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Sample records for stochastic exponential integrators

  1. Stochastic B-series and order conditions for exponential integrators

    Arara, Alemayehu Adugna; Debrabant, Kristian; Kværnø, Anne

    2018-01-01

    We discuss stochastic differential equations with a stiff linear part and their approximation by stochastic exponential integrators. Representing the exact and approximate solutions using B-series and rooted trees, we derive the order conditions for stochastic exponential integrators. The resulting...

  2. Phenomenology of stochastic exponential growth

    Pirjol, Dan; Jafarpour, Farshid; Iyer-Biswas, Srividya

    2017-06-01

    Stochastic exponential growth is observed in a variety of contexts, including molecular autocatalysis, nuclear fission, population growth, inflation of the universe, viral social media posts, and financial markets. Yet literature on modeling the phenomenology of these stochastic dynamics has predominantly focused on one model, geometric Brownian motion (GBM), which can be described as the solution of a Langevin equation with linear drift and linear multiplicative noise. Using recent experimental results on stochastic exponential growth of individual bacterial cell sizes, we motivate the need for a more general class of phenomenological models of stochastic exponential growth, which are consistent with the observation that the mean-rescaled distributions are approximately stationary at long times. We show that this behavior is not consistent with GBM, instead it is consistent with power-law multiplicative noise with positive fractional powers. Therefore, we consider this general class of phenomenological models for stochastic exponential growth, provide analytical solutions, and identify the important dimensionless combination of model parameters, which determines the shape of the mean-rescaled distribution. We also provide a prescription for robustly inferring model parameters from experimentally observed stochastic growth trajectories.

  3. Universality in stochastic exponential growth.

    Iyer-Biswas, Srividya; Crooks, Gavin E; Scherer, Norbert F; Dinner, Aaron R

    2014-07-11

    Recent imaging data for single bacterial cells reveal that their mean sizes grow exponentially in time and that their size distributions collapse to a single curve when rescaled by their means. An analogous result holds for the division-time distributions. A model is needed to delineate the minimal requirements for these scaling behaviors. We formulate a microscopic theory of stochastic exponential growth as a Master Equation that accounts for these observations, in contrast to existing quantitative models of stochastic exponential growth (e.g., the Black-Scholes equation or geometric Brownian motion). Our model, the stochastic Hinshelwood cycle (SHC), is an autocatalytic reaction cycle in which each molecular species catalyzes the production of the next. By finding exact analytical solutions to the SHC and the corresponding first passage time problem, we uncover universal signatures of fluctuations in exponential growth and division. The model makes minimal assumptions, and we describe how more complex reaction networks can reduce to such a cycle. We thus expect similar scalings to be discovered in stochastic processes resulting in exponential growth that appear in diverse contexts such as cosmology, finance, technology, and population growth.

  4. Interspike interval correlation in a stochastic exponential integrate-and-fire model with subthreshold and spike-triggered adaptation.

    Shiau, LieJune; Schwalger, Tilo; Lindner, Benjamin

    2015-06-01

    We study the spike statistics of an adaptive exponential integrate-and-fire neuron stimulated by white Gaussian current noise. We derive analytical approximations for the coefficient of variation and the serial correlation coefficient of the interspike interval assuming that the neuron operates in the mean-driven tonic firing regime and that the stochastic input is weak. Our result for the serial correlation coefficient has the form of a geometric sequence and is confirmed by the comparison to numerical simulations. The theory predicts various patterns of interval correlations (positive or negative at lag one, monotonically decreasing or oscillating) depending on the strength of the spike-triggered and subthreshold components of the adaptation current. In particular, for pure subthreshold adaptation we find strong positive ISI correlations that are usually ascribed to positive correlations in the input current. Our results i) provide an alternative explanation for interspike-interval correlations observed in vivo, ii) may be useful in fitting point neuron models to experimental data, and iii) may be instrumental in exploring the role of adaptation currents for signal detection and signal transmission in single neurons.

  5. Mean square exponential stability of stochastic delayed Hopfield neural networks

    Wan Li; Sun Jianhua

    2005-01-01

    Stochastic effects to the stability property of Hopfield neural networks (HNN) with discrete and continuously distributed delay are considered. By using the method of variation parameter, inequality technique and stochastic analysis, the sufficient conditions to guarantee the mean square exponential stability of an equilibrium solution are given. Two examples are also given to demonstrate our results

  6. On Exponential Hedging and Related Quadratic Backward Stochastic Differential Equations

    Sekine, Jun

    2006-01-01

    The dual optimization problem for the exponential hedging problem is addressed with a cone constraint. Without boundedness conditions on the terminal payoff and the drift of the Ito-type controlled process, the backward stochastic differential equation, which has a quadratic growth term in the drift, is derived as a necessary and sufficient condition for optimality via a variational method and dynamic programming. Further, solvable situations are given, in which the value and the optimizer are expressed in closed forms with the help of the Clark-Haussmann-Ocone formula

  7. Exponential p-stability of impulsive stochastic differential equations with delays

    Yang Zhiguo; Xu Daoyi; Xiang Li

    2006-01-01

    In this Letter, we establish a method to study the exponential p-stability of the zero solution of impulsive stochastic differential equations with delays. By establishing an L-operator inequality and using the properties of M-cone and stochastic analysis technique, we obtain some new conditions ensuring the exponential p-stability of the zero solution of impulsive stochastic differential equations with delays. Two illustrative examples have been provided to show the effectiveness of our results

  8. Mean Square Exponential Stability of Stochastic Switched System with Interval Time-Varying Delays

    Manlika Rajchakit

    2012-01-01

    Full Text Available This paper is concerned with mean square exponential stability of switched stochastic system with interval time-varying delays. The time delay is any continuous function belonging to a given interval, but not necessary to be differentiable. By constructing a suitable augmented Lyapunov-Krasovskii functional combined with Leibniz-Newton’s formula, a switching rule for the mean square exponential stability of switched stochastic system with interval time-varying delays and new delay-dependent sufficient conditions for the mean square exponential stability of the switched stochastic system are first established in terms of LMIs. Numerical example is given to show the effectiveness of the obtained result.

  9. Existence and exponential stability of almost periodic solution for stochastic cellular neural networks with delay

    Huang Zaitang; Yang Qigui

    2009-01-01

    The paper considers the problems of existence of quadratic mean almost periodic and global exponential stability for stochastic cellular neural networks with delays. By employing the Holder's inequality and fixed points principle, we present some new criteria ensuring existence and uniqueness of a quadratic mean almost periodic and global exponential stability. These criteria are important in signal processing and the design of networks. Moreover, these criteria are also applied in others stochastic biological neural systems.

  10. Almost sure exponential stability of stochastic fuzzy cellular neural networks with delays

    Zhao Hongyong; Ding Nan; Chen Ling

    2009-01-01

    This paper is concerned with the problem of exponential stability analysis for fuzzy cellular neural network with delays. By constructing suitable Lyapunov functional and using stochastic analysis we present some sufficient conditions ensuring almost sure exponential stability for the network. Moreover, an example is given to demonstrate the advantages of our method.

  11. EXPONENTIAL ERGODICITY FOR STOCHASTIC BURGERS AND 2D NAVIER-STOKES EQUATIONS

    Goldys, B

    2004-01-01

    It is shown that transition measures of the stochastic Navier-Stokes equation in dimension 2 converge exponentially fast to the corresponding invariant measures in the distance of total variation. As a corollary we obtain the existence of spectral gap for a related semigroup obtained by a sort of ground state trasformation. Analogous results are proved for the stochastic Burgers equation.

  12. Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations.

    Zhang, Ling

    2017-01-01

    The main purpose of this paper is to investigate the strong convergence and exponential stability in mean square of the exponential Euler method to semi-linear stochastic delay differential equations (SLSDDEs). It is proved that the exponential Euler approximation solution converges to the analytic solution with the strong order [Formula: see text] to SLSDDEs. On the one hand, the classical stability theorem to SLSDDEs is given by the Lyapunov functions. However, in this paper we study the exponential stability in mean square of the exact solution to SLSDDEs by using the definition of logarithmic norm. On the other hand, the implicit Euler scheme to SLSDDEs is known to be exponentially stable in mean square for any step size. However, in this article we propose an explicit method to show that the exponential Euler method to SLSDDEs is proved to share the same stability for any step size by the property of logarithmic norm.

  13. Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations

    Ling Zhang

    2017-10-01

    Full Text Available Abstract The main purpose of this paper is to investigate the strong convergence and exponential stability in mean square of the exponential Euler method to semi-linear stochastic delay differential equations (SLSDDEs. It is proved that the exponential Euler approximation solution converges to the analytic solution with the strong order 1 2 $\\frac{1}{2}$ to SLSDDEs. On the one hand, the classical stability theorem to SLSDDEs is given by the Lyapunov functions. However, in this paper we study the exponential stability in mean square of the exact solution to SLSDDEs by using the definition of logarithmic norm. On the other hand, the implicit Euler scheme to SLSDDEs is known to be exponentially stable in mean square for any step size. However, in this article we propose an explicit method to show that the exponential Euler method to SLSDDEs is proved to share the same stability for any step size by the property of logarithmic norm.

  14. Global impulsive exponential synchronization of stochastic perturbed chaotic delayed neural networks

    Hua-Guang, Zhang; Tie-Dong, Ma; Jie, Fu; Shao-Cheng, Tong

    2009-01-01

    In this paper, the global impulsive exponential synchronization problem of a class of chaotic delayed neural networks (DNNs) with stochastic perturbation is studied. Based on the Lyapunov stability theory, stochastic analysis approach and an efficient impulsive delay differential inequality, some new exponential synchronization criteria expressed in the form of the linear matrix inequality (LMI) are derived. The designed impulsive controller not only can globally exponentially stabilize the error dynamics in mean square, but also can control the exponential synchronization rate. Furthermore, to estimate the stable region of the synchronization error dynamics, a novel optimization control algorithm is proposed, which can deal with the minimum problem with two nonlinear terms coexisting in LMIs effectively. Simulation results finally demonstrate the effectiveness of the proposed method

  15. Exponential stability of uncertain stochastic neural networks with mixed time-delays

    Wang Zidong; Lauria, Stanislao; Fang Jian'an; Liu Xiaohui

    2007-01-01

    This paper is concerned with the global exponential stability analysis problem for a class of stochastic neural networks with mixed time-delays and parameter uncertainties. The mixed delays comprise discrete and distributed time-delays, the parameter uncertainties are norm-bounded, and the neural networks are subjected to stochastic disturbances described in terms of a Brownian motion. The purpose of the stability analysis problem is to derive easy-to-test criteria under which the delayed stochastic neural network is globally, robustly, exponentially stable in the mean square for all admissible parameter uncertainties. By resorting to the Lyapunov-Krasovskii stability theory and the stochastic analysis tools, sufficient stability conditions are established by using an efficient linear matrix inequality (LMI) approach. The proposed criteria can be checked readily by using recently developed numerical packages, where no tuning of parameters is required. An example is provided to demonstrate the usefulness of the proposed criteria

  16. Stochastic exponential stability of the delayed reaction-diffusion recurrent neural networks with Markovian jumping parameters

    Wang Linshan; Zhang Zhe; Wang Yangfan

    2008-01-01

    Some criteria for the global stochastic exponential stability of the delayed reaction-diffusion recurrent neural networks with Markovian jumping parameters are presented. The jumping parameters considered here are generated from a continuous-time discrete-state homogeneous Markov process, which are governed by a Markov process with discrete and finite state space. By employing a new Lyapunov-Krasovskii functional, a linear matrix inequality (LMI) approach is developed to establish some easy-to-test criteria of global exponential stability in the mean square for the stochastic neural networks. The criteria are computationally efficient, since they are in the forms of some linear matrix inequalities

  17. Characterisation of Exponential Convergence to Nonequilibrium Limits for Stochastic Volterra Equations

    John A. D. Appleby

    2008-01-01

    Full Text Available This paper considers necessary and sufficient conditions for the solution of a stochastically and deterministically perturbed Volterra equation to converge exponentially to a nonequilibrium and nontrivial limit. Convergence in an almost sure and pth mean sense is obtained.

  18. Exponential L2-L∞ Filtering for a Class of Stochastic System with Mixed Delays and Nonlinear Perturbations

    Zhaohui Chen

    2013-01-01

    Full Text Available The delay-dependent exponential L2-L∞ performance analysis and filter design are investigated for stochastic systems with mixed delays and nonlinear perturbations. Based on the delay partitioning and integral partitioning technique, an improved delay-dependent sufficient condition for the existence of the L2-L∞ filter is established, by choosing an appropriate Lyapunov-Krasovskii functional and constructing a new integral inequality. The full-order filter design approaches are obtained in terms of linear matrix inequalities (LMIs. By solving the LMIs and using matrix decomposition, the desired filter gains can be obtained, which ensure that the filter error system is exponentially stable with a prescribed L2-L∞ performance γ. Numerical examples are provided to illustrate the effectiveness and significant improvement of the proposed method.

  19. Exponential formula for the reachable sets of quantum stochastic differential inclusions

    Ayoola, E.O.

    2001-07-01

    We establish an exponential formula for the reachable sets of quantum stochastic differential inclusions (QSDI) which are locally Lipschitzian with convex values. Our main results partially rely on an auxiliary result concerning the density, in the topology of the locally convex space of solutions, of the set of trajectories whose matrix elements are continuously differentiable By applying the exponential formula, we obtain results concerning convergence of the discrete approximations of the reachable set of the QSDI. This extends similar results of Wolenski for classical differential inclusions to the present noncommutative quantum setting. (author)

  20. Exponential integrators in time-dependent density-functional calculations

    Kidd, Daniel; Covington, Cody; Varga, Kálmán

    2017-12-01

    The integrating factor and exponential time differencing methods are implemented and tested for solving the time-dependent Kohn-Sham equations. Popular time propagation methods used in physics, as well as other robust numerical approaches, are compared to these exponential integrator methods in order to judge the relative merit of the computational schemes. We determine an improvement in accuracy of multiple orders of magnitude when describing dynamics driven primarily by a nonlinear potential. For cases of dynamics driven by a time-dependent external potential, the accuracy of the exponential integrator methods are less enhanced but still match or outperform the best of the conventional methods tested.

  1. Exponentially Stable Stationary Solutions for Stochastic Evolution Equations and Their Perturbation

    Caraballo, Tomas; Kloeden, Peter E.; Schmalfuss, Bjoern

    2004-01-01

    We consider the exponential stability of stochastic evolution equations with Lipschitz continuous non-linearities when zero is not a solution for these equations. We prove the existence of anon-trivial stationary solution which is exponentially stable, where the stationary solution is generated by the composition of a random variable and the Wiener shift. We also construct stationary solutions with the stronger property of attracting bounded sets uniformly. The existence of these stationary solutions follows from the theory of random dynamical systems and their attractors. In addition, we prove some perturbation results and formulate conditions for the existence of stationary solutions for semilinear stochastic partial differential equations with Lipschitz continuous non-linearities

  2. Robust Adaptive Exponential Synchronization of Stochastic Perturbed Chaotic Delayed Neural Networks with Parametric Uncertainties

    Yang Fang

    2014-01-01

    Full Text Available This paper investigates the robust adaptive exponential synchronization in mean square of stochastic perturbed chaotic delayed neural networks with nonidentical parametric uncertainties. A robust adaptive feedback controller is proposed based on Gronwally’s inequality, drive-response concept, and adaptive feedback control technique with the update laws of nonidentical parametric uncertainties as well as linear matrix inequality (LMI approach. The sufficient conditions for robust adaptive exponential synchronization in mean square of uncoupled uncertain stochastic chaotic delayed neural networks are derived in terms of linear matrix inequalities (LMIs. The effect of nonidentical uncertain parameter uncertainties is suppressed by the designed robust adaptive feedback controller rapidly. A numerical example is provided to validate the effectiveness of the proposed method.

  3. Exponential stability result for discrete-time stochastic fuzzy uncertain neural networks

    Mathiyalagan, K.; Sakthivel, R.; Marshal Anthoni, S.

    2012-01-01

    This Letter addresses the stability analysis problem for a class of uncertain discrete-time stochastic fuzzy neural networks (DSFNNs) with time-varying delays. By constructing a new Lyapunov–Krasovskii functional combined with the free weighting matrix technique, a new set of delay-dependent sufficient conditions for the robust exponential stability of the considered DSFNNs is established in terms of Linear Matrix Inequalities (LMIs). Finally, numerical examples with simulation results are provided to illustrate the applicability and usefulness of the obtained theory. -- Highlights: ► Applications of neural networks require the knowledge of dynamic behaviors. ► Exponential stability of discrete-time stochastic fuzzy neural networks is studied. ► Linear matrix inequality optimization approach is used to obtain the result. ► Delay-dependent stability criterion is established in terms of LMIs. ► Examples with simulation are provided to show the effectiveness of the result.

  4. New exponential stability criteria for stochastic BAM neural networks with impulses

    Sakthivel, R; Samidurai, R; Anthoni, S M

    2010-01-01

    In this paper, we study the global exponential stability of time-delayed stochastic bidirectional associative memory neural networks with impulses and Markovian jumping parameters. A generalized activation function is considered, and traditional assumptions on the boundedness, monotony and differentiability of activation functions are removed. We obtain a new set of sufficient conditions in terms of linear matrix inequalities, which ensures the global exponential stability of the unique equilibrium point for stochastic BAM neural networks with impulses. The Lyapunov function method with the Ito differential rule is employed for achieving the required result. Moreover, a numerical example is provided to show that the proposed result improves the allowable upper bound of delays over some existing results in the literature.

  5. New exponential stability criteria for stochastic BAM neural networks with impulses

    Sakthivel, R.; Samidurai, R.; Anthoni, S. M.

    2010-10-01

    In this paper, we study the global exponential stability of time-delayed stochastic bidirectional associative memory neural networks with impulses and Markovian jumping parameters. A generalized activation function is considered, and traditional assumptions on the boundedness, monotony and differentiability of activation functions are removed. We obtain a new set of sufficient conditions in terms of linear matrix inequalities, which ensures the global exponential stability of the unique equilibrium point for stochastic BAM neural networks with impulses. The Lyapunov function method with the Itô differential rule is employed for achieving the required result. Moreover, a numerical example is provided to show that the proposed result improves the allowable upper bound of delays over some existing results in the literature.

  6. Stochastic integration and differential equations

    Protter, Philip E

    2003-01-01

    It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, t...

  7. A Fractionally Integrated Wishart Stochastic Volatility Model

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

    2013-01-01

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

  8. KIOPS: A fast adaptive Krylov subspace solver for exponential integrators

    Gaudreault, Stéphane; Rainwater, Greg; Tokman, Mayya

    2018-01-01

    This paper presents a new algorithm KIOPS for computing linear combinations of $\\varphi$-functions that appear in exponential integrators. This algorithm is suitable for large-scale problems in computational physics where little or no information about the spectrum or norm of the Jacobian matrix is known \\textit{a priori}. We first show that such problems can be solved efficiently by computing a single exponential of a modified matrix. Then our approach is to compute an appropriate basis for ...

  9. Granular compaction and stretched exponentials - Experiments and a numerical stochastic model

    Nicolas Maxime

    2017-01-01

    Full Text Available We present a stochastic model to investigate the compaction kinetics of a granular material submitted to vibration. The model is compared to experimental results obtained with glass beads and with a cohesive powder. We also propose a physical interpretation of the characteristic time τ and the exponent β of the stretched exponential function widely used to represent the granular compaction kinetics, and we show that the characteristic time is proportional to the number of grains to move. The exponent β is expressed as a logarithmic compaction rate.

  10. 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.

  11. 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.

  12. Approximation of the exponential integral (well function) using sampling methods

    Baalousha, Husam Musa

    2015-04-01

    Exponential integral (also known as well function) is often used in hydrogeology to solve Theis and Hantush equations. Many methods have been developed to approximate the exponential integral. Most of these methods are based on numerical approximations and are valid for a certain range of the argument value. This paper presents a new approach to approximate the exponential integral. The new approach is based on sampling methods. Three different sampling methods; Latin Hypercube Sampling (LHS), Orthogonal Array (OA), and Orthogonal Array-based Latin Hypercube (OA-LH) have been used to approximate the function. Different argument values, covering a wide range, have been used. The results of sampling methods were compared with results obtained by Mathematica software, which was used as a benchmark. All three sampling methods converge to the result obtained by Mathematica, at different rates. It was found that the orthogonal array (OA) method has the fastest convergence rate compared with LHS and OA-LH. The root mean square error RMSE of OA was in the order of 1E-08. This method can be used with any argument value, and can be used to solve other integrals in hydrogeology such as the leaky aquifer integral.

  13. Exponential Synchronization for Stochastic Neural Networks with Mixed Time Delays and Markovian Jump Parameters via Sampled Data

    Yingwei Li

    2014-01-01

    Full Text Available The exponential synchronization issue for stochastic neural networks (SNNs with mixed time delays and Markovian jump parameters using sampled-data controller is investigated. Based on a novel Lyapunov-Krasovskii functional, stochastic analysis theory, and linear matrix inequality (LMI approach, we derived some novel sufficient conditions that guarantee that the master systems exponentially synchronize with the slave systems. The design method of the desired sampled-data controller is also proposed. To reflect the most dynamical behaviors of the system, both Markovian jump parameters and stochastic disturbance are considered, where stochastic disturbances are given in the form of a Brownian motion. The results obtained in this paper are a little conservative comparing the previous results in the literature. Finally, two numerical examples are given to illustrate the effectiveness of the proposed methods.

  14. Stochastic Threshold Exponential (TE) Model for Hematopoietic Tissue Reconstitution Deficit after Radiation Damage.

    Scott, B R; Potter, C A

    2014-07-01

    Whole-body exposure to large radiation doses can cause severe loss of hematopoietic tissue cells and threaten life if the lost cells are not replaced in a timely manner through natural repopulation (a homeostatic mechanism). Repopulation to the baseline level N 0 is called reconstitution and a reconstitution deficit (repopulation shortfall) can occur in a dose-related and organ-specific manner. Scott et al. (2013) previously introduced a deterministic version of a threshold exponential (TE) model of tissue-reconstitution deficit at a given follow-up time that was applied to bone marrow and spleen cellularity (number of constituent cells) data obtained 6 weeks after whole-body gamma-ray exposure of female C.B-17 mice. In this paper a more realistic, stochastic version of the TE model is provided that allows radiation response to vary between different individuals. The Stochastic TE model is applied to post gamma-ray-exposure cellularity data previously reported and also to more limited X-ray cellularity data for whole-body irradiated female C.B-17 mice. Results indicate that the population average threshold for a tissue reconstitution deficit appears to be similar for bone marrow and spleen and for 320-kV-spectrum X-rays and Cs-137 gamma rays. This means that 320-kV spectrum X-rays could successfully be used in conducting such studies.

  15. Exponential mean-square stability of two classes of theta Milstein methods for stochastic delay differential equations

    Rouz, Omid Farkhondeh; Ahmadian, Davood; Milev, Mariyan

    2017-12-01

    This paper establishes exponential mean square stability of two classes of theta Milstein methods, namely split-step theta Milstein (SSTM) method and stochastic theta Milstein (STM) method, for stochastic differential delay equations (SDDEs). We consider the SDDEs problem under a coupled monotone condition on drift and diffusion coefficients, as well as a necessary linear growth condition on the last term of theta Milstein method. It is proved that the SSTM method with θ ∈ [0, ½] can recover the exponential mean square stability of the exact solution with some restrictive conditions on stepsize, but for θ ∈ (½, 1], we proved that the stability results hold for any stepsize. Then, based on the stability results of SSTM method, we examine the exponential mean square stability of the STM method and obtain the similar stability results to that of the SSTM method. In the numerical section the figures show thevalidity of our claims.

  16. pth moment exponential stability of stochastic memristor-based bidirectional associative memory (BAM) neural networks with time delays.

    Wang, Fen; Chen, Yuanlong; Liu, Meichun

    2018-02-01

    Stochastic memristor-based bidirectional associative memory (BAM) neural networks with time delays play an increasingly important role in the design and implementation of neural network systems. Under the framework of Filippov solutions, the issues of the pth moment exponential stability of stochastic memristor-based BAM neural networks are investigated. By using the stochastic stability theory, Itô's differential formula and Young inequality, the criteria are derived. Meanwhile, with Lyapunov approach and Cauchy-Schwarz inequality, we derive some sufficient conditions for the mean square exponential stability of the above systems. The obtained results improve and extend previous works on memristor-based or usual neural networks dynamical systems. Four numerical examples are provided to illustrate the effectiveness of the proposed results. Copyright © 2017 Elsevier Ltd. All rights reserved.

  17. Integration of large chemical kinetic mechanisms via exponential methods with Krylov approximations to Jacobian matrix functions

    Bisetti, Fabrizio

    2012-01-01

    with the computational cost associated with the time integration of stiff, large chemical systems, a novel approach is proposed. The approach combines an exponential integrator and Krylov subspace approximations to the exponential function of the Jacobian matrix

  18. Generalized variational formulations for extended exponentially fractional integral

    Zuo-Jun Wang

    2016-01-01

    Full Text Available Recently, the fractional variational principles as well as their applications yield a special attention. For a fractional variational problem based on different types of fractional integral and derivatives operators, corresponding fractional Lagrangian and Hamiltonian formulation and relevant Euler–Lagrange type equations are already presented by scholars. The formulations of fractional variational principles still can be developed more. We make an attempt to generalize the formulations for fractional variational principles. As a result we obtain generalized and complementary fractional variational formulations for extended exponentially fractional integral for example and corresponding Euler–Lagrange equations. Two illustrative examples are presented. It is observed that the formulations are in exact agreement with the Euler–Lagrange equations.

  19. Kinematic state estimation and motion planning for stochastic nonholonomic systems using the exponential map.

    Park, Wooram; Liu, Yan; Zhou, Yu; Moses, Matthew; Chirikjian, Gregory S

    2008-04-11

    A nonholonomic system subjected to external noise from the environment, or internal noise in its own actuators, will evolve in a stochastic manner described by an ensemble of trajectories. This ensemble of trajectories is equivalent to the solution of a Fokker-Planck equation that typically evolves on a Lie group. If the most likely state of such a system is to be estimated, and plans for subsequent motions from the current state are to be made so as to move the system to a desired state with high probability, then modeling how the probability density of the system evolves is critical. Methods for solving Fokker-Planck equations that evolve on Lie groups then become important. Such equations can be solved using the operational properties of group Fourier transforms in which irreducible unitary representation (IUR) matrices play a critical role. Therefore, we develop a simple approach for the numerical approximation of all the IUR matrices for two of the groups of most interest in robotics: the rotation group in three-dimensional space, SO(3), and the Euclidean motion group of the plane, SE(2). This approach uses the exponential mapping from the Lie algebras of these groups, and takes advantage of the sparse nature of the Lie algebra representation matrices. Other techniques for density estimation on groups are also explored. The computed densities are applied in the context of probabilistic path planning for kinematic cart in the plane and flexible needle steering in three-dimensional space. In these examples the injection of artificial noise into the computational models (rather than noise in the actual physical systems) serves as a tool to search the configuration spaces and plan paths. Finally, we illustrate how density estimation problems arise in the characterization of physical noise in orientational sensors such as gyroscopes.

  20. Set-Valued Stochastic Lebesque Integral and Representation Theorems

    Jungang Li

    2008-06-01

    Full Text Available In this paper, we shall firstly illustrate why we should introduce set-valued stochastic integrals, and then we shall discuss some properties of set-valued stochastic processes and the relation between a set-valued stochastic process and its selection set. After recalling the Aumann type definition of stochastic integral, we shall introduce a new definition of Lebesgue integral of a set-valued stochastic process with respect to the time t . Finally we shall prove the presentation theorem of set-valued stochastic integral and dis- cuss further properties that will be useful to study set-valued stochastic differential equations with their applications.

  1. Exact series expansions, recurrence relations, properties and integrals of the generalized exponential integral functions

    Altac, Zekeriya

    2007-01-01

    Generalized exponential integral functions (GEIF) are encountered in multi-dimensional thermal radiative transfer problems in the integral equation kernels. Several series expansions for the first-order generalized exponential integral function, along with a series expansion for the general nth order GEIF, are derived. The convergence issues of these series expansions are investigated numerically as well as theoretically, and a recurrence relation which does not require derivatives of the GEIF is developed. The exact series expansions of the two dimensional cylindrical and/or two-dimensional planar integral kernels as well as their spatial moments have been explicitly derived and compared with numerical values

  2. Mean square stabilization and mean square exponential stabilization of stochastic BAM neural networks with Markovian jumping parameters

    Ye, Zhiyong; Zhang, He; Zhang, Hongyu; Zhang, Hua; Lu, Guichen

    2015-01-01

    Highlights: •This paper introduces a non-conservative Lyapunov functional. •The achieved results impose non-conservative and can be widely used. •The conditions are easily checked by the Matlab LMI Tool Box. The desired state feedback controller can be well represented by the conditions. -- Abstract: This paper addresses the mean square exponential stabilization problem of stochastic bidirectional associative memory (BAM) neural networks with Markovian jumping parameters and time-varying delays. By establishing a proper Lyapunov–Krasovskii functional and combining with LMIs technique, several sufficient conditions are derived for ensuring exponential stabilization in the mean square sense of such stochastic BAM neural networks. In addition, the achieved results are not difficult to verify for determining the mean square exponential stabilization of delayed BAM neural networks with Markovian jumping parameters and impose less restrictive and less conservative than the ones in previous papers. Finally, numerical results are given to show the effectiveness and applicability of the achieved results

  3. Global exponential stability of neutral high-order stochastic Hopfield neural networks with Markovian jump parameters and mixed time delays.

    Huang, Haiying; Du, Qiaosheng; Kang, Xibing

    2013-11-01

    In this paper, a class of neutral high-order stochastic Hopfield neural networks with Markovian jump parameters and mixed time delays is investigated. The jumping parameters are modeled as a continuous-time finite-state Markov chain. At first, the existence of equilibrium point for the addressed neural networks is studied. By utilizing the Lyapunov stability theory, stochastic analysis theory and linear matrix inequality (LMI) technique, new delay-dependent stability criteria are presented in terms of linear matrix inequalities to guarantee the neural networks to be globally exponentially stable in the mean square. Numerical simulations are carried out to illustrate the main results. © 2013 ISA. Published by ISA. All rights reserved.

  4. The intrinsic stochasticity of near-integrable Hamiltonian systems

    Krlin, L [Ceskoslovenska Akademie Ved, Prague (Czechoslovakia). Ustav Fyziky Plazmatu

    1989-09-01

    Under certain conditions, the dynamics of near-integrable Hamiltonian systems appears to be stochastic. This stochasticity (intrinsic stochasticity, or deterministic chaos) is closely related to the Kolmogorov-Arnold-Moser (KAM) theorem of the stability of near-integrable multiperiodic Hamiltonian systems. The effect of the intrinsic stochasticity attracts still growing attention both in theory and in various applications in contemporary physics. The paper discusses the relation of the intrinsic stochasticity to the modern ergodic theory and to the KAM theorem, and describes some numerical experiments on related astrophysical and high-temperature plasma problems. Some open questions are mentioned in conclusion. (author).

  5. Exponential Antisynchronization Control of Stochastic Memristive Neural Networks with Mixed Time-Varying Delays Based on Novel Delay-Dependent or Delay-Independent Adaptive Controller

    Minghui Yu

    2017-01-01

    Full Text Available The global exponential antisynchronization in mean square of memristive neural networks with stochastic perturbation and mixed time-varying delays is studied in this paper. Then, two kinds of novel delay-dependent and delay-independent adaptive controllers are designed. With the ability of adapting to environment changes, the proposed controllers can modify their behaviors to achieve the best performance. In particular, on the basis of the differential inclusions theory, inequality theory, and stochastic analysis techniques, several sufficient conditions are obtained to guarantee the exponential antisynchronization between the drive system and response system. Furthermore, two numerical simulation examples are provided to the validity of the derived criteria.

  6. Exponential stability for stochastic delayed recurrent neural networks with mixed time-varying delays and impulses: the continuous-time case

    Karthik Raja, U; Leelamani, A; Raja, R; Samidurai, R

    2013-01-01

    In this paper, the exponential stability for a class of stochastic neural networks with time-varying delays and impulsive effects is considered. By constructing suitable Lyapunov functionals and by using the linear matrix inequality optimization approach, we obtain sufficient delay-dependent criteria to ensure the exponential stability of stochastic neural networks with time-varying delays and impulses. Two numerical examples with simulation results are provided to illustrate the effectiveness of the obtained results over those already existing in the literature. (paper)

  7. Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model

    Perelló, Josep; Masoliver, Jaume; Sircar, Ronnie

    2008-01-01

    We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein–Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein–Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger than its normal level, (ii) the volatility presents a slow driving force, toward its normal level and, finally, (iii) the market price of risk is a linear function of the log-volatility. We study the resulting European call price and its implied volatility for a range of parameters consistent with daily Dow Jones index data

  8. Exponential growth and Gaussian-like fluctuations of solutions of stochastic differential equations with maximum functionals

    Appleby, J A D; Wu, H

    2008-01-01

    In this paper we consider functional differential equations subjected to either instantaneous state-dependent noise, or to a white noise perturbation. The drift of the equations depend linearly on the current value and on the maximum of the solution. The functional term always provides positive feedback, while the instantaneous term can be mean-reverting or can exhibit positive feedback. We show in the white noise case that if the instantaneous term is mean reverting and dominates the history term, then solutions are recurrent, and upper bounds on the a.s. growth rate of the partial maxima of the solution can be found. When the instantaneous term is weaker, or is of positive feedback type, we determine necessary and sufficient conditions on the diffusion coefficient which ensure the exact exponential growth of solutions. An application of these results to an inefficient financial market populated by reference traders and speculators is given, in which the difference between the current instantaneous returns and maximum of the returns over the last few time units is used to determine trading strategies.

  9. Introduction to stochastic analysis integrals and differential equations

    Mackevicius, Vigirdas

    2013-01-01

    This is an introduction to stochastic integration and stochastic differential equations written in an understandable way for a wide audience, from students of mathematics to practitioners in biology, chemistry, physics, and finances. The presentation is based on the naïve stochastic integration, rather than on abstract theories of measure and stochastic processes. The proofs are rather simple for practitioners and, at the same time, rather rigorous for mathematicians. Detailed application examples in natural sciences and finance are presented. Much attention is paid to simulation diffusion pro

  10. A comparative study of mixed exponential and Weibull distributions in a stochastic model replicating a tropical rainfall process

    Abas, Norzaida; Daud, Zalina M.; Yusof, Fadhilah

    2014-11-01

    A stochastic rainfall model is presented for the generation of hourly rainfall data in an urban area in Malaysia. In view of the high temporal and spatial variability of rainfall within the tropical rain belt, the Spatial-Temporal Neyman-Scott Rectangular Pulse model was used. The model, which is governed by the Neyman-Scott process, employs a reasonable number of parameters to represent the physical attributes of rainfall. A common approach is to attach each attribute to a mathematical distribution. With respect to rain cell intensity, this study proposes the use of a mixed exponential distribution. The performance of the proposed model was compared to a model that employs the Weibull distribution. Hourly and daily rainfall data from four stations in the Damansara River basin in Malaysia were used as input to the models, and simulations of hourly series were performed for an independent site within the basin. The performance of the models was assessed based on how closely the statistical characteristics of the simulated series resembled the statistics of the observed series. The findings obtained based on graphical representation revealed that the statistical characteristics of the simulated series for both models compared reasonably well with the observed series. However, a further assessment using the AIC, BIC and RMSE showed that the proposed model yields better results. The results of this study indicate that for tropical climates, the proposed model, using a mixed exponential distribution, is the best choice for generation of synthetic data for ungauged sites or for sites with insufficient data within the limit of the fitted region.

  11. Integral definition of the logarithmic function and the derivative of the exponential function in calculus

    Vaninsky, Alexander

    2015-04-01

    Defining the logarithmic function as a definite integral with a variable upper limit, an approach used by some popular calculus textbooks, is problematic. We discuss the disadvantages of such a definition and provide a way to fix the problem. We also consider a definition-based, rigorous derivation of the derivative of the exponential function that is easier, more intuitive, and complies with the standard definitions of the number e, the logarithmic, and the exponential functions.

  12. Path integral approach to eikonal and next-to-eikonal exponentiation

    Laenen, E.; Stavenga, G.; White, C.D.

    2009-01-01

    We approach the issue of exponentiation of soft gauge boson corrections to scattering amplitudes from a path integral point of view. We show that if one represents the amplitude as a first quantized path integral in a mixed coordinate-momentum space representation, a charged particle interacting

  13. Continuous local martingales and stochastic integration in UMD Banach spaces

    Veraar, M.C.

    2007-01-01

    Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD Banach space valued processes. Here the authors use a (cylindrical) Brownian motion as an integrator. In this note we show how one can extend these results to the case where the integrator is an

  14. Integration of stochastic generation in power systems

    Papaefthymiou, G.; Schavemaker, P.H.; Sluis, van der L.; Kling, W.L.; Kurowicka, D.; Cooke, R.M.

