esteban Castro-Ruiz
2018-03-01
Full Text Available It was recently suggested that causal structures are both dynamical, because of general relativity, and indefinite, because of quantum theory. The process matrix formalism furnishes a framework for quantum mechanics on indefinite causal structures, where the order between operations of local laboratories is not definite (e.g., one cannot say whether operation in laboratory A occurs before or after operation in laboratory B. Here, we develop a framework for “dynamics of causal structures,” i.e., for transformations of process matrices into process matrices. We show that, under continuous and reversible transformations, the causal order between operations is always preserved. However, the causal order between a subset of operations can be changed under continuous yet nonreversible transformations. An explicit example is that of the quantum switch, where a party in the past affects the causal order of operations of future parties, leading to a transition from a channel from A to B, via superposition of causal orders, to a channel from B to A. We generalize our framework to construct a hierarchy of quantum maps based on transformations of process matrices and transformations thereof.
Patnaik, Surya N.; Pai, Shantaram S.; Coroneos, Rula M.
2010-01-01
Structural design generated by traditional method, optimization method and the stochastic design concept are compared. In the traditional method, the constraints are manipulated to obtain the design and weight is back calculated. In design optimization, the weight of a structure becomes the merit function with constraints imposed on failure modes and an optimization algorithm is used to generate the solution. Stochastic design concept accounts for uncertainties in loads, material properties, and other parameters and solution is obtained by solving a design optimization problem for a specified reliability. Acceptable solutions were produced by all the three methods. The variation in the weight calculated by the methods was modest. Some variation was noticed in designs calculated by the methods. The variation may be attributed to structural indeterminacy. It is prudent to develop design by all three methods prior to its fabrication. The traditional design method can be improved when the simplified sensitivities of the behavior constraint is used. Such sensitivity can reduce design calculations and may have a potential to unify the traditional and optimization methods. Weight versus reliabilitytraced out an inverted-S-shaped graph. The center of the graph corresponded to mean valued design. A heavy design with weight approaching infinity could be produced for a near-zero rate of failure. Weight can be reduced to a small value for a most failure-prone design. Probabilistic modeling of load and material properties remained a challenge.
International Nuclear Information System (INIS)
Hasegawa, Keita; Komiyama, Ryoichi; Fujii, Yasumasa
2016-01-01
The paper presents an economic rationality analysis of power generation mix by stochastic dynamic programming considering fuel price uncertainties and supply disruption risks such as import disruption and nuclear power plant shutdown risk. The situation revolving around Japan's energy security adopted the past statistics, it cannot be applied to a quantitative analysis of future uncertainties. Further objective and quantitative evaluation methods are required in order to analyze Japan's energy system and make it more resilient in sight of long time scale. In this paper, the authors firstly develop the cost minimization model considering oil and natural gas price respectively by stochastic dynamic programming. Then, the authors show several premises of model and an example of result with related to crude oil stockpile, liquefied natural gas stockpile and nuclear power plant capacity. (author)
Feedback optimal control of dynamic stochastic two-machine flowshop with a finite buffer
Directory of Open Access Journals (Sweden)
Thang Diep
2010-06-01
Full Text Available This paper examines the optimization of production involving a tandem two-machine system producing a single part type, with each machine being subject to random breakdowns and repairs. An analytical model is formulated with a view to solving an optimal stochastic production problem of the system with machines having up-downtime non-exponential distributions. The model developed is obtained by using a dynamic programming approach and a semi-Markov process. The control problem aims to find the production rates needed by the machines to meet the demand rate, through a minimization of the inventory/shortage cost. Using the Bellman principle, the optimality conditions obtained satisfy the Hamilton-Jacobi-Bellman equation, which depends on time and system states, and ultimately, leads to a feedback control. Consequently, the new model enables us to improve the coefficient of variation (CVup/down to be less than one while it is equal to one in Markov model. Heuristics methods are used to involve the problem because of the difficulty of the analytical model using several states, and to show what control law should be used in each system state (i.e., including Kanban, feedback and CONWIP control. Numerical methods are used to solve the optimality conditions and to show how a machine should produce.
Zhang, Xiaodong; Huang, Gordon
2013-02-15
Greenhouse gas (GHG) emissions from municipal solid waste (MSW) management facilities have become a serious environmental issue. In MSW management, not only economic objectives but also environmental objectives should be considered simultaneously. In this study, a dynamic stochastic possibilistic multiobjective programming (DSPMP) model is developed for supporting MSW management and associated GHG emission control. The DSPMP model improves upon the existing waste management optimization methods through incorporation of fuzzy possibilistic programming and chance-constrained programming into a general mixed-integer multiobjective linear programming (MOP) framework where various uncertainties expressed as fuzzy possibility distributions and probability distributions can be effectively reflected. Two conflicting objectives are integrally considered, including minimization of total system cost and minimization of total GHG emissions from waste management facilities. Three planning scenarios are analyzed and compared, representing different preferences of the decision makers for economic development and environmental-impact (i.e. GHG-emission) issues in integrated MSW management. Optimal decision schemes under three scenarios and different p(i) levels (representing the probability that the constraints would be violated) are generated for planning waste flow allocation and facility capacity expansions as well as GHG emission control. The results indicate that economic and environmental tradeoffs can be effectively reflected through the proposed DSPMP model. The generated decision variables can help the decision makers justify and/or adjust their waste management strategies based on their implicit knowledge and preferences. Copyright © 2012 Elsevier B.V. All rights reserved.
Brodin, Anders; Nilsson, Jan-Åke; Nord, Andreas
2017-09-01
Several species of small birds are resident in boreal forests where environmental temperatures can be -20 to -30 °C, or even lower, in winter. As winter days are short, and food is scarce, winter survival is a challenge for small endothermic animals. A bird of this size will have to gain almost 10% of its lean body mass in fat every day to sustain overnight metabolism. Birds such as parids (titmice and chickadees) can use facultative hypothermia, a process in which body temperature is actively down-regulated to a specific level, to reduce heat loss and thus save energy. During cold winter nights, these birds may decrease body temperature from the normal from 42 ° down to 35 °C, or even lower in some species. However, birds are unable to move in this deep hypothermic state, making it a risky strategy if predators are around. Why, then, do small northern birds enter a potentially dangerous physiological state for a relatively small reduction in energy expenditure? We used stochastic dynamic programming to investigate this. Our model suggests that the use of nocturnal hypothermia at night is paramount in these biomes, as it would increase winter survival for a small northern bird by 58% over a winter of 100 days. Our model also explains the phenomenon known as winter fattening, and its relationship to thermoregulation, in northern birds.
Sindhikara, Daniel J; Kim, Seonah; Voter, Arthur F; Roitberg, Adrian E
2009-06-09
Molecular dynamics simulations starting from different initial conditions are commonly used to mimic the behavior of an experimental ensemble. We show in this article that when a Langevin thermostat is used to maintain constant temperature during such simulations, extreme care must be taken when choosing the random number seeds to prevent statistical correlation among the MD trajectories. While recent studies have shown that stochastically thermostatted trajectories evolving within a single potential basin with identical random number seeds tend to synchronize, we show that there is a synchronization effect even for complex, biologically relevant systems. We demonstrate this effect in simulations of alanine trimer and pentamer and in a simulation of a temperature-jump experiment for peptide folding of a 14-residue peptide. Even in replica-exchange simulations, in which the trajectories are at different temperatures, we find partial synchronization occurring when the same random number seed is employed. We explain this by extending the recent derivation of the synchronization effect for two trajectories in a harmonic well to the case in which the trajectories are at two different temperatures. Our results suggest several ways in which mishandling selection of a pseudorandom number generator initial seed can lead to corruption of simulation data. Simulators can fall into this trap in simple situations such as neglecting to specifically indicate different random seeds in either parallel or sequential restart simulations, utilizing a simulation package with a weak pseudorandom number generator, or using an advanced simulation algorithm that has not been programmed to distribute initial seeds.
Energy Technology Data Exchange (ETDEWEB)
Dunn, Aaron [Sandia National Laboratories, Albuquerque, 87185 NM (United States); George W. Woodruff School of Mechanical Engineering, Georgia Institute of Technology, Atlanta, 30332 GA (United States); Muntifering, Brittany [Sandia National Laboratories, Albuquerque, 87185 NM (United States); Northwestern University, Chicago, 60208 IL (United States); Dingreville, Rémi; Hattar, Khalid [Sandia National Laboratories, Albuquerque, 87185 NM (United States); Capolungo, Laurent, E-mail: laurent@lanl.gov [George W. Woodruff School of Mechanical Engineering, Georgia Institute of Technology, Atlanta, 30332 GA (United States); Material Science and Technology Division, MST-8, Los Alamos National Laboratory, Los Alamos, 87545 NM (United States)
2016-11-15
Charged particle irradiation is a frequently used experimental tool to study damage accumulation in metals expected during neutron irradiation. Understanding the correspondence between displacement rate and temperature during such studies is one of several factors that must be taken into account in order to design experiments that produce equivalent damage accumulation to neutron damage conditions. In this study, spatially resolved stochastic cluster dynamics (SRSCD) is used to simulate damage evolution in α-Fe and find displacement rate/temperature pairs under ‘target’ and ‘proxy’ conditions for which the local distribution of vacancies and vacancy clusters is the same as a function of displacement damage. The SRSCD methodology is chosen for this study due to its computational efficiency and ability to simulate damage accumulation in spatially inhomogeneous materials such as thin films. Results are presented for Frenkel pair irradiation and displacement cascade damage in thin films and bulk α-Fe. Holding all other material and irradiation conditions constant, temperature adjustments are shown to successfully make up for changes in displacement rate such that defect concentrations and cluster sizes remain relatively constant. The methodology presented in this study allows for a first-order prediction of the temperature at which ion irradiation experiments (‘proxy’ conditions) should take place in order to approximate neutron irradiation (‘target’ conditions).
Stochastic dynamics of resistive switching: fluctuations lead to optimal particle number
International Nuclear Information System (INIS)
Radtke, Paul K; Schimansky-Geier, Lutz; Hazel, Andrew L; Straube, Arthur V
2017-01-01
Resistive switching (RS) is one of the foremost candidates for building novel types of non-volatile random access memories. Any practical implementation of such a memory cell calls for a strong miniaturization, at which point fluctuations start playing a role that cannot be neglected. A detailed understanding of switching mechanisms and reliability is essential. For this reason, we formulate a particle model based on the stochastic motion of oxygen vacancies. It allows us to investigate fluctuations in the resistance states of a switch with two active zones. The vacancies’ dynamics are governed by a master equation. Upon the application of a voltage pulse, the vacancies travel collectively through the switch. By deriving a generalized Burgers equation we can interpret this collective motion as nonlinear traveling waves, and numerically verify this result. Further, we define binary logical states by means of the underlying vacancy distributions, and establish a framework of writing and reading such memory element with voltage pulses. Considerations about the discriminability of these operations under fluctuations together with the markedness of the RS effect itself lead to the conclusion, that an intermediate vacancy number is optimal for performance. (paper)
Stochastic dynamics of resistive switching: fluctuations lead to optimal particle number
Radtke, Paul K.; Hazel, Andrew L.; Straube, Arthur V.; Schimansky-Geier, Lutz
2017-09-01
Resistive switching (RS) is one of the foremost candidates for building novel types of non-volatile random access memories. Any practical implementation of such a memory cell calls for a strong miniaturization, at which point fluctuations start playing a role that cannot be neglected. A detailed understanding of switching mechanisms and reliability is essential. For this reason, we formulate a particle model based on the stochastic motion of oxygen vacancies. It allows us to investigate fluctuations in the resistance states of a switch with two active zones. The vacancies’ dynamics are governed by a master equation. Upon the application of a voltage pulse, the vacancies travel collectively through the switch. By deriving a generalized Burgers equation we can interpret this collective motion as nonlinear traveling waves, and numerically verify this result. Further, we define binary logical states by means of the underlying vacancy distributions, and establish a framework of writing and reading such memory element with voltage pulses. Considerations about the discriminability of these operations under fluctuations together with the markedness of the RS effect itself lead to the conclusion, that an intermediate vacancy number is optimal for performance.
Coordinating two-period ordering and advertising policies in a dynamic market with stochastic demand
Wang, Junping; Wang, Shengdong; Min, Jie
2015-03-01
In this paper, we study the optimal two-stage advertising and ordering policies and the channel coordination issues in a supply chain composed of one manufacturer and one retailer. The manufacturer sells a short-life-cycle product through the retailer facing stochastic demand in dynamic markets characterised by price declines and product obsolescence. Following a two-period newsvendor framework, we develop two members' optimal ordering and advertising models under both the centralised and decentralised settings, and present the closed-form solutions to the developed models as well. Moreover, we design a two-period revenue-sharing contract, and develop sufficient conditions such that the channel coordination can be achieved and a win-win outcome can be guaranteed. Our analysis suggests that the centralised decision creates an incentive for the retailer to increase the advertising investments in two periods and put the purchase forward, but the decentralised decision mechanism forces the retailer to decrease the advertising investments in two periods and postpone/reduce its purchase in the first period. This phenomenon becomes more evident when demand variability is high.
International Nuclear Information System (INIS)
Zhang Xiaobing; Fan Ying; Wei Yiming
2009-01-01
China's Strategic Petroleum Reserve (SPR) is currently being prepared. But how large the optimal stockpile size for China should be, what the best acquisition strategies are, how to release the reserve if a disruption occurs, and other related issues still need to be studied in detail. In this paper, we develop a stochastic dynamic programming model based on a total potential cost function of establishing SPRs to evaluate the optimal SPR policy for China. Using this model, empirical results are presented for the optimal size of China's SPR and the best acquisition and drawdown strategies for a few specific cases. The results show that with comprehensive consideration, the optimal SPR size for China is around 320 million barrels. This size is equivalent to about 90 days of net oil import amount in 2006 and should be reached in the year 2017, three years earlier than the national goal, which implies that the need for China to fill the SPR is probably more pressing; the best stockpile release action in a disruption is related to the disruption levels and expected continuation probabilities. The information provided by the results will be useful for decision makers.
Structure and dynamics of solutions
Ohtaki, H
2013-01-01
Recent advances in the study of structural and dynamic properties of solutions have provided a molecular picture of solute-solvent interactions. Although the study of thermodynamic as well as electronic properties of solutions have played a role in the development of research on the rate and mechanism of chemical reactions, such macroscopic and microscopic properties are insufficient for a deeper understanding of fast chemical and biological reactions. In order to fill the gap between the two extremes, it is necessary to know how molecules are arranged in solution and how they change their pos
International Nuclear Information System (INIS)
Gutierrez, Rafael M.; Useche, Gina M.; Buitrago, Elias
2007-01-01
We present a procedure developed to detect stochastic and deterministic information contained in empirical time series, useful to characterize and make models of different aspects of complex phenomena represented by such data. This procedure is applied to a seismological time series to obtain new information to study and understand geological phenomena. We use concepts and methods from nonlinear dynamics and maximum entropy. The mentioned method allows an optimal analysis of the available information
Directory of Open Access Journals (Sweden)
Ryo Oizumi
Full Text Available Despite the fact that density effects and individual differences in life history are considered to be important for evolution, these factors lead to several difficulties in understanding the evolution of life history, especially when population sizes reach the carrying capacity. r/K selection theory explains what types of life strategies evolve in the presence of density effects and individual differences. However, the relationship between the life schedules of individuals and population size is still unclear, even if the theory can classify life strategies appropriately. To address this issue, we propose a few equations on adaptive life strategies in r/K selection where density effects are absent or present. The equations detail not only the adaptive life history but also the population dynamics. Furthermore, the equations can incorporate temporal individual differences, which are referred to as internal stochasticity. Our framework reveals that maximizing density effects is an evolutionarily stable strategy related to the carrying capacity. A significant consequence of our analysis is that adaptive strategies in both selections maximize an identical function, providing both population growth rate and carrying capacity. We apply our method to an optimal foraging problem in a semelparous species model and demonstrate that the adaptive strategy yields a lower intrinsic growth rate as well as a lower basic reproductive number than those obtained with other strategies. This study proposes that the diversity of life strategies arises due to the effects of density and internal stochasticity.
Oizumi, Ryo; Kuniya, Toshikazu; Enatsu, Yoichi
2016-01-01
Despite the fact that density effects and individual differences in life history are considered to be important for evolution, these factors lead to several difficulties in understanding the evolution of life history, especially when population sizes reach the carrying capacity. r/K selection theory explains what types of life strategies evolve in the presence of density effects and individual differences. However, the relationship between the life schedules of individuals and population size is still unclear, even if the theory can classify life strategies appropriately. To address this issue, we propose a few equations on adaptive life strategies in r/K selection where density effects are absent or present. The equations detail not only the adaptive life history but also the population dynamics. Furthermore, the equations can incorporate temporal individual differences, which are referred to as internal stochasticity. Our framework reveals that maximizing density effects is an evolutionarily stable strategy related to the carrying capacity. A significant consequence of our analysis is that adaptive strategies in both selections maximize an identical function, providing both population growth rate and carrying capacity. We apply our method to an optimal foraging problem in a semelparous species model and demonstrate that the adaptive strategy yields a lower intrinsic growth rate as well as a lower basic reproductive number than those obtained with other strategies. This study proposes that the diversity of life strategies arises due to the effects of density and internal stochasticity.
Energy Technology Data Exchange (ETDEWEB)
Taranenko, Y.; Barnes, C.
1996-12-31
This paper deals with further developments of the new theory that applies stochastic differential geometry (SDG) to dynamics of interest rates. We examine mathematical constraints on the evolution of interest rate volatilities that arise from stochastic differential calculus under assumptions of an arbitrage free evolution of zero coupon bonds and developed markets (i.e., none of the party/factor can drive the whole market). The resulting new theory incorporates the Heath-Jarrow-Morton (HJM) model of interest rates and provides new equations for volatilities which makes the system of equations for interest rates and volatilities complete and self consistent. It results in much smaller amount of volatility data that should be guessed for the SDG model as compared to the HJM model. Limited analysis of the market volatility data suggests that the assumption of the developed market is violated around maturity of two years. Such maturities where the assumptions of the SDG model are violated are suggested to serve as boundaries at which volatilities should be specified independently from the model. Our numerical example with two boundaries (two years and five years) qualitatively resembles the market behavior. Under some conditions solutions of the SDG model become singular that may indicate market crashes. More detail comparison with the data is needed before the theory can be established or refuted.
Sierra Structural Dynamics Theory Manual
Energy Technology Data Exchange (ETDEWEB)
Reese, Garth M. [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
2015-10-19
Sierra/SD provides a massively parallel implementation of structural dynamics finite element analysis, required for high fidelity, validated models used in modal, vibration, static and shock analysis of structural systems. This manual describes the theory behind many of the constructs in Sierra/SD. For a more detailed description of how to use Sierra/SD , we refer the reader to Sierra/SD, User's Notes . Many of the constructs in Sierra/SD are pulled directly from published material. Where possible, these materials are referenced herein. However, certain functions in Sierra/SD are specific to our implementation. We try to be far more complete in those areas. The theory manual was developed from several sources including general notes, a programmer notes manual, the user's notes and of course the material in the open literature. This page intentionally left blank.
Stochastic dynamics of adaptive trait and neutral marker driven by eco-evolutionary feedbacks.
Billiard, Sylvain; Ferrière, Régis; Méléard, Sylvie; Tran, Viet Chi
2015-11-01
How the neutral diversity is affected by selection and adaptation is investigated in an eco-evolutionary framework. In our model, we study a finite population in continuous time, where each individual is characterized by a trait under selection and a completely linked neutral marker. Population dynamics are driven by births and deaths, mutations at birth, and competition between individuals. Trait values influence ecological processes (demographic events, competition), and competition generates selection on trait variation, thus closing the eco-evolutionary feedback loop. The demographic effects of the trait are also expected to influence the generation and maintenance of neutral variation. We consider a large population limit with rare mutation, under the assumption that the neutral marker mutates faster than the trait under selection. We prove the convergence of the stochastic individual-based process to a new measure-valued diffusive process with jumps that we call Substitution Fleming-Viot Process (SFVP). When restricted to the trait space this process is the Trait Substitution Sequence first introduced by Metz et al. (1996). During the invasion of a favorable mutation, a genetical bottleneck occurs and the marker associated with this favorable mutant is hitchhiked. By rigorously analysing the hitchhiking effect and how the neutral diversity is restored afterwards, we obtain the condition for a time-scale separation; under this condition, we show that the marker distribution is approximated by a Fleming-Viot distribution between two trait substitutions. We discuss the implications of the SFVP for our understanding of the dynamics of neutral variation under eco-evolutionary feedbacks and illustrate the main phenomena with simulations. Our results highlight the joint importance of mutations, ecological parameters, and trait values in the restoration of neutral diversity after a selective sweep.