    2006-01-01

    Stochastic generation, i.e., electrical power production by an uncontrolled primary energy source, is expected to play an important role in future power systems. A new power system structure is created due to the large-scale implementation of this small-scale, distributed, non-dispatchable

  15. TRANSMUTED EXPONENTIATED EXPONENTIAL DISTRIBUTION

    MEROVCI, FATON

    2013-01-01

    In this article, we generalize the exponentiated exponential distribution using the quadratic rank transmutation map studied by Shaw etal. [6] to develop a transmuted exponentiated exponential distribution. Theproperties of this distribution are derived and the estimation of the model parameters is discussed. An application to real data set are finally presented forillustration

  16. Ray and wave optics of integrable and stochastic systems

    McDonald, S.W.; Kaufman, A.N.

    1979-07-01

    The generalization of WKB methods to more than one dimension is discussed in terms of the integrability or non-integrability of the geometrical optics (ray Hamiltonian) system derived in the short-wave approximation. In the two-dimensional case the ray trajectories are either regular or stochastic, and the qualitative differences between these types of motion are manifested in the characteristics of the spectra and eigenfunctions. These are examined for a model system which may be integrable or stochastic, depending on a single parameter

  17. Set-Valued Stochastic Equation with Set-Valued Square Integrable Martingale

    Li Jun-Gang

    2017-01-01

    Full Text Available In this paper, we shall introduce the stochastic integral of a stochastic process with respect to set-valued square integrable martingale. Then we shall give the Aumann integral measurable theorem, and give the set-valued stochastic Lebesgue integral and set-valued square integrable martingale integral equation. The existence and uniqueness of solution to set-valued stochastic integral equation are proved. The discussion will be useful in optimal control and mathematical finance in psychological factors.

  18. A stochastic-programming approach to integrated asset and liability ...

    This increase in complexity has provided an impetus for the investigation into integrated asset- and liability-management frameworks that could realistically address dynamic portfolio allocation in a risk-controlled way. In this paper the authors propose a multi-stage dynamic stochastic-programming model for the integrated ...

  19. Exponential Convergence for Numerical Solution of Integral Equations Using Radial Basis Functions

    Zakieh Avazzadeh

    2014-01-01

    Full Text Available We solve some different type of Urysohn integral equations by using the radial basis functions. These types include the linear and nonlinear Fredholm, Volterra, and mixed Volterra-Fredholm integral equations. Our main aim is to investigate the rate of convergence to solve these equations using the radial basis functions which have normic structure that utilize approximation in higher dimensions. Of course, the use of this method often leads to ill-posed systems. Thus we propose an algorithm to improve the results. Numerical results show that this method leads to the exponential convergence for solving integral equations as it was already confirmed for partial and ordinary differential equations.

  20. Model selection for integrated pest management with stochasticity.

    Akman, Olcay; Comar, Timothy D; Hrozencik, Daniel

    2018-04-07

    In Song and Xiang (2006), an integrated pest management model with periodically varying climatic conditions was introduced. In order to address a wider range of environmental effects, the authors here have embarked upon a series of studies resulting in a more flexible modeling approach. In Akman et al. (2013), the impact of randomly changing environmental conditions is examined by incorporating stochasticity into the birth pulse of the prey species. In Akman et al. (2014), the authors introduce a class of models via a mixture of two birth-pulse terms and determined conditions for the global and local asymptotic stability of the pest eradication solution. With this work, the authors unify the stochastic and mixture model components to create further flexibility in modeling the impacts of random environmental changes on an integrated pest management system. In particular, we first determine the conditions under which solutions of our deterministic mixture model are permanent. We then analyze the stochastic model to find the optimal value of the mixing parameter that minimizes the variance in the efficacy of the pesticide. Additionally, we perform a sensitivity analysis to show that the corresponding pesticide efficacy determined by this optimization technique is indeed robust. Through numerical simulations we show that permanence can be preserved in our stochastic model. Our study of the stochastic version of the model indicates that our results on the deterministic model provide informative conclusions about the behavior of the stochastic model. Copyright © 2017 Elsevier Ltd. All rights reserved.

  1. Stochastic integration by parts and functional Itô calculus

    Vives, Josep

    2016-01-01

    This volume contains lecture notes from the courses given by Vlad Bally and Rama Cont at the Barcelona Summer School on Stochastic Analysis (July 2012). The notes of the course by Vlad Bally, co-authored with Lucia Caramellino, develop integration by parts formulas in an abstract setting, extending Malliavin's work on abstract Wiener spaces. The results are applied to prove absolute continuity and regularity results of the density for a broad class of random processes. Rama Cont's notes provide an introduction to the Functional Itô Calculus, a non-anticipative functional calculus that extends the classical Itô calculus to path-dependent functionals of stochastic processes. This calculus leads to a new class of path-dependent partial differential equations, termed Functional Kolmogorov Equations, which arise in the study of martingales and forward-backward stochastic differential equations. This book will appeal to both young and senior researchers in probability and stochastic processes, as well as to pract...

  2. Firing patterns in the adaptive exponential integrate-and-fire model.

    Naud, Richard; Marcille, Nicolas; Clopath, Claudia; Gerstner, Wulfram

    2008-11-01

    For simulations of large spiking neuron networks, an accurate, simple and versatile single-neuron modeling framework is required. Here we explore the versatility of a simple two-equation model: the adaptive exponential integrate-and-fire neuron. We show that this model generates multiple firing patterns depending on the choice of parameter values, and present a phase diagram describing the transition from one firing type to another. We give an analytical criterion to distinguish between continuous adaption, initial bursting, regular bursting and two types of tonic spiking. Also, we report that the deterministic model is capable of producing irregular spiking when stimulated with constant current, indicating low-dimensional chaos. Lastly, the simple model is fitted to real experiments of cortical neurons under step current stimulation. The results provide support for the suitability of simple models such as the adaptive exponential integrate-and-fire neuron for large network simulations.

  3. Application of Stochastic Sensitivity Analysis to Integrated Force Method

    X. F. Wei

    2012-01-01

    Full Text Available As a new formulation in structural analysis, Integrated Force Method has been successfully applied to many structures for civil, mechanical, and aerospace engineering due to the accurate estimate of forces in computation. Right now, it is being further extended to the probabilistic domain. For the assessment of uncertainty effect in system optimization and identification, the probabilistic sensitivity analysis of IFM was further investigated in this study. A set of stochastic sensitivity analysis formulation of Integrated Force Method was developed using the perturbation method. Numerical examples are presented to illustrate its application. Its efficiency and accuracy were also substantiated with direct Monte Carlo simulations and the reliability-based sensitivity method. The numerical algorithm was shown to be readily adaptable to the existing program since the models of stochastic finite element and stochastic design sensitivity are almost identical.

  4. Integration of large chemical kinetic mechanisms via exponential methods with Krylov approximations to Jacobian matrix functions

    Bisetti, Fabrizio

    2012-06-01

    Recent trends in hydrocarbon fuel research indicate that the number of species and reactions in chemical kinetic mechanisms is rapidly increasing in an effort to provide predictive capabilities for fuels of practical interest. In order to cope with the computational cost associated with the time integration of stiff, large chemical systems, a novel approach is proposed. The approach combines an exponential integrator and Krylov subspace approximations to the exponential function of the Jacobian matrix. The components of the approach are described in detail and applied to the ignition of stoichiometric methane-air and iso-octane-air mixtures, here described by two widely adopted chemical kinetic mechanisms. The approach is found to be robust even at relatively large time steps and the global error displays a nominal third-order convergence. The performance of the approach is improved by utilising an adaptive algorithm for the selection of the Krylov subspace size, which guarantees an approximation to the matrix exponential within user-defined error tolerance. The Krylov projection of the Jacobian matrix onto a low-dimensional space is interpreted as a local model reduction with a well-defined error control strategy. Finally, the performance of the approach is discussed with regard to the optimal selection of the parameters governing the accuracy of its individual components. © 2012 Copyright Taylor and Francis Group, LLC.

  5. Feynman path integral related to stochastic schroedinger equation

    Belavkin, V.P.; Smolyanov, O.G.

    1998-01-01

    The derivation of the Schroedinger equation describing the continuous measurement process is presented. The representation of the solution of the stochastic Schroedinger equation for continuous measurements is obtained by means of the Feynman path integral. The connection with the heuristic approach to the description of continuous measurements is considered. The connection with the Senon paradox is established [ru

  6. A unified approach to stochastic integration on the real line

    Basse-O'Connor, Andreas; Graversen, Svend-Erik; Pedersen, Jan

    Stochastic integration on the predictable σ-field with respect to σ-finite L0-valued measures, also known as formal semimartingales, is studied. In particular, the triplet of such measures is introduced and used to characterize the set of integrable processes. Special attention is given to Lévy...... processes indexed by the real line. Surprisingly, many of the basic properties break down in this situation compared to the usual R+ case....

  7. Stochastic integration in Banach spaces theory and applications

    Mandrekar, Vidyadhar

    2015-01-01

    Considering Poisson random measures as the driving sources for stochastic (partial) differential equations allows us to incorporate jumps and to model sudden, unexpected phenomena. By using such equations the present book introduces a new method for modeling the states of complex systems perturbed by random sources over time, such as interest rates in financial markets or temperature distributions in a specific region. It studies properties of the solutions of the stochastic equations, observing the long-term behavior and the sensitivity of the solutions to changes in the initial data. The authors consider an integration theory of measurable and adapted processes in appropriate Banach spaces as well as the non-Gaussian case, whereas most of the literature only focuses on predictable settings in Hilbert spaces. The book is intended for graduate students and researchers in stochastic (partial) differential equations, mathematical finance and non-linear filtering and assumes a knowledge of the required integrati...

  8. A new algorithm for the integration of exponential and logarithmic functions

    Rothstein, M.

    1977-01-01

    An algorithm for symbolic integration of functions built up from the rational functions by repeatedly applying either the exponential or logarithm functions is discussed. This algorithm does not require polynomial factorization nor partial fraction decomposition and requires solutions of linear systems with only a small number of unknowns. It is proven that if this algorithm is applied to rational functions over the integers, a computing time bound for the algorithm can be obtained which is a polynomial in a bound on the integer length of the coefficients, and in the degrees of the numerator and denominator of the rational function involved.

  9. Stochastic Integration H∞ Filter for Rapid Transfer Alignment of INS.

    Zhou, Dapeng; Guo, Lei

    2017-11-18

    The performance of an inertial navigation system (INS) operated on a moving base greatly depends on the accuracy of rapid transfer alignment (RTA). However, in practice, the coexistence of large initial attitude errors and uncertain observation noise statistics poses a great challenge for the estimation accuracy of misalignment angles. This study aims to develop a novel robust nonlinear filter, namely the stochastic integration H ∞ filter (SIH ∞ F) for improving both the accuracy and robustness of RTA. In this new nonlinear H ∞ filter, the stochastic spherical-radial integration rule is incorporated with the framework of the derivative-free H ∞ filter for the first time, and the resulting SIH ∞ F simultaneously attenuates the negative effect in estimations caused by significant nonlinearity and large uncertainty. Comparisons between the SIH ∞ F and previously well-known methodologies are carried out by means of numerical simulation and a van test. The results demonstrate that the newly-proposed method outperforms the cubature H ∞ filter. Moreover, the SIH ∞ F inherits the benefit of the traditional stochastic integration filter, but with more robustness in the presence of uncertainty.

  10. Stochastic programming problems with generalized integrated chance constraints

    Branda, Martin

    2012-01-01

    Roč. 61, č. 8 (2012), s. 949-968 ISSN 0233-1934 R&D Projects: GA ČR GAP402/10/1610 Grant - others:SVV(CZ) 261315/2010 Institutional support: RVO:67985556 Keywords : chance constraints * integrated chance constraints * penalty functions * sample approximations * blending problem Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.707, year: 2012 http://library.utia.cas.cz/separaty/2012/E/branda-stochastic programming problems with generalized integrated.pdf

  11. Mean-Variance Portfolio Selection Problem with Stochastic Salary for a Defined Contribution Pension Scheme: A Stochastic Linear-Quadratic-Exponential Framework

    Charles Nkeki

    2013-11-01

    Full Text Available This paper examines a mean-variance portfolio selection problem with stochastic salary and inflation protection strategy in the accumulation phase of a defined contribution (DC pension plan. The utility function is assumed to be quadratic. It was assumed that the flow of contributions made by the PPM are invested into a market that is characterized by a cash account, an inflation-linked bond and a stock. In this paper, inflationlinked bond is traded and used to hedge inflation risks associated with the investment. The aim of this paper is to maximize the expected final wealth and minimize its variance. Efficient frontier for the three classes of assets (under quadratic utility function that will enable pension plan members (PPMs to decide their own wealth and risk in their investment profile at retirement was obtained.

  12. Optimal Integration of Intermittent Renewables: A System LCOE Stochastic Approach

    Carlo Lucheroni

    2018-03-01

    Full Text Available We propose a system level approach to value the impact on costs of the integration of intermittent renewable generation in a power system, based on expected breakeven cost and breakeven cost risk. To do this, we carefully reconsider the definition of Levelized Cost of Electricity (LCOE when extended to non-dispatchable generation, by examining extra costs and gains originated by the costly management of random power injections. We are thus lead to define a ‘system LCOE’ as a system dependent LCOE that takes properly into account intermittent generation. In order to include breakeven cost risk we further extend this deterministic approach to a stochastic setting, by introducing a ‘stochastic system LCOE’. This extension allows us to discuss the optimal integration of intermittent renewables from a broad, system level point of view. This paper thus aims to provide power producers and policy makers with a new methodological scheme, still based on the LCOE but which updates this valuation technique to current energy system configurations characterized by a large share of non-dispatchable production. Quantifying and optimizing the impact of intermittent renewables integration on power system costs, risk and CO 2 emissions, the proposed methodology can be used as powerful tool of analysis for assessing environmental and energy policies.

  13. 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.

  14. Continuous exponential martingales and BMO

    Kazamaki, Norihiko

    1994-01-01

    In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful properties of continuous exponential martingales that play an essential role in various questions concerning the absolute continuity of probability laws of stochastic processes. The second and principal aim is to provide a full report on the exciting results on BMO in the theory of exponential martingales. The reader is assumed to be familiar with the general theory of continuous martingales.

  15. Exponential-fitted methods for integrating stiff systems of ordinary differential equations: Applications to homogeneous gas-phase chemical kinetics

    Pratt, D. T.

    1984-01-01

    Conventional algorithms for the numerical integration of ordinary differential equations (ODEs) are based on the use of polynomial functions as interpolants. However, the exact solutions of stiff ODEs behave like decaying exponential functions, which are poorly approximated by polynomials. An obvious choice of interpolant are the exponential functions themselves, or their low-order diagonal Pade (rational function) approximants. A number of explicit, A-stable, integration algorithms were derived from the use of a three-parameter exponential function as interpolant, and their relationship to low-order, polynomial-based and rational-function-based implicit and explicit methods were shown by examining their low-order diagonal Pade approximants. A robust implicit formula was derived by exponential fitting the trapezoidal rule. Application of these algorithms to integration of the ODEs governing homogenous, gas-phase chemical kinetics was demonstrated in a developmental code CREK1D, which compares favorably with the Gear-Hindmarsh code LSODE in spite of the use of a primitive stepsize control strategy.

  16. Impact of adaptation currents on synchronization of coupled exponential integrate-and-fire neurons.

    Josef Ladenbauer

    Full Text Available The ability of spiking neurons to synchronize their activity in a network depends on the response behavior of these neurons as quantified by the phase response curve (PRC and on coupling properties. The PRC characterizes the effects of transient inputs on spike timing and can be measured experimentally. Here we use the adaptive exponential integrate-and-fire (aEIF neuron model to determine how subthreshold and spike-triggered slow adaptation currents shape the PRC. Based on that, we predict how synchrony and phase locked states of coupled neurons change in presence of synaptic delays and unequal coupling strengths. We find that increased subthreshold adaptation currents cause a transition of the PRC from only phase advances to phase advances and delays in response to excitatory perturbations. Increased spike-triggered adaptation currents on the other hand predominantly skew the PRC to the right. Both adaptation induced changes of the PRC are modulated by spike frequency, being more prominent at lower frequencies. Applying phase reduction theory, we show that subthreshold adaptation stabilizes synchrony for pairs of coupled excitatory neurons, while spike-triggered adaptation causes locking with a small phase difference, as long as synaptic heterogeneities are negligible. For inhibitory pairs synchrony is stable and robust against conduction delays, and adaptation can mediate bistability of in-phase and anti-phase locking. We further demonstrate that stable synchrony and bistable in/anti-phase locking of pairs carry over to synchronization and clustering of larger networks. The effects of adaptation in aEIF neurons on PRCs and network dynamics qualitatively reflect those of biophysical adaptation currents in detailed Hodgkin-Huxley-based neurons, which underscores the utility of the aEIF model for investigating the dynamical behavior of networks. Our results suggest neuronal spike frequency adaptation as a mechanism synchronizing low frequency

  17. Dynamics of the exponential integrate-and-fire model with slow currents and adaptation.

    Barranca, Victor J; Johnson, Daniel C; Moyher, Jennifer L; Sauppe, Joshua P; Shkarayev, Maxim S; Kovačič, Gregor; Cai, David

    2014-08-01

    In order to properly capture spike-frequency adaptation with a simplified point-neuron model, we study approximations of Hodgkin-Huxley (HH) models including slow currents by exponential integrate-and-fire (EIF) models that incorporate the same types of currents. We optimize the parameters of the EIF models under the external drive consisting of AMPA-type conductance pulses using the current-voltage curves and the van Rossum metric to best capture the subthreshold membrane potential, firing rate, and jump size of the slow current at the neuron's spike times. Our numerical simulations demonstrate that, in addition to these quantities, the approximate EIF-type models faithfully reproduce bifurcation properties of the HH neurons with slow currents, which include spike-frequency adaptation, phase-response curves, critical exponents at the transition between a finite and infinite number of spikes with increasing constant external drive, and bifurcation diagrams of interspike intervals in time-periodically forced models. Dynamics of networks of HH neurons with slow currents can also be approximated by corresponding EIF-type networks, with the approximation being at least statistically accurate over a broad range of Poisson rates of the external drive. For the form of external drive resembling realistic, AMPA-like synaptic conductance response to incoming action potentials, the EIF model affords great savings of computation time as compared with the corresponding HH-type model. Our work shows that the EIF model with additional slow currents is well suited for use in large-scale, point-neuron models in which spike-frequency adaptation is important.

  18. Stochastic simulation and robust design optimization of integrated photonic filters

    Weng Tsui-Wei

    2016-07-01

    Full Text Available Manufacturing variations are becoming an unavoidable issue in modern fabrication processes; therefore, it is crucial to be able to include stochastic uncertainties in the design phase. In this paper, integrated photonic coupled ring resonator filters are considered as an example of significant interest. The sparsity structure in photonic circuits is exploited to construct a sparse combined generalized polynomial chaos model, which is then used to analyze related statistics and perform robust design optimization. Simulation results show that the optimized circuits are more robust to fabrication process variations and achieve a reduction of 11%–35% in the mean square errors of the 3 dB bandwidth compared to unoptimized nominal designs.

  19. A Fortran program for the numerical integration of the one-dimensional Schroedinger equation using exponential and Bessel fitting methods

    Cash, J.R.; Raptis, A.D.; Simos, T.E.

    1990-01-01

    An efficient algorithm is described for the accurate numerical integration of the one-dimensional Schroedinger equation. This algorithm uses a high-order, variable step Runge-Kutta like method in the region where the potential term dominates, and an exponential or Bessel fitted method in the asymptotic region. This approach can be used to compute scattering phase shifts in an efficient and reliable manner. A Fortran program which implements this algorithm is provided and some test results are given. (orig.)

  20. Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations

    Barndorff-Nielsen, Ole Eiler; Maejima, M.; Sato, K.

    2006-01-01

    The class of distributions on R generated by convolutions of Γ-distributions and the class generated by convolutions of mixtures of exponential distributions are generalized to higher dimensions and denoted by T(Rd) and B(Rd) . From the Lévy process {Xt(μ)} on Rd with distribution μ at t=1, Υ...... divisible distributions and of self-decomposable distributions on Rd , respectively. The relations with the mapping Φ from μ to the distribution at each time of the stationary process of Ornstein-Uhlenbeck type with background driving Lévy process {Xt(μ)} are studied. Developments of these results......(μ) is defined as the distribution of the stochastic integral ∫01log(1/t)dXt(μ) . This mapping is a generalization of the mapping Υ introduced by Barndorff-Nielsen and Thorbjørnsen in one dimension. It is proved that ϒ(ID(Rd))=B(Rd) and ϒ(L(Rd))=T(Rd) , where ID(Rd) and L(Rd) are the classes of infinitely...

  1. Master equations and the theory of stochastic path integrals

    Weber, Markus F.; Frey, Erwin

    2017-04-01

    This review provides a pedagogic and self-contained introduction to master equations and to their representation by path integrals. Since the 1930s, master equations have served as a fundamental tool to understand the role of fluctuations in complex biological, chemical, and physical systems. Despite their simple appearance, analyses of master equations most often rely on low-noise approximations such as the Kramers-Moyal or the system size expansion, or require ad-hoc closure schemes for the derivation of low-order moment equations. We focus on numerical and analytical methods going beyond the low-noise limit and provide a unified framework for the study of master equations. After deriving the forward and backward master equations from the Chapman-Kolmogorov equation, we show how the two master equations can be cast into either of four linear partial differential equations (PDEs). Three of these PDEs are discussed in detail. The first PDE governs the time evolution of a generalized probability generating function whose basis depends on the stochastic process under consideration. Spectral methods, WKB approximations, and a variational approach have been proposed for the analysis of the PDE. The second PDE is novel and is obeyed by a distribution that is marginalized over an initial state. It proves useful for the computation of mean extinction times. The third PDE describes the time evolution of a ‘generating functional’, which generalizes the so-called Poisson representation. Subsequently, the solutions of the PDEs are expressed in terms of two path integrals: a ‘forward’ and a ‘backward’ path integral. Combined with inverse transformations, one obtains two distinct path integral representations of the conditional probability distribution solving the master equations. We exemplify both path integrals in analysing elementary chemical reactions. Moreover, we show how a well-known path integral representation of averaged observables can be recovered from

  2. Master equations and the theory of stochastic path integrals.

    Weber, Markus F; Frey, Erwin

    2017-04-01

    This review provides a pedagogic and self-contained introduction to master equations and to their representation by path integrals. Since the 1930s, master equations have served as a fundamental tool to understand the role of fluctuations in complex biological, chemical, and physical systems. Despite their simple appearance, analyses of master equations most often rely on low-noise approximations such as the Kramers-Moyal or the system size expansion, or require ad-hoc closure schemes for the derivation of low-order moment equations. We focus on numerical and analytical methods going beyond the low-noise limit and provide a unified framework for the study of master equations. After deriving the forward and backward master equations from the Chapman-Kolmogorov equation, we show how the two master equations can be cast into either of four linear partial differential equations (PDEs). Three of these PDEs are discussed in detail. The first PDE governs the time evolution of a generalized probability generating function whose basis depends on the stochastic process under consideration. Spectral methods, WKB approximations, and a variational approach have been proposed for the analysis of the PDE. The second PDE is novel and is obeyed by a distribution that is marginalized over an initial state. It proves useful for the computation of mean extinction times. The third PDE describes the time evolution of a 'generating functional', which generalizes the so-called Poisson representation. Subsequently, the solutions of the PDEs are expressed in terms of two path integrals: a 'forward' and a 'backward' path integral. Combined with inverse transformations, one obtains two distinct path integral representations of the conditional probability distribution solving the master equations. We exemplify both path integrals in analysing elementary chemical reactions. Moreover, we show how a well-known path integral representation of averaged observables can be recovered from them. Upon

  3. Stability analysis for neutral stochastic differential equation of second order driven by Poisson jumps

    Chadha, Alka; Bora, Swaroop Nandan

    2017-11-01

    This paper studies the existence, uniqueness, and exponential stability in mean square for the mild solution of neutral second order stochastic partial differential equations with infinite delay and Poisson jumps. By utilizing the Banach fixed point theorem, first the existence and uniqueness of the mild solution of neutral second order stochastic differential equations is established. Then, the mean square exponential stability for the mild solution of the stochastic system with Poisson jumps is obtained with the help of an established integral inequality.

  4. On the use of stochastic approximation Monte Carlo for Monte Carlo integration

    Liang, Faming

    2009-01-01

    The stochastic approximation Monte Carlo (SAMC) algorithm has recently been proposed as a dynamic optimization algorithm in the literature. In this paper, we show in theory that the samples generated by SAMC can be used for Monte Carlo integration

  5. Nonlinear filtering and smoothing an introduction to martingales, stochastic integrals and estimation

    Krishnan, Venkatarama

    2005-01-01

    Most useful for graduate students in engineering and finance who have a basic knowledge of probability theory, this volume is designed to give a concise understanding of martingales, stochastic integrals, and estimation. It emphasizes applications. Many theorems feature heuristic proofs; others include rigorous proofs to reinforce physical understanding. Numerous end-of-chapter problems enhance the book's practical value.After introducing the basic measure-theoretic concepts of probability and stochastic processes, the text examines martingales, square integrable martingales, and stopping time

  6. Path probability distribution of stochastic motion of non dissipative systems: a classical analog of Feynman factor of path integral

    Lin, T.L.; Wang, R.; Bi, W.P.; El Kaabouchi, A.; Pujos, C.; Calvayrac, F.; Wang, Q.A.

    2013-01-01

    We investigate, by numerical simulation, the path probability of non dissipative mechanical systems undergoing stochastic motion. The aim is to search for the relationship between this probability and the usual mechanical action. The model of simulation is a one-dimensional particle subject to conservative force and Gaussian random displacement. The probability that a sample path between two fixed points is taken is computed from the number of particles moving along this path, an output of the simulation, divided by the total number of particles arriving at the final point. It is found that the path probability decays exponentially with increasing action of the sample paths. The decay rate increases with decreasing randomness. This result supports the existence of a classical analog of the Feynman factor in the path integral formulation of quantum mechanics for Hamiltonian systems

  7. Scheduling of Power System Cells Integrating Stochastic Power Generation

    Costa, L.M.

    2008-12-01

    Energy supply and climate change are nowadays two of the most outstanding problems which societies have to cope with under a context of increasing energy needs. Public awareness of these problems is driving political willingness to take actions for tackling them in a swift and efficient manner. Such actions mainly focus in increasing energy efficiency, in decreasing dependence on fossil fuels, and in reducing greenhouse gas emissions. In this context, power systems are undergoing important changes in the way they are planned and managed. On the one hand, vertically integrated structures are being replaced by market structures in which power systems are un-bundled. On the other, power systems that once relied on large power generation facilities are witnessing the end of these facilities' life-cycle and, consequently, their decommissioning. The role of distributed energy resources such as wind and solar power generators is becoming increasingly important in this context. However, the large-scale integration of such type of generation presents many challenges due, for instance, to the uncertainty associated to the variability of their production. Nevertheless, advanced forecasting tools may be combined with more controllable elements such as energy storage devices, gas turbines, and controllable loads to form systems that aim to reduce the impacts that may be caused by these uncertainties. This thesis addresses the management under market conditions of these types of systems that act like independent societies and which are herewith named power system cells. From the available literature, a unified view of power system scheduling problems is also proposed as a first step for managing sets of power system cells in a multi-cell management framework. Then, methodologies for performing the optimal day-ahead scheduling of single power system cells are proposed, discussed and evaluated under both a deterministic and a stochastic framework that directly integrates the

  8. Time-splitting combined with exponential wave integrator fourier pseudospectral method for Schrödinger-Boussinesq system

    Liao, Feng; Zhang, Luming; Wang, Shanshan

    2018-02-01

    In this article, we formulate an efficient and accurate numerical method for approximations of the coupled Schrödinger-Boussinesq (SBq) system. The main features of our method are based on: (i) the applications of a time-splitting Fourier spectral method for Schrödinger-like equation in SBq system, (ii) the utilizations of exponential wave integrator Fourier pseudospectral for spatial derivatives in the Boussinesq-like equation. The scheme is fully explicit and efficient due to fast Fourier transform. The numerical examples are presented to show the efficiency and accuracy of our method.

  9. Stochastic Sizing of Energy Storage Systems for Wind Integration

    D. D. Le

    2018-06-01

    Full Text Available In this paper, we present an optimal capacity decision model for energy storage systems (ESSs in combined operation with wind energy in power systems. We use a two-stage stochastic programming approach to take into account both wind and load uncertainties. The planning problem is formulated as an AC optimal power flow (OPF model with the objective of minimizing ESS installation cost and system operation cost. Stochastic wind and load inputs for the model are generated from historical data using clustering technique. The model is tested on the IEEE 39-bus system.

  10. Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps

    Li, Yan; Hu, Junhao

    2013-01-01

    We investigate the convergence rate of Euler-Maruyama method for a class of stochastic partial differential delay equations driven by both Brownian motion and Poisson point processes. We discretize in space by a Galerkin method and in time by using a stochastic exponential integrator. We generalize some results of Bao et al. (2011) and Jacob et al. (2009) in finite dimensions to a class of stochastic partial differential delay equations with jumps in infinite dimensions.

  11. Qualitative and Quantitative Integrated Modeling for Stochastic Simulation and Optimization

    Xuefeng Yan

    2013-01-01

    Full Text Available The simulation and optimization of an actual physics system are usually constructed based on the stochastic models, which have both qualitative and quantitative characteristics inherently. Most modeling specifications and frameworks find it difficult to describe the qualitative model directly. In order to deal with the expert knowledge, uncertain reasoning, and other qualitative information, a qualitative and quantitative combined modeling specification was proposed based on a hierarchical model structure framework. The new modeling approach is based on a hierarchical model structure which includes the meta-meta model, the meta-model and the high-level model. A description logic system is defined for formal definition and verification of the new modeling specification. A stochastic defense simulation was developed to illustrate how to model the system and optimize the result. The result shows that the proposed method can describe the complex system more comprehensively, and the survival probability of the target is higher by introducing qualitative models into quantitative simulation.

  12. Random Sampling with Interspike-Intervals of the Exponential Integrate and Fire Neuron: A Computational Interpretation of UP-States.

    Andreas Steimer

    Full Text Available Oscillations between high and low values of the membrane potential (UP and DOWN states respectively are an ubiquitous feature of cortical neurons during slow wave sleep and anesthesia. Nevertheless, a surprisingly small number of quantitative studies have been conducted only that deal with this phenomenon's implications for computation. Here we present a novel theory that explains on a detailed mathematical level the computational benefits of UP states. The theory is based on random sampling by means of interspike intervals (ISIs of the exponential integrate and fire (EIF model neuron, such that each spike is considered a sample, whose analog value corresponds to the spike's preceding ISI. As we show, the EIF's exponential sodium current, that kicks in when balancing a noisy membrane potential around values close to the firing threshold, leads to a particularly simple, approximative relationship between the neuron's ISI distribution and input current. Approximation quality depends on the frequency spectrum of the current and is improved upon increasing the voltage baseline towards threshold. Thus, the conceptually simpler leaky integrate and fire neuron that is missing such an additional current boost performs consistently worse than the EIF and does not improve when voltage baseline is increased. For the EIF in contrast, the presented mechanism is particularly effective in the high-conductance regime, which is a hallmark feature of UP-states. Our theoretical results are confirmed by accompanying simulations, which were conducted for input currents of varying spectral composition. Moreover, we provide analytical estimations of the range of ISI distributions the EIF neuron can sample from at a given approximation level. Such samples may be considered by any algorithmic procedure that is based on random sampling, such as Markov Chain Monte Carlo or message-passing methods. Finally, we explain how spike-based random sampling relates to existing

  13. Random Sampling with Interspike-Intervals of the Exponential Integrate and Fire Neuron: A Computational Interpretation of UP-States.

    Steimer, Andreas; Schindler, Kaspar

    2015-01-01

    Oscillations between high and low values of the membrane potential (UP and DOWN states respectively) are an ubiquitous feature of cortical neurons during slow wave sleep and anesthesia. Nevertheless, a surprisingly small number of quantitative studies have been conducted only that deal with this phenomenon's implications for computation. Here we present a novel theory that explains on a detailed mathematical level the computational benefits of UP states. The theory is based on random sampling by means of interspike intervals (ISIs) of the exponential integrate and fire (EIF) model neuron, such that each spike is considered a sample, whose analog value corresponds to the spike's preceding ISI. As we show, the EIF's exponential sodium current, that kicks in when balancing a noisy membrane potential around values close to the firing threshold, leads to a particularly simple, approximative relationship between the neuron's ISI distribution and input current. Approximation quality depends on the frequency spectrum of the current and is improved upon increasing the voltage baseline towards threshold. Thus, the conceptually simpler leaky integrate and fire neuron that is missing such an additional current boost performs consistently worse than the EIF and does not improve when voltage baseline is increased. For the EIF in contrast, the presented mechanism is particularly effective in the high-conductance regime, which is a hallmark feature of UP-states. Our theoretical results are confirmed by accompanying simulations, which were conducted for input currents of varying spectral composition. Moreover, we provide analytical estimations of the range of ISI distributions the EIF neuron can sample from at a given approximation level. Such samples may be considered by any algorithmic procedure that is based on random sampling, such as Markov Chain Monte Carlo or message-passing methods. Finally, we explain how spike-based random sampling relates to existing computational

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

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

    2016-07-01

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

  15. Exponential Martingales and Changes of Measure for Counting Processes

    Sokol, Alexander; Hansen, Niels Richard

    2015-01-01

    We give sufficient criteria for the Doléans-Dade exponential of a stochastic integral with respect to a counting process local martingale to be a true martingale. The criteria are adapted particularly to the case of counting processes and are sufficiently weak to be useful and verifiable, as we i...... illustrate by several examples. In particular, the criteria allow for the construction of for example nonexplosive Hawkes processes, counting processes with stochastic intensities depending on diffusion processes as well as inhomogeneous finite-state Markov processes....

  16. Stochastic simulation of PWR vessel integrity for pressurized thermal shock conditions

    Jackson, P.S.; Moelling, D.S.

    1984-01-01

    A stochastic simulation methodology is presented for performing probabilistic analyses of Pressurized Water Reactor vessel integrity. Application of the methodology to vessel-specific integrity analyses is described in the context of Pressurized Thermal Shock (PTS) conditions. A Bayesian method is described for developing vessel-specific models of the density of undetected volumetric flaws from ultrasonic inservice inspection results. Uncertainty limits on the probabilistic results due to sampling errors are determined from the results of the stochastic simulation. An example is provided to illustrate the methodology

  17. Blip decomposition of the path integral: exponential acceleration of real-time calculations on quantum dissipative systems.

    Makri, Nancy

    2014-10-07

    The real-time path integral representation of the reduced density matrix for a discrete system in contact with a dissipative medium is rewritten in terms of the number of blips, i.e., elementary time intervals over which the forward and backward paths are not identical. For a given set of blips, it is shown that the path sum with respect to the coordinates of all remaining time points is isomorphic to that for the wavefunction of a system subject to an external driving term and thus can be summed by an inexpensive iterative procedure. This exact decomposition reduces the number of terms by a factor that increases exponentially with propagation time. Further, under conditions (moderately high temperature and/or dissipation strength) that lead primarily to incoherent dynamics, the "fully incoherent limit" zero-blip term of the series provides a reasonable approximation to the dynamics, and the blip series converges rapidly to the exact result. Retention of only the blips required for satisfactory convergence leads to speedup of full-memory path integral calculations by many orders of magnitude.

  18. Approximation of itô integrals arising in stochastic time-delayed systems

    Bagchi, Arunabha

    1984-01-01

    Likelihood functional for stochastic linear time-delayed systems involve Itô integrals with respect to the observed data. Since the Wiener process appearing in the standard observation process model for such systems is not realizable and the physically observed process is smooth, one needs to study

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

    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...

  20. Integral projection models for finite populations in a stochastic environment.

    Vindenes, Yngvild; Engen, Steinar; Saether, Bernt-Erik

    2011-05-01

    Continuous types of population structure occur when continuous variables such as body size or habitat quality affect the vital parameters of individuals. These structures can give rise to complex population dynamics and interact with environmental conditions. Here we present a model for continuously structured populations with finite size, including both demographic and environmental stochasticity in the dynamics. Using recent methods developed for discrete age-structured models we derive the demographic and environmental variance of the population growth as functions of a continuous state variable. These two parameters, together with the expected population growth rate, are used to define a one-dimensional diffusion approximation of the population dynamics. Thus, a substantial reduction in complexity is achieved as the dynamics of the complex structured model can be described by only three population parameters. We provide methods for numerical calculation of the model parameters and demonstrate the accuracy of the diffusion approximation by computer simulation of specific examples. The general modeling framework makes it possible to analyze and predict future dynamics and extinction risk of populations with various types of structure, and to explore consequences of changes in demography caused by, e.g., climate change or different management decisions. Our results are especially relevant for small populations that are often of conservation concern.