Stochastic Mesocortical Dynamics and Robustness of Working Memory during Delay-Period.
Directory of Open Access Journals (Sweden)
Melissa Reneaux
Full Text Available The role of prefronto-mesoprefrontal system in the dopaminergic modulation of working memory during delayed response tasks is well-known. Recently, a dynamical model of the closed-loop mesocortical circuit has been proposed which employs a deterministic framework to elucidate the system's behavior in a qualitative manner. Under natural conditions, noise emanating from various sources affects the circuit's functioning to a great extent. Accordingly in the present study, we reformulate the model into a stochastic framework and investigate its steady state properties in the presence of constant background noise during delay-period. From the steady state distribution, global potential landscape and signal-to-noise ratio are obtained which help in defining robustness of the circuit dynamics. This provides insight into the robustness of working memory during delay-period against its disruption due to background noise. The findings reveal that the global profile of circuit's robustness is predominantly governed by the level of D1 receptor activity and high D1 receptor stimulation favors the working memory-associated sustained-firing state over the spontaneous-activity state of the system. Moreover, the circuit's robustness is further fine-tuned by the levels of excitatory and inhibitory activities in a way such that the robustness of sustained-firing state exhibits an inverted-U shaped profile with respect to D1 receptor stimulation. It is predicted that the most robust working memory is formed possibly at a subtle ratio of the excitatory and inhibitory activities achieved at a critical level of D1 receptor stimulation. The study also paves a way to understand various cognitive deficits observed in old-age, acute stress and schizophrenia and suggests possible mechanistic routes to the working memory impairments based on the circuit's robustness profile.
Stochastic Mesocortical Dynamics and Robustness of Working Memory during Delay-Period.
Reneaux, Melissa; Gupta, Rahul; Karmeshu
2015-01-01
The role of prefronto-mesoprefrontal system in the dopaminergic modulation of working memory during delayed response tasks is well-known. Recently, a dynamical model of the closed-loop mesocortical circuit has been proposed which employs a deterministic framework to elucidate the system's behavior in a qualitative manner. Under natural conditions, noise emanating from various sources affects the circuit's functioning to a great extent. Accordingly in the present study, we reformulate the model into a stochastic framework and investigate its steady state properties in the presence of constant background noise during delay-period. From the steady state distribution, global potential landscape and signal-to-noise ratio are obtained which help in defining robustness of the circuit dynamics. This provides insight into the robustness of working memory during delay-period against its disruption due to background noise. The findings reveal that the global profile of circuit's robustness is predominantly governed by the level of D1 receptor activity and high D1 receptor stimulation favors the working memory-associated sustained-firing state over the spontaneous-activity state of the system. Moreover, the circuit's robustness is further fine-tuned by the levels of excitatory and inhibitory activities in a way such that the robustness of sustained-firing state exhibits an inverted-U shaped profile with respect to D1 receptor stimulation. It is predicted that the most robust working memory is formed possibly at a subtle ratio of the excitatory and inhibitory activities achieved at a critical level of D1 receptor stimulation. The study also paves a way to understand various cognitive deficits observed in old-age, acute stress and schizophrenia and suggests possible mechanistic routes to the working memory impairments based on the circuit's robustness profile.
International Nuclear Information System (INIS)
Argentiero, Amedeo; Bovi, Maurizio; Cerqueti, Roy
2016-01-01
This paper examines psycho-induced overconsumption in a dynamic stochastic context. As emphasized by well-established psychological results, these psycho-distortions derive from a decision making based on simple rules-of-thumb, not on analytically sounded optimizations. To our end, we therefore compare two New Keynesian models. The first is populated by optimizing Muth-rational agents and acts as the normative benchmark. The other is a “psycho-perturbed” version of the benchmark that allows for the potential presence of overoptimism and, hence, of overconsumption. The parameters of these models are estimated through a Bayesian-type procedure, and performances are evaluated by employing an entropy measure. Such methodologies are particularly appropriate here since they take in full consideration the complexity generated by the randomness of the considered systems. In particular, they let to derive a not negligible information on the size and on the cyclical properties of the biases. In line with cognitive psychology suggestions our evidence shows that the overoptimism/overconsumption is: widespread—it is detected in nation-wide data; persistent—it emerges in full-sample estimations; it moves according to the expected cyclical behavior—larger in booms, and it disappears in crises. Moreover, by taking into account the effect of these psycho-biases, the model fits actual data better than the benchmark. All considered, then, enhancing the existing literature our findings: i) sustain the importance of inserting psychological distortions in macroeconomic models and ii) underline that system dynamics and psycho biases have statistically significant and economically important connections.
International Nuclear Information System (INIS)
Ferrari, Franco; Paturej, Jaroslaw
2009-01-01
The dynamics of a freely jointed chain in the continuous limit is described by a field theory which closely resembles the nonlinear sigma model. The generating functional Ψ[J] of this field theory contains nonholonomic constraints, which are imposed by inserting in the path integral expressing Ψ[J] a suitable product of delta functions. The same procedure is commonly applied in statistical mechanics in order to enforce topological conditions on a system of linked polymers. The disadvantage of this method is that the contact with the stochastic process governing the diffusion of the chain is apparently lost. The main goal of this work is to re-establish this contact. For this purpose, it is shown here that the generating functional Ψ[J] coincides with the generating functional of the correlation functions of the solutions of a constrained Langevin equation. In the discrete case, this Langevin equation describes as expected the Brownian motion of beads connected together by links of fixed length
DEFF Research Database (Denmark)
Köyluoglu, H.U.; Nielsen, Søren R.K.; Cakmak, A.S.
1994-01-01
perturbation method using stochastic differential equations. The joint statistical moments entering the perturbation solution are determined by considering an augmented dynamic system with state variables made up of the displacement and velocity vector and their first and second derivatives with respect......The paper deals with the first and second order statistical moments of the response of linear systems with random parameters subject to random excitation modelled as white-noise multiplied by an envelope function with random parameters. The method of analysis is basically a second order...... to the random parameters of the problem. Equations for partial derivatives are obtained from the partial differentiation of the equations of motion. The zero time-lag joint statistical moment equations for the augmented state vector are derived from the Itô differential formula. General formulation is given...
Stochastic generation of explicit pore structures by thresholding Gaussian random fields
Energy Technology Data Exchange (ETDEWEB)
Hyman, Jeffrey D., E-mail: jhyman@lanl.gov [Program in Applied Mathematics, University of Arizona, Tucson, AZ 85721-0089 (United States); Computational Earth Science, Earth and Environmental Sciences (EES-16), and Center for Nonlinear Studies, Los Alamos National Laboratory, Los Alamos, NM 87544 (United States); Winter, C. Larrabee, E-mail: winter@email.arizona.edu [Program in Applied Mathematics, University of Arizona, Tucson, AZ 85721-0089 (United States); Department of Hydrology and Water Resources, University of Arizona, Tucson, AZ 85721-0011 (United States)
2014-11-15
We provide a description and computational investigation of an efficient method to stochastically generate realistic pore structures. Smolarkiewicz and Winter introduced this specific method in pores resolving simulation of Darcy flows (Smolarkiewicz and Winter, 2010 [1]) without giving a complete formal description or analysis of the method, or indicating how to control the parameterization of the ensemble. We address both issues in this paper. The method consists of two steps. First, a realization of a correlated Gaussian field, or topography, is produced by convolving a prescribed kernel with an initial field of independent, identically distributed random variables. The intrinsic length scales of the kernel determine the correlation structure of the topography. Next, a sample pore space is generated by applying a level threshold to the Gaussian field realization: points are assigned to the void phase or the solid phase depending on whether the topography over them is above or below the threshold. Hence, the topology and geometry of the pore space depend on the form of the kernel and the level threshold. Manipulating these two user prescribed quantities allows good control of pore space observables, in particular the Minkowski functionals. Extensions of the method to generate media with multiple pore structures and preferential flow directions are also discussed. To demonstrate its usefulness, the method is used to generate a pore space with physical and hydrological properties similar to a sample of Berea sandstone. -- Graphical abstract: -- Highlights: •An efficient method to stochastically generate realistic pore structures is provided. •Samples are generated by applying a level threshold to a Gaussian field realization. •Two user prescribed quantities determine the topology and geometry of the pore space. •Multiple pore structures and preferential flow directions can be produced. •A pore space based on Berea sandstone is generated.
Denteneer, Dee; Verbitskiy, Evgeny
2006-01-01
Contains 29 contributions by Mike's closest colleagues and friends, covering a broad range of topics in Dynamics and Stochastics. - To celebrate Mike's scientific achievements, a conference entitled "Dynamical Systems, Probability Theory and Statistical Mechanics" was organized in Eindhoven, The Netherlands, during the week of January 3-7, 2005. This conference was hosted jointly by EURANDOM and by Philips Research. It drew over 80 participants from 5 continents, which is a sign of the warm affection and high esteem for Mike felt by the international mathematics community.
Trask, Amanda E; Bignal, Eric M; McCracken, Davy I; Piertney, Stuart B; Reid, Jane M
2017-09-01
A population's effective size (N e ) is a key parameter that shapes rates of inbreeding and loss of genetic diversity, thereby influencing evolutionary processes and population viability. However, estimating N e , and identifying key demographic mechanisms that underlie the N e to census population size (N) ratio, remains challenging, especially for small populations with overlapping generations and substantial environmental and demographic stochasticity and hence dynamic age-structure. A sophisticated demographic method of estimating N e /N, which uses Fisher's reproductive value to account for dynamic age-structure, has been formulated. However, this method requires detailed individual- and population-level data on sex- and age-specific reproduction and survival, and has rarely been implemented. Here, we use the reproductive value method and detailed demographic data to estimate N e /N for a small and apparently isolated red-billed chough (Pyrrhocorax pyrrhocorax) population of high conservation concern. We additionally calculated two single-sample molecular genetic estimates of N e to corroborate the demographic estimate and examine evidence for unobserved immigration and gene flow. The demographic estimate of N e /N was 0.21, reflecting a high total demographic variance (σ2dg) of 0.71. Females and males made similar overall contributions to σ2dg. However, contributions varied among sex-age classes, with greater contributions from 3 year-old females than males, but greater contributions from ≥5 year-old males than females. The demographic estimate of N e was ~30, suggesting that rates of increase of inbreeding and loss of genetic variation per generation will be relatively high. Molecular genetic estimates of N e computed from linkage disequilibrium and approximate Bayesian computation were approximately 50 and 30, respectively, providing no evidence of substantial unobserved immigration which could bias demographic estimates of N e . Our analyses identify
International Nuclear Information System (INIS)
Ertaş, Mehmet; Kantar, Ersin; Keskin, Mustafa
2014-01-01
The dynamic phase transitions (DPTs) and dynamic phase diagrams of the kinetic spin-1/2 bilayer system in the presence of a time-dependent oscillating external magnetic field are studied by using Glauber-type stochastic dynamics based on the effective-field theory with correlations for the ferromagnetic/ferromagnetic (FM/FM), antiferromagnetic/ferromagnetic (AFM/FM) and antiferromagnetic/antiferromagnetic (AFM/AFM) interactions. The time variations of average magnetizations and the temperature dependence of the dynamic magnetizations are investigated. The dynamic phase diagrams for the amplitude of the oscillating field versus temperature were presented. The results are compared with the results of the same system within Glauber-type stochastic dynamics based on the mean-field theory. - Highlights: • The Ising bilayer system is investigated within the Glauber dynamics based on EFT. • The time variations of average order parameters to find phases are studied. • The dynamic phase diagrams are found for the different interaction parameters. • The system displays the critical points as well as a re-entrant behavior
Energy Technology Data Exchange (ETDEWEB)
Ertaş, Mehmet; Kantar, Ersin, E-mail: ersinkantar@erciyes.edu.tr; Keskin, Mustafa
2014-05-01
The dynamic phase transitions (DPTs) and dynamic phase diagrams of the kinetic spin-1/2 bilayer system in the presence of a time-dependent oscillating external magnetic field are studied by using Glauber-type stochastic dynamics based on the effective-field theory with correlations for the ferromagnetic/ferromagnetic (FM/FM), antiferromagnetic/ferromagnetic (AFM/FM) and antiferromagnetic/antiferromagnetic (AFM/AFM) interactions. The time variations of average magnetizations and the temperature dependence of the dynamic magnetizations are investigated. The dynamic phase diagrams for the amplitude of the oscillating field versus temperature were presented. The results are compared with the results of the same system within Glauber-type stochastic dynamics based on the mean-field theory. - Highlights: • The Ising bilayer system is investigated within the Glauber dynamics based on EFT. • The time variations of average order parameters to find phases are studied. • The dynamic phase diagrams are found for the different interaction parameters. • The system displays the critical points as well as a re-entrant behavior.
Dynamic analysis of embedded structures
International Nuclear Information System (INIS)
Kausel, E.; Whitman, R.V.; Morray, J.P.
1977-01-01
The paper presents simplified rules to account for embeddment and soil layering in the soil-structure interaction problem, to be used in dynamic analysis. The relationship between the spring method, and a direct solution (in which both soil and structure are modeled with finite elements and linear members) is first presented. It is shown that for consistency of the results with the two solution methods the spring method should be performed in the following three steps: 1. Determination of the motion of the massless foundation (having the same shape as the actual one) when subjected to the same input motion as the direct solution. 2. Determination of the frequency dependent subgrade stiffness for the relevant degrees of freedom. 3. Computations of the response of the real structure supported on frequency dependent soil springs and subjected at the base of these springs to the motion computed in step 1. The first two steps require, in general, finite element methods, which would make the procedure not attractive. It is shown in the paper, however, that excellent approximations can be obtained, on the basis of 1-dimensional wave propagation theory for the solution of step 1, and correction factors modifying for embeddment the corresponding springs of a surface footing on a layered stratum, for the solution of step 2. (Auth.)
Watzek, Julia; Brosnan, Sarah F
2018-05-28
Human and animal decision-making is known to violate rational expectations in a variety of contexts. Previous models suggest that statistical structures of real-world environments can favor such seemingly irrational behavior, but this has not been tested empirically. We tested 16 capuchin monkeys, seven rhesus monkeys, and 30 humans in a computerized experiment that implemented such stochastic environments. Subjects chose from among up to three options of different value that disappeared and became available again with different probabilities. All species overwhelmingly chose transitively (A > B > C) in the control condition, where doing so maximized overall gain. Most subjects also adhered to transitivity in the test condition, where it was suboptimal, but ultimately led to negligible losses compared to the optimal, non-transitive strategy. We used a modelling approach to show that differences in temporal discounting may account for this pattern of choices on a proximate level. Specifically, when short- and long-term goals are valued similarly, near-optimal decision rules can map onto rational choice principles. Such cognitive shortcuts have been argued to have evolved to preserve mental resources without sacrificing good decision-making, and here we provide evidence that these heuristics can provide almost identical outcomes even in situations in which they lead to suboptimal choices. Copyright © 2018 Elsevier B.V. All rights reserved.
Dynamic buckling of inelastic structures
International Nuclear Information System (INIS)
Pegon, P.; Guelin, P.
1983-01-01
The aim of this paper is to provide research engineers with a method of approach, qualitative feature and order of magnitude of the relevant parameters in the field of dynamic buckling of structures exhibiting constitutive irreversibility and geometrical, constitutive or loading imperfections. It is difficult to adjust some of the classical analysis of the quasi-static elastic case. There remain also some difficulties in justifying the choice of constitutive schemes and in dealing with general kinematic formulation. Moreover, the interpretation of dynamical experimental data is not an easy matter. Consequently, the attempts described here use a simple symbolic model including all essential physical aspects. This symbolic model, of discrete character, is an n-hinged strut with masses located at each n+1 joint. The constitutive properties of the strut and hinge are defined using the same method: a dash-pot is in parallel with a two fold element (spring and friction-slider in series). The intrinsic restrictions are: the two dimensionality assumption, however no additional hypothesis are made concerning the kinematic of the constitutive elements; the use of simple sources of intrinsic dissipation. The relevant question of the longitudinal-transverse coupling effects is studied. Then, after various validation, we verify that a Lagrange resolution of this n+1 body problem gives physical relevant qualitative results concerning rods and cylindrical shells subjected to impact loading. (orig./RW)
Relating structure and dynamics in organisation models
Jonker, C.M.; Treur, J.
2003-01-01
To understand how an organisational structure relates to dynamics is an interesting fundamental challenge in the area of social modelling. Specifications of organisational structure usually have a diagrammatic form that abstracts from more detailed dynamics. Dynamic properties of agent systems, on
A stochastic approach for the description of the water balance dynamics in a river basin
Directory of Open Access Journals (Sweden)
S. Manfreda
2008-09-01
Full Text Available The present paper introduces an analytical approach for the description of the soil water balance dynamics over a schematic river basin. The model is based on a stochastic differential equation where the rainfall forcing is interpreted as an additive noise in the soil water balance. This equation can be solved assuming known the spatial distribution of the soil moisture over the basin transforming the two-dimensional problem in space in a one dimensional one. This assumption is particularly true in the case of humid and semihumid environments, where spatial redistribution becomes dominant producing a well defined soil moisture pattern. The model allowed to derive the probability density function of the saturated portion of a basin and of its relative saturation. This theory is based on the assumption that the soil water storage capacity varies across the basin following a parabolic distribution and the basin has homogeneous soil texture and vegetation cover. The methodology outlined the role played by the soil water storage capacity distribution of the basin on soil water balance. In particular, the resulting probability density functions of the relative basin saturation were found to be strongly controlled by the maximum water storage capacity of the basin, while the probability density functions of the relative saturated portion of the basin are strongly influenced by the spatial heterogeneity of the soil water storage capacity. Moreover, the saturated areas reach their maximum variability when the mean rainfall rate is almost equal to the soil water loss coefficient given by the sum of the maximum rate of evapotranspiration and leakage loss in the soil water balance. The model was tested using the results of a continuous numerical simulation performed with a semi-distributed model in order to validate the proposed theoretical distributions.
Seasonal Synchronization of a Simple Stochastic Dynamical Model Capturing El Niño Diversity
Thual, S.; Majda, A.; Chen, N.
2017-12-01
The El Niño-Southern Oscillation (ENSO) has significant impact on global climate and seasonal prediction. Recently, a simple ENSO model was developed that automatically captures the ENSO diversity and intermittency in nature, where state-dependent stochastic wind bursts and nonlinear advection of sea surface temperature (SST) are coupled to simple ocean-atmosphere processes that are otherwise deterministic, linear and stable. In the present article, it is further shown that the model can reproduce qualitatively the ENSO synchronization (or phase-locking) to the seasonal cycle in nature. This goal is achieved by incorporating a cloud radiative feedback that is derived naturally from the model's atmosphere dynamics with no ad-hoc assumptions and accounts in simple fashion for the marked seasonal variations of convective activity and cloud cover in the eastern Pacific. In particular, the weak convective response to SSTs in boreal fall favors the eastern Pacific warming that triggers El Niño events while the increased convective activity and cloud cover during the following spring contributes to the shutdown of those events by blocking incoming shortwave solar radiations. In addition to simulating the ENSO diversity with realistic non-Gaussian statistics in different Niño regions, both the eastern Pacific moderate and super El Niño, the central Pacific El Niño as well as La Niña show a realistic chronology with a tendency to peak in boreal winter as well as decreased predictability in spring consistent with the persistence barrier in nature. The incorporation of other possible seasonal feedbacks in the model is also documented for completeness.
International Nuclear Information System (INIS)
Voter, A. F.; Sindhikara, Daniel J.; Kim, Seonah; Roitberg, Adrian E.
2009-01-01
Molecular dynamics simulations starting from different initial conditions are commonly used to mimic the behavior of an experimental ensemble. We show in this article that when a Langevin thermostat is used to maintain constant temperature during such simulations, extreme care must be taken when choosing the random number seeds used in order to prevent statistical correlation among the MD trajectories. While recent studies have shown that stochastically thermostatted trajectories evolving within a single potential basin with identical random number seeds tend to synchronize, we show that there is a synchronization effect even for complex, biologically relevant systems. We demonstrate this effect in simulations of Alanine trimer and pentamer and in a simulation of a temperature-jump experiment for peptide folding of a 14-residue peptide. Even in replica-exchange simulations, in which the trajectories are at different temperatures, we find partial synchronization occurring when the same random number seed is employed. We explain this by extending the recent derivation of the synchronization effect for two trajectories in a harmonic well to the case in which the trajectories are at two different temperatures. Our results suggest several ways in which mishandling selection of a pseudo random number generator initial seed can lead to corruption of simulation data. Simulators can fall into this trap in simple situations such as neglecting to specifically indicate different random seeds in either parallel or sequential restart simulations, utilizing a simulation package with a weak pseudorandom number generator, or using an advanced simulation algorithm that hasn't been programmed to distribute initial seeds
Robinson, Lucy F; Atlas, Lauren Y; Wager, Tor D
2015-03-01
We present a new method, State-based Dynamic Community Structure, that detects time-dependent community structure in networks of brain regions. Most analyses of functional connectivity assume that network behavior is static in time, or differs between task conditions with known timing. Our goal is to determine whether brain network topology remains stationary over time, or if changes in network organization occur at unknown time points. Changes in network organization may be related to shifts in neurological state, such as those associated with learning, drug uptake or experimental conditions. Using a hidden Markov stochastic blockmodel, we define a time-dependent community structure. We apply this approach to data from a functional magnetic resonance imaging experiment examining how contextual factors influence drug-induced analgesia. Results reveal that networks involved in pain, working memory, and emotion show distinct profiles of time-varying connectivity. Copyright © 2014 Elsevier Inc. All rights reserved.