  1. Integration of renewable generation uncertainties into stochastic unit commitment considering reserve and risk: A comparative study

    Quan, Hao; Srinivasan, Dipti; Khosravi, Abbas

    2016-01-01

    The uncertainties of renewable energy have brought great challenges to power system commitment, dispatches and reserve requirement. This paper presents a comparative study on integration of renewable generation uncertainties into SCUC (stochastic security-constrained unit commitment) considering reserve and risk. Renewable forecast uncertainties are captured by a list of PIs (prediction intervals). A new scenario generation method is proposed to generate scenarios from these PIs. Different system uncertainties are considered as scenarios in the stochastic SCUC problem formulation. Two comparative simulations with single (E1: wind only) and multiple sources of uncertainty (E2: load, wind, solar and generation outages) are investigated. Five deterministic and four stochastic case studies are performed. Different generation costs, reserve strategies and associated risks are compared under various scenarios. Demonstrated results indicate the overall costs of E2 is lower than E1 due to penetration of solar power and the associated risk in deterministic cases of E2 is higher than E1. It implies the superimposed effect of uncertainties during uncertainty integration. The results also demonstrate that power systems run a higher level of risk during peak load hours, and that stochastic models are more robust than deterministic ones. - Highlights: • An extensive comparative study for renewable integration is presented. • A novel scenario generation method is proposed. • Wind and solar uncertainties are represented by a list of prediction intervals. • Unit commitment and dispatch costs are discussed considering reserve and risk.

  2. Integrated multiperiod power generation and transmission expansion planning with sustainability aspects in a stochastic environment

    Seddighi, Amir Hossein; Ahmadi-Javid, Amir

    2015-01-01

    This paper presents a multistage stochastic programming model to address sustainable power generation and transmission expansion planning. The model incorporates uncertainties about future electricity demand, fuel prices, greenhouse gas emissions, as well as possible disruptions to which the power system is subject. A number of sustainability regulations and policies are considered to establish a framework for the social responsibility of the power system. The proposed model is applied to a real-world case, and several sensitivity analyses are carried out to provide managerial insights into different aspects of the model. The results emphasize the important role played by sustainability policies on the configuration of the power grid. - Highlights: • This paper considers integrated power generation and transmission expansion planning. • Sustainability aspects are incorporated into a multiperiod stochastic setting. • A stochastic mathematical programming model is developed to address the problem. • The model is applied to a real-world case and numerical studies are carried out

  3. Stochastic Frontier Models with Dependent Errors based on Normal and Exponential Margins || Modelos de frontera estocástica con errores dependientes basados en márgenes normal y exponencial

    Gómez-Déniz, Emilio

    2017-06-01

    Full Text Available Following the recent work of Gómez-Déniz and Pérez-Rodríguez (2014, this paper extends the results obtained there to the normal-exponential distribution with dependence. Accordingly, the main aim of the present paper is to enhance stochastic production frontier and stochastic cost frontier modelling by proposing a bivariate distribution for dependent errors which allows us to nest the classical models. Closed-form expressions for the error term and technical efficiency are provided. An illustration using real data from the econometric literature is provided to show the applicability of the model proposed. || Continuando el reciente trabajo de Gómez-Déniz y Pérez-Rodríguez (2014, el presente artículo extiende los resultados obtenidos a la distribución normal-exponencial con dependencia. En consecuencia, el principal propósito de este artículo es mejorar el modelado de la frontera estocástica tanto de producción como de coste proponiendo para ello una distribución bivariante para errores dependientes que nos permitan encajar los modelos clásicos. Se obtienen las expresiones en forma cerrada para el término de error y la eficiencia técnica. Se ilustra la aplicabilidad del modelo propouesto usando datos reales existentes en la literatura econométrica.

  4. An approximation to the adaptive exponential integrate-and-fire neuron model allows fast and predictive fitting to physiological data

    Loreen eHertäg

    2012-09-01

    Full Text Available For large-scale network simulations, it is often desirable to have computationally tractable, yet in a defined sense still physiologically valid neuron models. In particular, these models should be able to reproduce physiological measurements, ideally in a predictive sense, and under different input regimes in which neurons may operate in vivo. Here we present an approach to parameter estimation for a simple spiking neuron model mainly based on standard f-I curves obtained from in vitro recordings. Such recordings are routinely obtained in standard protocols and assess a neuron's response under a wide range of mean input currents. Our fitting procedure makes use of closed-form expressions for the firing rate derived from an approximation to the adaptive exponential integrate-and-fire (AdEx model. The resulting fitting process is simple and about two orders of magnitude faster compared to methods based on numerical integration of the differential equations. We probe this method on different cell types recorded from rodent prefrontal cortex. After fitting to the f-I current-clamp data, the model cells are tested on completely different sets of recordings obtained by fluctuating ('in-vivo-like' input currents. For a wide range of different input regimes, cell types, and cortical layers, the model could predict spike times on these test traces quite accurately within the bounds of physiological reliability, although no information from these distinct test sets was used for model fitting. Further analyses delineated some of the empirical factors constraining model fitting and the model's generalization performance. An even simpler adaptive LIF neuron was also examined in this context. Hence, we have developed a 'high-throughput' model fitting procedure which is simple and fast, with good prediction performance, and which relies only on firing rate information and standard physiological data widely and easily available.

  5. A boundary integral formalism for stochastic ray tracing in billiards

    Chappell, David J.; Tanner, Gregor

    2014-01-01

    Determining the flow of rays or non-interacting particles driven by a force or velocity field is fundamental to modelling many physical processes. These include particle flows arising in fluid mechanics and ray flows arising in the geometrical optics limit of linear wave equations. In many practical applications, the driving field is not known exactly and the dynamics are determined only up to a degree of uncertainty. This paper presents a boundary integral framework for propagating flows including uncertainties, which is shown to systematically interpolate between a deterministic and a completely random description of the trajectory propagation. A simple but efficient discretisation approach is applied to model uncertain billiard dynamics in an integrable rectangular domain

  6. Set-valued and fuzzy stochastic integral equations driven by semimartingales under Osgood condition

    Malinowski Marek T.

    2015-01-01

    Full Text Available We analyze the set-valued stochastic integral equations driven by continuous semimartingales and prove the existence and uniqueness of solutions to such equations in the framework of the hyperspace of nonempty, bounded, convex and closed subsets of the Hilbert space L2 (consisting of square integrable random vectors. The coefficients of the equations are assumed to satisfy the Osgood type condition that is a generalization of the Lipschitz condition. Continuous dependence of solutions with respect to data of the equation is also presented. We consider equations driven by semimartingale Z and equations driven by processes A;M from decomposition of Z, where A is a process of finite variation and M is a local martingale. These equations are not equivalent. Finally, we show that the analysis of the set-valued stochastic integral equations can be extended to a case of fuzzy stochastic integral equations driven by semimartingales under Osgood type condition. To obtain our results we use the set-valued and fuzzy Maruyama type approximations and Bihari’s inequality.

  7. Path integrals for inertialess classical particles under-going rapid stochastic trembling. I

    Bezak, V.

    1978-01-01

    Feynman path integrals are studied in reference to the Fokker-Planck (Smoluchowski) equation. Examples are presented including the motion of an inertialess classical charged particle between electrodes in plate and cylindrical capacitors with charges fluctuating rapidly as Gaussian white-noise stochastic processes. Another example concerns magnetodiffusion of a charged particle in an non-polarized electromagnetic beam characterized by a white-noise spectrum. (author)

  8. An explicit asymptotic model for the surface wave in a viscoelastic half-space based on applying Rabotnov's fractional exponential integral operators

    Wilde, M. V.; Sergeeva, N. V.

    2018-05-01

    An explicit asymptotic model extracting the contribution of a surface wave to the dynamic response of a viscoelastic half-space is derived. Fractional exponential Rabotnov's integral operators are used for describing of material properties. The model is derived by extracting the principal part of the poles corresponding to the surface waves after applying Laplace and Fourier transforms. The simplified equations for the originals are written by using power series expansions. Padè approximation is constructed to unite short-time and long-time models. The form of this approximation allows to formulate the explicit model using a fractional exponential Rabotnov's integral operator with parameters depending on the properties of surface wave. The applicability of derived models is studied by comparing with the exact solutions of a model problem. It is revealed that the model based on Padè approximation is highly effective for all the possible time domains.

  9. Integrated logistic support studies using behavioral Monte Carlo simulation, supported by Generalized Stochastic Petri Nets

    Garnier, Robert; Chevalier, Marcel

    2000-01-01

    Studying large and complex industrial sites, requires more and more accuracy in modeling. In particular, when considering Spares, Maintenance and Repair / Replacement processes, determining optimal Integrated Logistic Support policies requires a high level modeling formalism, in order to make the model as close as possible to the real considered processes. Generally, numerical methods are used to process this kind of study. In this paper, we propose an alternate way to process optimal Integrated Logistic Support policy determination when dealing with large, complex and distributed multi-policies industrial sites. This method is based on the use of behavioral Monte Carlo simulation, supported by Generalized Stochastic Petri Nets. (author)

  10. A stochastic approach for quantifying immigrant integration: the Spanish test case

    Agliari, Elena; Barra, Adriano; Contucci, Pierluigi; Sandell, Richard; Vernia, Cecilia

    2014-10-01

    We apply stochastic process theory to the analysis of immigrant integration. Using a unique and detailed data set from Spain, we study the relationship between local immigrant density and two social and two economic immigration quantifiers for the period 1999-2010. As opposed to the classic time-series approach, by letting immigrant density play the role of ‘time’ and the quantifier the role of ‘space,’ it becomes possible to analyse the behavior of the quantifiers by means of continuous time random walks. Two classes of results are then obtained. First, we show that social integration quantifiers evolve following diffusion law, while the evolution of economic quantifiers exhibits ballistic dynamics. Second, we make predictions of best- and worst-case scenarios taking into account large local fluctuations. Our stochastic process approach to integration lends itself to interesting forecasting scenarios which, in the hands of policy makers, have the potential to improve political responses to integration problems. For instance, estimating the standard first-passage time and maximum-span walk reveals local differences in integration performance for different immigration scenarios. Thus, by recognizing the importance of local fluctuations around national means, this research constitutes an important tool to assess the impact of immigration phenomena on municipal budgets and to set up solid multi-ethnic plans at the municipal level as immigration pressures build.

  11. A stochastic approach for quantifying immigrant integration: the Spanish test case

    Agliari, Elena; Barra, Adriano; Contucci, Pierluigi; Sandell, Richard; Vernia, Cecilia

    2014-01-01

    We apply stochastic process theory to the analysis of immigrant integration. Using a unique and detailed data set from Spain, we study the relationship between local immigrant density and two social and two economic immigration quantifiers for the period 1999–2010. As opposed to the classic time-series approach, by letting immigrant density play the role of ‘time’ and the quantifier the role of ‘space,’ it becomes possible to analyse the behavior of the quantifiers by means of continuous time random walks. Two classes of results are then obtained. First, we show that social integration quantifiers evolve following diffusion law, while the evolution of economic quantifiers exhibits ballistic dynamics. Second, we make predictions of best- and worst-case scenarios taking into account large local fluctuations. Our stochastic process approach to integration lends itself to interesting forecasting scenarios which, in the hands of policy makers, have the potential to improve political responses to integration problems. For instance, estimating the standard first-passage time and maximum-span walk reveals local differences in integration performance for different immigration scenarios. Thus, by recognizing the importance of local fluctuations around national means, this research constitutes an important tool to assess the impact of immigration phenomena on municipal budgets and to set up solid multi-ethnic plans at the municipal level as immigration pressures build. (paper)

  12. Unit commitment with wind power generation: integrating wind forecast uncertainty and stochastic programming.

    Constantinescu, E. M.; Zavala, V. M.; Rocklin, M.; Lee, S.; Anitescu, M. (Mathematics and Computer Science); (Univ. of Chicago); (New York Univ.)

    2009-10-09

    We present a computational framework for integrating the state-of-the-art Weather Research and Forecasting (WRF) model in stochastic unit commitment/energy dispatch formulations that account for wind power uncertainty. We first enhance the WRF model with adjoint sensitivity analysis capabilities and a sampling technique implemented in a distributed-memory parallel computing architecture. We use these capabilities through an ensemble approach to model the uncertainty of the forecast errors. The wind power realizations are exploited through a closed-loop stochastic unit commitment/energy dispatch formulation. We discuss computational issues arising in the implementation of the framework. In addition, we validate the framework using real wind speed data obtained from a set of meteorological stations. We also build a simulated power system to demonstrate the developments.

  13. Enhancement of Markov chain model by integrating exponential smoothing: A case study on Muslims marriage and divorce

    Jamaluddin, Fadhilah; Rahim, Rahela Abdul

    2015-12-01

    Markov Chain has been introduced since the 1913 for the purpose of studying the flow of data for a consecutive number of years of the data and also forecasting. The important feature in Markov Chain is obtaining the accurate Transition Probability Matrix (TPM). However to obtain the suitable TPM is hard especially in involving long-term modeling due to unavailability of data. This paper aims to enhance the classical Markov Chain by introducing Exponential Smoothing technique in developing the appropriate TPM.

  14. Bound states of quarks calculated with stochastic integration of the Bethe-Salpeter equation

    Salomon, M.

    1992-07-01

    We have computed the masses, wave functions and sea quark content of mesons in their ground state by integrating the Bethe-Salpeter equation with a stochastic algorithm. This method allows the inclusion of a large set of diagrams. Inspection of the kernel of the equation shows that q-q-bar pairs with similar constituent masses in a singlet spin state exhibit a high bound state which is not present in other pairs. The pion, kaon and eta belongs to this category. 19 refs., 2 figs., 2 tabs

  15. On the use of stochastic approximation Monte Carlo for Monte Carlo integration

    Liang, Faming

    2009-03-01

    The stochastic approximation Monte Carlo (SAMC) algorithm has recently been proposed as a dynamic optimization algorithm in the literature. In this paper, we show in theory that the samples generated by SAMC can be used for Monte Carlo integration via a dynamically weighted estimator by calling some results from the literature of nonhomogeneous Markov chains. Our numerical results indicate that SAMC can yield significant savings over conventional Monte Carlo algorithms, such as the Metropolis-Hastings algorithm, for the problems for which the energy landscape is rugged. © 2008 Elsevier B.V. All rights reserved.

  16. Integral-based event triggering controller design for stochastic LTI systems via convex optimisation

    Mousavi, S. H.; Marquez, H. J.

    2016-07-01

    The presence of measurement noise in the event-based systems can lower system efficiency both in terms of data exchange rate and performance. In this paper, an integral-based event triggering control system is proposed for LTI systems with stochastic measurement noise. We show that the new mechanism is robust against noise and effectively reduces the flow of communication between plant and controller, and also improves output performance. Using a Lyapunov approach, stability in the mean square sense is proved. A simulated example illustrates the properties of our approach.

  17. A modern theory of random variation with applications in stochastic calculus, financial mathematics, and Feynman integration

    Muldowney, Patrick

    2012-01-01

    A Modern Theory of Random Variation is a new and radical re-formulation of the mathematical underpinnings of subjects as diverse as investment, communication engineering, and quantum mechanics. Setting aside the classical theory of probability measure spaces, the book utilizes a mathematically rigorous version of the theory of random variation that bases itself exclusively on finitely additive probability distribution functions. In place of twentieth century Lebesgue integration and measure theory, the author uses the simpler concept of Riemann sums, and the non-absolute Riemann-type integration of Henstock. Readers are supplied with an accessible approach to standard elements of probability theory such as the central limmit theorem and Brownian motion as well as remarkable, new results on Feynman diagrams and stochastic integrals. Throughout the book, detailed numerical demonstrations accompany the discussions of abstract mathematical theory, from the simplest elements of the subject to the most complex. I...

  18. Stochastic Averaging and Stochastic Extremum Seeking

    Liu, Shu-Jun

    2012-01-01

    Stochastic Averaging and Stochastic Extremum Seeking develops methods of mathematical analysis inspired by the interest in reverse engineering  and analysis of bacterial  convergence by chemotaxis and to apply similar stochastic optimization techniques in other environments. The first half of the text presents significant advances in stochastic averaging theory, necessitated by the fact that existing theorems are restricted to systems with linear growth, globally exponentially stable average models, vanishing stochastic perturbations, and prevent analysis over infinite time horizon. The second half of the text introduces stochastic extremum seeking algorithms for model-free optimization of systems in real time using stochastic perturbations for estimation of their gradients. Both gradient- and Newton-based algorithms are presented, offering the user the choice between the simplicity of implementation (gradient) and the ability to achieve a known, arbitrary convergence rate (Newton). The design of algorithms...

  19. The Matrix exponential, Dynamic Systems and Control

    Poulsen, Niels Kjølstad

    The matrix exponential can be found in various connections in analysis and control of dynamic systems. In this short note we are going to list a few examples. The matrix exponential usably pops up in connection to the sampling process, whatever it is in a deterministic or a stochastic setting...... or it is a tool for determining a Gramian matrix. This note is intended to be used in connection to the teaching post the course in Stochastic Adaptive Control (02421) given at Informatics and Mathematical Modelling (IMM), The Technical University of Denmark. This work is a result of a study of the litterature....

  20. Measurement of definite integral of sinusoidal signal absolute value third power using digital stochastic method

    Beljić Željko

    2017-01-01

    Full Text Available In this paper a special case of digital stochastic measurement of the third power of definite integral of sinusoidal signal’s absolute value, using 2-bit AD converters is presented. This case of digital stochastic method had emerged from the need to measure power and energy of the wind. Power and energy are proportional to the third power of wind speed. Anemometer output signal is sinusoidal. Therefore an integral of the third power of sinusoidal signal is zero. Two approaches are proposed for the third power calculation of the wind speed signal. One approach is to use absolute value of sinusoidal signal (before AD conversion for which there is no need of multiplier hardware change. The second approach requires small multiplier hardware change, but input signal remains unchanged. For the second approach proposed minimal hardware change was made to calculate absolute value of the result after AD conversion. Simulations have confirmed theoretical analysis. Expected precision of wind energy measurement of proposed device is better than 0,00051% of full scale. [Project of the Serbian Ministry of Education, Science and Technological Development, Grant no. TR32019

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

    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)

  2. A novel integrated condition-based maintenance and stochastic flexible job shop scheduling problem

    Rahmati, Seyed Habib A.; Ahmadi, Abbas; Govindan, Kannan

    2018-01-01

    the level of the system optimization. By means of this equipment, managers can benefit from a condition-based maintenance (CBM) for monitoring and managing their system. The chief aim of the paper is to develop a stochastic maintenance problem based on CBM activities engaged with a complex applied......Integrated consideration of production planning and maintenance processes is a real world assumption. Specifically, by improving the monitoring equipment such as various sensors or product-embedded information devices in recent years, joint assessment of these processes is inevitable for enhancing...... production problem called flexible job shop scheduling problem (FJSP). This integrated problem considers two maintenance scenarios in terms of corrective maintenance (CM) and preventive maintenance (PM). The activation of scenario is done by monitoring the degradation condition of the system and comparing...

  3. An integrated stochastic environmental risk assessment method and its application to a petroleum-contaminated site

    Liu, L.; Fuller, G.A.; Huang, G.H.

    1999-01-01

    Contamination of soil and water and the resulting threat to public health and the environment are the frequent results of oil spills, leaks and other releases of gasoline, diesel fuel, heating oil and other petroleum products. Integrating an analytical groundwater solute transport model within its general framework, this paper proposes an integrated stochastic risk assessment method and ways to apply it to petroleum-contaminated sites. Both the analytical solute transport model and the general risk assessment framework are solved by the Monte Carlo simulation technique for approaching the theoretical output distribution. Results of this study show that the total cancer risk has approximately log-normal distribution, irrespective of the fact that a variety of distributions were used to define the related parameters. It is claimed that the method can improve the effectiveness of the risk assessment for subsurface, and provide useful result for site remediation decisions. 23 refs., 3 tabs., 4 figs

  4. A stochastic framework for the grid integration of wind power using flexible load approach

    Heydarian-Forushani, E.; Moghaddam, M.P.; Sheikh-El-Eslami, M.K.; Shafie-khah, M.; Catalão, J.P.S.

    2014-01-01

    Highlights: • This paper focuses on the potential of Demand Response Programs (DRPs) to contribute to flexibility. • A stochastic network constrained unit commitment associated with DR is presented. • DR participation levels and electricity tariffs are evaluated on providing a flexible load profile. • Novel quantitative indices for evaluating flexibility are defined to assess the success of DRPs. • DR types and customer participation levels are the main factors to modify the system load profile. - Abstract: Wind power integration has always been a key research area due to the green future power system target. However, the intermittent nature of wind power may impose some technical and economic challenges to Independent System Operators (ISOs) and increase the need for additional flexibility. Motivated by this need, this paper focuses on the potential of Demand Response Programs (DRPs) as an option to contribute to the flexible operation of power systems. On this basis, in order to consider the uncertain nature of wind power and the reality of electricity market, a Stochastic Network Constrained Unit Commitment associated with DR (SNCUCDR) is presented to schedule both generation units and responsive loads in power systems with high penetration of wind power. Afterwards, the effects of both price-based and incentive-based DRPs are evaluated, as well as DR participation levels and electricity tariffs on providing a flexible load profile and facilitating grid integration of wind power. For this reason, novel quantitative indices for evaluating flexibility are defined to assess the success of DRPs in terms of wind integration. Sensitivity studies indicate that DR types and customer participation levels are the main factors to modify the system load profile to support wind power integration

  5. Integrated microfluidic system for rapid screening of CRP aptamers utilizing systematic evolution of ligands by exponential enrichment (SELEX).

    Huang, Chao-June; Lin, Hsin-I; Shiesh, Shu-Chu; Lee, Gwo-Bin

    2010-03-15

    The systematic evolution of ligands by exponential enrichment (SELEX) is an experimental procedure that allows screening of given molecular targets by desired binding affinities from an initial random pool of oligonucleotides and oligomers. The final products of SELEX are usually referred as aptamers, which are recognized as promising molecules for a variety of biomedical applications. However, SELEX is an iterative process requiring multiple rounds of extraction and amplification that demands significant time and labor. Therefore, this study presents a novel, automatic, miniature SELEX platform. As a demonstration, the rapid screening of C-reactive protein (CRP) aptamers was performed. By utilizing microfluidic technologies and magnetic beads conjugated with CRP, aptamers with a high affinity to CRP were extracted from a random single-strand deoxyribonucleic acid (ssDNA) pool. These aptamers were further amplified by an on-chip polymerase chain reaction (PCR) process. After five consecutive extraction and amplification cycles, a specific aptamer with the highest affinity was screened automatically. The screened aptamers were used as a recognition molecule for the detection of CRP. The developed microsystem demonstrated fast screening of CRP aptamers and can be used as a powerful tool to select analyte-specific aptamers for biomedical applications. (c) 2009 Elsevier B.V. All rights reserved.

  6. Symplectic Integrators to Stochastic Hamiltonian Dynamical Systems Derived from Composition Methods

    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.

  7. A dynamic multimedia fuzzy-stochastic integrated environmental risk assessment approach for contaminated sites management

    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

  8. A dynamic multimedia fuzzy-stochastic integrated environmental risk assessment approach for contaminated sites management

    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.

  9. Green function of the double-fractional Fokker-Planck equation: Path integral and stochastic differential equations

    Kleinert, H.; Zatloukal, V.

    2013-11-01

    The statistics of rare events, the so-called black-swan events, is governed by non-Gaussian distributions with heavy power-like tails. We calculate the Green functions of the associated Fokker-Planck equations and solve the related stochastic differential equations. We also discuss the subject in the framework of path integration.

  10. Long-time correlations in the stochastic regime

    Karney, C.F.F.

    1982-11-01

    The phase space for Hamiltonians of two degrees of freedom is usually divided into stochastic and integrable components. Even when well into the stochastic regime, integrable orbits may surround small stable regions or islands. The effect of these islands on the correlation function for the stochastic trajectories is examined. Depending on the value of the parameter describing the rotation number for the elliptic fixed point at the center of the island, the long-time correlation function may decay as t -5 or exponentially, but more commonly it decays much more slowly (roughly as t -1 ). As a consequence these small islands may have a profound effect on the properties such as the diffusion coefficient, of the stochastic orbits

  11. An exponential distribution

    Anon

    2009-01-01

    In this presentation author deals with the probabilistic evaluation of product life on the example of the exponential distribution. The exponential distribution is special one-parametric case of the weibull distribution.

  12. Lattice design of the integrable optics test accelerator and optical stochastic cooling experiment at Fermilab

    Kafka, Gene [Illinois Inst. of Technology, Chicago, IL (United States)

    2015-05-01

    The Integrable Optics Test Accelerator (IOTA) storage ring at Fermilab will serve as the backbone for a broad spectrum of Advanced Accelerator R&D (AARD) experiments, and as such, must be designed with signi cant exibility in mind, but without compromising cost e ciency. The nonlinear experiments at IOTA will include: achievement of a large nonlinear tune shift/spread without degradation of dynamic aperture; suppression of strong lattice resonances; study of stability of nonlinear systems to perturbations; and studies of di erent variants of nonlinear magnet design. The ring optics control has challenging requirements that reach or exceed the present state of the art. The development of a complete self-consistent design of the IOTA ring optics, meeting the demands of all planned AARD experiments, is presented. Of particular interest are the precise control for nonlinear integrable optics experiments and the transverse-to-longitudinal coupling and phase stability for the Optical Stochastic Cooling Experiment (OSC). Since the beam time-of- ight must be tightly controlled in the OSC section, studies of second order corrections in this section are presented.

  13. A minimax stochastic optimal semi-active control strategy for uncertain quasi-integrable Hamiltonian systems using magneto-rheological dampers

    Feng, Ju; Ying, Zu-Guang; Zhu, Wei-Qiu

    2012-01-01

    A minimax stochastic optimal semi-active control strategy for stochastically excited quasi-integrable Hamiltonian systems with parametric uncertainty by using magneto-rheological (MR) dampers is proposed. Firstly, the control problem is formulated as an n-degree-of-freedom (DOF) controlled, uncer...

  14. Integrated reservoir characterization: Improvement in heterogeneities stochastic modelling by integration of additional external constraints

    Doligez, B.; Eschard, R. [Institut Francais du Petrole, Rueil Malmaison (France); Geffroy, F. [Centre de Geostatistique, Fontainebleau (France)] [and others

    1997-08-01

    The classical approach to construct reservoir models is to start with a fine scale geological model which is informed with petrophysical properties. Then scaling-up techniques allow to obtain a reservoir model which is compatible with the fluid flow simulators. Geostatistical modelling techniques are widely used to build the geological models before scaling-up. These methods provide equiprobable images of the area under investigation, which honor the well data, and which variability is the same than the variability computed from the data. At an appraisal phase, when few data are available, or when the wells are insufficient to describe all the heterogeneities and the behavior of the field, additional constraints are needed to obtain a more realistic geological model. For example, seismic data or stratigraphic models can provide average reservoir information with an excellent areal coverage, but with a poor vertical resolution. New advances in modelisation techniques allow now to integrate this type of additional external information in order to constrain the simulations. In particular, 2D or 3D seismic derived information grids, or sand-shale ratios maps coming from stratigraphic models can be used as external drifts to compute the geological image of the reservoir at the fine scale. Examples are presented to illustrate the use of these new tools, their impact on the final reservoir model, and their sensitivity to some key parameters.

  15. Stochastic integrated vendor–buyer model with unstable lead time and setup cost

    Chandra K. Jaggi

    2011-01-01

    Full Text Available This paper presents a new vendor-buyer system where there are different objectives for both sides. The proposed method of this paper is different from the other previously published works since it considers different objectives for both sides. In this paper, the vendor’s emphasis is on the crashing of the setup cost, which not only helps him compete in the market but also provides better services to his customers; and the buyer’s aim is to reduce the lead time, which not only facilitates the buyer to fulfill the customers’ demand on time but also enables him to earn a good reputation in the market or vice versa. In the light of the above stated facts, an integrated vendor-buyer stochastic inventory model is also developed. The propsed model considers two cases for demand during lead time: Case (i Complete demand information, Case (ii Partial demand information. The proposed model jointly optimizes the buyer’s ordered quantity and lead time along with vendor’s setup cost and the number of shipments. The results are demonstrated with the help of numerical examples.

  16. Path-integral formalism for stochastic resetting: Exactly solved examples and shortcuts to confinement.

    Roldán, Édgar; Gupta, Shamik

    2017-08-01

    We study the dynamics of overdamped Brownian particles diffusing in conservative force fields and undergoing stochastic resetting to a given location at a generic space-dependent rate of resetting. We present a systematic approach involving path integrals and elements of renewal theory that allows us to derive analytical expressions for a variety of statistics of the dynamics such as (i) the propagator prior to first reset, (ii) the distribution of the first-reset time, and (iii) the spatial distribution of the particle at long times. We apply our approach to several representative and hitherto unexplored examples of resetting dynamics. A particularly interesting example for which we find analytical expressions for the statistics of resetting is that of a Brownian particle trapped in a harmonic potential with a rate of resetting that depends on the instantaneous energy of the particle. We find that using energy-dependent resetting processes is more effective in achieving spatial confinement of Brownian particles on a faster time scale than performing quenches of parameters of the harmonic potential.

  17. Extended Poisson Exponential Distribution

    Anum Fatima

    2015-09-01

    Full Text Available A new mixture of Modified Exponential (ME and Poisson distribution has been introduced in this paper. Taking the Maximum of Modified Exponential random variable when the sample size follows a zero truncated Poisson distribution we have derived the new distribution, named as Extended Poisson Exponential distribution. This distribution possesses increasing and decreasing failure rates. The Poisson-Exponential, Modified Exponential and Exponential distributions are special cases of this distribution. We have also investigated some mathematical properties of the distribution along with Information entropies and Order statistics of the distribution. The estimation of parameters has been obtained using the Maximum Likelihood Estimation procedure. Finally we have illustrated a real data application of our distribution.

  18. Dynamics of exponential maps

    Rempe, Lasse

    2003-01-01

    This thesis contains several new results about the dynamics of exponential maps $z\\mapsto \\exp(z)+\\kappa$. In particular, we prove that periodic external rays of exponential maps with nonescaping singular value always land. This is an analog of a theorem of Douady and Hubbard for polynomials. We also answer a question of Herman, Baker and Rippon by showing that the boundary of an unbounded exponential Siegel disk always contains the singular value. In addition to the presentation of new resul...

  19. Stochastic tools in turbulence

    Lumey, John L

    2012-01-01

    Stochastic Tools in Turbulence discusses the available mathematical tools to describe stochastic vector fields to solve problems related to these fields. The book deals with the needs of turbulence in relation to stochastic vector fields, particularly, on three-dimensional aspects, linear problems, and stochastic model building. The text describes probability distributions and densities, including Lebesgue integration, conditional probabilities, conditional expectations, statistical independence, lack of correlation. The book also explains the significance of the moments, the properties of the

  20. Solving the Schrödinger equation of helium and its isoelectronic ions with the exponential integral (Ei) function in the free iterative complement interaction method.

    Kurokawa, Yusaku I; Nakashima, Hiroyuki; Nakatsuji, Hiroshi

    2008-08-14

    We introduce here the exponential integral (Ei) function for variationally solving the Schrödinger equation of helium and its isoelectronic ions with the free iterative complement interaction (ICI) method. In our previous study [J. Chem. Phys., 2007, 127, 224104], we could calculate very accurate energies of these atoms by using the logarithmic function as the starting function of the free ICI calculation. The Ei function has a weak singularity at the origin, similarly to the logarithmic function, which is important for accurately describing the three-particle coalescence region. The logarithmic function, however, has a node and a maximum along the radial coordinate which may be physically meaningless. In contrast, the Ei function does not have such unphysical behaviors and so would provide an improvement over the logarithmic function. Actually, using the Ei function, instead of the logarithmic function, we obtained the energy, E= -2.903 724 377 034 119 598 311 159 245 194 404 446 696 924 865 a.u. for the helium ground state with 21 035 functions, which is a slight improvement over our previous result (the bold face shows the digits that are believed to have converged). This result supports the suggestion that the Ei function is better than the logarithmic function for describing the three-particle coalescence region.

  1. Bayesian Exponential Smoothing.

    Forbes, C.S.; Snyder, R.D.; Shami, R.S.

    2000-01-01

    In this paper, a Bayesian version of the exponential smoothing method of forecasting is proposed. The approach is based on a state space model containing only a single source of error for each time interval. This model allows us to improve current practices surrounding exponential smoothing by providing both point predictions and measures of the uncertainty surrounding them.

  2. Noncausal stochastic calculus

    Ogawa, Shigeyoshi

    2017-01-01

    This book presents an elementary introduction to the theory of noncausal stochastic calculus that arises as a natural alternative to the standard theory of stochastic calculus founded in 1944 by Professor Kiyoshi Itô. As is generally known, Itô Calculus is essentially based on the "hypothesis of causality", asking random functions to be adapted to a natural filtration generated by Brownian motion or more generally by square integrable martingale. The intention in this book is to establish a stochastic calculus that is free from this "hypothesis of causality". To be more precise, a noncausal theory of stochastic calculus is developed in this book, based on the noncausal integral introduced by the author in 1979. After studying basic properties of the noncausal stochastic integral, various concrete problems of noncausal nature are considered, mostly concerning stochastic functional equations such as SDE, SIE, SPDE, and others, to show not only the necessity of such theory of noncausal stochastic calculus but ...

  3. Optimal Strategy for Integrated Dynamic Inventory Control and Supplier Selection in Unknown Environment via Stochastic Dynamic Programming

    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)

  4. Integrating forest ecosystem services into the farming landscape: A stochastic economic assessment.

    Monge, Juan J; Parker, Warren J; Richardson, James W

    2016-06-01

    The objective of this study was to assess how payments for ecosystem services could assist plantation forestry's integration into pastoral dairy farming in order to improve environmental outcomes and increase business resilience to both price uncertainty and production limits imposed by environmental policies. Stochastic Dominance (SD) criteria and portfolio analysis, accounting for farmers' risk aversion levels, were used to rank different land-use alternatives and landscapes with different levels of plantation forestry integration. The study was focused on a modal 200-ha dairy farm in the Lake Rotorua Catchment of the Central North Island region of New Zealand, where national environmental policies are being implemented to improve water quality and reduce greenhouse gas emissions. Nitrogen and carbon payments would help farmers improve early cash flows for forestry, provide financial leverage to undertake afforestation projects and contribute to improved environmental outcomes for the catchment. The SD criteria demonstrated that although dairy farming generates the highest returns, plantation forestry with nitrogen and carbon payments would be a preferred alternative for landowners with relatively low risk aversion levels who consider return volatility and environmental limits within their land-use change criteria. Using the confidence premium concept, environmental payments to encourage plantation forestry into the landscape were shown to be lower when the majority of landowners are risk averse. The certainty equivalence approach helped to identify the optimal dairy-forestry portfolio arrangements for landowners of different levels of risk aversion, intensities of dairy farming (status quo and intensified) and nitrogen prices. At low nitrogen prices, risk neutral farmers would choose to afforest less than half of the farm and operate at the maximum nitrogen allowance, because dairy farming at both intensities provides the highest return among the different land

  5. Exponential Cardassian universe

    Liu Daojun; Sun Changbo; Li Xinzhou

    2006-01-01

    The expectation of explaining cosmological observations without requiring new energy sources is forsooth worthy of investigation. In this Letter, a new kind of Cardassian models, called exponential Cardassian models, for the late-time universe are investigated in the context of the spatially flat FRW universe scenario. We fit the exponential Cardassian models to current type Ia supernovae data and find they are consistent with the observations. Furthermore, we point out that the equation-of-state parameter for the effective dark fluid component in exponential Cardassian models can naturally cross the cosmological constant divide w=-1 that observations favor mildly without introducing exotic material that destroy the weak energy condition

  6. Analytical approximations of the firing rate of an adaptive exponential integrate-and-fire neuron in the presence of synaptic noise

    Loreen eHertäg

    2014-09-01

    Full Text Available Computational models offer a unique tool for understanding the network-dynamical mechanisms which mediate between physiological and biophysical properties, and behavioral function. A traditional challenge in computational neuroscience is, however, that simple neuronal models which can be studied analytically fail to reproduce the diversity of electrophysiological behaviors seen in real neurons, while detailed neuronal models which do reproduce such diversity are intractable analytically and computationally expensive. A number of intermediate models have been proposed whose aim is to capture the diversity of firing behaviors and spike times of real neurons while entailing a mathematical description as simple as possible. One such model is the exponential integrate-and-fire neuron with spike rate adaptation (aEIF which consists of two differential equations for the membrane potential (V and an adaptation current (w. Despite its simplicity, it can reproduce a wide variety of physiologically observed spiking patterns, can be fit to physiological recordings quantitatively, and, once done so, is able to predict spike times on traces not used for model fitting. Here we compute the steady-state firing rate of aEIF in the presence of Gaussian synaptic noise, using two approaches. The first approach is based on the 2-dimensional Fokker-Planck equation that describes the (V,w-probability distribution, which is solved using an expansion in the ratio between the time constants of the two variables. The second is based on the firing rate of the EIF model, which is averaged over the distribution of the $w$ variable. These analytically derived closed-form expressions were tested on simulations from a large variety of model cells quantitatively fitted to in vitro electrophysiological recordings from pyramidal cells and interneurons. Theoretical predictions closely agreed with the firing rate of the simulated cells fed with in-vivo-like synaptic noise.

  7. Analytical approximations of the firing rate of an adaptive exponential integrate-and-fire neuron in the presence of synaptic noise.

    Hertäg, Loreen; Durstewitz, Daniel; Brunel, Nicolas

    2014-01-01

    Computational models offer a unique tool for understanding the network-dynamical mechanisms which mediate between physiological and biophysical properties, and behavioral function. A traditional challenge in computational neuroscience is, however, that simple neuronal models which can be studied analytically fail to reproduce the diversity of electrophysiological behaviors seen in real neurons, while detailed neuronal models which do reproduce such diversity are intractable analytically and computationally expensive. A number of intermediate models have been proposed whose aim is to capture the diversity of firing behaviors and spike times of real neurons while entailing the simplest possible mathematical description. One such model is the exponential integrate-and-fire neuron with spike rate adaptation (aEIF) which consists of two differential equations for the membrane potential (V) and an adaptation current (w). Despite its simplicity, it can reproduce a wide variety of physiologically observed spiking patterns, can be fit to physiological recordings quantitatively, and, once done so, is able to predict spike times on traces not used for model fitting. Here we compute the steady-state firing rate of aEIF in the presence of Gaussian synaptic noise, using two approaches. The first approach is based on the 2-dimensional Fokker-Planck equation that describes the (V,w)-probability distribution, which is solved using an expansion in the ratio between the time constants of the two variables. The second is based on the firing rate of the EIF model, which is averaged over the distribution of the w variable. These analytically derived closed-form expressions were tested on simulations from a large variety of model cells quantitatively fitted to in vitro electrophysiological recordings from pyramidal cells and interneurons. Theoretical predictions closely agreed with the firing rate of the simulated cells fed with in-vivo-like synaptic noise.

  8. An Unusual Exponential Graph

    Syed, M. Qasim; Lovatt, Ian

    2014-01-01

    This paper is an addition to the series of papers on the exponential function begun by Albert Bartlett. In particular, we ask how the graph of the exponential function y = e[superscript -t/t] would appear if y were plotted versus ln t rather than the normal practice of plotting ln y versus t. In answering this question, we find a new way to…

  9. Exponential and Logarithmic Functions

    Todorova, Tamara

    2010-01-01

    Exponential functions find applications in economics in relation to growth and economic dynamics. In these fields, quite often the choice variable is time and economists are trying to determine the best timing for certain economic activities to take place. An exponential function is one in which the independent variable appears in the exponent. Very often that exponent is time. In highly mathematical courses, it is a truism that students learn by doing, not by reading. Tamara Todorova’s Pr...

  10. Diffusive processes in a stochastic magnetic field

    Wang, H.; Vlad, M.; Vanden Eijnden, E.; Spineanu, F.; Misguich, J.H.; Balescu, R.

    1995-01-01

    The statistical representation of a fluctuating (stochastic) magnetic field configuration is studied in detail. The Eulerian correlation functions of the magnetic field are determined, taking into account all geometrical constraints: these objects form a nondiagonal matrix. The Lagrangian correlations, within the reasonable Corrsin approximation, are reduced to a single scalar function, determined by an integral equation. The mean square perpendicular deviation of a geometrical point moving along a perturbed field line is determined by a nonlinear second-order differential equation. The separation of neighboring field lines in a stochastic magnetic field is studied. We find exponentiation lengths of both signs describing, in particular, a decay (on the average) of any initial anisotropy. The vanishing sum of these exponentiation lengths ensures the existence of an invariant which was overlooked in previous works. Next, the separation of a particle's trajectory from the magnetic field line to which it was initially attached is studied by a similar method. Here too an initial phase of exponential separation appears. Assuming the existence of a final diffusive phase, anomalous diffusion coefficients are found for both weakly and strongly collisional limits. The latter is identical to the well known Rechester-Rosenbluth coefficient, which is obtained here by a more quantitative (though not entirely deductive) treatment than in earlier works

  11. Stochastic Analysis with Financial Applications

    Kohatsu-Higa, Arturo; Sheu, Shuenn-Jyi

    2011-01-01

    Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. This book also covers the areas of backward stochastic differential equations via the (non-li

  12. Day-ahead stochastic economic dispatch of wind integrated power system considering demand response of residential hybrid energy system

    Jiang, Yibo; Xu, Jian; Sun, Yuanzhang; Wei, Congying; Wang, Jing; Ke, Deping; Li, Xiong; Yang, Jun; Peng, Xiaotao; Tang, Bowen

    2017-01-01

    Highlights: • Improving the utilization of wind power by the demand response of residential hybrid energy system. • An optimal scheduling of home energy management system integrating micro-CHP. • The scattered response capability of consumers is aggregated by demand bidding curve. • A stochastic day-ahead economic dispatch model considering demand response and wind power. - Abstract: As the installed capacity of wind power is growing, the stochastic variability of wind power leads to the mismatch of demand and generated power. Employing the regulating capability of demand to improve the utilization of wind power has become a new research direction. Meanwhile, the micro combined heat and power (micro-CHP) allows residential consumers to choose whether generating electricity by themselves or purchasing from the utility company, which forms a residential hybrid energy system. However, the impact of the demand response with hybrid energy system contained micro-CHP on the large-scale wind power utilization has not been analyzed quantitatively. This paper proposes an operation optimization model of the residential hybrid energy system based on price response, integrating micro-CHP and smart appliances intelligently. Moreover, a novel load aggregation method is adopted to centralize scattered response capability of residential load. At the power grid level, a day-ahead stochastic economic dispatch model considering demand response and wind power is constructed. Furthermore, simulation is conducted respectively on the modified 6-bus system and IEEE 118-bus system. The results show that with the method proposed, the wind power curtailment of the system decreases by 78% in 6-bus system. In the meantime, the energy costs of residential consumers and the operating costs of the power system reduced by 10.7% and 11.7% in 118-bus system, respectively.

  13. Assessing Exhaustiveness of Stochastic Sampling for Integrative Modeling of Macromolecular Structures.

    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.

  14. Fast quantum modular exponentiation

    Meter, Rodney van; Itoh, Kohei M.

    2005-01-01

    We present a detailed analysis of the impact on quantum modular exponentiation of architectural features and possible concurrent gate execution. Various arithmetic algorithms are evaluated for execution time, potential concurrency, and space trade-offs. We find that to exponentiate an n-bit number, for storage space 100n (20 times the minimum 5n), we can execute modular exponentiation 200-700 times faster than optimized versions of the basic algorithms, depending on architecture, for n=128. Addition on a neighbor-only architecture is limited to O(n) time, whereas non-neighbor architectures can reach O(log n), demonstrating that physical characteristics of a computing device have an important impact on both real-world running time and asymptotic behavior. Our results will help guide experimental implementations of quantum algorithms and devices

  15. Experimental verification of displacement control on integrated ionic polymer-metal composite actuators with stochastic on/off controller

    Kimura, Keishiro; Kamamichi, Norihiro

    2017-04-01

    An ionic polymer-metal composite (IPMC) actuator is one of polymer-based soft actuators. It is produced by chemically plating gold or platinum on both surface of a perfluorosulfonic acid membrane which is known as an ion-exchange membrane. It is able to be activated by a simple driving circuit and generate a large deformation under a low applied voltage (0.5-3 V). However, individual difference and characteristics changes from environmental conditions should be considered for realizing a stable or precise control. To solve these problems, we applied a stochastic ON/OFF controller to an integrated IPMC actuator with parallel connections. The controller consists of a central controller and distributed controllers. The central controller broadcasts a control signal such as an error signal to distributed controllers uniformly. The distributed controllers switch the ON/OFF states based on the broadcasted signal stochastically. The central controller dose not measure the states of each IPMC actuator, and the control signals is calculated by using the output signal of the integrated actuator and reference signal. The validity of the applied method was investigated through numerical simulations and experiments.

  16. Continuous multivariate exponential extension

    Block, H.W.

    1975-01-01

    The Freund-Weinman multivariate exponential extension is generalized to the case of nonidentically distributed marginal distributions. A fatal shock model is given for the resulting distribution. Results in the bivariate case and the concept of constant multivariate hazard rate lead to a continuous distribution related to the multivariate exponential distribution (MVE) of Marshall and Olkin. This distribution is shown to be a special case of the extended Freund-Weinman distribution. A generalization of the bivariate model of Proschan and Sullo leads to a distribution which contains both the extended Freund-Weinman distribution and the MVE

  17. Matrix-exponential distributions in applied probability

    Bladt, Mogens

    2017-01-01

    This book contains an in-depth treatment of matrix-exponential (ME) distributions and their sub-class of phase-type (PH) distributions. Loosely speaking, an ME distribution is obtained through replacing the intensity parameter in an exponential distribution by a matrix. The ME distributions can also be identified as the class of non-negative distributions with rational Laplace transforms. If the matrix has the structure of a sub-intensity matrix for a Markov jump process we obtain a PH distribution which allows for nice probabilistic interpretations facilitating the derivation of exact solutions and closed form formulas. The full potential of ME and PH unfolds in their use in stochastic modelling. Several chapters on generic applications, like renewal theory, random walks and regenerative processes, are included together with some specific examples from queueing theory and insurance risk. We emphasize our intention towards applications by including an extensive treatment on statistical methods for PH distribu...

  18. Förster resonance energy transfer, absorption and emission spectra in multichromophoric systems. III. Exact stochastic path integral evaluation.

    Moix, Jeremy M; Ma, Jian; Cao, Jianshu

    2015-03-07

    A numerically exact path integral treatment of the absorption and emission spectra of open quantum systems is presented that requires only the straightforward solution of a stochastic differential equation. The approach converges rapidly enabling the calculation of spectra of large excitonic systems across the complete range of system parameters and for arbitrary bath spectral densities. With the numerically exact absorption and emission operators, one can also immediately compute energy transfer rates using the multi-chromophoric Förster resonant energy transfer formalism. Benchmark calculations on the emission spectra of two level systems are presented demonstrating the efficacy of the stochastic approach. This is followed by calculations of the energy transfer rates between two weakly coupled dimer systems as a function of temperature and system-bath coupling strength. It is shown that the recently developed hybrid cumulant expansion (see Paper II) is the only perturbative method capable of generating uniformly reliable energy transfer rates and emission spectra across a broad range of system parameters.

  19. Stochastic Stability of Endogenous Growth: Theory and Applications

    Boucekkine, Raouf; Pintus, Patrick; Zou, Benteng

    2015-01-01

    We examine the issue of stability of stochastic endogenous growth. First, stochastic stability concepts are introduced and applied to stochastic linear homogenous differen- tial equations to which several stochastic endogenous growth models reduce. Second, we apply the mathematical theory to two models, starting with the stochastic AK model. It’s shown that in this case exponential balanced paths, which characterize optimal trajectories in the absence of uncertainty, are not robust to uncerta...

  20. On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis

    E. Barndorff-Nielsen, Ole; Benth, Fred Espen; Szozda, Benedykt

    This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G* of Potthoff-Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discussed...

  1. On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis

    Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt

    This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G∗ of Potthoff--Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discusse...

  2. Path integral for stochastic inflation: Nonperturbative volume weighting, complex histories, initial conditions, and the end of inflation

    Gratton, Steven

    2011-09-01

    In this paper we present a path integral formulation of stochastic inflation. Volume weighting can be naturally implemented from this new perspective in a very straightforward way when compared to conventional Langevin approaches. With an in-depth study of inflation in a quartic potential, we investigate how the inflaton evolves and how inflation typically ends both with and without volume weighting. The calculation can be carried to times beyond those accessible to conventional Fokker-Planck approaches. Perhaps unexpectedly, complex histories sometimes emerge with volume weighting. The reward for this excursion into the complex plane is an insight into how volume-weighted inflation both loses memory of initial conditions and ends via slow roll. The slow-roll end of inflation mitigates certain “Youngness Paradox”-type criticisms of the volume-weighted paradigm. Thus it is perhaps time to rehabilitate proper-time volume weighting as a viable measure for answering at least some interesting cosmological questions.

  3. Path integral for stochastic inflation: Nonperturbative volume weighting, complex histories, initial conditions, and the end of inflation

    Gratton, Steven

    2011-01-01

    In this paper we present a path integral formulation of stochastic inflation. Volume weighting can be naturally implemented from this new perspective in a very straightforward way when compared to conventional Langevin approaches. With an in-depth study of inflation in a quartic potential, we investigate how the inflaton evolves and how inflation typically ends both with and without volume weighting. The calculation can be carried to times beyond those accessible to conventional Fokker-Planck approaches. Perhaps unexpectedly, complex histories sometimes emerge with volume weighting. The reward for this excursion into the complex plane is an insight into how volume-weighted inflation both loses memory of initial conditions and ends via slow roll. The slow-roll end of inflation mitigates certain ''Youngness Paradox''-type criticisms of the volume-weighted paradigm. Thus it is perhaps time to rehabilitate proper-time volume weighting as a viable measure for answering at least some interesting cosmological questions.

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

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

    2012-01-01

    reduce the ventilation thermal losses of the building by pre-heating the fresh air. Furthermore, by decreasing PV module temperature, the ventilation air heat extraction can simultaneously increase electrical and thermal energy production of the building. A correct prediction of the PV module temperature...... and heat transfer coefficients is fundamental in order to improve the thermo-electrical production.The considered grey-box models are composed of a set of continuous time stochastic differential equations, holding the physical description of the system, combined with a set of discrete time measurement......This paper deals with grey-box modelling of the energy transfer of a double skin Building Integrated Photovoltaic (BIPV) system. Grey-box models are based on a combination of prior physical knowledge and statistics, which enable identification of the unknown parameters in the system and accurate...

  5. Numerical evaluation of path-integral solutions to Fokker-Planck equations. II. Restricted stochastic processes

    Wehner, M.F.

    1983-01-01

    A path-integral solution is derived for processes described by nonlinear Fokker-Plank equations together with externally imposed boundary conditions. This path-integral solution is written in the form of a path sum for small time steps and contains, in addition to the conventional volume integral, a surface integral which incorporates the boundary conditions. A previously developed numerical method, based on a histogram representation of the probability distribution, is extended to a trapezoidal representation. This improved numerical approach is combined with the present path-integral formalism for restricted processes and is show t give accurate results. 35 refs., 5 figs

  6. Stochastic thermodynamics

    Eichhorn, Ralf; Aurell, Erik

    2014-04-01

    theory for small deviations from equilibrium, in which a general framework is constructed from the analysis of non-equilibrium states close to equilibrium. In a next step, Prigogine and others developed linear irreversible thermodynamics, which establishes relations between transport coefficients and entropy production on a phenomenological level in terms of thermodynamic forces and fluxes. However, beyond the realm of linear response no general theoretical results were available for quite a long time. This situation has changed drastically over the last 20 years with the development of stochastic thermodynamics, revealing that the range of validity of thermodynamic statements can indeed be extended deep into the non-equilibrium regime. Early developments in that direction trace back to the observations of symmetry relations between the probabilities for entropy production and entropy annihilation in non-equilibrium steady states [5-8] (nowadays categorized in the class of so-called detailed fluctuation theorems), and the derivations of the Bochkov-Kuzovlev [9, 10] and Jarzynski relations [11] (which are now classified as so-called integral fluctuation theorems). Apart from its fundamental theoretical interest, the developments in stochastic thermodynamics have experienced an additional boost from the recent experimental progress in fabricating, manipulating, controlling and observing systems on the micro- and nano-scale. These advances are not only of formidable use for probing and monitoring biological processes on the cellular, sub-cellular and molecular level, but even include the realization of a microscopic thermodynamic heat engine [12] or the experimental verification of Landauer's principle in a colloidal system [13]. The scientific program Stochastic Thermodynamics held between 4 and 15 March 2013, and hosted by The Nordic Institute for Theoretical Physics (Nordita), was attended by more than 50 scientists from the Nordic countries and elsewhere, amongst them

  7. Stochastic kinetics

    Colombino, A.; Mosiello, R.; Norelli, F.; Jorio, V.M.; Pacilio, N.

    1975-01-01

    A nuclear system kinetics is formulated according to a stochastic approach. The detailed probability balance equations are written for the probability of finding the mixed population of neutrons and detected neutrons, i.e. detectrons, at a given level for a given instant of time. Equations are integrated in search of a probability profile: a series of cases is analyzed through a progressive criterium. It tends to take into account an increasing number of physical processes within the chosen model. The most important contribution is that solutions interpret analytically experimental conditions of equilibrium (moise analysis) and non equilibrium (pulsed neutron measurements, source drop technique, start up procedures)

  8. Exponential smoothing weighted correlations

    Pozzi, F.; Di Matteo, T.; Aste, T.

    2012-06-01

    In many practical applications, correlation matrices might be affected by the "curse of dimensionality" and by an excessive sensitiveness to outliers and remote observations. These shortcomings can cause problems of statistical robustness especially accentuated when a system of dynamic correlations over a running window is concerned. These drawbacks can be partially mitigated by assigning a structure of weights to observational events. In this paper, we discuss Pearson's ρ and Kendall's τ correlation matrices, weighted with an exponential smoothing, computed on moving windows using a data-set of daily returns for 300 NYSE highly capitalized companies in the period between 2001 and 2003. Criteria for jointly determining optimal weights together with the optimal length of the running window are proposed. We find that the exponential smoothing can provide more robust and reliable dynamic measures and we discuss that a careful choice of the parameters can reduce the autocorrelation of dynamic correlations whilst keeping significance and robustness of the measure. Weighted correlations are found to be smoother and recovering faster from market turbulence than their unweighted counterparts, helping also to discriminate more effectively genuine from spurious correlations.

  9. Stochastic synchronization of coupled neural networks with intermittent control

    Yang Xinsong; Cao Jinde

    2009-01-01

    In this Letter, we study the exponential stochastic synchronization problem for coupled neural networks with stochastic noise perturbations. Based on Lyapunov stability theory, inequality techniques, the properties of Weiner process, and adding different intermittent controllers, several sufficient conditions are obtained to ensure exponential stochastic synchronization of coupled neural networks with or without coupling delays under stochastic perturbations. These stochastic synchronization criteria are expressed in terms of several lower-dimensional linear matrix inequalities (LMIs) and can be easily verified. Moreover, the results of this Letter are applicable to both directed and undirected weighted networks. A numerical example and its simulations are offered to show the effectiveness of our new results.

  10. Academic Sacred Cows and Exponential Growth.

    Heterick, Robert C., Jr.

    1991-01-01

    The speech notes the linear growth of resources versus the exponential growth of costs in higher education. It identifies opportunities arising from information technology to transform teaching and learning through creation of a new scholarly information delivery system. An integrated triad of communications, computing, and library organizations…

  11. Stochastic volatility and stochastic leverage

    Veraart, Almut; Veraart, Luitgard A. M.

    This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...... treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility...... models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new...

  12. Estimating exponential scheduling preferences

    Hjorth, Katrine; Börjesson, Maria; Engelson, Leonid

    2015-01-01

    of car drivers' route and mode choice under uncertain travel times. Our analysis exposes some important methodological issues related to complex non-linear scheduling models: One issue is identifying the point in time where the marginal utility of being at the destination becomes larger than the marginal......Different assumptions about travelers' scheduling preferences yield different measures of the cost of travel time variability. Only few forms of scheduling preferences provide non-trivial measures which are additive over links in transport networks where link travel times are arbitrarily...... utility of being at the origin. Another issue is that models with the exponential marginal utility formulation suffer from empirical identification problems. Though our results are not decisive, they partly support the constant-affine specification, in which the value of travel time variability...

  13. A method for nonlinear exponential regression analysis

    Junkin, B. G.

    1971-01-01

    A computer-oriented technique is presented for performing a nonlinear exponential regression analysis on decay-type experimental data. The technique involves the least squares procedure wherein the nonlinear problem is linearized by expansion in a Taylor series. A linear curve fitting procedure for determining the initial nominal estimates for the unknown exponential model parameters is included as an integral part of the technique. A correction matrix was derived and then applied to the nominal estimate to produce an improved set of model parameters. The solution cycle is repeated until some predetermined criterion is satisfied.

  14. Biological Cell Identification by Integrating Micro-Fluidics, Electrical Impedance Spectroscopy and Stochastic Estimation

    2007-03-01

    Karolinska Institutet in Stockholm entitled "Skin Cancer as Seen by Electrical Impedance" [1]. The thesis describes Åberg�s experiments to detect skin cancer...ska Institutet , 2004. 2. Ayli¤e, H. Edward, et al. �Electric Impedance Spectroscopy Using Microchannels with Integrated Metal Electrodes

  15. Stochastic integration of the Bethe-Salpeter equation for two bound fermions

    Salomon, M.

    1988-09-01

    A non-perturbative method using a Monte Carlo algorithm is used to integrate the Bethe-Salpeter equation in momentum space. Solutions for two scalars and two fermions with an arbitrary coupling constant are calculated for bound states in the ladder approximation. The results are compared with other numerical methods. (Author) (13 refs., 2 figs.)

  16. Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach

    Bach, Christian; Christensen, Bent Jesper

    process is downward biased. Implied volatility performs better than any of the alternative realized measures when forecasting future integrated volatility. The results are largely similar across the stock market (S&P 500), bond market (30-year U.S. T-bond), and foreign currency exchange market ($/£ )....

  17. High-resolution stochastic integrated thermal–electrical domestic demand model

    McKenna, Eoghan; Thomson, Murray

    2016-01-01

    Highlights: • A major new version of CREST’s demand model is presented. • Simulates electrical and thermal domestic demands at high-resolution. • Integrated structure captures appropriate time-coincidence of variables. • Suitable for low-voltage network and urban energy analyses. • Open-source development in Excel VBA freely available for download. - Abstract: This paper describes the extension of CREST’s existing electrical domestic demand model into an integrated thermal–electrical demand model. The principle novelty of the model is its integrated structure such that the timing of thermal and electrical output variables are appropriately correlated. The model has been developed primarily for low-voltage network analysis and the model’s ability to account for demand diversity is of critical importance for this application. The model, however, can also serve as a basis for modelling domestic energy demands within the broader field of urban energy systems analysis. The new model includes the previously published components associated with electrical demand and generation (appliances, lighting, and photovoltaics) and integrates these with an updated occupancy model, a solar thermal collector model, and new thermal models including a low-order building thermal model, domestic hot water consumption, thermostat and timer controls and gas boilers. The paper reviews the state-of-the-art in high-resolution domestic demand modelling, describes the model, and compares its output with three independent validation datasets. The integrated model remains an open-source development in Excel VBA and is freely available to download for users to configure and extend, or to incorporate into other models.

  18. Dynamic analysis of stochastic bidirectional associative memory neural networks with delays

    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

  19. Noise suppress or express exponential growth for hybrid Hopfield neural networks

    Zhu Song; Shen Yi; Chen Guici

    2010-01-01

    In this Letter, we will show that noise can make the given hybrid Hopfield neural networks whose solution may grows exponentially become the new stochastic hybrid Hopfield neural networks whose solution will grows at most polynomially. On the other hand, we will also show that noise can make the given hybrid Hopfield neural networks whose solution grows at most polynomially become the new stochastic hybrid Hopfield neural networks whose solution will grows at exponentially. In other words, we will reveal that the noise can suppress or express exponential growth for hybrid Hopfield neural networks.

  20. Stochastic convergence of renewable energy consumption in OECD countries: a fractional integration approach.

    Solarin, Sakiru Adebola; Gil-Alana, Luis Alberiko; Al-Mulali, Usama

    2018-04-13

    In this article, we have examined the hypothesis of convergence of renewable energy consumption in 27 OECD countries. However, instead of relying on classical techniques, which are based on the dichotomy between stationarity I(0) and nonstationarity I(1), we consider a more flexible approach based on fractional integration. We employ both parametric and semiparametric techniques. Using parametric methods, evidence of convergence is found in the cases of Mexico, Switzerland and Sweden along with the USA, Portugal, the Czech Republic, South Korea and Spain, and employing semiparametric approaches, we found evidence of convergence in all these eight countries along with Australia, France, Japan, Greece, Italy and Poland. For the remaining 13 countries, even though the orders of integration of the series are smaller than one in all cases except Germany, the confidence intervals are so wide that we cannot reject the hypothesis of unit roots thus not finding support for the hypothesis of convergence.

  1. Test Exponential Pile

    Fermi, Enrico

    The Patent contains an extremely detailed description of an atomic pile employing natural uranium as fissile material and graphite as moderator. It starts with the discussion of the theory of the intervening phenomena, in particular the evaluation of the reproduction or multiplication factor, K, that is the ratio of the number of fast neutrons produced in one generation by the fissions to the original number of fast neutrons, in a system of infinite size. The possibility of having a self-maintaining chain reaction in a system of finite size depends both on the facts that K is greater than unity and the overall size of the system is sufficiently large to minimize the percentage of neutrons escaping from the system. After the description of a possible realization of such a pile (with many detailed drawings), the various kinds of neutron losses in a pile are depicted. Particularly relevant is the reported "invention" of the exponential experiment: since theoretical calculations can determine whether or not a chain reaction will occur in a give system, but can be invalidated by uncertainties in the parameters of the problem, an experimental test of the pile is proposed, aimed at ascertaining if the pile under construction would be divergent (i.e. with a neutron multiplication factor K greater than 1) by making measurements on a smaller pile. The idea is to measure, by a detector containing an indium foil, the exponential decrease of the neutron density along the length of a column of uranium-graphite lattice, where a neutron source is placed near its base. Such an exponential decrease is greater or less than that expected due to leakage, according to whether the K factor is less or greater than 1, so that this experiment is able to test the criticality of the pile, its accuracy increasing with the size of the column. In order to perform this measure a mathematical description of the effect of neutron production, diffusion, and absorption on the neutron density in the

  2. On a path integral description of the dynamics of an inextensible chain and its connection to constrained stochastic dynamics

    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

  3. Quantum Coherent States and Path Integral Method to Stochastically Determine the Anisotropic Volume Expansion in Lithiated Silicon Nanowires

    Donald C. Boone

    2017-10-01

    Full Text Available This computational research study will analyze the multi-physics of lithium ion insertion into a silicon nanowire in an attempt to explain the electrochemical kinetics at the nanoscale and quantum level. The electron coherent states and a quantum field version of photon density waves will be the joining theories that will explain the electron-photon interaction within the lithium-silicon lattice structure. These two quantum particles will be responsible for the photon absorption rate of silicon atoms that are hypothesized to be the leading cause of breaking diatomic silicon covalent bonds that ultimately leads to volume expansion. It will be demonstrated through the combination of Maxwell stress tensor, optical amplification and path integrals that a stochastic analyze using a variety of Poisson distributions that the anisotropic expansion rates in the <110>, <111> and <112> orthogonal directions confirms the findings ascertained in previous works made by other research groups. The computational findings presented in this work are similar to those which were discovered experimentally using transmission electron microscopy (TEM and simulation models that used density functional theory (DFT and molecular dynamics (MD. The refractive index and electric susceptibility parameters of lithiated silicon are interwoven in the first principle theoretical equations and appears frequently throughout this research presentation, which should serve to demonstrate the importance of these parameters in the understanding of this component in lithium ion batteries.

  4. Evaluation of Monte Carlo electron-Transport algorithms in the integrated Tiger series codes for stochastic-media simulations

    Franke, B.C.; Kensek, R.P.; Prinja, A.K.

    2013-01-01

    Stochastic-media simulations require numerous boundary crossings. We consider two Monte Carlo electron transport approaches and evaluate accuracy with numerous material boundaries. In the condensed-history method, approximations are made based on infinite-medium solutions for multiple scattering over some track length. Typically, further approximations are employed for material-boundary crossings where infinite-medium solutions become invalid. We have previously explored an alternative 'condensed transport' formulation, a Generalized Boltzmann-Fokker-Planck (GBFP) method, which requires no special boundary treatment but instead uses approximations to the electron-scattering cross sections. Some limited capabilities for analog transport and a GBFP method have been implemented in the Integrated Tiger Series (ITS) codes. Improvements have been made to the condensed history algorithm. The performance of the ITS condensed-history and condensed-transport algorithms are assessed for material-boundary crossings. These assessments are made both by introducing artificial material boundaries and by comparison to analog Monte Carlo simulations. (authors)

  5. Cosmology with exponential potentials

    Kehagias, Alex; Kofinas, Georgios

    2004-01-01

    We examine in the context of general relativity the dynamics of a spatially flat Robertson-Walker universe filled with a classical minimally coupled scalar field φ of exponential potential V(φ) ∼ exp(-μφ) plus pressureless baryonic matter. This system is reduced to a first-order ordinary differential equation for Ω φ (w φ ) or q(w φ ), providing direct evidence on the acceleration/deceleration properties of the system. As a consequence, for positive potentials, passage into acceleration not at late times is generically a feature of the system for any value of μ, even when the late-times attractors are decelerating. Furthermore, the structure formation bound, together with the constraints Ω m0 ∼ 0.25 - 0.3, -1 ≤ w φ0 ≤ -0.6, provides, independently of initial conditions and other parameters, the necessary condition 0 N , while the less conservative constraint -1 ≤ w φ ≤ -0.93 gives 0 N . Special solutions are found to possess intervals of acceleration. For the almost cosmological constant case w φ ∼ -1, the general relation Ω φ (w φ ) is obtained. The generic (nonlinearized) late-times solution of the system in the plane (w φ , Ω φ ) or (w φ , q) is also derived

  6. OPINION: Safe exponential manufacturing

    Phoenix, Chris; Drexler, Eric

    2004-08-01

    In 1959, Richard Feynman pointed out that nanometre-scale machines could be built and operated, and that the precision inherent in molecular construction would make it easy to build multiple identical copies. This raised the possibility of exponential manufacturing, in which production systems could rapidly and cheaply increase their productive capacity, which in turn suggested the possibility of destructive runaway self-replication. Early proposals for artificial nanomachinery focused on small self-replicating machines, discussing their potential productivity and their potential destructiveness if abused. In the light of controversy regarding scenarios based on runaway replication (so-called 'grey goo'), a review of current thinking regarding nanotechnology-based manufacturing is in order. Nanotechnology-based fabrication can be thoroughly non-biological and inherently safe: such systems need have no ability to move about, use natural resources, or undergo incremental mutation. Moreover, self-replication is unnecessary: the development and use of highly productive systems of nanomachinery (nanofactories) need not involve the construction of autonomous self-replicating nanomachines. Accordingly, the construction of anything resembling a dangerous self-replicating nanomachine can and should be prohibited. Although advanced nanotechnologies could (with great difficulty and little incentive) be used to build such devices, other concerns present greater problems. Since weapon systems will be both easier to build and more likely to draw investment, the potential for dangerous systems is best considered in the context of military competition and arms control.

  7. Introduction to stochastic calculus

    Karandikar, Rajeeva L

    2018-01-01

    This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly address continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level stud...

  8. Multivariate Matrix-Exponential Distributions

    Bladt, Mogens; Nielsen, Bo Friis

    2010-01-01

    be written as linear combinations of the elements in the exponential of a matrix. For this reason we shall refer to multivariate distributions with rational Laplace transform as multivariate matrix-exponential distributions (MVME). The marginal distributions of an MVME are univariate matrix......-exponential distributions. We prove a characterization that states that a distribution is an MVME distribution if and only if all non-negative, non-null linear combinations of the coordinates have a univariate matrix-exponential distribution. This theorem is analog to a well-known characterization theorem...

  9. Stochastic Simulation of Integrated Circuits with Nonlinear Black-Box Components via Augmented Deterministic Equivalents

    MANFREDI, P.

    2014-11-01

    Full Text Available This paper extends recent literature results concerning the statistical simulation of circuits affected by random electrical parameters by means of the polynomial chaos framework. With respect to previous implementations, based on the generation and simulation of augmented and deterministic circuit equivalents, the modeling is extended to generic and ?black-box? multi-terminal nonlinear subcircuits describing complex devices, like those found in integrated circuits. Moreover, based on recently-published works in this field, a more effective approach to generate the deterministic circuit equivalents is implemented, thus yielding more compact and efficient models for nonlinear components. The approach is fully compatible with commercial (e.g., SPICE-type circuit simulators and is thoroughly validated through the statistical analysis of a realistic interconnect structure with a 16-bit memory chip. The accuracy and the comparison against previous approaches are also carefully established.

  10. Stochastic simulation of power systems with integrated renewable and utility-scale storage resources

    Degeilh, Yannick

    The push for a more sustainable electric supply has led various countries to adopt policies advocating the integration of renewable yet variable energy resources, such as wind and solar, into the grid. The challenges of integrating such time-varying, intermittent resources has in turn sparked a growing interest in the implementation of utility-scale energy storage resources ( ESRs), with MWweek storage capability. Indeed, storage devices provide flexibility to facilitate the management of power system operations in the presence of uncertain, highly time-varying and intermittent renewable resources. The ability to exploit the potential synergies between renewable and ESRs hinges on developing appropriate models, methodologies, tools and policy initiatives. We report on the development of a comprehensive simulation methodology that provides the capability to quantify the impacts of integrated renewable and ESRs on the economics, reliability and emission variable effects of power systems operating in a market environment. We model the uncertainty in the demands, the available capacity of conventional generation resources and the time-varying, intermittent renewable resources, with their temporal and spatial correlations, as discrete-time random processes. We deploy models of the ESRs to emulate their scheduling and operations in the transmission-constrained hourly day-ahead markets. To this end, we formulate a scheduling optimization problem (SOP) whose solutions determine the operational schedule of the controllable ESRs in coordination with the demands and the conventional/renewable resources. As such, the SOP serves the dual purpose of emulating the clearing of the transmission-constrained day-ahead markets (DAMs ) and scheduling the energy storage resource operations. We also represent the need for system operators to impose stricter ramping requirements on the conventional generating units so as to maintain the system capability to perform "load following'', i

  11. Statistics on exponential averaging of periodograms

    Peeters, T.T.J.M. [Netherlands Energy Research Foundation (ECN), Petten (Netherlands); Ciftcioglu, Oe. [Istanbul Technical Univ. (Turkey). Dept. of Electrical Engineering

    1994-11-01

    The algorithm of exponential averaging applied to subsequent periodograms of a stochastic process is used to estimate the power spectral density (PSD). For an independent process, assuming the periodogram estimates to be distributed according to a {chi}{sup 2} distribution with 2 degrees of freedom, the probability density function (PDF) of the PSD estimate is derived. A closed expression is obtained for the moments of the distribution. Surprisingly, the proof of this expression features some new insights into the partitions and Eulers infinite product. For large values of the time constant of the averaging process, examination of the cumulant generating function shows that the PDF approximates the Gaussian distribution. Although restrictions for the statistics are seemingly tight, simulation of a real process indicates a wider applicability of the theory. (orig.).

  12. Statistics on exponential averaging of periodograms

    Peeters, T.T.J.M.; Ciftcioglu, Oe.

    1994-11-01

    The algorithm of exponential averaging applied to subsequent periodograms of a stochastic process is used to estimate the power spectral density (PSD). For an independent process, assuming the periodogram estimates to be distributed according to a χ 2 distribution with 2 degrees of freedom, the probability density function (PDF) of the PSD estimate is derived. A closed expression is obtained for the moments of the distribution. Surprisingly, the proof of this expression features some new insights into the partitions and Eulers infinite product. For large values of the time constant of the averaging process, examination of the cumulant generating function shows that the PDF approximates the Gaussian distribution. Although restrictions for the statistics are seemingly tight, simulation of a real process indicates a wider applicability of the theory. (orig.)

  13. Transverse exponential stability and applications

    Andrieu, Vincent; Jayawardhana, Bayu; Praly, Laurent

    2016-01-01

    We investigate how the following properties are related to each other: i) A manifold is “transversally” exponentially stable; ii) The “transverse” linearization along any solution in the manifold is exponentially stable; iii) There exists a field of positive definite quadratic forms whose

  14. Integrating stochastic time-dependent travel speed in solution methods for the dynamic dial-a-ride problem.

    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.

  15. Non-exponential extinction of radiation by fractional calculus modelling

    Casasanta, G.; Ciani, D.; Garra, R.

    2012-01-01

    Possible deviations from exponential attenuation of radiation in a random medium have been recently studied in several works. These deviations from the classical Beer-Lambert law were justified from a stochastic point of view by Kostinski (2001) . In his model he introduced the spatial correlation among the random variables, i.e. a space memory. In this note we introduce a different approach, including a memory formalism in the classical Beer-Lambert law through fractional calculus modelling. We find a generalized Beer-Lambert law in which the exponential memoryless extinction is only a special case of non-exponential extinction solutions described by Mittag-Leffler functions. We also justify this result from a stochastic point of view, using the space fractional Poisson process. Moreover, we discuss some concrete advantages of this approach from an experimental point of view, giving an estimate of the deviation from exponential extinction law, varying the optical depth. This is also an interesting model to understand the meaning of fractional derivative as an instrument to transmit randomness of microscopic dynamics to the macroscopic scale.

  16. (Anti)symmetric multivariate exponential functions and corresponding Fourier transforms

    Klimyk, A U; Patera, J

    2007-01-01

    We define and study symmetrized and antisymmetrized multivariate exponential functions. They are defined as determinants and antideterminants of matrices whose entries are exponential functions of one variable. These functions are eigenfunctions of the Laplace operator on the corresponding fundamental domains satisfying certain boundary conditions. To symmetric and antisymmetric multivariate exponential functions there correspond Fourier transforms. There are three types of such Fourier transforms: expansions into the corresponding Fourier series, integral Fourier transforms and multivariate finite Fourier transforms. Eigenfunctions of the integral Fourier transforms are found

  17. Use of stratigraphic models as soft information to constrain stochastic modeling of rock properties: Development of the GSLIB-Lynx integration module

    Cromer, M.V.; Rautman, C.A.