Hsia, Wei-Shen
1986-01-01
In the Control Systems Division of the Systems Dynamics Laboratory of the NASA/MSFC, a Ground Facility (GF), in which the dynamics and control system concepts being considered for Large Space Structures (LSS) applications can be verified, was designed and built. One of the important aspects of the GF is to design an analytical model which will be as close to experimental data as possible so that a feasible control law can be generated. Using Hyland's Maximum Entropy/Optimal Projection Approach, a procedure was developed in which the maximum entropy principle is used for stochastic modeling and the optimal projection technique is used for a reduced-order dynamic compensator design for a high-order plant.
Directory of Open Access Journals (Sweden)
Muhammad Murtadha Othman
2017-06-01
Full Text Available With the advent of advanced technology in smart grid, the implementation of renewable energy in a stressed and complicated power system operation, aggravated by a competitive electricity market and critical system contingencies, this will inflict higher probabilities of the occurrence of a severe dynamic power system blackout. This paper presents the proposed stochastic event tree technique used to assess the sustainability against the occurrence of dynamic power system blackout emanating from implication of critical system contingencies such as the rapid increase in total loading condition and sensitive initial transmission line tripping. An extensive analysis of dynamic power system blackout has been carried out in a case study of the following power systems: IEEE RTS-79 and IEEE RTS-96. The findings have shown that the total loading conditions and sensitive transmission lines need to be given full attention by the utility to prevent the occurrence of dynamic power system blackout.
Langevin dynamics for ramified structures
Méndez, Vicenç; Iomin, Alexander; Horsthemke, Werner; Campos, Daniel
2017-06-01
We propose a generalized Langevin formalism to describe transport in combs and similar ramified structures. Our approach consists of a Langevin equation without drift for the motion along the backbone. The motion along the secondary branches may be described either by a Langevin equation or by other types of random processes. The mean square displacement (MSD) along the backbone characterizes the transport through the ramified structure. We derive a general analytical expression for this observable in terms of the probability distribution function of the motion along the secondary branches. We apply our result to various types of motion along the secondary branches of finite or infinite length, such as subdiffusion, superdiffusion, and Langevin dynamics with colored Gaussian noise and with non-Gaussian white noise. Monte Carlo simulations show excellent agreement with the analytical results. The MSD for the case of Gaussian noise is shown to be independent of the noise color. We conclude by generalizing our analytical expression for the MSD to the case where each secondary branch is n dimensional.
Mostert, P F; Bokkers, E A M; van Middelaar, C E; Hogeveen, H; de Boer, I J M
2018-01-01
The objective of this study was to estimate the economic impact of subclinical ketosis (SCK) in dairy cows. This metabolic disorder occurs in the period around calving and is associated with an increased risk of other diseases. Therefore, SCK affects farm productivity and profitability. Estimating the economic impact of SCK may make farmers more aware of this problem, and can improve their decision-making regarding interventions to reduce SCK. We developed a dynamic stochastic simulation model that enables estimating the economic impact of SCK and related diseases (i.e. mastitis, metritis, displaced abomasum, lameness and clinical ketosis) occurring during the first 30 days after calving. This model, which was applied to a typical Dutch dairy herd, groups cows according to their parity (1 to 5+), and simulates the dynamics of SCK and related diseases, and milk production per cow during one lactation. The economic impact of SCK and related diseases resulted from a reduced milk production, discarded milk, treatment costs, costs from a prolonged calving interval and removal (culling or dying) of cows. The total costs of SCK were €130 per case per year, with a range between €39 and €348 (5 to 95 percentiles). The total costs of SCK per case per year, moreover, increased from €83 per year in parity 1 to €175 in parity 3. Most cows with SCK, however, had SCK only (61%), and costs were €58 per case per year. Total costs of SCK per case per year resulted for 36% from a prolonged calving interval, 24% from reduced milk production, 19% from treatment, 14% from discarded milk and 6% from removal. Results of the sensitivity analysis showed that the disease incidence, removal risk, relations of SCK with other diseases and prices of milk resulted in a high variation of costs of SCK. The costs of SCK, therefore, might differ per farm because of farm-specific circumstances. Improving data collection on the incidence of SCK and related diseases, and on consequences of
International Nuclear Information System (INIS)
Das, Sonjoy; Goswami, Kundan; Datta, Biswa N.
2014-01-01
Failure of structural systems under dynamic loading can be prevented via active vibration control which shifts the damped natural frequencies of the systems away from the dominant range of loading spectrum. The damped natural frequencies and the dynamic load typically show significant variations in practice. A computationally efficient methodology based on quadratic partial eigenvalue assignment technique and optimization under uncertainty has been formulated in the present work that will rigorously account for these variations and result in an economic and resilient design of structures. A novel scheme based on hierarchical clustering and importance sampling is also developed in this work for accurate and efficient estimation of probability of failure to guarantee the desired resilience level of the designed system. Numerical examples are presented to illustrate the proposed methodology
Energy Technology Data Exchange (ETDEWEB)
Das, Sonjoy; Goswami, Kundan [University at Buffalo, NY (United States); Datta, Biswa N. [Northern Illinois University, IL (United States)
2014-12-10
Failure of structural systems under dynamic loading can be prevented via active vibration control which shifts the damped natural frequencies of the systems away from the dominant range of loading spectrum. The damped natural frequencies and the dynamic load typically show significant variations in practice. A computationally efficient methodology based on quadratic partial eigenvalue assignment technique and optimization under uncertainty has been formulated in the present work that will rigorously account for these variations and result in an economic and resilient design of structures. A novel scheme based on hierarchical clustering and importance sampling is also developed in this work for accurate and efficient estimation of probability of failure to guarantee the desired resilience level of the designed system. Numerical examples are presented to illustrate the proposed methodology.
International Nuclear Information System (INIS)
Jang, Hong; Lee, Jay H.; Braatz, Richard D.
2016-01-01
This paper proposes a maximum likelihood estimation (MLE) method for estimating time varying local concentration of the target molecule proximate to the sensor from the time profile of monomolecular adsorption and desorption on the surface of the sensor at nanoscale. Recently, several carbon nanotube sensors have been developed that can selectively detect target molecules at a trace concentration level. These sensors use light intensity changes mediated by adsorption or desorption phenomena on their surfaces. The molecular events occurring at trace concentration levels are inherently stochastic, posing a challenge for optimal estimation. The stochastic behavior is modeled by the chemical master equation (CME), composed of a set of ordinary differential equations describing the time evolution of probabilities for the possible adsorption states. Given the significant stochastic nature of the underlying phenomena, rigorous stochastic estimation based on the CME should lead to an improved accuracy over than deterministic estimation formulated based on the continuum model. Motivated by this expectation, we formulate the MLE based on an analytical solution of the relevant CME, both for the constant and the time-varying local concentrations, with the objective of estimating the analyte concentration field in real time from the adsorption readings of the sensor array. The performances of the MLE and the deterministic least squares are compared using data generated by kinetic Monte Carlo (KMC) simulations of the stochastic process. Some future challenges are described for estimating and controlling the concentration field in a distributed domain using the sensor technology.
Stochasticity and determinism in models of hematopoiesis.
Kimmel, Marek
2014-01-01
This chapter represents a novel view of modeling in hematopoiesis, synthesizing both deterministic and stochastic approaches. Whereas the stochastic models work in situations where chance dominates, for example when the number of cells is small, or under random mutations, the deterministic models are more important for large-scale, normal hematopoiesis. New types of models are on the horizon. These models attempt to account for distributed environments such as hematopoietic niches and their impact on dynamics. Mixed effects of such structures and chance events are largely unknown and constitute both a challenge and promise for modeling. Our discussion is presented under the separate headings of deterministic and stochastic modeling; however, the connections between both are frequently mentioned. Four case studies are included to elucidate important examples. We also include a primer of deterministic and stochastic dynamics for the reader's use.
Nonlinear Damping Identification in Nonlinear Dynamic System Based on Stochastic Inverse Approach
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S. L. Han
2012-01-01
Full Text Available The nonlinear model is crucial to prepare, supervise, and analyze mechanical system. In this paper, a new nonparametric and output-only identification procedure for nonlinear damping is studied. By introducing the concept of the stochastic state space, we formulate a stochastic inverse problem for a nonlinear damping. The solution of the stochastic inverse problem is designed as probabilistic expression via the hierarchical Bayesian formulation by considering various uncertainties such as the information insufficiency in parameter of interests or errors in measurement. The probability space is estimated using Markov chain Monte Carlo (MCMC. The applicability of the proposed method is demonstrated through numerical experiment and particular application to a realistic problem related to ship roll motion.
A Stochastic Polygons Model for Glandular Structures in Colon Histology Images.
Sirinukunwattana, Korsuk; Snead, David R J; Rajpoot, Nasir M
2015-11-01
In this paper, we present a stochastic model for glandular structures in histology images of tissue slides stained with Hematoxylin and Eosin, choosing colon tissue as an example. The proposed Random Polygons Model (RPM) treats each glandular structure in an image as a polygon made of a random number of vertices, where the vertices represent approximate locations of epithelial nuclei. We formulate the RPM as a Bayesian inference problem by defining a prior for spatial connectivity and arrangement of neighboring epithelial nuclei and a likelihood for the presence of a glandular structure. The inference is made via a Reversible-Jump Markov chain Monte Carlo simulation. To the best of our knowledge, all existing published algorithms for gland segmentation are designed to mainly work on healthy samples, adenomas, and low grade adenocarcinomas. One of them has been demonstrated to work on intermediate grade adenocarcinomas at its best. Our experimental results show that the RPM yields favorable results, both quantitatively and qualitatively, for extraction of glandular structures in histology images of normal human colon tissues as well as benign and cancerous tissues, excluding undifferentiated carcinomas.