    1995-10-01

    Rock properties in volcanic units at Yucca Mountain are controlled largely by relatively deterministic geologic processes related to the emplacement, cooling, and alteration history of the tuffaceous lithologic sequence. Differences in the lithologic character of the rocks have been used to subdivide the rock sequence into stratigraphic units, and the deterministic nature of the processes responsible for the character of the different units can be used to infer the rock material properties likely to exist in unsampled regions. This report proposes a quantitative, theoretically justified method of integrating interpretive geometric models, showing the three-dimensional distribution of different stratigraphic units, with numerical stochastic simulation techniques drawn from geostatistics. This integration of soft, constraining geologic information with hard, quantitative measurements of various material properties can produce geologically reasonable, spatially correlated models of rock properties that are free from stochastic artifacts for use in subsequent physical-process modeling, such as the numerical representation of ground-water flow and radionuclide transport. Prototype modeling conducted using the GSLIB-Lynx Integration Module computer program, known as GLINTMOD, has successfully demonstrated the proposed integration technique. The method involves the selection of stratigraphic-unit-specific material-property expected values that are then used to constrain the probability function from which a material property of interest at an unsampled location is simulated

  18. Stochastic analysis of complex reaction networks using binomial moment equations.

    Barzel, Baruch; Biham, Ofer

    2012-09-01

    The stochastic analysis of complex reaction networks is a difficult problem because the number of microscopic states in such systems increases exponentially with the number of reactive species. Direct integration of the master equation is thus infeasible and is most often replaced by Monte Carlo simulations. While Monte Carlo simulations are a highly effective tool, equation-based formulations are more amenable to analytical treatment and may provide deeper insight into the dynamics of the network. Here, we present a highly efficient equation-based method for the analysis of stochastic reaction networks. The method is based on the recently introduced binomial moment equations [Barzel and Biham, Phys. Rev. Lett. 106, 150602 (2011)]. The binomial moments are linear combinations of the ordinary moments of the probability distribution function of the population sizes of the interacting species. They capture the essential combinatorics of the reaction processes reflecting their stoichiometric structure. This leads to a simple and transparent form of the equations, and allows a highly efficient and surprisingly simple truncation scheme. Unlike ordinary moment equations, in which the inclusion of high order moments is prohibitively complicated, the binomial moment equations can be easily constructed up to any desired order. The result is a set of equations that enables the stochastic analysis of complex reaction networks under a broad range of conditions. The number of equations is dramatically reduced from the exponential proliferation of the master equation to a polynomial (and often quadratic) dependence on the number of reactive species in the binomial moment equations. The aim of this paper is twofold: to present a complete derivation of the binomial moment equations; to demonstrate the applicability of the moment equations for a representative set of example networks, in which stochastic effects play an important role.

  19. A decoupled approach to filter design for stochastic systems

    Barbata, A.; Zasadzinski, M.; Ali, H. Souley; Messaoud, H.

    2016-08-01

    This paper presents a new theorem to guarantee the almost sure exponential stability for a class of stochastic triangular systems by studying only the stability of each diagonal subsystems. This result allows to solve the filtering problem of the stochastic systems with multiplicative noises by using the almost sure exponential stability concept. Two kinds of observers are treated: the full-order and reduced-order cases.

  20. Upper Bounds for Ruin Probability with Stochastic Investment Return

    ZHANG Lihong

    2005-01-01

    Risk models with stochastic investment return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and a tight bound for ruin probability is the best for practical use. This paper presents a discrete time risk model with stochastic investment return. Conditional expectation properties and martingale inequalities are used to obtain both exponential and non-exponential upper bounds for the ruin probability.

  1. An integrative genetic study of rice metabolism, growth and stochastic variation reveals potential C/N partitioning loci

    Li, Baohua; Zhang, Yuanyuan; Mohammadi, Seyed Abolghasem

    2016-01-01

    metabolites suggesting that they may influence carbon and nitrogen partitioning, with one locus co-localizing with SUSIBA2 (WRKY78). Comparing QTLs for metabolomic and a variety of growth related traits identified few overlaps. Interestingly, the rice population displayed fewer loci controlling stochastic...

  2. A review of the methods for signal estimation in stochastic diffusion leaky integrate-and-fire neuronal models

    Lánský, Petr; Ditlevsen, S.

    2008-01-01

    Roč. 99, 4-5 (2008), s. 253-262 ISSN 0340-1200 R&D Projects: GA MŠk(CZ) LC554; GA AV ČR(CZ) 1ET400110401 Institutional research plan: CEZ:AV0Z50110509 Keywords : parameter estimation * stochastic diffusion neuronal model Subject RIV: BO - Biophysics Impact factor: 1.935, year: 2008

  3. Integration of Monte-Carlo ray tracing with a stochastic optimisation method: application to the design of solar receiver geometry.

    Asselineau, Charles-Alexis; Zapata, Jose; Pye, John

    2015-06-01

    A stochastic optimisation method adapted to illumination and radiative heat transfer problems involving Monte-Carlo ray-tracing is presented. A solar receiver shape optimisation case study illustrates the advantages of the method and its potential: efficient receivers are identified using a moderate computational cost.

  4. Robustness Analysis of Hybrid Stochastic Neural Networks with Neutral Terms and Time-Varying Delays

    Chunmei Wu

    2015-01-01

    Full Text Available We analyze the robustness of global exponential stability of hybrid stochastic neural networks subject to neutral terms and time-varying delays simultaneously. Given globally exponentially stable hybrid stochastic neural networks, we characterize the upper bounds of contraction coefficients of neutral terms and time-varying delays by using the transcendental equation. Moreover, we prove theoretically that, for any globally exponentially stable hybrid stochastic neural networks, if additive neutral terms and time-varying delays are smaller than the upper bounds arrived, then the perturbed neural networks are guaranteed to also be globally exponentially stable. Finally, a numerical simulation example is given to illustrate the presented criteria.

  5. Generalized approach to non-exponential relaxation

    Non-exponential relaxation is a universal feature of systems as diverse as glasses, spin ... which changes from a simple exponential to a stretched exponential and a power law by increasing the constraints in the system. ... Current Issue

  6. Certain integrals involving logarithmic and exponential functions

    M. Aslam Chaudhry

    1994-01-01

    Full Text Available In this paper we have evaluated the integrals∫0∞xn−1lnxexp(−ax−bx−1dxand∫0∞xn−2(ax2−b(lnx2exp(−ax−bx−1dxfor all n=1,2,3,…. Some applications of the results are discussed and an open problem is posed.

  7. On Riemann zeroes, lognormal multiplicative chaos, and Selberg integral

    Ostrovsky, Dmitry

    2016-01-01

    Rescaled Mellin-type transforms of the exponential functional of the Bourgade–Kuan–Rodgers statistic of Riemann zeroes are conjecturally related to the distribution of the total mass of the limit lognormal stochastic measure of Mandelbrot–Bacry–Muzy. The conjecture implies that a non-trivial, log-infinitely divisible probability distribution is associated with Riemann zeroes. For application, integral moments, covariance structure, multiscaling spectrum, and asymptotics associated with the exponential functional are computed in closed form using the known meromorphic extension of the Selberg integral. (paper)

  8. Stochastic processes

    Parzen, Emanuel

    1962-01-01

    Well-written and accessible, this classic introduction to stochastic processes and related mathematics is appropriate for advanced undergraduate students of mathematics with a knowledge of calculus and continuous probability theory. The treatment offers examples of the wide variety of empirical phenomena for which stochastic processes provide mathematical models, and it develops the methods of probability model-building.Chapter 1 presents precise definitions of the notions of a random variable and a stochastic process and introduces the Wiener and Poisson processes. Subsequent chapters examine

  9. Exponential Expansion in Evolutionary Economics

    Frederiksen, Peter; Jagtfelt, Tue

    2013-01-01

    This article attempts to solve current problems of conceptual fragmentation within the field of evolutionary economics. One of the problems, as noted by a number of observers, is that the field suffers from an assemblage of fragmented and scattered concepts (Boschma and Martin 2010). A solution...... to this problem is proposed in the form of a model of exponential expansion. The model outlines the overall structure and function of the economy as exponential expansion. The pictographic model describes four axiomatic concepts and their exponential nature. The interactive, directional, emerging and expanding...... concepts are described in detail. Taken together it provides the rudimentary aspects of an economic system within an analytical perspective. It is argued that the main dynamic processes of the evolutionary perspective can be reduced to these four concepts. The model and concepts are evaluated in the light...

  10. Exponential x-ray transform

    Hazou, I.A.

    1986-01-01

    In emission computed tomography one wants to determine the location and intensity of radiation emitted by sources in the presence of an attenuating medium. If the attenuation is known everywhere and equals a constant α in a convex neighborhood of the support of f, then the problem reduces to that of inverting the exponential x-ray transform P/sub α/. The exponential x-ray transform P/sub μ/ with the attenuation μ variable, is of interest mathematically. For the exponential x-ray transform in two dimensions, it is shown that for a large class of approximate δ functions E, convolution kernels K exist for use in the convolution backprojection algorithm. For the case where the attenuation is constant, exact formulas are derived for calculating the convolution kernels from radial point spread functions. From these an exact inversion formula for the constantly attenuated transform is obtained

  11. 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...

  12. Stochastic quantization

    Klauder, J.R.

    1983-01-01

    The author provides an introductory survey to stochastic quantization in which he outlines this new approach for scalar fields, gauge fields, fermion fields, and condensed matter problems such as electrons in solids and the statistical mechanics of quantum spins. (Auth.)

  13. Exponential Potential versus Dark Matter

    1993-10-15

    scale of the solar system. Galaxy, Dark matter , Galaxy cluster, Gravitation, Quantum gravity...A two parameter exponential potential explains the anomalous kinematics of galaxies and galaxy clusters without need for the myriad ad hoc dark ... matter models currently in vogue. It also explains much about the scales and structures of galaxies and galaxy clusters while being quite negligible on the

  14. Turbulent response in a stochastic regime

    Molvig, K.; Freidberg, J.P.; Potok, R.; Hirshman, S.P.; Whitson, J.C.; Tajima, T.

    1981-06-01

    The theory for the non-linear, turbulent response in a system with intrinsic stochasticity is considered. It is argued that perturbative Eulerian theories, such as the Direct Interaction Approximation (DIA), are inherently unsuited to describe such a system. The exponentiation property that characterizes stochasticity appears in the Lagrangian picture and cannot even be defined in the Eulerian representation. An approximation for stochastic systems - the Normal Stochastic Approximation - is developed and states that the perturbed orbit functions (Lagrangian fluctuations) behave as normally distributed random variables. This is independent of the Eulerian statistics and, in fact, we treat the Eulerian fluctuations as fixed. A simple model problem (appropriate for the electron response in the drift wave) is subjected to a series of computer experiments. To within numerical noise the results are in agreement with the Normal Stochastic Approximation. The predictions of the DIA for this mode show substantial qualitative and quantitative departures from the observations

  15. STOCHASTIC ASSESSMENT OF NIGERIAN STOCHASTIC ...

    eobe

    STOCHASTIC ASSESSMENT OF NIGERIAN WOOD FOR BRIDGE DECKS ... abandoned bridges with defects only in their decks in both rural and urban locations can be effectively .... which can be seen as the detection of rare physical.

  16. The exponentiated generalized Pareto distribution | Adeyemi | Ife ...

    Recently Gupta et al. (1998) introduced the exponentiated exponential distribution as a generalization of the standard exponential distribution. In this paper, we introduce a three-parameter generalized Pareto distribution, the exponentiated generalized Pareto distribution (EGP). We present a comprehensive treatment of the ...

  17. Exponential complexity and ontological theories of quantum mechanics

    Montina, A.

    2008-01-01

    Ontological theories of quantum mechanics describe a single system by means of well-defined classical variables and attribute the quantum uncertainties to our ignorance about the underlying reality represented by these variables. We consider the general class of ontological theories describing a quantum system by a set of variables with Markovian (either deterministic or stochastic) evolution. We provide proof that the number of continuous variables cannot be smaller than 2N-2, N being the Hilbert-space dimension. Thus, any ontological Markovian theory of quantum mechanics requires a number of variables which grows exponentially with the physical size. This result is relevant also in the framework of quantum Monte Carlo methods

  18. Brownian motion and stochastic calculus

    Karatzas, Ioannis

    1998-01-01

    This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large num...

  19. Stochastic Analysis : A Series of Lectures

    Dozzi, Marco; Flandoli, Franco; Russo, Francesco

    2015-01-01

    This book presents in thirteen refereed survey articles an overview of modern activity in stochastic analysis, written by leading international experts. The topics addressed include stochastic fluid dynamics and regularization by noise of deterministic dynamical systems; stochastic partial differential equations driven by Gaussian or Lévy noise, including the relationship between parabolic equations and particle systems, and wave equations in a geometric framework; Malliavin calculus and applications to stochastic numerics; stochastic integration in Banach spaces; porous media-type equations; stochastic deformations of classical mechanics and Feynman integrals and stochastic differential equations with reflection. The articles are based on short courses given at the Centre Interfacultaire Bernoulli of the Ecole Polytechnique Fédérale de Lausanne, Switzerland, from January to June 2012. They offer a valuable resource not only for specialists, but also for other researchers and Ph.D. students in the fields o...

  20. Accelerating cosmologies from exponential potentials

    Neupane, Ishwaree P.

    2003-11-01

    It is learnt that exponential potentials of the form V ∼ exp(-2cφ/M p ) arising from the hyperbolic or flux compactification of higher-dimensional theories are of interest for getting short periods of accelerated cosmological expansions. Using a similar potential but derived for the combined case of hyperbolic-flux compactification, we study a four-dimensional flat (or open) FRW cosmologies and give analytic (and numerical) solutions with exponential behavior of scale factors. We show that, for the M-theory motivated potentials, the cosmic acceleration of the universe can be eternal if the spatial curvature of the 4d spacetime is negative, while the acceleration is only transient for a spatially flat universe. We also briefly discuss about the mass of massive Kaluza-Klein modes and the dynamical stabilization of the compact hyperbolic extra dimensions. (author)

  1. Science in an Exponential World

    Szalay, Alexander

    The amount of scientific information is doubling every year. This exponential growth is fundamentally changing every aspect of the scientific process - the collection, analysis and dissemination of scientific information. Our traditional paradigm for scientific publishing assumes a linear world, where the number of journals and articles remains approximately constant. The talk presents the challenges of this new paradigm and shows examples of how some disciplines are trying to cope with the data avalanche. In astronomy, the Virtual Observatory is emerging as a way to do astronomy in the 21st century. Other disciplines are also in the process of creating their own Virtual Observatories, on every imaginable scale of the physical world. We will discuss how long this exponential growth can continue.

  2. Exponential asymptotics of homoclinic snaking

    Dean, A D; Matthews, P C; Cox, S M; King, J R

    2011-01-01

    We study homoclinic snaking in the cubic-quintic Swift–Hohenberg equation (SHE) close to the onset of a subcritical pattern-forming instability. Application of the usual multiple-scales method produces a leading-order stationary front solution, connecting the trivial solution to the patterned state. A localized pattern may therefore be constructed by matching between two distant fronts placed back-to-back. However, the asymptotic expansion of the front is divergent, and hence should be truncated. By truncating optimally, such that the resultant remainder is exponentially small, an exponentially small parameter range is derived within which stationary fronts exist. This is shown to be a direct result of the 'locking' between the phase of the underlying pattern and its slowly varying envelope. The locking mechanism remains unobservable at any algebraic order, and can only be derived by explicitly considering beyond-all-orders effects in the tail of the asymptotic expansion, following the method of Kozyreff and Chapman as applied to the quadratic-cubic SHE (Chapman and Kozyreff 2009 Physica D 238 319–54, Kozyreff and Chapman 2006 Phys. Rev. Lett. 97 44502). Exponentially small, but exponentially growing, contributions appear in the tail of the expansion, which must be included when constructing localized patterns in order to reproduce the full snaking diagram. Implicit within the bifurcation equations is an analytical formula for the width of the snaking region. Due to the linear nature of the beyond-all-orders calculation, the bifurcation equations contain an analytically indeterminable constant, estimated in the previous work by Chapman and Kozyreff using a best fit approximation. A more accurate estimate of the equivalent constant in the cubic-quintic case is calculated from the iteration of a recurrence relation, and the subsequent analytical bifurcation diagram compared with numerical simulations, with good agreement

  3. Limit laws for exponential families

    Balkema, August A.; Klüppelberg, Claudia; Resnick, Sidney I.

    1999-01-01

    For a real random variable [math] with distribution function [math] , define ¶ [math] ¶ The distribution [math] generates a natural exponential family of distribution functions [math] , where ¶ [math] ¶ We study the asymptotic behaviour of the distribution functions [math] as [math] increases to [math] . If [math] then [math] pointwise on [math] . It may still be possible to obtain a non-degenerate weak limit law [math] by choosing suitable scaling and centring constants [math] an...

  4. Quantum stochastics

    Chang, Mou-Hsiung

    2015-01-01

    The classical probability theory initiated by Kolmogorov and its quantum counterpart, pioneered by von Neumann, were created at about the same time in the 1930s, but development of the quantum theory has trailed far behind. Although highly appealing, the quantum theory has a steep learning curve, requiring tools from both probability and analysis and a facility for combining the two viewpoints. This book is a systematic, self-contained account of the core of quantum probability and quantum stochastic processes for graduate students and researchers. The only assumed background is knowledge of the basic theory of Hilbert spaces, bounded linear operators, and classical Markov processes. From there, the book introduces additional tools from analysis, and then builds the quantum probability framework needed to support applications to quantum control and quantum information and communication. These include quantum noise, quantum stochastic calculus, stochastic quantum differential equations, quantum Markov semigrou...

  5. CONVERGENCE OF THE FRACTIONAL PARTS OF THE RANDOM VARIABLES TO THE TRUNCATED EXPONENTIAL DISTRIBUTION

    Bogdan Gheorghe Munteanu

    2013-01-01

    Full Text Available Using the stochastic approximations, in this paper it was studiedthe convergence in distribution of the fractional parts of the sum of random variables to the truncated exponential distribution with parameter lambda. This fact is feasible by means of the Fourier-Stieltjes sequence (FSS of the random variable.

  6. A Pseudo-Parallel Genetic Algorithm Integrating Simulated Annealing for Stochastic Location-Inventory-Routing Problem with Consideration of Returns in E-Commerce

    Bailing Liu

    2015-01-01

    Full Text Available Facility location, inventory control, and vehicle routes scheduling are three key issues to be settled in the design of logistics system for e-commerce. Due to the online shopping features of e-commerce, customer returns are becoming much more than traditional commerce. This paper studies a three-phase supply chain distribution system consisting of one supplier, a set of retailers, and a single type of product with continuous review (Q, r inventory policy. We formulate a stochastic location-inventory-routing problem (LIRP model with no quality defects returns. To solve the NP-hand problem, a pseudo-parallel genetic algorithm integrating simulated annealing (PPGASA is proposed. The computational results show that PPGASA outperforms GA on optimal solution, computing time, and computing stability.

  7. Stabilizing simulations of complex stochastic representations for quantum dynamical systems

    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.

  8. Stochastic risk-averse coordinated scheduling of grid integrated energy storage units in transmission constrained wind-thermal systems within a conditional value-at-risk framework

    Hemmati, Reza; Saboori, Hedayat; Saboori, Saeid

    2016-01-01

    In recent decades, wind power resources have been integrated in the power systems increasingly. Besides confirmed benefits, utilization of large share of this volatile source in power generation portfolio has been faced system operators with new challenges in terms of uncertainty management. It is proved that energy storage systems are capable to handle projected uncertainty concerns. Risk-neutral methods have been proposed in the previous literature to schedule storage units considering wind resources uncertainty. Ignoring risk of the cost distributions with non-desirable properties may result in experiencing high costs in some unfavorable scenarios with high probability. In order to control the risk of the operator decisions, this paper proposes a new risk-constrained two-stage stochastic programming model to make optimal decisions on energy storage and thermal units in a transmission constrained hybrid wind-thermal power system. Risk-aversion procedure is explicitly formulated using the conditional value-at-risk measure, because of possessing distinguished features compared to the other risk measures. The proposed model is a mixed integer linear programming considering transmission network, thermal unit dynamics, and storage devices constraints. The simulations results demonstrate that taking the risk of the problem into account will affect scheduling decisions considerably depend on the level of the risk-aversion. - Highlights: • Risk of the operation decisions is handled by using risk-averse programming. • Conditional value-at-risk is used as risk measure. • Optimal risk level is obtained based on the cost/benefit analysis. • The proposed model is a two-stage stochastic mixed integer linear programming. • The unit commitment is integrated with ESSs and wind power penetration.

  9. Stochastic Analysis and Related Topics

    Ustunel, Ali

    1988-01-01

    The Silvri Workshop was divided into a short summer school and a working conference, producing lectures and research papers on recent developments in stochastic analysis on Wiener space. The topics treated in the lectures relate to the Malliavin calculus, the Skorohod integral and nonlinear functionals of white noise. Most of the research papers are applications of these subjects. This volume addresses researchers and graduate students in stochastic processes and theoretical physics.

  10. Stochastic cooling

    Bisognano, J.; Leemann, C.

    1982-03-01

    Stochastic cooling is the damping of betatron oscillations and momentum spread of a particle beam by a feedback system. In its simplest form, a pickup electrode detects the transverse positions or momenta of particles in a storage ring, and the signal produced is amplified and applied downstream to a kicker. The time delay of the cable and electronics is designed to match the transit time of particles along the arc of the storage ring between the pickup and kicker so that an individual particle receives the amplified version of the signal it produced at the pick-up. If there were only a single particle in the ring, it is obvious that betatron oscillations and momentum offset could be damped. However, in addition to its own signal, a particle receives signals from other beam particles. In the limit of an infinite number of particles, no damping could be achieved; we have Liouville's theorem with constant density of the phase space fluid. For a finite, albeit large number of particles, there remains a residue of the single particle damping which is of practical use in accumulating low phase space density beams of particles such as antiprotons. It was the realization of this fact that led to the invention of stochastic cooling by S. van der Meer in 1968. Since its conception, stochastic cooling has been the subject of much theoretical and experimental work. The earliest experiments were performed at the ISR in 1974, with the subsequent ICE studies firmly establishing the stochastic cooling technique. This work directly led to the design and construction of the Antiproton Accumulator at CERN and the beginnings of p anti p colliding beam physics at the SPS. Experiments in stochastic cooling have been performed at Fermilab in collaboration with LBL, and a design is currently under development for a anti p accumulator for the Tevatron

  11. Is Radioactive Decay Really Exponential?

    Aston, Philip J.

    2012-01-01

    Radioactive decay of an unstable isotope is widely believed to be exponential. This view is supported by experiments on rapidly decaying isotopes but is more difficult to verify for slowly decaying isotopes. The decay of 14C can be calibrated over a period of 12,550 years by comparing radiocarbon dates with dates obtained from dendrochronology. It is well known that this approach shows that radiocarbon dates of over 3,000 years are in error, which is generally attributed to past variation in ...

  12. A stochastic model for the financial market with discontinuous prices

    Leda D. Minkova

    1996-01-01

    Full Text Available This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.

  13. Stochastic Model Checking of the Stochastic Quality Calculus

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

    2015-01-01

    The Quality Calculus uses quality binders for input to express strategies for continuing the computation even when the desired input has not been received. The Stochastic Quality Calculus adds generally distributed delays for output actions and real-time constraints on the quality binders for input....... This gives rise to Generalised Semi-Markov Decision Processes for which few analytical techniques are available. We restrict delays on output actions to be exponentially distributed while still admitting real-time constraints on the quality binders. This facilitates developing analytical techniques based...

  14. Stochastic Analysis 2010

    Crisan, Dan

    2011-01-01

    "Stochastic Analysis" aims to provide mathematical tools to describe and model high dimensional random systems. Such tools arise in the study of Stochastic Differential Equations and Stochastic Partial Differential Equations, Infinite Dimensional Stochastic Geometry, Random Media and Interacting Particle Systems, Super-processes, Stochastic Filtering, Mathematical Finance, etc. Stochastic Analysis has emerged as a core area of late 20th century Mathematics and is currently undergoing a rapid scientific development. The special volume "Stochastic Analysis 2010" provides a sa

  15. Stochastic processes

    Borodin, Andrei N

    2017-01-01

    This book provides a rigorous yet accessible introduction to the theory of stochastic processes. A significant part of the book is devoted to the classic theory of stochastic processes. In turn, it also presents proofs of well-known results, sometimes together with new approaches. Moreover, the book explores topics not previously covered elsewhere, such as distributions of functionals of diffusions stopped at different random times, the Brownian local time, diffusions with jumps, and an invariance principle for random walks and local times. Supported by carefully selected material, the book showcases a wealth of examples that demonstrate how to solve concrete problems by applying theoretical results. It addresses a broad range of applications, focusing on concrete computational techniques rather than on abstract theory. The content presented here is largely self-contained, making it suitable for researchers and graduate students alike.

  16. On root mean square approximation by exponential functions

    Sharipov, Ruslan

    2014-01-01

    The problem of root mean square approximation of a square integrable function by finite linear combinations of exponential functions is considered. It is subdivided into linear and nonlinear parts. The linear approximation problem is solved. Then the nonlinear problem is studied in some particular example.

  17. Stochastic Neural Field Theory and the System-Size Expansion

    Bressloff, Paul C.

    2010-01-01

    We analyze a master equation formulation of stochastic neurodynamics for a network of synaptically coupled homogeneous neuronal populations each consisting of N identical neurons. The state of the network is specified by the fraction of active or spiking neurons in each population, and transition rates are chosen so that in the thermodynamic or deterministic limit (N → ∞) we recover standard activity-based or voltage-based rate models. We derive the lowest order corrections to these rate equations for large but finite N using two different approximation schemes, one based on the Van Kampen system-size expansion and the other based on path integral methods. Both methods yield the same series expansion of the moment equations, which at O(1/N) can be truncated to form a closed system of equations for the first-and second-order moments. Taking a continuum limit of the moment equations while keeping the system size N fixed generates a system of integrodifferential equations for the mean and covariance of the corresponding stochastic neural field model. We also show how the path integral approach can be used to study large deviation or rare event statistics underlying escape from the basin of attraction of a stable fixed point of the mean-field dynamics; such an analysis is not possible using the system-size expansion since the latter cannot accurately determine exponentially small transitions. © by SIAM.

  18. Fully exponentially correlated wavefunctions for small atoms

    Harris, Frank E. [Department of Physics, University of Utah, Salt Lake City, UT 84112 and Quantum Theory Project, University of Florida, P.O. Box 118435, Gainesville, FL 32611 (United States)

    2015-01-22

    Fully exponentially correlated atomic wavefunctions are constructed from exponentials in all the interparticle coordinates, in contrast to correlated wavefunctions of the Hylleraas form, in which only the electron-nuclear distances occur exponentially, with electron-electron distances entering only as integer powers. The full exponential correlation causes many-configuration wavefunctions to converge with expansion length more rapidly than either orbital formulations or correlated wavefunctions of the Hylleraas type. The present contribution surveys the effectiveness of fully exponentially correlated functions for the three-body system (the He isoelectronic series) and reports their application to a four-body system (the Li atom)

  19. Exponential power spectra, deterministic chaos and Lorentzian pulses in plasma edge dynamics

    Maggs, J E; Morales, G J

    2012-01-01

    Exponential spectra have been observed in the edges of tokamaks, stellarators, helical devices and linear machines. The observation of exponential power spectra is significant because such a spectral character has been closely associated with the phenomenon of deterministic chaos by the nonlinear dynamics community. The proximate cause of exponential power spectra in both magnetized plasma edges and nonlinear dynamics models is the occurrence of Lorentzian pulses in the time signals of fluctuations. Lorentzian pulses are produced by chaotic behavior in the separatrix regions of plasma E × B flow fields or the limit cycle regions of nonlinear models. Chaotic advection, driven by the potential fields of drift waves in plasmas, results in transport. The observation of exponential power spectra and Lorentzian pulses suggests that fluctuations and transport at the edge of magnetized plasmas arise from deterministic, rather than stochastic, dynamics. (paper)

  20. Direction-dependent exponential biassing

    Bending, R.C.

    1974-01-01

    When Monte Carlo methods are applied to penetration problems, the use of variance reduction techniques is essential if realistic computing times are to be achieved. A technique known as direction-dependent exponential biassing is described which is simple to apply and therefore suitable for problems with difficult geometry. The material cross section in any region is multiplied by a factor which depends on the particle direction, so that particles travelling in a preferred direction ''see'' a smaller cross section than those travelling in the opposite direction. A theoretical study shows that substantial gains may be obtained, and that the choice of biassing parameter is not critical. The method has been implemented alongside other importance sampling techniques in the general Monte Carlo code SPARTAN, and results obtained for simple problems using this code are included. 4 references. (U.S.)

  1. Deformed exponentials and portfolio selection

    Rodrigues, Ana Flávia P.; Guerreiro, Igor M.; Cavalcante, Charles Casimiro

    In this paper, we present a method for portfolio selection based on the consideration on deformed exponentials in order to generalize the methods based on the gaussianity of the returns in portfolio, such as the Markowitz model. The proposed method generalizes the idea of optimizing mean-variance and mean-divergence models and allows a more accurate behavior for situations where heavy-tails distributions are necessary to describe the returns in a given time instant, such as those observed in economic crises. Numerical results show the proposed method outperforms the Markowitz portfolio for the cumulated returns with a good convergence rate of the weights for the assets which are searched by means of a natural gradient algorithm.

  2. Coarse Grained Exponential Variational Autoencoders

    Sun, Ke

    2017-02-25

    Variational autoencoders (VAE) often use Gaussian or category distribution to model the inference process. This puts a limit on variational learning because this simplified assumption does not match the true posterior distribution, which is usually much more sophisticated. To break this limitation and apply arbitrary parametric distribution during inference, this paper derives a \\\\emph{semi-continuous} latent representation, which approximates a continuous density up to a prescribed precision, and is much easier to analyze than its continuous counterpart because it is fundamentally discrete. We showcase the proposition by applying polynomial exponential family distributions as the posterior, which are universal probability density function generators. Our experimental results show consistent improvements over commonly used VAE models.

  3. Ambit processes and stochastic partial differential equations

    Barndorff-Nielsen, Ole; Benth, Fred Espen; Veraart, Almut

    Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection betwe...... ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Lévy noise analysis....

  4. Stochastic calculus and applications

    Cohen, Samuel N

    2015-01-01

    Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to wo...

  5. EXCHANGE-RATES FORECASTING: EXPONENTIAL SMOOTHING TECHNIQUES AND ARIMA MODELS

    Dezsi Eva

    2011-07-01

    Full Text Available Exchange rates forecasting is, and has been a challenging task in finance. Statistical and econometrical models are widely used in analysis and forecasting of foreign exchange rates. This paper investigates the behavior of daily exchange rates of the Romanian Leu against the Euro, United States Dollar, British Pound, Japanese Yen, Chinese Renminbi and the Russian Ruble. Smoothing techniques are generated and compared with each other. These models include the Simple Exponential Smoothing technique, as the Double Exponential Smoothing technique, the Simple Holt-Winters, the Additive Holt-Winters, namely the Autoregressive Integrated Moving Average model.

  6. Late-time acceleration with steep exponential potentials

    Shahalam, M. [Zhejiang University of Technology, Institute for Advanced Physics and Mathematics, Hangzhou (China); Yang, Weiqiang [Liaoning Normal University, Department of Physics, Dalian (China); Myrzakulov, R. [Eurasian National University, Department of General and Theoretical Physics, Eurasian International Center for Theoretical Physics, Astana (Kazakhstan); Wang, Anzhong [Zhejiang University of Technology, Institute for Advanced Physics and Mathematics, Hangzhou (China); Baylor University, GCAP-CASPER, Department of Physics, Waco, TX (United States)

    2017-12-15

    In this letter, we study the cosmological dynamics of steeper potential than exponential. Our analysis shows that a simple extension of an exponential potential allows to capture late-time cosmic acceleration and retain the tracker behavior. We also perform statefinder and Om diagnostics to distinguish dark energy models among themselves and with ΛCDM. In addition, to put the observational constraints on the model parameters, we modify the publicly available CosmoMC code and use an integrated data base of baryon acoustic oscillation, latest Type Ia supernova from Joint Light Curves sample and the local Hubble constant value measured by the Hubble Space Telescope. (orig.)

  7. Late-time acceleration with steep exponential potentials

    Shahalam, M.; Yang, Weiqiang; Myrzakulov, R.; Wang, Anzhong

    2017-01-01

    In this letter, we study the cosmological dynamics of steeper potential than exponential. Our analysis shows that a simple extension of an exponential potential allows to capture late-time cosmic acceleration and retain the tracker behavior. We also perform statefinder and Om diagnostics to distinguish dark energy models among themselves and with ΛCDM. In addition, to put the observational constraints on the model parameters, we modify the publicly available CosmoMC code and use an integrated data base of baryon acoustic oscillation, latest Type Ia supernova from Joint Light Curves sample and the local Hubble constant value measured by the Hubble Space Telescope. (orig.)

  8. Stochastic Jeux

    Romanu Ekaterini

    2006-01-01

    Full Text Available This article shows the similarities between Claude Debussy’s and Iannis Xenakis’ philosophy of music and work, in particular the formers Jeux and the latter’s Metastasis and the stochastic works succeeding it, which seem to proceed parallel (with no personal contact to what is perceived as the evolution of 20th century Western music. Those two composers observed the dominant (German tradition as outsiders, and negated some of its elements considered as constant or natural by "traditional" innovators (i.e. serialists: the linearity of musical texture, its form and rhythm.

  9. Stability analysis of stochastic delayed cellular neural networks by LMI approach

    Zhu Wenli; Hu Jin

    2006-01-01

    Some sufficient mean square exponential stability conditions for a class of stochastic DCNN model are obtained via the LMI approach. These conditions improve and generalize some existing global asymptotic stability conditions for DCNN model

  10. Turbulent particle transport in streams: can exponential settling be reconciled with fluid mechanics?

    McNair, James N; Newbold, J Denis

    2012-05-07

    Most ecological studies of particle transport in streams that focus on fine particulate organic matter or benthic invertebrates use the Exponential Settling Model (ESM) to characterize the longitudinal pattern of particle settling on the bed. The ESM predicts that if particles are released into a stream, the proportion that have not yet settled will decline exponentially with transport time or distance and will be independent of the release elevation above the bed. To date, no credible basis in fluid mechanics has been established for this model, nor has it been rigorously tested against more-mechanistic alternative models. One alternative is the Local Exchange Model (LEM), which is a stochastic advection-diffusion model that includes both longitudinal and vertical spatial dimensions and is based on classical fluid mechanics. The LEM predicts that particle settling will be non-exponential in the near field but will become exponential in the far field, providing a new theoretical justification for far-field exponential settling that is based on plausible fluid mechanics. We review properties of the ESM and LEM and compare these with available empirical evidence. Most evidence supports the prediction of both models that settling will be exponential in the far field but contradicts the ESM's prediction that a single exponential distribution will hold for all transport times and distances. Copyright © 2012 Elsevier Ltd. All rights reserved.

  11. Inverse Stochastic Resonance in Cerebellar Purkinje Cells.

    Anatoly Buchin

    2016-08-01

    Full Text Available Purkinje neurons play an important role in cerebellar computation since their axons are the only projection from the cerebellar cortex to deeper cerebellar structures. They have complex internal dynamics, which allow them to fire spontaneously, display bistability, and also to be involved in network phenomena such as high frequency oscillations and travelling waves. Purkinje cells exhibit type II excitability, which can be revealed by a discontinuity in their f-I curves. We show that this excitability mechanism allows Purkinje cells to be efficiently inhibited by noise of a particular variance, a phenomenon known as inverse stochastic resonance (ISR. While ISR has been described in theoretical models of single neurons, here we provide the first experimental evidence for this effect. We find that an adaptive exponential integrate-and-fire model fitted to the basic Purkinje cell characteristics using a modified dynamic IV method displays ISR and bistability between the resting state and a repetitive activity limit cycle. ISR allows the Purkinje cell to operate in different functional regimes: the all-or-none toggle or the linear filter mode, depending on the variance of the synaptic input. We propose that synaptic noise allows Purkinje cells to quickly switch between these functional regimes. Using mutual information analysis, we demonstrate that ISR can lead to a locally optimal information transfer between the input and output spike train of the Purkinje cell. These results provide the first experimental evidence for ISR and suggest a functional role for ISR in cerebellar information processing.

  12. Exponential Stabilization of Underactuated Vehicles

    Pettersen, K.Y.

    1996-12-31

    Underactuated vehicles are vehicles with fewer independent control actuators than degrees of freedom to be controlled. Such vehicles may be used in inspection of sub-sea cables, inspection and maintenance of offshore oil drilling platforms, and similar. This doctoral thesis discusses feedback stabilization of underactuated vehicles. The main objective has been to further develop methods from stabilization of nonholonomic systems to arrive at methods that are applicable to underactuated vehicles. A nonlinear model including both dynamics and kinematics is used to describe the vehicles, which may be surface vessels, spacecraft or autonomous underwater vehicles (AUVs). It is shown that for a certain class of underactuated vehicles the stabilization problem is not solvable by linear control theory. A new stability result for a class of homogeneous time-varying systems is derived and shown to be an important tool for developing continuous periodic time-varying feedback laws that stabilize underactuated vehicles without involving cancellation of dynamics. For position and orientation control of a surface vessel without side thruster a new continuous periodic feedback law is proposed that does not cancel any dynamics, and that exponentially stabilizes the origin of the underactuated surface vessel. A further issue considered is the stabilization of the attitude of an AUV. Finally, the thesis discusses stabilization of both position and attitude of an underactuated AUV. 55 refs., 28 figs.

  13. The mechanism of double-exponential growth in hyper-inflation

    Mizuno, T.; Takayasu, M.; Takayasu, H.

    2002-05-01

    Analyzing historical data of price indices, we find an extraordinary growth phenomenon in several examples of hyper-inflation in which, price changes are approximated nicely by double-exponential functions of time. In order to explain such behavior we introduce the general coarse-graining technique in physics, the Monte Carlo renormalization group method, to the price dynamics. Starting from a microscopic stochastic equation describing dealers’ actions in open markets, we obtain a macroscopic noiseless equation of price consistent with the observation. The effect of auto-catalytic shortening of characteristic time caused by mob psychology is shown to be responsible for the double-exponential behavior.

  14. Quantum Ito's formula and stochastic evolutions

    Hudson, R.L.; Parthasarathy, K.R.

    1984-01-01

    Using only the Boson canonical commutation relations and the Riemann-Lebesgue integral we construct a simple theory of stochastic integrals and differentials with respect to the basic field operator processes. This leads to a noncommutative Ito product formula, a realisation of the classical Poisson process in Fock space which gives a noncommutative central limit theorem, the construction of solutions of certain noncommutative stochastic differential equations, and finally to the integration of certain irreversible equations of motion governed by semigroups of completely positive maps. The classical Ito product formula for stochastic differentials with respect to Brownian motion and the Poisson process is a special case. (orig.)

  15. Stochastic quantization of gravity and string fields

    Rumpf, H.

    1986-01-01

    The stochastic quantization method of Parisi and Wu is generalized so as to make it applicable to Einstein's theory of gravitation. The generalization is based on the existence of a preferred metric in field configuration space, involves Ito's calculus, and introduces a complex stochastic process adapted to Lorentzian spacetime. It implies formally the path integral measure of DeWitt, a causual Feynman propagator, and a consistent stochastic perturbation theory. The lineraized version of the theory is also obtained from the stochastic quantization of the free string field theory of Siegel and Zwiebach. (Author)

  16. An integrated production-inventory model for the singlevendor two-buyer problem with partial backorder, stochastic demand, and service level constraints

    Arfawi Kurdhi, Nughthoh; Adi Diwiryo, Toray; Sutanto

    2016-02-01

    This paper presents an integrated single-vendor two-buyer production-inventory model with stochastic demand and service level constraints. Shortage is permitted in the model, and partial backordered partial lost sale. The lead time demand is assumed follows a normal distribution and the lead time can be reduced by adding crashing cost. The lead time and ordering cost reductions are interdependent with logaritmic function relationship. A service level constraint policy corresponding to each buyer is considered in the model in order to limit the level of inventory shortages. The purpose of this research is to minimize joint total cost inventory model by finding the optimal order quantity, safety stock, lead time, and the number of lots delivered in one production run. The optimal production-inventory policy gained by the Lagrange method is shaped to account for the service level restrictions. Finally, a numerical example and effects of the key parameters are performed to illustrate the results of the proposed model.

  17. European Extremely Large Telescope (E-ELT) availability stochastic model: integrating failure mode and effect analysis (FMEA), influence diagram, and Bayesian network together

    Verzichelli, Gianluca

    2016-08-01

    An Availability Stochastic Model for the E-ELT has been developed in GeNIE. The latter is a Graphical User Interface (GUI) for the Structural Modeling, Inference, and Learning Engine (SMILE), originally distributed by the Decision Systems Laboratory from the University of Pittsburgh, and now being a product of Bayes Fusion, LLC. The E-ELT will be the largest optical/near-infrared telescope in the world. Its design comprises an Alt-Azimuth mount reflecting telescope with a 39-metre-diameter segmented primary mirror, a 4-metre-diameter secondary mirror, a 3.75-metre-diameter tertiary mirror, adaptive optics and multiple instruments. This paper highlights how a Model has been developed for an earlier on assessment of the Telescope Avail- ability. It also describes the modular structure and the underlying assumptions that have been adopted for developing the model and demonstrates the integration of FMEA, Influence Diagram and Bayesian Network elements. These have been considered for a better characterization of the Model inputs and outputs and for taking into account Degraded-based Reliability (DBR). Lastly, it provides an overview of how the information and knowledge captured in the model may be used for an earlier on definition of the Failure, Detection, Isolation and Recovery (FDIR) Control Strategy and the Telescope Minimum Master Equipment List (T-MMEL).

  18. Exponential Hilbert series of equivariant embeddings

    Johnson, Wayne A.

    2018-01-01

    In this article, we study properties of the exponential Hilbert series of a $G$-equivariant projective variety, where $G$ is a semisimple, simply-connected complex linear algebraic group. We prove a relationship between the exponential Hilbert series and the degree and dimension of the variety. We then prove a combinatorial identity for the coefficients of the polynomial representing the exponential Hilbert series. This formula is used in examples to prove further combinatorial identities inv...

  19. Stochasticity Modeling in Memristors

    Naous, Rawan; Al-Shedivat, Maruan; Salama, Khaled N.

    2015-01-01

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

  20. Stochasticity Modeling in Memristors

    Naous, Rawan

    2015-10-26

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

  1. Brownian motion, martingales, and stochastic calculus

    Le Gall, Jean-François

    2016-01-01

    This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô’s formula, the optional stopping theorem and Girsanov’s theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested i...

  2. Stochastic synaptic plasticity with memristor crossbar arrays

    Naous, Rawan

    2016-11-01

    Memristive devices have been shown to exhibit slow and stochastic resistive switching behavior under low-voltage, low-current operating conditions. Here we explore such mechanisms to emulate stochastic plasticity in memristor crossbar synapse arrays. Interfaced with integrate-and-fire spiking neurons, the memristive synapse arrays are capable of implementing stochastic forms of spike-timing dependent plasticity which parallel mean-rate models of stochastic learning with binary synapses. We present theory and experiments with spike-based stochastic learning in memristor crossbar arrays, including simplified modeling as well as detailed physical simulation of memristor stochastic resistive switching characteristics due to voltage and current induced filament formation and collapse. © 2016 IEEE.

  3. Stochastic synaptic plasticity with memristor crossbar arrays

    Naous, Rawan; Al-Shedivat, Maruan; Neftci, Emre; Cauwenberghs, Gert; Salama, Khaled N.

    2016-01-01

    Memristive devices have been shown to exhibit slow and stochastic resistive switching behavior under low-voltage, low-current operating conditions. Here we explore such mechanisms to emulate stochastic plasticity in memristor crossbar synapse arrays. Interfaced with integrate-and-fire spiking neurons, the memristive synapse arrays are capable of implementing stochastic forms of spike-timing dependent plasticity which parallel mean-rate models of stochastic learning with binary synapses. We present theory and experiments with spike-based stochastic learning in memristor crossbar arrays, including simplified modeling as well as detailed physical simulation of memristor stochastic resistive switching characteristics due to voltage and current induced filament formation and collapse. © 2016 IEEE.

  4. Stochastic solutions to the Schrodinger equation for fermions

    Arnow, D.M.

    1981-01-01

    An exact stochastic method has been developed for generating the antisymmetric eigensolution of lowest index and its associated eigenvalue for the Schrodinger wave equation in 3N dimensions. The method is called the Green's function Monte Carlo method for fermions (FGFMC) because it is based on a Monte Carlo solution to the integral form of the Schrodinger equation (using Green's function) and because it is the fermion class of particles in physics which require antisymmetric solutions. The solution consists of two sets of 3N-dimensional points, [R/sub j/ + ] and [R/sub j/ - ], distributed by density functions psi + and psi - , whose difference, psi + -psi - , is proportional to the eigensolution, psi/sub F/. The FGFMC method is successfully applied to a one dimensional problem and a nine dimensional problem, the results of which are presented here. These results demonstrate that this method can be successfully applied to small physical problems on medium-scale computing machines. The key to this success was the transformation of the problem from exponential to linear cost as a function of accuracy. The strong dependence on dimensionality, however, currently results in an exponential cost as a function of problem size, and this, until overcome, imposes a severe barrier to calculations on large systems

  5. Stochastic modeling

    Lanchier, Nicolas

    2017-01-01

    Three coherent parts form the material covered in this text, portions of which have not been widely covered in traditional textbooks. In this coverage the reader is quickly introduced to several different topics enriched with 175 exercises which focus on real-world problems. Exercises range from the classics of probability theory to more exotic research-oriented problems based on numerical simulations. Intended for graduate students in mathematics and applied sciences, the text provides the tools and training needed to write and use programs for research purposes. The first part of the text begins with a brief review of measure theory and revisits the main concepts of probability theory, from random variables to the standard limit theorems. The second part covers traditional material on stochastic processes, including martingales, discrete-time Markov chains, Poisson processes, and continuous-time Markov chains. The theory developed is illustrated by a variety of examples surrounding applications such as the ...

  6. Stochastic Still Water Response Model

    Friis-Hansen, Peter; Ditlevsen, Ove Dalager

    2002-01-01

    In this study a stochastic field model for the still water loading is formulated where the statistics (mean value, standard deviation, and correlation) of the sectional forces are obtained by integration of the load field over the relevant part of the ship structure. The objective of the model is...... out that an important parameter of the stochastic cargo field model is the mean number of containers delivered by each customer.......In this study a stochastic field model for the still water loading is formulated where the statistics (mean value, standard deviation, and correlation) of the sectional forces are obtained by integration of the load field over the relevant part of the ship structure. The objective of the model...... is to establish the stochastic load field conditional on a given draft and trim of the vessel. The model contributes to a realistic modelling of the stochastic load processes to be used in a reliability evaluation of the ship hull. Emphasis is given to container vessels. The formulation of the model for obtaining...

  7. Stochastic quantization of Einstein gravity

    Rumpf, H.

    1986-01-01

    We determine a one-parameter family of covariant Langevin equations for the metric tensor of general relativity corresponding to DeWitt's one-parameter family of supermetrics. The stochastic source term in these equations can be expressed in terms of a Gaussian white noise upon the introduction of a stochastic tetrad field. The only physically acceptable resolution of a mathematical ambiguity in the ansatz for the source term is the adoption of Ito's calculus. By taking the formal equilibrium limit of the stochastic metric a one-parameter family of covariant path-integral measures for general relativity is obtained. There is a unique parameter value, distinguished by any one of the following three properties: (i) the metric is harmonic with respect to the supermetric, (ii) the path-integral measure is that of DeWitt, (iii) the supermetric governs the linearized Einstein dynamics. Moreover the Feynman propagator corresponding to this parameter is causal. Finally we show that a consistent stochastic perturbation theory gives rise to a new type of diagram containing ''stochastic vertices.''

  8. The fermion stochastic calculus I

    Streater, R.F.

    1984-01-01

    The author describes the stochastic calculus of quantum processes with fermions. After a description of the Clifford algebra as the csup(*)-algebra generated by spinor fields the damped harmonic oscillator with quantum noise is considered as example. Then the Clifford process is described. Finally the Ito-Clifford integral and the Ito-Clifford isometry are presented. (HSI)

  9. An integrated production inventory model of deteriorating items subject to random machine breakdown with a stochastic repair time

    Huynh Trung Luong

    2016-11-01

    Full Text Available In a continuous manufacturing environment where production and consumption occur simultaneously, one of the biggest challenges is the efficient management of production and inventory system. In order to manage the integrated production inventory system economically it is necessary to identify the optimal production time and the optimal production reorder point that either maximize the profit or minimize the cost. In addition, during production the process has to go through some natural phenomena like random breakdown of machine, deterioration of product over time, uncertainty in repair time that eventually create the possibility of shortage. In this situation, efficient management of inventory & production is crucial. This paper addresses the situation where a perishable (deteriorated product is manufactured and consumed simultaneously, the demand of this product is stable over the time, machine that produce the product also face random failure and the time to repair this machine is also uncertain. In order to describe this scenario more appropriately, the continuously reviewed Economic Production Quantity (EPQ model is considered in this research work. The main goal is to identify the optimal production uptime and the production reorder point that ultimately minimize the expected value of total cost consisting of machine setup, deterioration, inventory holding, shortage and corrective maintenance cost.

  10. Method for nonlinear exponential regression analysis

    Junkin, B. G.

    1972-01-01

    Two computer programs developed according to two general types of exponential models for conducting nonlinear exponential regression analysis are described. Least squares procedure is used in which the nonlinear problem is linearized by expanding in a Taylor series. Program is written in FORTRAN 5 for the Univac 1108 computer.

  11. Multivariate Marshall and Olkin Exponential Minification Process ...

    A stationary bivariate minification process with bivariate Marshall-Olkin exponential distribution that was earlier studied by Miroslav et al [15]is in this paper extended to multivariate minification process with multivariate Marshall and Olkin exponential distribution as its stationary marginal distribution. The innovation and the ...

  12. On Uniform Exponential Trichotomy in Banach Spaces

    Kovacs Monteola Ilona

    2014-06-01

    Full Text Available In this paper we consider three concepts of uniform exponential trichotomy on the half-line in the general framework of evolution operators in Banach spaces. We obtain a systematic classification of uniform exponential trichotomy concepts and the connections between them.

  13. Dual exponential polynomials and linear differential equations

    Wen, Zhi-Tao; Gundersen, Gary G.; Heittokangas, Janne

    2018-01-01

    We study linear differential equations with exponential polynomial coefficients, where exactly one coefficient is of order greater than all the others. The main result shows that a nontrivial exponential polynomial solution of such an equation has a certain dual relationship with the maximum order coefficient. Several examples illustrate our results and exhibit possibilities that can occur.

  14. Does proton decay follow the exponential law

    Sanchez-Gomez, J.L.; Alvarez-Estrada, R.F.; Fernandez, L.A.

    1984-01-01

    In this paper, we discuss the exponential law for proton decay. By using a simple model based upon SU(5)GUT and the current theories of hadron structure, we explicitely show that the corrections to the Wigner-Weisskopf approximation are quite negligible for present day protons, so that their eventual decay should follow the exponential law. Previous works are critically analyzed. (orig.)

  15. STOCHASTIC FLOWS OF MAPPINGS

    2007-01-01

    In this paper, the stochastic flow of mappings generated by a Feller convolution semigroup on a compact metric space is studied. This kind of flow is the generalization of superprocesses of stochastic flows and stochastic diffeomorphism induced by the strong solutions of stochastic differential equations.

  16. Estimation of exponential convergence rate and exponential stability for neural networks with time-varying delay

    Tu Fenghua; Liao Xiaofeng

    2005-01-01

    We study the problem of estimating the exponential convergence rate and exponential stability for neural networks with time-varying delay. Some criteria for exponential stability are derived by using the linear matrix inequality (LMI) approach. They are less conservative than the existing ones. Some analytical methods are employed to investigate the bounds on the interconnection matrix and activation functions so that the systems are exponentially stable

  17. Exponential time-dependent perturbation theory in rotationally inelastic scattering

    Cross, R.J.

    1983-01-01

    An exponential form of time-dependent perturbation theory (the Magnus approximation) is developed for rotationally inelastic scattering. A phase-shift matrix is calculated as an integral in time over the anisotropic part of the potential. The trajectory used for this integral is specified by the diagonal part of the potential matrix and the arithmetic average of the initial and final velocities and the average orbital angular momentum. The exponential of the phase-shift matrix gives the scattering matrix and the various cross sections. A special representation is used where the orbital angular momentum is either treated classically or may be frozen out to yield the orbital sudden approximation. Calculations on Ar+N 2 and Ar+TIF show that the theory generally gives very good agreement with accurate calculations, even where the orbital sudden approximation (coupled-states) results are seriously in error

  18. CONSISTENCY UNDER SAMPLING OF EXPONENTIAL RANDOM GRAPH MODELS.

    Shalizi, Cosma Rohilla; Rinaldo, Alessandro

    2013-04-01

    The growing availability of network data and of scientific interest in distributed systems has led to the rapid development of statistical models of network structure. Typically, however, these are models for the entire network, while the data consists only of a sampled sub-network. Parameters for the whole network, which is what is of interest, are estimated by applying the model to the sub-network. This assumes that the model is consistent under sampling , or, in terms of the theory of stochastic processes, that it defines a projective family. Focusing on the popular class of exponential random graph models (ERGMs), we show that this apparently trivial condition is in fact violated by many popular and scientifically appealing models, and that satisfying it drastically limits ERGM's expressive power. These results are actually special cases of more general results about exponential families of dependent random variables, which we also prove. Using such results, we offer easily checked conditions for the consistency of maximum likelihood estimation in ERGMs, and discuss some possible constructive responses.

  19. Stochastic and infinite dimensional analysis

    Carpio-Bernido, Maria; Grothaus, Martin; Kuna, Tobias; Oliveira, Maria; Silva, José

    2016-01-01

    This volume presents a collection of papers covering applications from a wide range of systems with infinitely many degrees of freedom studied using techniques from stochastic and infinite dimensional analysis, e.g. Feynman path integrals, the statistical mechanics of polymer chains, complex networks, and quantum field theory. Systems of infinitely many degrees of freedom create their particular mathematical challenges which have been addressed by different mathematical theories, namely in the theories of stochastic processes, Malliavin calculus, and especially white noise analysis. These proceedings are inspired by a conference held on the occasion of Prof. Ludwig Streit’s 75th birthday and celebrate his pioneering and ongoing work in these fields.

  20. Mutant number distribution in an exponentially growing population

    Keller, Peter; Antal, Tibor

    2015-01-01

    We present an explicit solution to a classic model of cell-population growth introduced by Luria and Delbrück (1943 Genetics 28 491-511) 70 years ago to study the emergence of mutations in bacterial populations. In this model a wild-type population is assumed to grow exponentially in a deterministic fashion. Proportional to the wild-type population size, mutants arrive randomly and initiate new sub-populations of mutants that grow stochastically according to a supercritical birth and death process. We give an exact expression for the generating function of the total number of mutants at a given wild-type population size. We present a simple expression for the probability of finding no mutants, and a recursion formula for the probability of finding a given number of mutants. In the ‘large population-small mutation’ limit we recover recent results of Kessler and Levine (2014 J. Stat. Phys. doi:10.1007/s10955-014-1143-3) for a fully stochastic version of the process.

  1. Mutant number distribution in an exponentially growing population

    Keller, Peter; Antal, Tibor

    2015-01-01

    We present an explicit solution to a classic model of cell-population growth introduced by Luria and Delbrück (1943 Genetics 28 491–511) 70 years ago to study the emergence of mutations in bacterial populations. In this model a wild-type population is assumed to grow exponentially in a deterministic fashion. Proportional to the wild-type population size, mutants arrive randomly and initiate new sub-populations of mutants that grow stochastically according to a supercritical birth and death process. We give an exact expression for the generating function of the total number of mutants at a given wild-type population size. We present a simple expression for the probability of finding no mutants, and a recursion formula for the probability of finding a given number of mutants. In the ‘large population-small mutation’ limit we recover recent results of Kessler and Levine (2014 J. Stat. Phys. doi:10.1007/s10955-014-1143-3) for a fully stochastic version of the process. (paper)

  2. Exponential functionals of Brownian motion, I: Probability laws at fixed time

    Matsumoto, Hiroyuki; Yor, Marc

    2005-01-01

    This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.

  3. A nanostructured surface increases friction exponentially at the solid-gas interface

    Phani, Arindam; Putkaradze, Vakhtang; Hawk, John E.; Prashanthi, Kovur; Thundat, Thomas

    2016-09-01

    According to Stokes’ law, a moving solid surface experiences viscous drag that is linearly related to its velocity and the viscosity of the medium. The viscous interactions result in dissipation that is known to scale as the square root of the kinematic viscosity times the density of the gas. We observed that when an oscillating surface is modified with nanostructures, the experimentally measured dissipation shows an exponential dependence on kinematic viscosity. The surface nanostructures alter solid-gas interplay greatly, amplifying the dissipation response exponentially for even minute variations in viscosity. Nanostructured resonator thus allows discrimination of otherwise narrow range of gaseous viscosity making dissipation an ideal parameter for analysis of a gaseous media. We attribute the observed exponential enhancement to the stochastic nature of interactions of many coupled nanostructures with the gas media.

  4. A nanostructured surface increases friction exponentially at the solid-gas interface.

    Phani, Arindam; Putkaradze, Vakhtang; Hawk, John E; Prashanthi, Kovur; Thundat, Thomas

    2016-09-06

    According to Stokes' law, a moving solid surface experiences viscous drag that is linearly related to its velocity and the viscosity of the medium. The viscous interactions result in dissipation that is known to scale as the square root of the kinematic viscosity times the density of the gas. We observed that when an oscillating surface is modified with nanostructures, the experimentally measured dissipation shows an exponential dependence on kinematic viscosity. The surface nanostructures alter solid-gas interplay greatly, amplifying the dissipation response exponentially for even minute variations in viscosity. Nanostructured resonator thus allows discrimination of otherwise narrow range of gaseous viscosity making dissipation an ideal parameter for analysis of a gaseous media. We attribute the observed exponential enhancement to the stochastic nature of interactions of many coupled nanostructures with the gas media.

  5. Stochastic quantization of general relativity

    Rumpf, H.

    1986-01-01

    Following an elementary exposition of the basic mathematical concepts used in the theory of stochastic relaxation processes the stochastic quantization method of Parisi and Wu is briefly reviewed. The method is applied to Einstein's theory of gravitation using a formalism that is manifestly covariant with respect to field redefinitions. This requires the adoption of Ito's calculus and the introduction of a metric in field configuration space, for which there is a unique candidate. Due to the indefiniteness of the Euclidean Einstein-Hilbert action stochastic quantization is generalized to the pseudo-Riemannian case. It is formally shown to imply the DeWitt path integral measure. Finally a new type of perturbation theory is developed. (Author)

  6. Exponential Stability of Switched Positive Homogeneous Systems

    Dadong Tian

    2017-01-01

    Full Text Available This paper studies the exponential stability of switched positive nonlinear systems defined by cooperative and homogeneous vector fields. In order to capture the decay rate of such systems, we first consider the subsystems. A sufficient condition for exponential stability of subsystems with time-varying delays is derived. In particular, for the corresponding delay-free systems, we prove that this sufficient condition is also necessary. Then, we present a sufficient condition of exponential stability under minimum dwell time switching for the switched positive nonlinear systems. Some results in the previous literature are extended. Finally, a numerical example is given to demonstrate the effectiveness of the obtained results.

  7. Exponential Frequency Spectrum in Magnetized Plasmas

    Pace, D. C.; Shi, M.; Maggs, J. E.; Morales, G. J.; Carter, T. A.

    2008-01-01

    Measurements of a magnetized plasma with a controlled electron temperature gradient show the development of a broadband spectrum of density and temperature fluctuations having an exponential frequency dependence at frequencies below the ion cyclotron frequency. The origin of the exponential frequency behavior is traced to temporal pulses of Lorentzian shape. Similar exponential frequency spectra are also found in limiter-edge plasma turbulence associated with blob transport. This finding suggests a universal feature of magnetized plasma turbulence leading to nondiffusive, cross-field transport, namely, the presence of Lorentzian shaped pulses

  8. Matrix-exponential description of radiative transfer

    Waterman, P.C.

    1981-01-01

    By appling the matrix-exponential operator technique to the radiative-transfer equation in discrete form, new analytical solutions are obtained for the transmission and reflection matrices in the limiting cases x >1, where x is the optical depth of the layer. Orthongonality of the eigenvectors of the matrix exponential apparently yields new conditions for determining. Chandrasekhar's characteristic roots. The exact law of reflection for the discrete eigenfunctions is also obtained. Finally, when used in conjuction with the doubling method, the matrix exponential should result in reduction in both computation time and loss of precision

  9. Stochastic quantization and topological theories

    Fainberg, V.Y.; Subbotin, A.V.; Kuznetsov, A.N.

    1992-01-01

    In the last two years topological quantum field theories (TQFT) have attached much attention. This paper reports that from the very beginning it was realized that due to a peculiar BRST-like symmetry these models admitted so-called Nicolai mapping: the Nicolai variables, in terms of which actions of the theories become gaussian, are nothing but (anti-) selfduality conditions or their generalizations. This fact became a starting point in the quest of possible stochastic interpretation to topological field theories. The reasons behind were quite simple and included, in particular, the well-known relations between stochastic processes and supersymmetry. The main goal would have been achieved, if it were possible to construct stochastic processes governed by Langevin or Fokker-Planck equations in a real Euclidean time leading to TQFT's path integrals (equivalently: to reformulate TQFTs as non-equilibrium phase dynamics of stochastic processes). Further on, if it would appear that these processes correspond to the stochastic quantization of theories of some definite kind, one could expect (d + 1)-dimensional TQFTs to share some common properties with d-dimensional ones

  10. STABILITY OF SOME KIND OF STOCHASTIC DIFFERENTIAL EQUATION

    2011-01-01

    In this paper,a kind of stochastic differential equation is investigated and the almost sure exponential stability of the equation is obtained using Gronwall's inequality.Further,we also give other noise intensity function to keep the stability of the system.

  11. CSL model checking of deterministic and stochastic Petri nets

    Martinez Verdugo, J.M.; Haverkort, Boudewijn R.H.M.; German, R.; Heindl, A.

    2006-01-01

    Deterministic and Stochastic Petri Nets (DSPNs) are a widely used high-level formalism for modeling discrete-event systems where events may occur either without consuming time, after a deterministic time, or after an exponentially distributed time. The underlying process dened by DSPNs, under

  12. Stochastic resonance

    Wellens, Thomas; Shatokhin, Vyacheslav; Buchleitner, Andreas

    2004-01-01

    We are taught by conventional wisdom that the transmission and detection of signals is hindered by noise. However, during the last two decades, the paradigm of stochastic resonance (SR) proved this assertion wrong: indeed, addition of the appropriate amount of noise can boost a signal and hence facilitate its detection in a noisy environment. Due to its simplicity and robustness, SR has been implemented by mother nature on almost every scale, thus attracting interdisciplinary interest from physicists, geologists, engineers, biologists and medical doctors, who nowadays use it as an instrument for their specific purposes. At the present time, there exist a lot of diversified models of SR. Taking into account the progress achieved in both theoretical understanding and practical application of this phenomenon, we put the focus of the present review not on discussing in depth technical details of different models and approaches but rather on presenting a general and clear physical picture of SR on a pedagogical level. Particular emphasis will be given to the implementation of SR in generic quantum systems-an issue that has received limited attention in earlier review papers on the topic. The major part of our presentation relies on the two-state model of SR (or on simple variants thereof), which is general enough to exhibit the main features of SR and, in fact, covers many (if not most) of the examples of SR published so far. In order to highlight the diversity of the two-state model, we shall discuss several examples from such different fields as condensed matter, nonlinear and quantum optics and biophysics. Finally, we also discuss some situations that go beyond the generic SR scenario but are still characterized by a constructive role of noise

  13. Stochastic biomathematical models with applications to neuronal modeling

    Batzel, Jerry; Ditlevsen, Susanne

    2013-01-01

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

  14. Modular invariance and stochastic quantization

    Ordonez, C.R.; Rubin, M.A.; Zwanziger, D.

    1989-01-01

    In Polyakov path integrals and covariant closed-string field theory, integration over Teichmueller parameters must be restricted by hand to a single modular region. This problem has an analog in Yang-Mills gauge theory---namely, the Gribov problem, which can be resolved by the method of stochastic gauge fixing. This method is here employed to quantize a simple modular-invariant system: the Polyakov point particle. In the limit of a large gauge-fixing force, it is shown that suitable choices for the functional form of the gauge-fixing force can lead to a restriction of Teichmueller integration to a single modular region. Modifications which arise when applying stochastic quantization to a system in which the volume of the orbits of the gauge group depends on a dynamical variable, such as a Teichmueller parameter, are pointed out, and the extension to Polyakov strings and covariant closed-string field theory is discussed

  15. On the formation of exponential discs

    Yoshii, Yuzuru; Sommer-Larsen, Jesper

    1989-01-01

    Spiral galaxy discs are characterized by approximately exponential surface luminosity profiles. In this paper the evolutionary equations for a star-forming, viscous disc are solved analytically or semi-analytically. It is shown that approximately exponential stellar surface density profiles result if the viscous time-scale t ν is comparable to the star-formation time scale t * everywhere in the disc. The analytical solutions are used to illuminate further on the issue of why the above mechanism leads to resulting exponential stellar profiles under certain conditions. The sensitivity of the solution to variations of various parameters are investigated and show that the initial gas surface density distribution has to be fairly regular in order that final exponential stellar surface density profiles result. (author)

  16. Exponential attractors for a nonclassical diffusion equation

    Qiaozhen Ma

    2009-01-01

    Full Text Available In this article, we prove the existence of exponential attractors for a nonclassical diffusion equation in ${H^{2}(Omega}cap{H}^{1}_{0}(Omega$ when the space dimension is less than 4.

  17. Central limit theorem and deformed exponentials

    Vignat, C; Plastino, A

    2007-01-01

    The central limit theorem (CLT) can be ranked among the most important ones in probability theory and statistics and plays an essential role in several basic and applied disciplines, notably in statistical thermodynamics. We show that there exists a natural extension of the CLT from exponentials to so-called deformed exponentials (also denoted as q-Gaussians). Our proposal applies exactly in the usual conditions in which the classical CLT is used. (fast track communication)

  18. Sampling from the normal and exponential distributions

    Chaplin, K.R.; Wills, C.A.

    1982-01-01

    Methods for generating random numbers from the normal and exponential distributions are described. These involve dividing each function into subregions, and for each of these developing a method of sampling usually based on an acceptance rejection technique. When sampling from the normal or exponential distribution, each subregion provides the required random value with probability equal to the ratio of its area to the total area. Procedures written in FORTRAN for the CYBER 175/CDC 6600 system are provided to implement the two algorithms

  19. Integrating stochastic age-structured population dynamics into complex fisheries economic models for management evaluations: the North Sea saithe fishery as a case study

    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

  20. Stochastic differential equations and diffusion processes

    Ikeda, N

    1989-01-01

    Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. Sectio

  1. Stochastic interaction between TAE and alpha particles

    Krlin, L.; Pavlo, P.; Malijevsky, I.

    1996-01-01

    The interaction of toroidicity-induced Alfven eigenmodes with thermonuclear alpha particles in the intrinsic stochasticity regime was investigated based on the numerical integration of the equation of motion of alpha particles in the tokamak. The first results obtained for the ITER parameters and moderate wave amplitudes indicate that the stochasticity is highest in the trapped/passing boundary region, where the alpha particles jump stochastically between the two regimes with an appreciable radial excursion (about 0.5 m amplitudes). A similar chaotic behavior was also found for substantially lower energies (about 350 keV). 7 figs., 15 refs

  2. Implicit and fully implicit exponential finite difference methods

    Burgers' equation; exponential finite difference method; implicit exponential finite difference method; ... This paper describes two new techniques which give improved exponential finite difference solutions of Burgers' equation. ... Current Issue

  3. Stochastic geometry in PRIZMA code

    Malyshkin, G. N.; Kashaeva, E. A.; Mukhamadiev, R. F.

    2007-01-01

    The paper describes a method used to simulate radiation transport through random media - randomly placed grains in a matrix material. The method models the medium consequently from one grain crossed by particle trajectory to another. Like in the Limited Chord Length Sampling (LCLS) method, particles in grains are tracked in the actual grain geometry, but unlike LCLS, the medium is modeled using only Matrix Chord Length Sampling (MCLS) from the exponential distribution and it is not necessary to know the grain chord length distribution. This helped us extend the method to media with randomly oriented arbitrarily shaped convex grains. Other extensions include multicomponent media - grains of several sorts, and polydisperse media - grains of different sizes. Sort and size distributions of crossed grains were obtained and an algorithm was developed for sampling grain orientations and positions. Special consideration was given to medium modeling at the boundary of the stochastic region. The method was implemented in the universal 3D Monte Carlo code PRIZMA. The paper provides calculated results for a model problem where we determine volume fractions of modeled components crossed by particle trajectories. It also demonstrates the use of biased sampling techniques implemented in PRIZMA for solving a problem of deep penetration in model random media. Described are calculations for the spectral response of a capacitor dose detector whose anode was modeled with account for its stochastic structure. (authors)

  4. Applied stochastic modelling

    Morgan, Byron JT; Tanner, Martin Abba; Carlin, Bradley P

    2008-01-01

    Introduction and Examples Introduction Examples of data sets Basic Model Fitting Introduction Maximum-likelihood estimation for a geometric model Maximum-likelihood for the beta-geometric model Modelling polyspermy Which model? What is a model for? Mechanistic models Function Optimisation Introduction MATLAB: graphs and finite differences Deterministic search methods Stochastic search methods Accuracy and a hybrid approach Basic Likelihood ToolsIntroduction Estimating standard errors and correlations Looking at surfaces: profile log-likelihoods Confidence regions from profiles Hypothesis testing in model selectionScore and Wald tests Classical goodness of fit Model selection biasGeneral Principles Introduction Parameterisation Parameter redundancy Boundary estimates Regression and influence The EM algorithm Alternative methods of model fitting Non-regular problemsSimulation Techniques Introduction Simulating random variables Integral estimation Verification Monte Carlo inference Estimating sampling distributi...

  5. Stochastic synchronization in finite size spiking networks

    Doiron, Brent; Rinzel, John; Reyes, Alex

    2006-09-01

    We study a stochastic synchronization of spiking activity in feedforward networks of integrate-and-fire model neurons. A stochastic mean field analysis shows that synchronization occurs only when the network size is sufficiently small. This gives evidence that the dynamics, and hence processing, of finite size populations can be drastically different from that observed in the infinite size limit. Our results agree with experimentally observed synchrony in cortical networks, and further strengthen the link between synchrony and propagation in cortical systems.

  6. Foundations of infinitesimal stochastic analysis

    Stroyan, KD

    2011-01-01

    This book gives a complete and elementary account of fundamental results on hyperfinite measures and their application to stochastic processes, including the *-finite Stieltjes sum approximation of martingale integrals. Many detailed examples, not found in the literature, are included. It begins with a brief chapter on tools from logic and infinitesimal (or non-standard) analysis so that the material is accessible to beginning graduate students.

  7. The technological singularity and exponential medicine

    Iraj Nabipour

    2016-01-01

    Full Text Available The "technological singularity" is forecasted to occur in 2045. It is a point when non-biological intelligence becomes more intelligent than humans and each generation of intelligent machines re-designs itself smarter. Beyond this point, there is a symbiosis between machines and humans. This co-existence will produce incredible impacts on medicine that its sparkles could be seen in healthcare industry and the future medicine since 2025. Ray Kurzweil, the great futurist, suggested that three revolutions in science and technology consisting genetic and molecular science, nanotechnology, and robotic (artificial intelligence provided an exponential growth rate for medicine. The "exponential medicine" is going to create more disruptive technologies in healthcare industry. The exponential medicine shifts the paradigm of medical philosophy and produces significant impacts on the healthcare system and patient-physician relationship.   

  8. ESTIMATION ACCURACY OF EXPONENTIAL DISTRIBUTION PARAMETERS

    muhammad zahid rashid

    2011-04-01

    Full Text Available The exponential distribution is commonly used to model the behavior of units that have a constant failure rate. The two-parameter exponential distribution provides a simple but nevertheless useful model for the analysis of lifetimes, especially when investigating reliability of technical equipment.This paper is concerned with estimation of parameters of the two parameter (location and scale exponential distribution. We used the least squares method (LSM, relative least squares method (RELS, ridge regression method (RR,  moment estimators (ME, modified moment estimators (MME, maximum likelihood estimators (MLE and modified maximum likelihood estimators (MMLE. We used the mean square error MSE, and total deviation TD, as measurement for the comparison between these methods. We determined the best method for estimation using different values for the parameters and different sample sizes

  9. The Asymptotic Behaviour of a Stochastic 3D LANS-α Model

    Caraballo, Tomas; Marquez-Duran, Antonio M.; Real, Jose

    2006-01-01

    The long-time behaviour of a stochastic 3D LANS-α model on a bounded domain is analysed. First, we reformulate the model as an abstract problem. Next, we establish sufficient conditions ensuring the existence of stationary (steady state) solutions of this abstract nonlinear stochastic evolution equation, and study the stability properties of the model. Finally, we analyse the effects produced by stochastic perturbations in the deterministic version of the system (persistence of exponential stability as well as possible stabilisation effects produced by the noise). The general results are applied to our stochastic LANS-α system throughout the paper

  10. Globally exponential stability of neural network with constant and variable delays

    Zhao Weirui; Zhang Huanshui

    2006-01-01

    This Letter presents new sufficient conditions of globally exponential stability of neural networks with delays. We show that these results generalize recently published globally exponential stability results. In particular, several different globally exponential stability conditions in the literatures which were proved using different Lyapunov functionals are generalized and unified by using the same Lyapunov functional and the technique of inequality of integral. A comparison between our results and the previous results admits that our results establish a new set of stability criteria for delayed neural networks. Those conditions are less restrictive than those given in the earlier references

  11. Liver fibrosis: stretched exponential model outperforms mono-exponential and bi-exponential models of diffusion-weighted MRI.