Directory of Open Access Journals (Sweden)
Rathinasamy Sakthivel
2018-01-01
Full Text Available The problem of robust nonfragile synchronization is investigated in this paper for a class of complex dynamical networks subject to semi-Markov jumping outer coupling, time-varying coupling delay, randomly occurring gain variation, and stochastic noise over a desired finite-time interval. In particular, the network topology is assumed to follow a semi-Markov process such that it may switch from one to another at different instants. In this paper, the random gain variation is represented by a stochastic variable that is assumed to satisfy the Bernoulli distribution with white sequences. Based on these hypotheses and the Lyapunov-Krasovskii stability theory, a new finite-time stochastic synchronization criterion is established for the considered network in terms of linear matrix inequalities. Moreover, the control design parameters that guarantee the required criterion are computed by solving a set of linear matrix inequality constraints. An illustrative example is finally given to show the effectiveness and advantages of the developed analytical results.
Energy Technology Data Exchange (ETDEWEB)
Homem-de-Mello, Tito [University of Illinois at Chicago, Department of Mechanical and Industrial Engineering, Chicago, IL (United States); Matos, Vitor L. de; Finardi, Erlon C. [Universidade Federal de Santa Catarina, LabPlan - Laboratorio de Planejamento de Sistemas de Energia Eletrica, Florianopolis (Brazil)
2011-03-15
The long-term hydrothermal scheduling is one of the most important problems to be solved in the power systems area. This problem aims to obtain an optimal policy, under water (energy) resources uncertainty, for hydro and thermal plants over a multi-annual planning horizon. It is natural to model the problem as a multi-stage stochastic program, a class of models for which algorithms have been developed. The original stochastic process is represented by a finite scenario tree and, because of the large number of stages, a sampling-based method such as the Stochastic Dual Dynamic Programming (SDDP) algorithm is required. The purpose of this paper is two-fold. Firstly, we study the application of two alternative sampling strategies to the standard Monte Carlo - namely, Latin hypercube sampling and randomized quasi-Monte Carlo - for the generation of scenario trees, as well as for the sampling of scenarios that is part of the SDDP algorithm. Secondly, we discuss the formulation of stopping criteria for the optimization algorithm in terms of statistical hypothesis tests, which allows us to propose an alternative criterion that is more robust than that originally proposed for the SDDP. We test these ideas on a problem associated with the whole Brazilian power system, with a three-year planning horizon. (orig.)
Exact many-body dynamics with stochastic one-body density matrix evolution
International Nuclear Information System (INIS)
Lacroix, D.
2004-05-01
In this article, we discuss some properties of the exact treatment of the many-body problem with stochastic Schroedinger equation (SSE). Starting from the SSE theory, an equivalent reformulation is proposed in terms of quantum jumps in the density matrix space. The technical details of the derivation a stochastic version of the Liouville von Neumann equation are given. It is shown that the exact Many-Body problem could be replaced by an ensemble of one-body density evolution, where each density matrix evolves according to its own mean-field augmented by a one-body noise. (author)
Giona, Massimiliano; Brasiello, Antonio; Crescitelli, Silvestro
2017-07-01
We analyze the thermodynamic properties of stochastic differential equations driven by smooth Poisson-Kac fluctuations, and their convergence, in the Kac limit, towards Wiener-driven Langevin equations. Using a Markovian embedding of the stochastic work variable, it is proved that the Kac-limit convergence implies a Stratonovich formulation of the limit Langevin equations, in accordance with the Wong-Zakai theorem. Exact moment analysis applied to the case of a purely frictional system shows the occurrence of different regimes and crossover phenomena in the parameter space.
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.
Using stochastic dynamic programming to support catchment-scale water resources management in China
Davidsen, Claus; Pereira-Cardenal, Silvio Javier; Liu, Suxia; Mo, Xingguo; Rosbjerg, Dan; Bauer-Gottwein, Peter
2013-04-01
A hydro-economic modelling approach is used to optimize reservoir management at river basin level. We demonstrate the potential of this integrated approach on the Ziya River basin, a complex basin on the North China Plain south-east of Beijing. The area is subject to severe water scarcity due to low and extremely seasonal precipitation, and the intense agricultural production is highly dependent on irrigation. Large reservoirs provide water storage for dry months while groundwater and the external South-to-North Water Transfer Project are alternative sources of water. An optimization model based on stochastic dynamic programming has been developed. The objective function is to minimize the total cost of supplying water to the users, while satisfying minimum ecosystem flow constraints. Each user group (agriculture, domestic and industry) is characterized by fixed demands, fixed water allocation costs for the different water sources (surface water, groundwater and external water) and fixed costs of water supply curtailment. The multiple reservoirs in the basin are aggregated into a single reservoir to reduce the dimensions of decisions. Water availability is estimated using a hydrological model. The hydrological model is based on the Budyko framework and is forced with 51 years of observed daily rainfall and temperature data. 23 years of observed discharge from an in-situ station located downstream a remote mountainous catchment is used for model calibration. Runoff serial correlation is described by a Markov chain that is used to generate monthly runoff scenarios to the reservoir. The optimal costs at a given reservoir state and stage were calculated as the minimum sum of immediate and future costs. Based on the total costs for all states and stages, water value tables were generated which contain the marginal value of stored water as a function of the month, the inflow state and the reservoir state. The water value tables are used to guide allocation decisions in
Turner, Sean; Galelli, Stefano; Wilcox, Karen
2015-04-01
Water reservoir systems are often affected by recurring large-scale ocean-atmospheric anomalies, known as teleconnections, that cause prolonged periods of climatological drought. Accurate forecasts of these events -- at lead times in the order of weeks and months -- may enable reservoir operators to take more effective release decisions to improve the performance of their systems. In practice this might mean a more reliable water supply system, a more profitable hydropower plant or a more sustainable environmental release policy. To this end, climate indices, which represent the oscillation of the ocean-atmospheric system, might be gainfully employed within reservoir operating models that adapt the reservoir operation as a function of the climate condition. This study develops a Stochastic Dynamic Programming (SDP) approach that can incorporate climate indices using a Hidden Markov Model. The model simulates the climatic regime as a hidden state following a Markov chain, with the state transitions driven by variation in climatic indices, such as the Southern Oscillation Index. Time series analysis of recorded streamflow data reveals the parameters of separate autoregressive models that describe the inflow to the reservoir under three representative climate states ("normal", "wet", "dry"). These models then define inflow transition probabilities for use in a classic SDP approach. The key advantage of the Hidden Markov Model is that it allows conditioning the operating policy not only on the reservoir storage and the antecedent inflow, but also on the climate condition, thus potentially allowing adaptability to a broader range of climate conditions. In practice, the reservoir operator would effect a water release tailored to a specific climate state based on available teleconnection data and forecasts. The approach is demonstrated on the operation of a realistic, stylised water reservoir with carry-over capacity in South-East Australia. Here teleconnections relating
International Nuclear Information System (INIS)
Lin Hai; Shuai, J W
2010-01-01
A stochastic spatial model based on the Monte Carlo approach is developed to study the dynamics of human immunodeficiency virus (HIV) infection. We aim to propose a more detailed and realistic simulation frame by incorporating many important features of HIV dynamics, which include infections, replications and mutations of viruses, antigen recognitions, activations and proliferations of lymphocytes, and diffusions, encounters and interactions of virions and lymphocytes. Our model successfully reproduces the three-phase pattern observed in HIV infection, and the simulation results for the time distribution from infection to AIDS onset are also in good agreement with the clinical data. The interactions of viruses and the immune system in all the three phases are investigated. We assess the relative importance of various immune system components in the acute phase. The dynamics of how the two important factors, namely the viral diversity and the asymmetric battle between HIV and the immune system, result in AIDS are investigated in detail with the model.
Liu, Qun; Jiang, Daqing; Shi, Ningzhong; Hayat, Tasawar
2018-02-01
In this paper, we study the dynamics of a stochastic delayed SIR epidemic model with vaccination and double diseases which make the research more complex. The environment variability in this paper is characterized by white noise and Lévy noise. We establish sufficient conditions for extinction and persistence in the mean of the two epidemic diseases. It is shown that: (i) time delay and Lévy noise have important effects on the persistence and extinction of epidemic diseases; (ii) two diseases can coexist under certain conditions.
Stochastic soil water dynamics of phreatophyte vegetation with dimorphic root systems
Vervoort, R.W.; Zee, van der S.E.A.T.M.
2009-01-01
As the direct uptake of deep groundwater by vegetation may be essential in semiarid regions, we incorporated this process in stochastic root zone water balance models. The direct water uptake by vegetation via deep tap roots is simulated using one additional empirical parameter. This is considered
Stochastic Delay Population Dynamics under Regime Switching: Global Solutions and Extinction
Directory of Open Access Journals (Sweden)
Zheng Wu
2013-01-01
Full Text Available This paper is concerned with a delay Lotka-Volterra model under regime switching diffusion in random environment. By using generalized Itô formula, Gronwall inequality and Young’s inequality, some sufficient conditions for existence of global positive solutions and stochastically ultimate boundedness are obtained, respectively. Finally, an example is given to illustrate the main results.
Structural and dynamical properties of Yukawa balls
International Nuclear Information System (INIS)
Block, D; Kroll, M; Arp, O; Piel, A; Kaeding, S; Ivanov, Y; Melzer, A; Henning, C; Baumgartner, H; Ludwig, P; Bonitz, M
2007-01-01
To study the structural and dynamical properties of finite 3D dust clouds (Yukawa balls) new diagnostic tools have been developed. This contribution describes the progress towards 3D diagnostics for measuring the particle positions. It is shown that these diagnostics are capable of investigating the structural and dynamical properties of Yukawa balls and gaining insight into their basic construction principles
Properties of Ti-6Al-4V non-stochastic lattice structures fabricated via electron beam melting
International Nuclear Information System (INIS)
Cansizoglu, O.; Harrysson, O.; Cormier, D.; West, H.; Mahale, T.
2008-01-01
This paper addresses foams which are known as non-stochastic foams, lattice structures, or repeating open cell structure foams. The paper reports on preliminary research involving the design and fabrication of non-stochastic Ti-6Al-4V alloy structures using the electron beam melting (EBM) process. Non-stochastic structures of different cell sizes and densities were investigated. The structures were tested in compression and bending, and the results were compared to results from finite element analysis simulations. It was shown that the build angle and the build orientation affect the properties of the lattice structures. The average compressive strength of the lattice structures with a 10% relative density was 10 MPa, the flexural modulus was 200 MPa and the strength to density ration was 17. All the specimens were fabricated on the EBM A2 machine using a melt speed of 180 mm/s and a beam current of 2 mA. Future applications and FEA modeling were discussed in the paper
International Nuclear Information System (INIS)
Nastac, Laurentiu; El Kaddah, Nagy
2012-01-01
It is well known that casting at low superheat has a strong influence on the solidification morphology and macro- and microstructures of the cast alloy. This paper describes a stochastic mesoscopic solidification model for predicting the grain structure and segregation in cast alloy at low superheat. This model was applied to predict the globular solidification morphology and size as well as solute redistribution of Al in cast Mg AZ31B alloy at superheat of 5°C produced by the Magnetic Suspension Melting (MSM) process, which is an integrated containerless induction melting and casting process. The castings produced at this low superheat have fine globular grain structure, with an average grain size of 80 μm, which is about 3 times smaller than that obtained by conventional casting techniques. The stochastic model was found to reasonably predict the observed grain structure and Al microsegregation. This makes the model a useful tool for controlling the structure of cast magnesium alloys.
Stochastic conditional intensity processes
DEFF Research Database (Denmark)
Bauwens, Luc; Hautsch, Nikolaus
2006-01-01
model allows for a wide range of (cross-)autocorrelation structures in multivariate point processes. The model is estimated by simulated maximum likelihood (SML) using the efficient importance sampling (EIS) technique. By modeling price intensities based on NYSE trading, we provide significant evidence......In this article, we introduce the so-called stochastic conditional intensity (SCI) model by extending Russell’s (1999) autoregressive conditional intensity (ACI) model by a latent common dynamic factor that jointly drives the individual intensity components. We show by simulations that the proposed...... for a joint latent factor and show that its inclusion allows for an improved and more parsimonious specification of the multivariate intensity process...
Structural biology by NMR: structure, dynamics, and interactions.
Directory of Open Access Journals (Sweden)
Phineus R L Markwick
2008-09-01
Full Text Available The function of bio-macromolecules is determined by both their 3D structure and conformational dynamics. These molecules are inherently flexible systems displaying a broad range of dynamics on time-scales from picoseconds to seconds. Nuclear Magnetic Resonance (NMR spectroscopy has emerged as the method of choice for studying both protein structure and dynamics in solution. Typically, NMR experiments are sensitive both to structural features and to dynamics, and hence the measured data contain information on both. Despite major progress in both experimental approaches and computational methods, obtaining a consistent view of structure and dynamics from experimental NMR data remains a challenge. Molecular dynamics simulations have emerged as an indispensable tool in the analysis of NMR data.
Energy Technology Data Exchange (ETDEWEB)
Schmitz, O.
2006-07-15
For a detailed study of the plasma structure and the transport characteristics of a stochastized plasma edge at the tokamak TEXTOR the dynamic ergodic divertor (DED) was constructed, by which differently shaped external disturbing fields are statically and dynamically generated. Aim of this thgesis is to study experimentally the radial and poloidal structure of the plasma edge stochastized by the DED disturbing field and to analyze its transport characteristics. For this spatially highly resolved radial profiles of the electron density and temperature were measured by means of radiation-emission spectroscopy on thermal helium at the high- and low-field side of TEXTOR. These experimental results yield a good stating base for the validation and further development of three-dimensional transport codes.
Tong, Shaocheng; Wang, Tong; Li, Yongming; Zhang, Huaguang
2014-06-01
This paper discusses the problem of adaptive neural network output feedback control for a class of stochastic nonlinear strict-feedback systems. The concerned systems have certain characteristics, such as unknown nonlinear uncertainties, unknown dead-zones, unmodeled dynamics and without the direct measurements of state variables. In this paper, the neural networks (NNs) are employed to approximate the unknown nonlinear uncertainties, and then by representing the dead-zone as a time-varying system with a bounded disturbance. An NN state observer is designed to estimate the unmeasured states. Based on both backstepping design technique and a stochastic small-gain theorem, a robust adaptive NN output feedback control scheme is developed. It is proved that all the variables involved in the closed-loop system are input-state-practically stable in probability, and also have robustness to the unmodeled dynamics. Meanwhile, the observer errors and the output of the system can be regulated to a small neighborhood of the origin by selecting appropriate design parameters. Simulation examples are also provided to illustrate the effectiveness of the proposed approach.
Directory of Open Access Journals (Sweden)
Wenlei Bai
2017-12-01
Full Text Available The deterministic methods generally used to solve DC optimal power flow (OPF do not fully capture the uncertainty information in wind power, and thus their solutions could be suboptimal. However, the stochastic dynamic AC OPF problem can be used to find an optimal solution by fully capturing the uncertainty information of wind power. That uncertainty information of future wind power can be well represented by the short-term future wind power scenarios that are forecasted using the generalized dynamic factor model (GDFM—a novel multivariate statistical wind power forecasting model. Furthermore, the GDFM can accurately represent the spatial and temporal correlations among wind farms through the multivariate stochastic process. Fully capturing the uncertainty information in the spatially and temporally correlated GDFM scenarios can lead to a better AC OPF solution under a high penetration level of wind power. Since the GDFM is a factor analysis based model, the computational time can also be reduced. In order to further reduce the computational time, a modified artificial bee colony (ABC algorithm is used to solve the AC OPF problem based on the GDFM forecasting scenarios. Using the modified ABC algorithm based on the GDFM forecasting scenarios has resulted in better AC OPF’ solutions on an IEEE 118-bus system at every hour for 24 h.
Sharma, Pankaj; Jain, Ajai
2014-12-01
Stochastic dynamic job shop scheduling problem with consideration of sequence-dependent setup times are among the most difficult classes of scheduling problems. This paper assesses the performance of nine dispatching rules in such shop from makespan, mean flow time, maximum flow time, mean tardiness, maximum tardiness, number of tardy jobs, total setups and mean setup time performance measures viewpoint. A discrete event simulation model of a stochastic dynamic job shop manufacturing system is developed for investigation purpose. Nine dispatching rules identified from literature are incorporated in the simulation model. The simulation experiments are conducted under due date tightness factor of 3, shop utilization percentage of 90% and setup times less than processing times. Results indicate that shortest setup time (SIMSET) rule provides the best performance for mean flow time and number of tardy jobs measures. The job with similar setup and modified earliest due date (JMEDD) rule provides the best performance for makespan, maximum flow time, mean tardiness, maximum tardiness, total setups and mean setup time measures.
Problems of Mathematical Finance by Stochastic Control Methods
Stettner, Łukasz
The purpose of this paper is to present main ideas of mathematics of finance using the stochastic control methods. There is an interplay between stochastic control and mathematics of finance. On the one hand stochastic control is a powerful tool to study financial problems. On the other hand financial applications have stimulated development in several research subareas of stochastic control in the last two decades. We start with pricing of financial derivatives and modeling of asset prices, studying the conditions for the absence of arbitrage. Then we consider pricing of defaultable contingent claims. Investments in bonds lead us to the term structure modeling problems. Special attention is devoted to historical static portfolio analysis called Markowitz theory. We also briefly sketch dynamic portfolio problems using viscosity solutions to Hamilton-Jacobi-Bellman equation, martingale-convex analysis method or stochastic maximum principle together with backward stochastic differential equation. Finally, long time portfolio analysis for both risk neutral and risk sensitive functionals is introduced.
Directory of Open Access Journals (Sweden)
K. Hacıefendioğlu
2012-04-01
Full Text Available The deconvolution effect of the near-fault earthquake ground motions on the stochastic dynamic response of tunnel-soil deposit interaction systems are investigated by using the finite element method. Two different earthquake input mechanisms are used to consider the deconvolution effects in the analyses: the standard rigid-base input and the deconvolved-base-rock input model. The Bolu tunnel in Turkey is chosen as a numerical example. As near-fault ground motions, 1999 Kocaeli earthquake ground motion is selected. The interface finite elements are used between tunnel and soil deposit. The mean of maximum values of quasi-static, dynamic and total responses obtained from the two input models are compared with each other.
International Nuclear Information System (INIS)
De Santis, Emilio; Marinelli, Carlo
2007-01-01
We introduce and study a class of infinite-horizon non-zero-sum non-cooperative stochastic games with infinitely many interacting agents using ideas of statistical mechanics. First we show, in the general case of asymmetric interactions, the existence of a strategy that allows any player to eliminate losses after a finite random time. In the special case of symmetric interactions, we also prove that, as time goes to infinity, the game converges to a Nash equilibrium. Moreover, assuming that all agents adopt the same strategy, using arguments related to those leading to perfect simulation algorithms, spatial mixing and ergodicity are proved. In turn, ergodicity allows us to prove 'fixation', i.e. players will adopt a constant strategy after a finite time. The resulting dynamics is related to zero-temperature Glauber dynamics on random graphs of possibly infinite volume
International Nuclear Information System (INIS)
Eriksson, Karl-Erik
2009-01-01
The measurement process of quantum mechanics is analysed in the scattering theory of quantum field theory. A matrix of bilinear forms of the scattering amplitudes (the R-matrix) is used as the basic descriptive tool. The measurement process is viewed as a final-state interaction described through a series of linear stochastic mappings of the R-matrix, not changing the observable to be measured. The unknown details of the measurement apparatus enter through the stochasticity of the mappings. Although linear in terms of the R-matrix, the mappings are nonlinear in the density matrix, which is obtainable from the R-matrix through normalization. The eigenstates of the observable are the attractors of the mapping process. This result, known from previous generalizations of quantum mechanics, is obtained here within linear quantum mechanics. The conclusion is that the measurement process can be understood within relativistic quantum field theory itself without any generalization or metatheory.