    Seo, Nieun; Chung, Yong Eun; Park, Yung Nyun; Kim, Eunju; Hwang, Jinwoo; Kim, Myeong-Jin

    2018-07-01

    To compare the ability of diffusion-weighted imaging (DWI) parameters acquired from three different models for the diagnosis of hepatic fibrosis (HF). Ninety-five patients underwent DWI using nine b values at 3 T magnetic resonance. The hepatic apparent diffusion coefficient (ADC) from a mono-exponential model, the true diffusion coefficient (D t ), pseudo-diffusion coefficient (D p ) and perfusion fraction (f) from a biexponential model, and the distributed diffusion coefficient (DDC) and intravoxel heterogeneity index (α) from a stretched exponential model were compared with the pathological HF stage. For the stretched exponential model, parameters were also obtained using a dataset of six b values (DDC # , α # ). The diagnostic performances of the parameters for HF staging were evaluated with Obuchowski measures and receiver operating characteristics (ROC) analysis. The measurement variability of DWI parameters was evaluated using the coefficient of variation (CoV). Diagnostic accuracy for HF staging was highest for DDC # (Obuchowski measures, 0.770 ± 0.03), and it was significantly higher than that of ADC (0.597 ± 0.05, p bi-exponential DWI model • Acquisition of six b values is sufficient to obtain accurate DDC and α.

  12. Quantum Zeno effect for exponentially decaying systems

    Koshino, Kazuki; Shimizu, Akira

    2004-01-01

    The quantum Zeno effect - suppression of decay by frequent measurements - was believed to occur only when the response of the detector is so quick that the initial tiny deviation from the exponential decay law is detectable. However, we show that it can occur even for exactly exponentially decaying systems, for which this condition is never satisfied, by considering a realistic case where the detector has a finite energy band of detection. The conventional theories correspond to the limit of an infinite bandwidth. This implies that the Zeno effect occurs more widely than expected thus far

  13. Calorimeter prediction based on multiple exponentials

    Smith, M.K.; Bracken, D.S.

    2002-01-01

    Calorimetry allows very precise measurements of nuclear material to be carried out, but it also requires relatively long measurement times to do so. The ability to accurately predict the equilibrium response of a calorimeter would significantly reduce the amount of time required for calorimetric assays. An algorithm has been developed that is effective at predicting the equilibrium response. This multi-exponential prediction algorithm is based on an iterative technique using commercial fitting routines that fit a constant plus a variable number of exponential terms to calorimeter data. Details of the implementation and the results of trials on a large number of calorimeter data sets will be presented

  14. Exponential Growth of Nonlinear Ballooning Instability

    Zhu, P.; Hegna, C. C.; Sovinec, C. R.

    2009-01-01

    Recent ideal magnetohydrodynamic (MHD) theory predicts that a perturbation evolving from a linear ballooning instability will continue to grow exponentially in the intermediate nonlinear phase at the same linear growth rate. This prediction is confirmed in ideal MHD simulations. When the Lagrangian compression, a measure of the ballooning nonlinearity, becomes of the order of unity, the intermediate nonlinear phase is entered, during which the maximum plasma displacement amplitude as well as the total kinetic energy continues to grow exponentially at the rate of the corresponding linear phase.

  15. Exponential Operators, Dobinski Relations and Summability

    Blasiak, P; Gawron, A; Horzela, A; Penson, K A; Solomon, A I

    2006-01-01

    We investigate properties of exponential operators preserving the particle number using combinatorial methods developed in order to solve the boson normal ordering problem. In particular, we apply generalized Dobinski relations and methods of multivariate Bell polynomials which enable us to understand the meaning of perturbation-like expansions of exponential operators. Such expansions, obtained as formal power series, are everywhere divergent but the Pade summation method is shown to give results which very well agree with exact solutions got for simplified quantum models of the one mode bosonic systems

  16. Exponentially tapered Josephson flux-flow oscillator

    Benabdallah, A.; Caputo, J. G.; Scott, Alwyn C.

    1996-01-01

    We introduce an exponentially tapered Josephson flux-flow oscillator that is tuned by applying a bias current to the larger end of the junction. Numerical and analytical studies show that above a threshold level of bias current the static solution becomes unstable and gives rise to a train...... of fluxons moving toward the unbiased smaller end, as in the standard flux-flow oscillator. An exponentially shaped junction provides several advantages over a rectangular junction including: (i) smaller linewidth, (ii) increased output power, (iii) no trapped flux because of the type of current injection...

  17. Exponential Data Fitting and its Applications

    Pereyra, Victor

    2010-01-01

    Real and complex exponential data fitting is an important activity in many different areas of science and engineering, ranging from Nuclear Magnetic Resonance Spectroscopy and Lattice Quantum Chromodynamics to Electrical and Chemical Engineering, Vision and Robotics. The most commonly used norm in the approximation by linear combinations of exponentials is the l2 norm (sum of squares of residuals), in which case one obtains a nonlinear separable least squares problem. A number of different methods have been proposed through the years to solve these types of problems and new applications appear

  18. An Exponential Growth Learning Trajectory: Students' Emerging Understanding of Exponential Growth through Covariation

    Ellis, Amy B.; Ozgur, Zekiye; Kulow, Torrey; Dogan, Muhammed F.; Amidon, Joel

    2016-01-01

    This article presents an Exponential Growth Learning Trajectory (EGLT), a trajectory identifying and characterizing middle grade students' initial and developing understanding of exponential growth as a result of an instructional emphasis on covariation. The EGLT explicates students' thinking and learning over time in relation to a set of tasks…

  19. Quantum stochastic calculus associated with quadratic quantum noises

    Ji, Un Cig; Sinha, Kalyan B.

    2016-01-01

    We first study a class of fundamental quantum stochastic processes induced by the generators of a six dimensional non-solvable Lie †-algebra consisting of all linear combinations of the generalized Gross Laplacian and its adjoint, annihilation operator, creation operator, conservation, and time, and then we study the quantum stochastic integrals associated with the class of fundamental quantum stochastic processes, and the quantum Itô formula is revisited. The existence and uniqueness of solution of a quantum stochastic differential equation is proved. The unitarity conditions of solutions of quantum stochastic differential equations associated with the fundamental processes are examined. The quantum stochastic calculus extends the Hudson-Parthasarathy quantum stochastic calculus

  20. Quantum stochastic calculus associated with quadratic quantum noises

    Ji, Un Cig, E-mail: uncigji@chungbuk.ac.kr [Department of Mathematics, Research Institute of Mathematical Finance, Chungbuk National University, Cheongju, Chungbuk 28644 (Korea, Republic of); Sinha, Kalyan B., E-mail: kbs-jaya@yahoo.co.in [Jawaharlal Nehru Centre for Advanced Scientific Research, Jakkur, Bangalore-64, India and Department of Mathematics, Indian Institute of Science, Bangalore-12 (India)

    2016-02-15

    We first study a class of fundamental quantum stochastic processes induced by the generators of a six dimensional non-solvable Lie †-algebra consisting of all linear combinations of the generalized Gross Laplacian and its adjoint, annihilation operator, creation operator, conservation, and time, and then we study the quantum stochastic integrals associated with the class of fundamental quantum stochastic processes, and the quantum Itô formula is revisited. The existence and uniqueness of solution of a quantum stochastic differential equation is proved. The unitarity conditions of solutions of quantum stochastic differential equations associated with the fundamental processes are examined. The quantum stochastic calculus extends the Hudson-Parthasarathy quantum stochastic calculus.

  1. Well-posedness and exponential stability for a wave equation with nonlocal time-delay condition

    Carlos Alberto Raposo

    2017-11-01

    Full Text Available Well-posedness and exponential stability of nonlocal time-delayed of a wave equation with a integral conditions of the 1st kind forms the center of this work. Through semigroup theory we prove the well-posedness by the Hille-Yosida theorem and the exponential stability exploring the dissipative properties of the linear operator associated to damped model using the Gearhart-Huang-Pruss theorem.

  2. Reactor parameters and constants determination by using measurements in subcritical and exponential assembly

    Voi, Dante Luiz; Santos Bastos, Wilma dos

    1995-01-01

    Subcritical and exponential experiments are important for Reactor Physics integral parameter determinations both to validate and confirm theoretical models for reactor calculations. An exponential and subcritical facility has been constructed to be used on the internal thermal column of the Argonauta reactor at IEN-CNEN- Rio de Janeiro. An experimental research program has been developed for the determination of fundamental reactor constants as buckling, migration areas, resonance escape probabilities, thermal utilization, fast fission and fuel eta factors. (author) 23 refs

  3. Stochastic resonance a mathematical approach in the small noise limit

    Herrmann, Samuel; Pavlyukevich, Ilya; Peithmann, Dierk

    2013-01-01

    Stochastic resonance is a phenomenon arising in a wide spectrum of areas in the sciences ranging from physics through neuroscience to chemistry and biology. This book presents a mathematical approach to stochastic resonance which is based on a large deviations principle (LDP) for randomly perturbed dynamical systems with a weak inhomogeneity given by an exogenous periodicity of small frequency. Resonance, the optimal tuning between period length and noise amplitude, is explained by optimizing the LDP's rate function. The authors show that not all physical measures of tuning quality are robust with respect to dimension reduction. They propose measures of tuning quality based on exponential transition rates explained by large deviations techniques and show that these measures are robust. The book sheds some light on the shortcomings and strengths of different concepts used in the theory and applications of stochastic resonance without attempting to give a comprehensive overview of the many facets of stochastic ...

  4. Exponential synchronization of delayed neutral-type neural networks with Lévy noise under non-Lipschitz condition

    Ma, Shuo; Kang, Yanmei

    2018-04-01

    In this paper, the exponential synchronization of stochastic neutral-type neural networks with time-varying delay and Lévy noise under non-Lipschitz condition is investigated for the first time. Using the general Itô's formula and the nonnegative semi-martingale convergence theorem, we derive general sufficient conditions of two kinds of exponential synchronization for the drive system and the response system with adaptive control. Numerical examples are presented to verify the effectiveness of the proposed criteria.

  5. When economic growth is less than exponential

    Groth, Christian; Koch, Karl-Josef; Steger, Thomas

    2010-01-01

    This paper argues that growth theory needs a more general notion of "regularity" than that of exponential growth. We suggest that paths along which the rate of decline of the growth rate is proportional to the growth rate itself deserve attention. This opens up for considering a richer set...

  6. When Economic Growth is Less than Exponential

    Groth, Christian; Koch, Karl-Josef; Steger, Thomas M.

    This paper argues that growth theory needs a more general notion of "regularity" than that of exponential growth. We suggest that paths along which the rate of decline of the growth rate is proportional to the growth rate itself deserve attention. This opens up for considering a richer set...

  7. Students' Understanding of Exponential and Logarithmic Functions.

    Weber, Keith

    Exponential, and logarithmic functions are pivotal mathematical concepts that play central roles in advanced mathematics. Unfortunately, these are also concepts that give students serious difficulty. This report describe a theory of how students acquire an understanding of these functions by prescribing a set of mental constructions that a student…

  8. Intersection of the Exponential and Logarithmic Curves

    Boukas, Andreas; Valahas, Theodoros

    2009-01-01

    The study of the number of intersection points of y = a[superscript x] and y = log[subscript a]x can be an interesting topic to present in a single-variable calculus class. In this article, the authors present a classroom presentation outline involving the basic algebra and the elementary calculus of the exponential and logarithmic functions. The…

  9. The evolution of stellar exponential discs

    Ferguson, AMN; Clarke, CJ

    2001-01-01

    Models of disc galaxies which invoke viscosity-driven radial flows have long been known to provide a natural explanation for the origin of stellar exponential discs, under the assumption that the star formation and viscous time-scales are comparable. We present models which invoke simultaneous star

  10. Chapter 3: The analysis of exponential experiments

    Brown, G.; Moore, P.F.G.; Richmond, R.

    1963-01-01

    A description is given of the methods used by the BICEP group for the analysis of exponential experiments on graphite-moderated natural uranium lattices. These differ in some respects from the methods formerly employed at A.E.R.E. and have resulted in a reduction by a factor of four in the time taken to carry out and analyse an experiment. (author)

  11. Exponential Lower Bounds For Policy Iteration

    Fearnley, John

    2010-01-01

    We study policy iteration for infinite-horizon Markov decision processes. It has recently been shown policy iteration style algorithms have exponential lower bounds in a two player game setting. We extend these lower bounds to Markov decision processes with the total reward and average-reward optimality criteria.

  12. Exponential rate of convergence in current reservoirs

    De Masi, Anna; Presutti, Errico; Tsagkarogiannis, Dimitrios; Vares, Maria Eulalia

    2015-01-01

    In this paper, we consider a family of interacting particle systems on $[-N,N]$ that arises as a natural model for current reservoirs and Fick's law. We study the exponential rate of convergence to the stationary measure, which we prove to be of the order $N^{-2}$.

  13. Stochastic Optimization of Wind Turbine Power Factor Using Stochastic Model of Wind Power

    Chen, Peiyuan; Siano, Pierluigi; Bak-Jensen, Birgitte

    2010-01-01

    This paper proposes a stochastic optimization algorithm that aims to minimize the expectation of the system power losses by controlling wind turbine (WT) power factors. This objective of the optimization is subject to the probability constraints of bus voltage and line current requirements....... The optimization algorithm utilizes the stochastic models of wind power generation (WPG) and load demand to take into account their stochastic variation. The stochastic model of WPG is developed on the basis of a limited autoregressive integrated moving average (LARIMA) model by introducing a crosscorrelation...... structure to the LARIMA model. The proposed stochastic optimization is carried out on a 69-bus distribution system. Simulation results confirm that, under various combinations of WPG and load demand, the system power losses are considerably reduced with the optimal setting of WT power factor as compared...

  14. Stochastic global optimization as a filtering problem

    Stinis, Panos

    2012-01-01

    We present a reformulation of stochastic global optimization as a filtering problem. The motivation behind this reformulation comes from the fact that for many optimization problems we cannot evaluate exactly the objective function to be optimized. Similarly, we may not be able to evaluate exactly the functions involved in iterative optimization algorithms. For example, we may only have access to noisy measurements of the functions or statistical estimates provided through Monte Carlo sampling. This makes iterative optimization algorithms behave like stochastic maps. Naive global optimization amounts to evolving a collection of realizations of this stochastic map and picking the realization with the best properties. This motivates the use of filtering techniques to allow focusing on realizations that are more promising than others. In particular, we present a filtering reformulation of global optimization in terms of a special case of sequential importance sampling methods called particle filters. The increasing popularity of particle filters is based on the simplicity of their implementation and their flexibility. We utilize the flexibility of particle filters to construct a stochastic global optimization algorithm which can converge to the optimal solution appreciably faster than naive global optimization. Several examples of parametric exponential density estimation are provided to demonstrate the efficiency of the approach.

  15. Exponential and Bessel fitting methods for the numerical solution of the Schroedinger equation

    Raptis, A.D.; Cash, J.R.

    1987-01-01

    A new method is developed for the numerical integration of the one dimensional radial Schroedinger equation. This method involves using different integration formulae in different parts of the range of integration rather than using the same integration formula throughout. Two new integration formulae are derived, one which integrates Bessel and Neumann functions exactly and another which exactly integrates certain exponential functions. It is shown that, for large r, these new formulae are much more accurate than standard integration methods for the Schroedinger equation. The benefit of using this new approach is demonstrated by considering some numerical examples based on the Lennard-Jones potential. (orig.)

  16. Elitism and Stochastic Dominance

    Bazen, Stephen; Moyes, Patrick

    2011-01-01

    Stochastic dominance has typically been used with a special emphasis on risk and inequality reduction something captured by the concavity of the utility function in the expected utility model. We claim that the applicability of the stochastic dominance approach goes far beyond risk and inequality measurement provided suitable adpations be made. We apply in the paper the stochastic dominance approach to the measurment of elitism which may be considered the opposite of egalitarianism. While the...

  17. Fourier analysis and stochastic processes

    Brémaud, Pierre

    2014-01-01

    This work is unique as it provides a uniform treatment of the Fourier theories of functions (Fourier transforms and series, z-transforms), finite measures (characteristic functions, convergence in distribution), and stochastic processes (including arma series and point processes). It emphasises the links between these three themes. The chapter on the Fourier theory of point processes and signals structured by point processes is a novel addition to the literature on Fourier analysis of stochastic processes. It also connects the theory with recent lines of research such as biological spike signals and ultrawide-band communications. Although the treatment is mathematically rigorous, the convivial style makes the book accessible to a large audience. In particular, it will be interesting to anyone working in electrical engineering and communications, biology (point process signals) and econometrics (arma models). A careful review of the prerequisites (integration and probability theory in the appendix, Hilbert spa...

  18. The dynamics of stochastic processes

    Basse-O'Connor, Andreas

    In the present thesis the dynamics of stochastic processes is studied with a special attention to the semimartingale property. This is mainly motivated by the fact that semimartingales provide the class of the processes for which it is possible to define a reasonable stochastic calculus due...... to the Bichteler-Dellacherie Theorem. The semimartingale property of Gaussian processes is characterized in terms of their covariance function, spectral measure and spectral representation. In addition, representation and expansion of filtration results are provided as well. Special attention is given to moving...... average processes, and when the driving process is a Lévy or a chaos process the semimartingale property is characterized in the filtration spanned by the driving process and in the natural filtration when the latter is a Brownian motion. To obtain some of the above results an integrability of seminorm...

  19. Singular stochastic differential equations

    Cherny, Alexander S

    2005-01-01

    The authors introduce, in this research monograph on stochastic differential equations, a class of points termed isolated singular points. Stochastic differential equations possessing such points (called singular stochastic differential equations here) arise often in theory and in applications. However, known conditions for the existence and uniqueness of a solution typically fail for such equations. The book concentrates on the study of the existence, the uniqueness, and, what is most important, on the qualitative behaviour of solutions of singular stochastic differential equations. This is done by providing a qualitative classification of isolated singular points, into 48 possible types.

  20. Statistical estimation for truncated exponential families

    Akahira, Masafumi

    2017-01-01

    This book presents new findings on nonregular statistical estimation. Unlike other books on this topic, its major emphasis is on helping readers understand the meaning and implications of both regularity and irregularity through a certain family of distributions. In particular, it focuses on a truncated exponential family of distributions with a natural parameter and truncation parameter as a typical nonregular family. This focus includes the (truncated) Pareto distribution, which is widely used in various fields such as finance, physics, hydrology, geology, astronomy, and other disciplines. The family is essential in that it links both regular and nonregular distributions, as it becomes a regular exponential family if the truncation parameter is known. The emphasis is on presenting new results on the maximum likelihood estimation of a natural parameter or truncation parameter if one of them is a nuisance parameter. In order to obtain more information on the truncation, the Bayesian approach is also considere...

  1. Exponentiated Lomax Geometric Distribution: Properties and Applications

    Amal Soliman Hassan

    2017-09-01

    Full Text Available In this paper, a new four-parameter lifetime distribution, called the exponentiated Lomax geometric (ELG is introduced. The new lifetime distribution contains the Lomax geometric and exponentiated Pareto geometric as new sub-models. Explicit algebraic formulas of probability density function, survival and hazard functions are derived. Various structural properties of the new model are derived including; quantile function, Re'nyi entropy, moments, probability weighted moments, order statistic, Lorenz and Bonferroni curves. The estimation of the model parameters is performed by maximum likelihood method and inference for a large sample is discussed. The flexibility and potentiality of the new model in comparison with some other distributions are shown via an application to a real data set. We hope that the new model will be an adequate model for applications in various studies.

  2. Harmonic analysis on exponential solvable Lie groups

    Fujiwara, Hidenori

    2015-01-01

    This book is the first one that brings together recent results on the harmonic analysis of exponential solvable Lie groups. There still are many interesting open problems, and the book contributes to the future progress of this research field. As well, various related topics are presented to motivate young researchers. The orbit method invented by Kirillov is applied to study basic problems in the analysis on exponential solvable Lie groups. This method tells us that the unitary dual of these groups is realized as the space of their coadjoint orbits. This fact is established using the Mackey theory for induced representations, and that mechanism is explained first. One of the fundamental problems in the representation theory is the irreducible decomposition of induced or restricted representations. Therefore, these decompositions are studied in detail before proceeding to various related problems: the multiplicity formula, Plancherel formulas, intertwining operators, Frobenius reciprocity, and associated alge...

  3. Exponential Stabilization of an Underactuated Surface Vessel

    Kristin Y. Pettersen

    1997-07-01

    Full Text Available The paper shows that a large class of underactuated vehicles cannot be asymptotically stabilized by either continuous or discontinuous state feedback. Furthermore, stabilization of an underactuated surface vessel is considered. Controllability properties of the surface vessels is presented, and a continuous periodic time-varying feedback law is proposed. It is shown that this feedback law exponentially stabilizes the surface vessel to the origin, and this is illustrated by simulations.

  4. Financing exponential growth at H3

    Silva, João Ricardo Ferreira Hipolito da

    2012-01-01

    H3 is a fast-food chain that introduced the concept of gourmet hamburgers in the Portuguese market. This case-study illustrates its financing strategy that supported an exponential growth represented by opening 33 restaurants within approximately 3 years of its inception. H3 is now faced with the challenge of structuring its foreign ventures and change its financial approach. The main covered topics are the options an entrepreneur has for financing a new venture and how it evolves along th...

  5. Exponentially Light Dark Matter from Coannihilation

    D'Agnolo, Raffaele Tito; Mondino, Cristina; Ruderman, Joshua T.; Wang, Po-Jen

    2018-01-01

    Dark matter may be a thermal relic whose abundance is set by mutual annihilations among multiple species. Traditionally, this coannihilation scenario has been applied to weak scale dark matter that is highly degenerate with other states. We show that coannihilation among states with split masses points to dark matter that is exponentially lighter than the weak scale, down to the keV scale. We highlight the regime where dark matter does not participate in the annihilations that dilute its numb...

  6. The rigorous stochastic matrix multiplication scheme for the calculations of reduced equilibrium density matrices of open multilevel quantum systems

    Chen, Xin

    2014-01-01

    Understanding the roles of the temporary and spatial structures of quantum functional noise in open multilevel quantum molecular systems attracts a lot of theoretical interests. I want to establish a rigorous and general framework for functional quantum noises from the constructive and computational perspectives, i.e., how to generate the random trajectories to reproduce the kernel and path ordering of the influence functional with effective Monte Carlo methods for arbitrary spectral densities. This construction approach aims to unify the existing stochastic models to rigorously describe the temporary and spatial structure of Gaussian quantum noises. In this paper, I review the Euclidean imaginary time influence functional and propose the stochastic matrix multiplication scheme to calculate reduced equilibrium density matrices (REDM). In addition, I review and discuss the Feynman-Vernon influence functional according to the Gaussian quadratic integral, particularly its imaginary part which is critical to the rigorous description of the quantum detailed balance. As a result, I establish the conditions under which the influence functional can be interpreted as the average of exponential functional operator over real-valued Gaussian processes for open multilevel quantum systems. I also show the difference between the local and nonlocal phonons within this framework. With the stochastic matrix multiplication scheme, I compare the normalized REDM with the Boltzmann equilibrium distribution for open multilevel quantum systems

  7. Heterogeneous dipolar theory of the exponential pile

    Mastrangelo, P.V.

    1981-01-01

    We present a heterogeneous theory of the exponential pile, closely related to NORDHEIM-SCALETTAR's. It is well adapted to lattice whose pitch is relatively large (D-2O, grahpite) and the dimensions of whose channels are not negligible. The anisotropy of neutron diffusion is taken into account by the introduction of dipolar parameters. We express the contribution of each channel to the total flux in the moderator by means of multipolar coefficients. In order to be able to apply conditions of continuity between the flux and their derivatives, on the side of the moderator, we develop in a Fourier series the fluxes found at the periphery of each channel. Using Wronski's relations of Bessel's functions, we express the multipolar coefficients of the surfaces of each channel, on the side of the moderator, by means of the harmonics of each flux and their derivatives. We retain only monopolar (A 0 sub(g)) and dipolar (A 1 sub(g)) coefficients; those of a higher order are ignored. We deduce from these coefficients the systems of homogeneous equations of the exponential pile with monopoles on their own and monopoles plus dipoles. It should be noted that the systems of homogeneous equations of the critical pile are contained in those of the exponential pile. In another article, we develop the calculation of monopolar and dipolar heterogeneous parameters. (orig.)

  8. Unwrapped phase inversion with an exponential damping

    Choi, Yun Seok

    2015-07-28

    Full-waveform inversion (FWI) suffers from the phase wrapping (cycle skipping) problem when the frequency of data is not low enough. Unless we obtain a good initial velocity model, the phase wrapping problem in FWI causes a result corresponding to a local minimum, usually far away from the true solution, especially at depth. Thus, we have developed an inversion algorithm based on a space-domain unwrapped phase, and we also used exponential damping to mitigate the nonlinearity associated with the reflections. We construct the 2D phase residual map, which usually contains the wrapping discontinuities, especially if the model is complex and the frequency is high. We then unwrap the phase map and remove these cycle-based jumps. However, if the phase map has several residues, the unwrapping process becomes very complicated. We apply a strong exponential damping to the wavefield to eliminate much of the residues in the phase map, thus making the unwrapping process simple. We finally invert the unwrapped phases using the back-propagation algorithm to calculate the gradient. We progressively reduce the damping factor to obtain a high-resolution image. Numerical examples determined that the unwrapped phase inversion with a strong exponential damping generated convergent long-wavelength updates without low-frequency information. This model can be used as a good starting model for a subsequent inversion with a reduced damping, eventually leading to conventional waveform inversion.

  9. Stability of numerical method for semi-linear stochastic pantograph differential equations

    Yu Zhang

    2016-01-01

    Full Text Available Abstract As a particular expression of stochastic delay differential equations, stochastic pantograph differential equations have been widely used in nonlinear dynamics, quantum mechanics, and electrodynamics. In this paper, we mainly study the stability of analytical solutions and numerical solutions of semi-linear stochastic pantograph differential equations. Some suitable conditions for the mean-square stability of an analytical solution are obtained. Then we proved the general mean-square stability of the exponential Euler method for a numerical solution of semi-linear stochastic pantograph differential equations, that is, if an analytical solution is stable, then the exponential Euler method applied to the system is mean-square stable for arbitrary step-size h > 0 $h>0$ . Numerical examples further illustrate the obtained theoretical results.

  10. Distributed Consensus of Stochastic Delayed Multi-agent Systems Under Asynchronous Switching.

    Wu, Xiaotai; Tang, Yang; Cao, Jinde; Zhang, Wenbing

    2016-08-01

    In this paper, the distributed exponential consensus of stochastic delayed multi-agent systems with nonlinear dynamics is investigated under asynchronous switching. The asynchronous switching considered here is to account for the time of identifying the active modes of multi-agent systems. After receipt of confirmation of mode's switching, the matched controller can be applied, which means that the switching time of the matched controller in each node usually lags behind that of system switching. In order to handle the coexistence of switched signals and stochastic disturbances, a comparison principle of stochastic switched delayed systems is first proved. By means of this extended comparison principle, several easy to verified conditions for the existence of an asynchronously switched distributed controller are derived such that stochastic delayed multi-agent systems with asynchronous switching and nonlinear dynamics can achieve global exponential consensus. Two examples are given to illustrate the effectiveness of the proposed method.

  11. Predicting population extinction or disease outbreaks with stochastic models

    Linda J. S. Allen

    2017-01-01

    Full Text Available Models of exponential growth, logistic growth and epidemics are common applications in undergraduate differential equation courses. The corresponding stochastic models are not part of these courses, although when population sizes are small their behaviour is often more realistic and distinctly different from deterministic models. For example, the randomness associated with births and deaths may lead to population extinction even in an exponentially growing population. Some background in continuous-time Markov chains and applications to populations, epidemics and cancer are presented with a goal to introduce this topic into the undergraduate mathematics curriculum that will encourage further investigation into problems on conservation, infectious diseases and cancer therapy. MATLAB programs for graphing sample paths of stochastic models are provided in the Appendix.

  12. Stochastic analytic regularization

    Alfaro, J.

    1984-07-01

    Stochastic regularization is reexamined, pointing out a restriction on its use due to a new type of divergence which is not present in the unregulated theory. Furthermore, we introduce a new form of stochastic regularization which permits the use of a minimal subtraction scheme to define the renormalized Green functions. (author)

  13. Instantaneous stochastic perturbation theory

    Lüscher, Martin

    2015-01-01

    A form of stochastic perturbation theory is described, where the representative stochastic fields are generated instantaneously rather than through a Markov process. The correctness of the procedure is established to all orders of the expansion and for a wide class of field theories that includes all common formulations of lattice QCD.

  14. Stochastic climate theory

    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

  15. On Stochastic Dependence

    Meyer, Joerg M.

    2018-01-01

    The contrary of stochastic independence splits up into two cases: pairs of events being favourable or being unfavourable. Examples show that both notions have quite unexpected properties, some of them being opposite to intuition. For example, transitivity does not hold. Stochastic dependence is also useful to explain cases of Simpson's paradox.

  16. Quantum stochastic calculus and representations of Lie superalgebras

    Eyre, Timothy M W

    1998-01-01

    This book describes the representations of Lie superalgebras that are yielded by a graded version of Hudson-Parthasarathy quantum stochastic calculus. Quantum stochastic calculus and grading theory are given concise introductions, extending readership to mathematicians and physicists with a basic knowledge of algebra and infinite-dimensional Hilbert spaces. The develpment of an explicit formula for the chaotic expansion of a polynomial of quantum stochastic integrals is particularly interesting. The book aims to provide a self-contained exposition of what is known about Z_2-graded quantum stochastic calculus and to provide a framework for future research into this new and fertile area.

  17. Renormalization in the stochastic quantization of field theories

    Brunelli, J.C.

    1991-01-01

    In the stochastic quantization scheme of Parisi and Wu the renormalization of the stochastic theory of some models in field theory is studied. Following the path integral approach for stochastic process the 1/N expansion of the non linear sigma model is performed and, using a Ward identity obtained, from a BRS symmetry of the effective action of this formulation. It is shown the renormalizability of the model. Using the Langevin approach for stochastic process the renormalizability of the massive Thirring model is studied showing perturbatively the vanishing of the renormalization group's beta functions at finite fictitious time. (author)

  18. Improved result on stability analysis of discrete stochastic neural networks with time delay

    Wu Zhengguang; Su Hongye; Chu Jian; Zhou Wuneng

    2009-01-01

    This Letter investigates the problem of exponential stability for discrete stochastic time-delay neural networks. By defining a novel Lyapunov functional, an improved delay-dependent exponential stability criterion is established in terms of linear matrix inequality (LMI) approach. Meanwhile, the computational complexity of the newly established stability condition is reduced because less variables are involved. Numerical example is given to illustrate the effectiveness and the benefits of the proposed method.

  19. Stochastic quantization and gravity

    Rumpf, H.

    1984-01-01

    We give a preliminary account of the application of stochastic quantization to the gravitational field. We start in Section I from Nelson's formulation of quantum mechanics as Newtonian stochastic mechanics and only then introduce the Parisi-Wu stochastic quantization scheme on which all the later discussion will be based. In Section II we present a generalization of the scheme that is applicable to fields in physical (i.e. Lorentzian) space-time and treat the free linearized gravitational field in this manner. The most remarkable result of this is the noncausal propagation of conformal gravitons. Moreover the concept of stochastic gauge-fixing is introduced and a complete discussion of all the covariant gauges is given. A special symmetry relating two classes of covariant gauges is exhibited. Finally Section III contains some preliminary remarks on full nonlinear gravity. In particular we argue that in contrast to gauge fields the stochastic gravitational field cannot be transformed to a Gaussian process. (Author)

  20. Stochastic neuron models

    Greenwood, Priscilla E

    2016-01-01

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

  1. Evaluating the role of soil variability on groundwater pollution and recharge at regional scale by integrating a process-based vadose zone model in a stochastic approach

    Coppola, Antonio; Comegna, Alessandro; Dragonetti, Giovanna; Lamaddalena, Nicola; Zdruli, Pandi

    2013-04-01

    modelling approaches have been developed at small space scales. Their extension to the applicative macroscale of the regional model is not a simple task mainly because of the heterogeneity of vadose zone properties, as well as of non-linearity of hydrological processes. Besides, one of the problems when applying distributed models is that spatial and temporal scales for data to be used as input in the models vary on a wide range of scales and are not always consistent with the model structure. Under these conditions, a strictly deterministic response to questions about the fate of a pollutant in the soil is impossible. At best, one may answer "this is the average behaviour within this uncertainty band". Consequently, the extension of these equations to account for regional-scale processes requires the uncertainties of the outputs be taken into account if the pollution vulnerability maps that may be drawn are to be used as agricultural management tools. A map generated without a corresponding map of associated uncertainties has no real utility. The stochastic stream tube approach is a frequently used to the water flux and solute transport through the vadose zone at applicative scales. This approach considers the field soil as an ensemble of parallel and statistically independent tubes, assuming only vertical flow. The stream tubes approach is generally used in a probabilistic framework. Each stream tube defines local flow properties that are assumed to vary randomly between the different stream tubes. Thus, the approach allows average water and solute behaviour be described, along with the associated uncertainty bands. These stream tubes are usually considered to have parameters that are vertically homogeneous. This would be justified by the large difference between the horizontal and vertical extent of the spatial applicative scale. Vertical is generally overlooked. Obviously, all the model outputs are conditioned by this assumption. The latter, in turn, is more dictated by

  2. Weighted Littlewood-Paley theory and exponential-square integrability

    Wilson, Michael

    2008-01-01

    Littlewood-Paley theory is an essential tool of Fourier analysis, with applications and connections to PDEs, signal processing, and probability. It extends some of the benefits of orthogonality to situations where orthogonality doesn’t really make sense. It does so by letting us control certain oscillatory infinite series of functions in terms of infinite series of non-negative functions. Beginning in the 1980s, it was discovered that this control could be made much sharper than was previously suspected. The present book tries to give a gentle, well-motivated introduction to those discoveries, the methods behind them, their consequences, and some of their applications.

  3. Molecular integrals for exponential-type orbitals using hyperspherical harmonics

    Avery, James Emil; Avery, John Scales

    2015-01-01

    -dimensional hypersphere. Using this projection, Fock was able to show that the Fourier transforms of Coulomb Sturmian basis functions are very simply related to four-dimensional hyperspherical harmonics.With the help of Fock's relationships and the theory of hyperspherical harmonics we are able to evaluate molecular...

  4. A combined stochastic programming and optimal control approach to personal finance and pensions

    Konicz, Agnieszka Karolina; Pisinger, David; Rasmussen, Kourosh Marjani

    2015-01-01

    The paper presents a model that combines a dynamic programming (stochastic optimal control) approach and a multi-stage stochastic linear programming approach (SLP), integrated into one SLP formulation. Stochastic optimal control produces an optimal policy that is easy to understand and implement....

  5. Finite difference computing with exponential decay models

    Langtangen, Hans Petter

    2016-01-01

    This text provides a very simple, initial introduction to the complete scientific computing pipeline: models, discretization, algorithms, programming, verification, and visualization. The pedagogical strategy is to use one case study – an ordinary differential equation describing exponential decay processes – to illustrate fundamental concepts in mathematics and computer science. The book is easy to read and only requires a command of one-variable calculus and some very basic knowledge about computer programming. Contrary to similar texts on numerical methods and programming, this text has a much stronger focus on implementation and teaches testing and software engineering in particular. .

  6. Exponential expansion: galactic destiny or technological hubris?

    Finney, B. R.

    Is it our destiny to expand exponentially to populate the galaxy, or is such a vision but an extreme example of technological hubris? The overall record of human evolution and dispersion over the Earth can be cited to support the view that we are a uniquely expansionary and technological animal bound for the stars, yet an examination of the fate of individual migrations and exploratory initiatives raises doubts. Although it may be in keeping with our hubristic nature to predict ultimate galactic expansion, there is no way to specify how far expansionary urges may drive our spacefaring descendants.

  7. Progressive Exponential Clustering-Based Steganography

    Li Yue

    2010-01-01

    Full Text Available Cluster indexing-based steganography is an important branch of data-hiding techniques. Such schemes normally achieve good balance between high embedding capacity and low embedding distortion. However, most cluster indexing-based steganographic schemes utilise less efficient clustering algorithms for embedding data, which causes redundancy and leaves room for increasing the embedding capacity further. In this paper, a new clustering algorithm, called progressive exponential clustering (PEC, is applied to increase the embedding capacity by avoiding redundancy. Meanwhile, a cluster expansion algorithm is also developed in order to further increase the capacity without sacrificing imperceptibility.