Stochastic mean-field dynamics for fermions in the weak coupling limit
Energy Technology Data Exchange (ETDEWEB)
Lacroix, D
2005-09-15
Assuming that the effect of the residual interaction beyond mean-field is weak and can be treated as a statistical ensemble of two-body interactions, a Markovian quantum jump theory is developed for fermionic systems. In this theory, jumps occur between many-body densities formed of pairs of states D |{phi}{sub a}> <|{phi}{sub b}| / <|{phi}{sub b} | |{phi} {sub a}> where |{phi}{sub a}> and |{phi}{sub b}> are anti-symmetrized products of single-particle states. The underlying Stochastic Mean-Field (SMF) theory is discussed and applied to the monopole vibration of a spherical {sup 40}Ca nucleus under the influence of a statistical ensemble of two-body contact interactions. In this example, the mean-field evolution of one-body observables is recovered by averaging over different stochastic trajectories while fluctuations beyond mean-field are observed. Finally, the nature of the fluctuations is discussed. (author)
The effect of spatial heterogeneity on the extinction transition in stochastic population dynamics
International Nuclear Information System (INIS)
Kessler, David A; Shnerb, Nadav M
2009-01-01
Stochastic logistic-type growth on a static heterogeneous substrate is studied both above and below the drift-induced delocalization transition. Using agent-based simulations, the delocalization of the highest eigenfunction of the deterministic operator is connected with the large N limit of the stochastic theory. It is seen that the localization length of the deterministic theory controls the divergence of the spatial correlation length with N at the transition. It is argued that, in the presence of a strong wind, the extinction transition belongs to the directed percolation universality class, as any finite colony made of discrete agents is washed away from a heterogeneity with compact support. Some of the difficulties in the analysis of the extinction transition in the presence of a weak wind, where there is a localized active state, are discussed.
Stochastic mean-field dynamics for fermions in the weak coupling limit
International Nuclear Information System (INIS)
Lacroix, D.
2005-09-01
Assuming that the effect of the residual interaction beyond mean-field is weak and can be treated as a statistical ensemble of two-body interactions, a Markovian quantum jump theory is developed for fermionic systems. In this theory, jumps occur between many-body densities formed of pairs of states D |Φ a > b | / b | |Φ a > where |Φ a > and |Φ b > are anti-symmetrized products of single-particle states. The underlying Stochastic Mean-Field (SMF) theory is discussed and applied to the monopole vibration of a spherical 40 Ca nucleus under the influence of a statistical ensemble of two-body contact interactions. In this example, the mean-field evolution of one-body observables is recovered by averaging over different stochastic trajectories while fluctuations beyond mean-field are observed. Finally, the nature of the fluctuations is discussed. (author)
A stochastic model for magnetic dynamics in single-molecule magnets
Energy Technology Data Exchange (ETDEWEB)
López-Ruiz, R., E-mail: rlruiz@ifi.unicamp.br [Instituto de Física Gleb Wataghin - Universidade Estadual de Campinas, 13083-859 Campinas (SP) (Brazil); Almeida, P.T. [Instituto de Física Gleb Wataghin - Universidade Estadual de Campinas, 13083-859 Campinas (SP) (Brazil); Vaz, M.G.F. [Instituto de Química, Universidade Federal Fluminense, 24020-150 Niterói (RJ) (Brazil); Novak, M.A. [Instituto de Física - Universidade Federal do Rio de Janeiro, 21941-972 Rio de Janeiro (RJ) (Brazil); Béron, F.; Pirota, K.R. [Instituto de Física Gleb Wataghin - Universidade Estadual de Campinas, 13083-859 Campinas (SP) (Brazil)
2016-04-01
Hysteresis and magnetic relaxation curves were performed on double well potential systems with quantum tunneling possibility via stochastic simulations. Simulation results are compared with experimental ones using the Mn{sub 12} single-molecule magnet, allowing us to introduce time dependence in the model. Despite being a simple simulation model, it adequately reproduces the phenomenology of a thermally activated quantum tunneling and can be extended to other systems with different parameters. Assuming competition between the reversal modes, thermal (over) and tunneling (across) the anisotropy barrier, a separation of classical and quantum contributions to relaxation time can be obtained. - Highlights: • Single-molecule magnets are modeled using a simple stochastic approach. • Simulation reproduces thermally-activated tunnelling magnetization reversal features. • The time is introduced in hysteresis and relaxation simulations. • We can separate the quantum and classical contributions to decay time.
Directory of Open Access Journals (Sweden)
S. Sofana Reka
2016-09-01
Full Text Available This paper proposes a cloud computing framework in smart grid environment by creating small integrated energy hub supporting real time computing for handling huge storage of data. A stochastic programming approach model is developed with cloud computing scheme for effective demand side management (DSM in smart grid. Simulation results are obtained using GUI interface and Gurobi optimizer in Matlab in order to reduce the electricity demand by creating energy networks in a smart hub approach.
Developing stochastic model of thrust and flight dynamics for small UAVs
Tjhai, Chandra
This thesis presents a stochastic thrust model and aerodynamic model for small propeller driven UAVs whose power plant is a small electric motor. First a model which relates thrust generated by a small propeller driven electric motor as a function of throttle setting and commanded engine RPM is developed. A perturbation of this model is then used to relate the uncertainty in throttle and engine RPM commanded to the error in the predicted thrust. Such a stochastic model is indispensable in the design of state estimation and control systems for UAVs where the performance requirements of the systems are specied in stochastic terms. It is shown that thrust prediction models for small UAVs are not a simple, explicit functions relating throttle input and RPM command to thrust generated. Rather they are non-linear, iterative procedures which depend on a geometric description of the propeller and mathematical model of the motor. A detailed derivation of the iterative procedure is presented and the impact of errors which arise from inaccurate propeller and motor descriptions are discussed. Validation results from a series of wind tunnel tests are presented. The results show a favorable statistical agreement between the thrust uncertainty predicted by the model and the errors measured in the wind tunnel. The uncertainty model of aircraft aerodynamic coefficients developed based on wind tunnel experiment will be discussed at the end of this thesis.
Gottwald, G.A.; Crommelin, D.T.; Franzke, C.L.E.; Franzke, C.L.E.; O'Kane, T.J.
2017-01-01
In this chapter we review stochastic modelling methods in climate science. First we provide a conceptual framework for stochastic modelling of deterministic dynamical systems based on the Mori-Zwanzig formalism. The Mori-Zwanzig equations contain a Markov term, a memory term and a term suggestive of
POSTER : Identifying dynamic data structures in Malware
Rupprecht, Thomas; Chen, Xi; White, David H.; Mühlberg, Jan Tobias; Bos, Herbert; Lüttgen, Gerald
2016-01-01
As the complexity of malware grows, so does the necessity of employing program structuring mechanisms during development. While control ow structuring is often obfuscated, the dynamic data structures employed by the program are typically untouched. We report on work in progress that exploits this
A real-space stochastic density matrix approach for density functional electronic structure.
Beck, Thomas L
2015-12-21
The recent development of real-space grid methods has led to more efficient, accurate, and adaptable approaches for large-scale electrostatics and density functional electronic structure modeling. With the incorporation of multiscale techniques, linear-scaling real-space solvers are possible for density functional problems if localized orbitals are used to represent the Kohn-Sham energy functional. These methods still suffer from high computational and storage overheads, however, due to extensive matrix operations related to the underlying wave function grid representation. In this paper, an alternative stochastic method is outlined that aims to solve directly for the one-electron density matrix in real space. In order to illustrate aspects of the method, model calculations are performed for simple one-dimensional problems that display some features of the more general problem, such as spatial nodes in the density matrix. This orbital-free approach may prove helpful considering a future involving increasingly parallel computing architectures. Its primary advantage is the near-locality of the random walks, allowing for simultaneous updates of the density matrix in different regions of space partitioned across the processors. In addition, it allows for testing and enforcement of the particle number and idempotency constraints through stabilization of a Feynman-Kac functional integral as opposed to the extensive matrix operations in traditional approaches.
Structure and properties of Hughston's stochastic extension of the Schroedinger equation
International Nuclear Information System (INIS)
Adler, Stephen L.; Horwitz, Lawrence P.
2000-01-01
Hughston has recently proposed a stochastic extension of the Schroedinger equation, expressed as a stochastic differential equation on projective Hilbert space. We derive new projective Hilbert space identities, which we use to give a general proof that Hughston's equation leads to state vector collapse to energy eigenstates, with collapse probabilities given by the quantum mechanical probabilities computed from the initial state. We discuss the relation of Hughston's equation to earlier work on norm-preserving stochastic equations, and show that Hughston's equation can be written as a manifestly unitary stochastic evolution equation for the pure state density matrix. We discuss the behavior of systems constructed as direct products of independent subsystems, and briefly address the question of whether an energy-based approach, such as Hughston's, suffices to give an objective interpretation of the measurement process in quantum mechanics. (c) 2000 American Institute of Physics
Stochastic dynamics of an inflationary model and initial distribution of universes
International Nuclear Information System (INIS)
Nambu, Yasusada.
1989-01-01
We investigate the stationary solution of the modified Fokker-Planck equation which governs the global dynamics of the inflation. Contrary to the original FP equation which is for a Hubble horizon size region, we found that the normalizable stationary solution can exist for modified Fokker-Planck equation which is for many Hubble horizon size regions. For a chaotic inflationary model with the potential λψ 2n , we get initial distribution of classical universes using this solution, and discussed the physical meaning of it. Especially for n = 2, this distribution obeys power-law and classical universes which created from the Planck energy region make the fractal structure. Other cases n ≠ 2, creation of large classical universes are strongly suppressed. (author)
Allore, H G; Schruben, L W; Erb, H N; Oltenacu, P A
1998-03-01
A dynamic stochastic simulation model for discrete events, SIMMAST, was developed to simulate the effect of mastitis on the composition of the bulk tank milk of dairy herds. Intramammary infections caused by Streptococcus agalactiae, Streptococcus spp. other than Strep. agalactiae, Staphylococcus aureus, and coagulase-negative staphylococci were modeled as were the milk, fat, and protein test day solutions for individual cows, which accounted for the fixed effects of days in milk, age at calving, season of calving, somatic cell count (SCC), and random effects of test day, cow yield differences from herdmates, and autocorrelated errors. Probabilities for the transitions among various states of udder health (uninfected or subclinically or clinically infected) were calculated to account for exposure, heifer infection, spontaneous recovery, lactation cure, infection or cure during the dry period, month of lactation, parity, within-herd yields, and the number of quarters with clinical intramammary infection in the previous and current lactations. The stochastic simulation model was constructed using estimates from the literature and also using data from 164 herds enrolled with Quality Milk Promotion Services that each had bulk tank SCC between 500,000 and 750,000/ml. Model parameters and outputs were validated against a separate data file of 69 herds from the Northeast Dairy Herd Improvement Association, each with a bulk tank SCC that was > or = 500,000/ml. Sensitivity analysis was performed on all input parameters for control herds. Using the validated stochastic simulation model, the control herds had a stable time average bulk tank SCC between 500,000 and 750,000/ml.