  8. Exponentially Convergent Algorithms for Abstract Differential Equations

    Gavrilyuk, Ivan; Vasylyk, Vitalii

    2011-01-01

    This book presents new accurate and efficient exponentially convergent methods for abstract differential equations with unbounded operator coefficients in Banach space. These methods are highly relevant for the practical scientific computing since the equations under consideration can be seen as the meta-models of systems of ordinary differential equations (ODE) as well as the partial differential equations (PDEs) describing various applied problems. The framework of functional analysis allows one to obtain very general but at the same time transparent algorithms and mathematical results which

  9. Spherical Bessel transform via exponential sum approximation of spherical Bessel function

    Ikeno, Hidekazu

    2018-02-01

    A new algorithm for numerical evaluation of spherical Bessel transform is proposed in this paper. In this method, the spherical Bessel function is approximately represented as an exponential sum with complex parameters. This is obtained by expressing an integral representation of spherical Bessel function in complex plane, and discretizing contour integrals along steepest descent paths and a contour path parallel to real axis using numerical quadrature rule with the double-exponential transformation. The number of terms in the expression is reduced using the modified balanced truncation method. The residual part of integrand is also expanded by exponential functions using Prony-like method. The spherical Bessel transform can be evaluated analytically on arbitrary points in half-open interval.

  10. Blowing-up Semilinear Wave Equation with Exponential ...

    Blowing-up Semilinear Wave Equation with Exponential Nonlinearity in Two Space ... We investigate the initial value problem for some semi-linear wave equation in two space dimensions with exponential nonlinearity growth. ... Current Issue

  11. A stochastic model for quantum measurement

    Budiyono, Agung

    2013-01-01

    We develop a statistical model of microscopic stochastic deviation from classical mechanics based on a stochastic process with a transition probability that is assumed to be given by an exponential distribution of infinitesimal stationary action. We apply the statistical model to stochastically modify a classical mechanical model for the measurement of physical quantities reproducing the prediction of quantum mechanics. The system+apparatus always has a definite configuration at all times, as in classical mechanics, fluctuating randomly following a continuous trajectory. On the other hand, the wavefunction and quantum mechanical Hermitian operator corresponding to the physical quantity arise formally as artificial mathematical constructs. During a single measurement, the wavefunction of the whole system+apparatus evolves according to a Schrödinger equation and the configuration of the apparatus acts as the pointer of the measurement so that there is no wavefunction collapse. We will also show that while the outcome of each single measurement event does not reveal the actual value of the physical quantity prior to measurement, its average in an ensemble of identical measurements is equal to the average of the actual value of the physical quantity prior to measurement over the distribution of the configuration of the system. (paper)

  12. Stochastic inflation: Quantum phase-space approach

    Habib, S.

    1992-01-01

    In this paper a quantum-mechanical phase-space picture is constructed for coarse-grained free quantum fields in an inflationary universe. The appropriate stochastic quantum Liouville equation is derived. Explicit solutions for the phase-space quantum distribution function are found for the cases of power-law and exponential expansions. The expectation values of dynamical variables with respect to these solutions are compared to the corresponding cutoff regularized field-theoretic results (we do not restrict ourselves only to left-angle Φ 2 right-angle). Fair agreement is found provided the coarse-graining scale is kept within certain limits. By focusing on the full phase-space distribution function rather than a reduced distribution it is shown that the thermodynamic interpretation of the stochastic formalism faces several difficulties (e.g., there is no fluctuation-dissipation theorem). The coarse graining does not guarantee an automatic classical limit as quantum correlations turn out to be crucial in order to get results consistent with standard quantum field theory. Therefore, the method does not by itself constitute an explanation of the quantum to classical transition in the early Universe. In particular, we argue that the stochastic equations do not lead to decoherence

  13. Hyperbolic Cosine–Exponentiated Exponential Lifetime Distribution and its Application in Reliability

    Omid Kharazmi

    2017-02-01

    Full Text Available Recently, Kharazmi and Saadatinik (2016 introduced a new family of lifetime distributions called hyperbolic cosine – F (HCF distribution. In the present paper, it is focused on a special case of HCF family with exponentiated exponential distribution as a baseline distribution (HCEE. Various properties of the proposed distribution including explicit expressions for the moments, quantiles, mode, moment generating function, failure rate function, mean residual lifetime, order statistics and expression of the entropy are derived. Estimating parameters of HCEE distribution are obtained by eight estimation methods: maximum likelihood, Bayesian, maximum product of spacings, parametric bootstrap, non-parametric bootstrap, percentile, least-squares and weighted least-squares. A simulation study is conducted to examine the bias, mean square error of the maximum likelihood estimators. Finally, one real data set has been analyzed for illustrative purposes and it is observed that the proposed model fits better than Weibull, gamma and generalized exponential distributions.

  14. Topological superposition of abstractions of stochastic processes

    Bujorianu, L.M.; Bujorianu, M.C.

    2008-01-01

    In this paper, we present a sound integration mechanism for Markov processes that are abstractions of stochastic hybrid systems (SHS). In a previous work, we have defined a very general model of SHS and we proved that the realization of an SHS is a Markov process. Moreover, we have developed a

  15. Computational singular perturbation analysis of stochastic chemical systems with stiffness

    Wang, Lijin; Han, Xiaoying; Cao, Yanzhao; Najm, Habib N.

    2017-04-01

    Computational singular perturbation (CSP) is a useful method for analysis, reduction, and time integration of stiff ordinary differential equation systems. It has found dominant utility, in particular, in chemical reaction systems with a large range of time scales at continuum and deterministic level. On the other hand, CSP is not directly applicable to chemical reaction systems at micro or meso-scale, where stochasticity plays an non-negligible role and thus has to be taken into account. In this work we develop a novel stochastic computational singular perturbation (SCSP) analysis and time integration framework, and associated algorithm, that can be used to not only construct accurately and efficiently the numerical solutions to stiff stochastic chemical reaction systems, but also analyze the dynamics of the reduced stochastic reaction systems. The algorithm is illustrated by an application to a benchmark stochastic differential equation model, and numerical experiments are carried out to demonstrate the effectiveness of the construction.

  16. Sequential stochastic optimization

    Cairoli, Renzo

    1996-01-01

    Sequential Stochastic Optimization provides mathematicians and applied researchers with a well-developed framework in which stochastic optimization problems can be formulated and solved. Offering much material that is either new or has never before appeared in book form, it lucidly presents a unified theory of optimal stopping and optimal sequential control of stochastic processes. This book has been carefully organized so that little prior knowledge of the subject is assumed; its only prerequisites are a standard graduate course in probability theory and some familiarity with discrete-paramet

  17. Remarks on stochastic acceleration

    Graeff, P.

    1982-12-01

    Stochastic acceleration and turbulent diffusion are strong turbulence problems since no expansion parameter exists. Hence the problem of finding rigorous results is of major interest both for checking approximations and for reference models. Since we have found a way of constructing such models in the turbulent diffusion case the question of the extension to stochastic acceleration now arises. The paper offers some possibilities illustrated by the case of 'stochastic free fall' which may be particularly interesting in the context of linear response theory. (orig.)

  18. Exponential potentials, scaling solutions and inflation

    Wands, D.; Copeland, E.J.; Liddle, A.R.

    1993-01-01

    The goal of driving a period of rapid inflation in the early universe in a model motivated by grand unified theories has been given new life in recent years in the context of extended gravity theories. Extended inflation is one model based on a Brans-Dicke type gravity which can allow a very general first-order phase transition to complete by changing the expansion of the false vacuum dominated universe from an exponential to a power law expansion. This inflation is conformally equivalent to general relativity where the vacuum energy density is exponentially dependent upon a dilaton field. With this in mind, the authors consider in this paper the evolution of a scalar field σ with a potential V(σ) = V 0 exp(-λκ 1/2 σ) in a spatially flat (κ = 0) Friedmann-Robertson-Walker metric in the presence of a barotropic (P = (γ - 1)ρ) fluid. Here κ = 8πG, and λ is a dimensionless constant describing the steepness of the potential. It is well known that if the potential is sufficiently flat (λ small), the energy density of the scalar field dominated and the universe undergoes power law inflation. The behavior of fields with a steep potential seems to be less well known, although the results the authors present here are not new. 11 refs., 2 figs

  19. Exponential inflation with F (R ) gravity

    Oikonomou, V. K.

    2018-03-01

    In this paper, we shall consider an exponential inflationary model in the context of vacuum F (R ) gravity. By using well-known reconstruction techniques, we shall investigate which F (R ) gravity can realize the exponential inflation scenario at leading order in terms of the scalar curvature, and we shall calculate the slow-roll indices and the corresponding observational indices, in the context of slow-roll inflation. We also provide some general formulas of the slow-roll and the corresponding observational indices in terms of the e -foldings number. In addition, for the calculation of the slow-roll and of the observational indices, we shall consider quite general formulas, for which it is not necessary for the assumption that all the slow-roll indices are much smaller than unity to hold true. Finally, we investigate the phenomenological viability of the model by comparing it with the latest Planck and BICEP2/Keck-Array observational data. As we demonstrate, the model is compatible with the current observational data for a wide range of the free parameters of the model.

  20. Single-molecule stochastic times in a reversible bimolecular reaction

    Keller, Peter; Valleriani, Angelo

    2012-08-01

    In this work, we consider the reversible reaction between reactants of species A and B to form the product C. We consider this reaction as a prototype of many pseudobiomolecular reactions in biology, such as for instance molecular motors. We derive the exact probability density for the stochastic waiting time that a molecule of species A needs until the reaction with a molecule of species B takes place. We perform this computation taking fully into account the stochastic fluctuations in the number of molecules of species B. We show that at low numbers of participating molecules, the exact probability density differs from the exponential density derived by assuming the law of mass action. Finally, we discuss the condition of detailed balance in the exact stochastic and in the approximate treatment.

  1. Reformulation of a stochastic action principle for irregular dynamics

    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.

  2. Stochastic differential equations and a biological system

    Wang, Chunyan

    1994-01-01

    The purpose of this Ph.D. study is to explore the property of a growth process. The study includes solving and simulating of the growth process which is described in terms of stochastic differential equations. The identification of the growth and variability parameters of the process based...... on experimental data is considered. As an example, the growth of bacteria Pseudomonas fluorescens is taken. Due to the specific features of stochastic differential equations, namely that their solutions do not exist in the general sense, two new integrals - the Ito integral and the Stratonovich integral - have...... description. In order to identify the parameters, a Maximum likelihood estimation method is used together with a simplified truncated second order filter. Because of the continuity feature of the predictor equation, two numerical integration methods, called the Odeint and the Discretization method...

  3. Stochastic processes inference theory

    Rao, Malempati M

    2014-01-01

    This is the revised and enlarged 2nd edition of the authors’ original text, which was intended to be a modest complement to Grenander's fundamental memoir on stochastic processes and related inference theory. The present volume gives a substantial account of regression analysis, both for stochastic processes and measures, and includes recent material on Ridge regression with some unexpected applications, for example in econometrics. The first three chapters can be used for a quarter or semester graduate course on inference on stochastic processes. The remaining chapters provide more advanced material on stochastic analysis suitable for graduate seminars and discussions, leading to dissertation or research work. In general, the book will be of interest to researchers in probability theory, mathematical statistics and electrical and information theory.

  4. Stochastic coalgebraic logic

    Doberkat, Ernst-Erich

    2009-01-01

    Combining coalgebraic reasoning, stochastic systems and logic, this volume presents the principles of coalgebraic logic from a categorical perspective. Modal logics are also discussed, including probabilistic interpretations and an analysis of Kripke models.

  5. Neuro-Inspired Computing with Stochastic Electronics

    Naous, Rawan

    2016-01-06

    The extensive scaling and integration within electronic systems have set the standards for what is addressed to as stochastic electronics. The individual components are increasingly diverting away from their reliable behavior and producing un-deterministic outputs. This stochastic operation highly mimics the biological medium within the brain. Hence, building on the inherent variability, particularly within novel non-volatile memory technologies, paves the way for unconventional neuromorphic designs. Neuro-inspired networks with brain-like structures of neurons and synapses allow for computations and levels of learning for diverse recognition tasks and applications.

  6. 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.

  7. Stochastic stability of four-wheel-steering system

    Huang Dongwei; Wang Hongli; Zhu Zhiwen; Feng Zhang

    2007-01-01

    A four-wheel-steering system subjected to white noise excitations was reduced to a two-degree-of-freedom quasi-non-integrable-Hamiltonian system. Subsequently we obtained an one-dimensional Ito stochastic differential equation for the averaged Hamiltonian of the system by using the stochastic averaging method for quasi-non-integrable-Hamiltonian systems. Thus, the stochastic stability of four-wheel-steering system was analyzed by analyzing the sample behaviors of the averaged Hamiltonian at the boundary H = 0 and calculating its Lyapunov exponent. An example given at the end demonstrated that the conclusion obtained is of considerable significance

  8. Approximating Preemptive Stochastic Scheduling

    Megow Nicole; Vredeveld Tjark

    2009-01-01

    We present constant approximative policies for preemptive stochastic scheduling. We derive policies with a guaranteed performance ratio of 2 for scheduling jobs with release dates on identical parallel machines subject to minimizing the sum of weighted completion times. Our policies as well as their analysis apply also to the recently introduced more general model of stochastic online scheduling. The performance guarantee we give matches the best result known for the corresponding determinist...

  9. The stochastic goodwill problem

    Marinelli, Carlo

    2003-01-01

    Stochastic control problems related to optimal advertising under uncertainty are considered. In particular, we determine the optimal strategies for the problem of maximizing the utility of goodwill at launch time and minimizing the disutility of a stream of advertising costs that extends until the launch time for some classes of stochastic perturbations of the classical Nerlove-Arrow dynamics. We also consider some generalizations such as problems with constrained budget and with discretionar...

  10. BRST stochastic quantization

    Hueffel, H.

    1990-01-01

    After a brief review of the BRST formalism and of the Parisi-Wu stochastic quantization method we introduce the BRST stochastic quantization scheme. It allows the second quantization of constrained Hamiltonian systems in a manifestly gauge symmetry preserving way. The examples of the relativistic particle, the spinning particle and the bosonic string are worked out in detail. The paper is closed by a discussion on the interacting field theory associated to the relativistic point particle system. 58 refs. (Author)

  11. Extended q -Gaussian and q -exponential distributions from gamma random variables

    Budini, Adrián A.

    2015-05-01

    The family of q -Gaussian and q -exponential probability densities fit the statistical behavior of diverse complex self-similar nonequilibrium systems. These distributions, independently of the underlying dynamics, can rigorously be obtained by maximizing Tsallis "nonextensive" entropy under appropriate constraints, as well as from superstatistical models. In this paper we provide an alternative and complementary scheme for deriving these objects. We show that q -Gaussian and q -exponential random variables can always be expressed as a function of two statistically independent gamma random variables with the same scale parameter. Their shape index determines the complexity q parameter. This result also allows us to define an extended family of asymmetric q -Gaussian and modified q -exponential densities, which reduce to the standard ones when the shape parameters are the same. Furthermore, we demonstrate that a simple change of variables always allows relating any of these distributions with a beta stochastic variable. The extended distributions are applied in the statistical description of different complex dynamics such as log-return signals in financial markets and motion of point defects in a fluid flow.

  12. Exponential stability of delayed recurrent neural networks with Markovian jumping parameters

    Wang Zidong; Liu Yurong; Yu Li; Liu Xiaohui

    2006-01-01

    In this Letter, the global exponential stability analysis problem is considered for a class of recurrent neural networks (RNNs) with time delays and Markovian jumping parameters. The jumping parameters considered here are generated from a continuous-time discrete-state homogeneous Markov process, which are governed by a Markov process with discrete and finite state space. The purpose of the problem addressed is to derive some easy-to-test conditions such that the dynamics of the neural network is stochastically exponentially stable in the mean square, independent of the time delay. By employing a new Lyapunov-Krasovskii functional, a linear matrix inequality (LMI) approach is developed to establish the desired sufficient conditions, and therefore the global exponential stability in the mean square for the delayed RNNs can be easily checked by utilizing the numerically efficient Matlab LMI toolbox, and no tuning of parameters is required. A numerical example is exploited to show the usefulness of the derived LMI-based stability conditions

  13. Exponential decay and exponential recovery of modal gains in high count rate channel electron multipliers

    Hahn, S.F.; Burch, J.L.

    1980-01-01

    A series of data on high count rate channel electron multipliers revealed an initial drop and subsequent recovery of gains in exponential fashion. The FWHM of the pulse height distribution at the initial stage of testing can be used as a good criterion for the selection of operating bias voltage of the channel electron multiplier

  14. Exponential growth for self-reproduction in a catalytic reaction network: relevance of a minority molecular species and crowdedness

    Kamimura, Atsushi; Kaneko, Kunihiko

    2018-03-01

    Explanation of exponential growth in self-reproduction is an important step toward elucidation of the origins of life because optimization of the growth potential across rounds of selection is necessary for Darwinian evolution. To produce another copy with approximately the same composition, the exponential growth rates for all components have to be equal. How such balanced growth is achieved, however, is not a trivial question, because this kind of growth requires orchestrated replication of the components in stochastic and nonlinear catalytic reactions. By considering a mutually catalyzing reaction in two- and three-dimensional lattices, as represented by a cellular automaton model, we show that self-reproduction with exponential growth is possible only when the replication and degradation of one molecular species is much slower than those of the others, i.e., when there is a minority molecule. Here, the synergetic effect of molecular discreteness and crowding is necessary to produce the exponential growth. Otherwise, the growth curves show superexponential growth because of nonlinearity of the catalytic reactions or subexponential growth due to replication inhibition by overcrowding of molecules. Our study emphasizes that the minority molecular species in a catalytic reaction network is necessary for exponential growth at the primitive stage of life.

  15. An exponentiation method for XML element retrieval.

    Wichaiwong, Tanakorn

    2014-01-01

    XML document is now widely used for modelling and storing structured documents. The structure is very rich and carries important information about contents and their relationships, for example, e-Commerce. XML data-centric collections require query terms allowing users to specify constraints on the document structure; mapping structure queries and assigning the weight are significant for the set of possibly relevant documents with respect to structural conditions. In this paper, we present an extension to the MEXIR search system that supports the combination of structural and content queries in the form of content-and-structure queries, which we call the Exponentiation function. It has been shown the structural information improve the effectiveness of the search system up to 52.60% over the baseline BM25 at MAP.

  16. Poissonian renormalizations, exponentials, and power laws

    Eliazar, Iddo

    2013-05-01

    This paper presents a comprehensive “renormalization study” of Poisson processes governed by exponential and power-law intensities. These Poisson processes are of fundamental importance, as they constitute the very bedrock of the universal extreme-value laws of Gumbel, Fréchet, and Weibull. Applying the method of Poissonian renormalization we analyze the emergence of these Poisson processes, unveil their intrinsic dynamical structures, determine their domains of attraction, and characterize their structural phase transitions. These structural phase transitions are shown to be governed by uniform and harmonic intensities, to have universal domains of attraction, to uniquely display intrinsic invariance, and to be intimately connected to “white noise” and to “1/f noise.” Thus, we establish a Poissonian explanation to the omnipresence of white and 1/f noises.

  17. Poissonian renormalizations, exponentials, and power laws.

    Eliazar, Iddo

    2013-05-01

    This paper presents a comprehensive "renormalization study" of Poisson processes governed by exponential and power-law intensities. These Poisson processes are of fundamental importance, as they constitute the very bedrock of the universal extreme-value laws of Gumbel, Fréchet, and Weibull. Applying the method of Poissonian renormalization we analyze the emergence of these Poisson processes, unveil their intrinsic dynamical structures, determine their domains of attraction, and characterize their structural phase transitions. These structural phase transitions are shown to be governed by uniform and harmonic intensities, to have universal domains of attraction, to uniquely display intrinsic invariance, and to be intimately connected to "white noise" and to "1/f noise." Thus, we establish a Poissonian explanation to the omnipresence of white and 1/f noises.

  18. An exponential multireference wave-function Ansatz

    Hanrath, Michael

    2005-01-01

    An exponential multireference wave-function Ansatz is formulated. In accordance with the state universal coupled-cluster Ansatz of Jeziorski and Monkhorst [Phys. Rev. A 24, 1668 (1981)] the approach uses a reference specific cluster operator. In order to achieve state selectiveness the excitation- and reference-related amplitude indexing of the state universal Ansatz is replaced by an indexing which is based on excited determinants. There is no reference determinant playing a particular role. The approach is size consistent, coincides with traditional single-reference coupled cluster if applied to a single-reference, and converges to full configuration interaction with an increasing cluster operator excitation level. Initial applications on BeH 2 , CH 2 , Li 2 , and nH 2 are reported

  19. Transient accelerating scalar models with exponential potentials

    Cui Wen-Ping; Zhang Yang; Fu Zheng-Wen

    2013-01-01

    We study a known class of scalar dark energy models in which the potential has an exponential term and the current accelerating era is transient. We find that, although a decelerating era will return in the future, when extrapolating the model back to earlier stages (z ≳ 4), scalar dark energy becomes dominant over matter. So these models do not have the desired tracking behavior, and the predicted transient period of acceleration cannot be adopted into the standard scenario of the Big Bang cosmology. When couplings between the scalar field and matter are introduced, the models still have the same problem; only the time when deceleration returns will be varied. To achieve re-deceleration, one has to turn to alternative models that are consistent with the standard Big Bang scenario.

  20. An Exponentiation Method for XML Element Retrieval

    2014-01-01

    XML document is now widely used for modelling and storing structured documents. The structure is very rich and carries important information about contents and their relationships, for example, e-Commerce. XML data-centric collections require query terms allowing users to specify constraints on the document structure; mapping structure queries and assigning the weight are significant for the set of possibly relevant documents with respect to structural conditions. In this paper, we present an extension to the MEXIR search system that supports the combination of structural and content queries in the form of content-and-structure queries, which we call the Exponentiation function. It has been shown the structural information improve the effectiveness of the search system up to 52.60% over the baseline BM25 at MAP. PMID:24696643

  1. Cascade DNA nanomachine and exponential amplification biosensing.

    Xu, Jianguo; Wu, Zai-Sheng; Shen, Weiyu; Xu, Huo; Li, Hongling; Jia, Lee

    2015-11-15

    DNA is a versatile scaffold for the assembly of multifunctional nanostructures, and potential applications of various DNA nanodevices have been recently demonstrated for disease diagnosis and treatment. In the current study, a powerful cascade DNA nanomachine was developed that can execute the exponential amplification of p53 tumor suppressor gene. During the operation of the newly-proposed DNA nanomachine, dual-cyclical nucleic acid strand-displacement polymerization (dual-CNDP) was ingeniously introduced, where the target trigger is repeatedly used as the fuel molecule and the nicked fragments are dramatically accumulated. Moreover, each displaced nicked fragment is able to activate the another type of cyclical strand-displacement amplification, increasing exponentially the value of fluorescence intensity. Essentially, one target binding event can induce considerable number of subsequent reactions, and the nanodevice was called cascade DNA nanomachine. It can implement several functions, including recognition element, signaling probe, polymerization primer and template. Using the developed autonomous operation of DNA nanomachine, the p53 gene can be quantified in the wide concentration range from 0.05 to 150 nM with the detection limit of 50 pM. If taking into account the final volume of mixture, the detection limit is calculated as lower as 6.2 pM, achieving an desirable assay ability. More strikingly, the mutant gene can be easily distinguished from the wild-type one. The proof-of-concept demonstrations reported herein is expected to promote the development and application of DNA nanomachine, showing great potential value in basic biology and medical diagnosis. Copyright © 2015 Elsevier B.V. All rights reserved.

  2. Stochastic stability of mechanical systems under renewal jump process parametric excitation

    Iwankiewicz, R.; Nielsen, Søren R.K.; Larsen, Jesper Winther

    2005-01-01

    independent, negative exponential distributed variables; hence, the arrival process may be termed as a generalized Erlang renewal process. The excitation process is governed by the stochastic equation driven by two independent Poisson processes, with different parameters. If the response in a single mode...

  3. Diagram of collisional regimes for particle diffusion in a stochastic magnetic field

    Misguich, J.H.; Balescu, R.

    1995-01-01

    This document deals with static stochastic fields, where magnetic lines experience exponential separation and magnetic diffusion. It more particularly focuses on the diffusivity of collisional particles in such a fields and presents a general graph which describes most regimes of collisional and weakly collisional diffusion for guiding centers in a time-independent magnetic field. (TEC). 9 refs., 1 fig., 2 tabs

  4. GCSRL - A Logic for Stochastic Reward Models with Timed and Untimed Behaviour

    Kuntz, Matthias; Haverkort, Boudewijn R.; Cloth, L.

    In this paper we define the logic GCSRL (generalised continuous stochastic reward logic) that provides means to reason about systems that have states which sojourn times are either greater zero, in which case this sojourn time is exponentially distributed (tangible states), or zero (vanishing

  5. Convergence analysis of stochastic hybrid bidirectional associative memory neural networks with delays

    Wan Li; Zhou Qinghua

    2007-01-01

    The stability property of stochastic hybrid bidirectional associate memory (BAM) neural networks with discrete delays is considered. Without assuming the symmetry of synaptic connection weights and the monotonicity and differentiability of activation functions, the delay-independent sufficient conditions to guarantee the exponential stability of the equilibrium solution for such networks are given by using the nonnegative semimartingale convergence theorem

  6. Convergence analysis of stochastic hybrid bidirectional associative memory neural networks with delays

    Wan, Li; Zhou, Qinghua

    2007-10-01

    The stability property of stochastic hybrid bidirectional associate memory (BAM) neural networks with discrete delays is considered. Without assuming the symmetry of synaptic connection weights and the monotonicity and differentiability of activation functions, the delay-independent sufficient conditions to guarantee the exponential stability of the equilibrium solution for such networks are given by using the nonnegative semimartingale convergence theorem.

  7. Path integration quantization

    DeWitt-Morette, C.

    1983-01-01

    Much is expected of path integration as a quantization procedure. Much more is possible if one recognizes that path integration is at the crossroad of stochastic and differential calculus and uses the full power of both stochastic and differential calculus in setting up and computing path integrals. In contrast to differential calculus, stochastic calculus has only comparatively recently become an instrument of thought. It has nevertheless already been used in a variety of challenging problems, for instance in the quantization problem. The author presents some applications of the stochastic scheme. (Auth.)

  8. Transport in Stochastic Media

    Haran, O.; Shvarts, D.; Thieberger, R.

    1998-01-01

    Classical transport of neutral particles in a binary, scattering, stochastic media is discussed. It is assumed that the cross-sections of the constituent materials and their volume fractions are known. The inner structure of the media is stochastic, but there exist a statistical knowledge about the lump sizes, shapes and arrangement. The transmission through the composite media depends on the specific heterogeneous realization of the media. The current research focuses on the averaged transmission through an ensemble of realizations, frm which an effective cross-section for the media can be derived. The problem of one dimensional transport in stochastic media has been studied extensively [1]. In the one dimensional description of the problem, particles are transported along a line populated with alternating material segments of random lengths. The current work discusses transport in two-dimensional stochastic media. The phenomenon that is unique to the multi-dimensional description of the problem is obstacle bypassing. Obstacle bypassing tends to reduce the opacity of the media, thereby reducing its effective cross-section. The importance of this phenomenon depends on the manner in which the obstacles are arranged in the media. Results of transport simulations in multi-dimensional stochastic media are presented. Effective cross-sections derived from the simulations are compared against those obtained for the one-dimensional problem, and against those obtained from effective multi-dimensional models, which are partially based on a Markovian assumption

  9. Analytical Assessment for Transient Stability Under Stochastic Continuous Disturbances

    Ju, Ping [Hohai Univ., Nanjing (China); Li, Hongyu [Hohai Univ., Nanjing (China); Gan, Chun [The Univ. of Tennessee, Knoxville, TN (United States); Liu, Yong [The Univ. of Tennessee, Knoxville, TN (United States); Yu, Yiping [Hohai Univ., Nanjing (China); Liu, Yilu [Univ. of Tennessee, Knoxville, TN (United States)

    2017-06-28

    Here, with the growing integration of renewable power generation, plug-in electric vehicles, and other sources of uncertainty, increasing stochastic continuous disturbances are brought to power systems. The impact of stochastic continuous disturbances on power system transient stability attracts significant attention. To address this problem, this paper proposes an analytical assessment method for transient stability of multi-machine power systems under stochastic continuous disturbances. In the proposed method, a probability measure of transient stability is presented and analytically solved by stochastic averaging. Compared with the conventional method (Monte Carlo simulation), the proposed method is many orders of magnitude faster, which makes it very attractive in practice when many plans for transient stability must be compared or when transient stability must be analyzed quickly. Also, it is found that the evolution of system energy over time is almost a simple diffusion process by the proposed method, which explains the impact mechanism of stochastic continuous disturbances on transient stability in theory.

  10. Optimal control of stochastic difference Volterra equations an introduction

    Shaikhet, Leonid

    2015-01-01

    This book showcases a subclass of hereditary systems, that is, systems with behaviour depending not only on their current state but also on their past history; it is an introduction to the mathematical theory of optimal control for stochastic difference Volterra equations of neutral type. As such, it will be of much interest to researchers interested in modelling processes in physics, mechanics, automatic regulation, economics and finance, biology, sociology and medicine for all of which such equations are very popular tools. The text deals with problems of optimal control such as meeting given performance criteria, and stabilization, extending them to neutral stochastic difference Volterra equations. In particular, it contrasts the difference analogues of solutions to optimal control and optimal estimation problems for stochastic integral Volterra equations with optimal solutions for corresponding problems in stochastic difference Volterra equations. Optimal Control of Stochastic Difference Volterra Equation...

  11. The new Exponential Directional Iterative (EDI) 3-D Sn scheme for parallel adaptive differencing

    Sjoden, G.E.

    2005-01-01

    The new Exponential Directional Iterative (EDI) discrete ordinates (Sn) scheme for 3-D Cartesian Coordinates is presented. The EDI scheme is a logical extension of the positive, efficient Exponential Directional Weighted (EDW) Sn scheme currently used as the third level of the adaptive spatial differencing algorithm in the PENTRAN parallel discrete ordinates solver. Here, the derivation and advantages of the EDI scheme are presented; EDI uses EDW-rendered exponential coefficients as initial starting values to begin a fixed point iteration of the exponential coefficients. One issue that required evaluation was an iterative cutoff criterion to prevent the application of an unstable fixed point iteration; although this was needed in some cases, it was readily treated with a default to EDW. Iterative refinement of the exponential coefficients in EDI typically converged in fewer than four fixed point iterations. Moreover, EDI yielded more accurate angular fluxes compared to the other schemes tested, particularly in streaming conditions. Overall, it was found that the EDI scheme was up to an order of magnitude more accurate than the EDW scheme on a given mesh interval in streaming cases, and is potentially a good candidate as a fourth-level differencing scheme in the PENTRAN adaptive differencing sequence. The 3-D Cartesian computational cost of EDI was only about 20% more than the EDW scheme, and about 40% more than Diamond Zero (DZ). More evaluation and testing are required to determine suitable upgrade metrics for EDI to be fully integrated into the current adaptive spatial differencing sequence in PENTRAN. (author)

  12. The ISI distribution of the stochastic Hodgkin-Huxley neuron.

    Rowat, Peter F; Greenwood, Priscilla E

    2014-01-01

    The simulation of ion-channel noise has an important role in computational neuroscience. In recent years several approximate methods of carrying out this simulation have been published, based on stochastic differential equations, and all giving slightly different results. The obvious, and essential, question is: which method is the most accurate and which is most computationally efficient? Here we make a contribution to the answer. We compare interspike interval histograms from simulated data using four different approximate stochastic differential equation (SDE) models of the stochastic Hodgkin-Huxley neuron, as well as the exact Markov chain model simulated by the Gillespie algorithm. One of the recent SDE models is the same as the Kurtz approximation first published in 1978. All the models considered give similar ISI histograms over a wide range of deterministic and stochastic input. Three features of these histograms are an initial peak, followed by one or more bumps, and then an exponential tail. We explore how these features depend on deterministic input and on level of channel noise, and explain the results using the stochastic dynamics of the model. We conclude with a rough ranking of the four SDE models with respect to the similarity of their ISI histograms to the histogram of the exact Markov chain model.

  13. Front propagation and clustering in the stochastic nonlocal Fisher equation

    Ganan, Yehuda A.; Kessler, David A.

    2018-04-01

    In this work, we study the problem of front propagation and pattern formation in the stochastic nonlocal Fisher equation. We find a crossover between two regimes: a steadily propagating regime for not too large interaction range and a stochastic punctuated spreading regime for larger ranges. We show that the former regime is well described by the heuristic approximation of the system by a deterministic system where the linear growth term is cut off below some critical density. This deterministic system is seen not only to give the right front velocity, but also predicts the onset of clustering for interaction kernels which give rise to stable uniform states, such as the Gaussian kernel, for sufficiently large cutoff. Above the critical cutoff, distinct clusters emerge behind the front. These same features are present in the stochastic model for sufficiently small carrying capacity. In the latter, punctuated spreading, regime, the population is concentrated on clusters, as in the infinite range case, which divide and separate as a result of the stochastic noise. Due to the finite interaction range, if a fragment at the edge of the population separates sufficiently far, it stabilizes as a new cluster, and the processes begins anew. The deterministic cutoff model does not have this spreading for large interaction ranges, attesting to its purely stochastic origins. We show that this mode of spreading has an exponentially small mean spreading velocity, decaying with the range of the interaction kernel.

  14. The Study on the Penalty Function of the Insurance Company When the Stock Price Follows Exponential Lévy Process

    Wu, Zhao; Ding-Cheng, Wang; Yong, Zeng

    This paper investigates the penalty function under the condition that the insurance company is allowed to invest certain amount of money in some stock market and the remaining reserve in the bond with constant interest force. Through the properties of exponential Lévy process and discrete embedded method, the integral equations for penalty function is derived under the assumption that the stock price follows exponential Lévy process. The method for explicitly computing the ruin quantities is obtained.

  15. A method for exponential propagation of large systems of stiff nonlinear differential equations

    Friesner, Richard A.; Tuckerman, Laurette S.; Dornblaser, Bright C.; Russo, Thomas V.

    1989-01-01

    A new time integrator for large, stiff systems of linear and nonlinear coupled differential equations is described. For linear systems, the method consists of forming a small (5-15-term) Krylov space using the Jacobian of the system and carrying out exact exponential propagation within this space. Nonlinear corrections are incorporated via a convolution integral formalism; the integral is evaluated via approximate Krylov methods as well. Gains in efficiency ranging from factors of 2 to 30 are demonstrated for several test problems as compared to a forward Euler scheme and to the integration package LSODE.

  16. An exponential decay model for mediation.

    Fritz, Matthew S

    2014-10-01

    Mediation analysis is often used to investigate mechanisms of change in prevention research. Results finding mediation are strengthened when longitudinal data are used because of the need for temporal precedence. Current longitudinal mediation models have focused mainly on linear change, but many variables in prevention change nonlinearly across time. The most common solution to nonlinearity is to add a quadratic term to the linear model, but this can lead to the use of the quadratic function to explain all nonlinearity, regardless of theory and the characteristics of the variables in the model. The current study describes the problems that arise when quadratic functions are used to describe all nonlinearity and how the use of nonlinear functions, such as exponential decay, address many of these problems. In addition, nonlinear models provide several advantages over polynomial models including usefulness of parameters, parsimony, and generalizability. The effects of using nonlinear functions for mediation analysis are then discussed and a nonlinear growth curve model for mediation is presented. An empirical example using data from a randomized intervention study is then provided to illustrate the estimation and interpretation of the model. Implications, limitations, and future directions are also discussed.

  17. Stretched Exponential relaxation in pure Se glass

    Dash, S.; Ravindren, S.; Boolchand, P.

    A universal feature of glasses is the stretched exponential relaxation, f (t) = exp[ - t / τ ] β . The model of diffusion of excitations to randomly distributed traps in a glass by Phillips1 yields the stretched exponent β = d[d +2] where d, the effective dimensionality. We have measured the enthalpy of relaxation ΔHnr (tw) at Tg of Se glass in modulated DSC experiments as glasses age at 300K and find β = 0.43(2) for tw in the 0

  18. Exponential growth and atmospheric carbon dioxide

    Laurmann, J.A.; Rotty, R.M.

    1983-01-01

    The adequacy of assumptions required to project atmospheric CO 2 concentrations in time frames of practical importance is reviewed. Relevant issues concern the form assumed for future fossil fuel release, carbon cycle approximations, and the implications of revisions in fossil fuel patterns required to maintain atmospheric CO 2 levels below a chosen threshold. In general, we find that with a judiciously selected exponential fossil fuel release rate, and with a constant airborn fraction, we can estimate atmospheric CO 2 growth over the next 50 years based on essentially surprise free scenarios. Resource depletion effects must be included for projections beyond about 50 years, and on this time frame the constant airborne fraction approximation has to be questioned as well (especially in later years when the fossil fuel use begins to taper off). For projections for over 100 years, both energy demand scenarios and currently available carbon cycle models have sufficient uncertainties that atmospheric CO 2 levels derived from them are not much better than guesses

  19. Stochastic approach to microphysics

    Aron, J.C.

    1987-01-01

    The presently widespread idea of ''vacuum population'', together with the quantum concept of vacuum fluctuations leads to assume a random level below that of matter. This stochastic approach starts by a reminder of the author's previous work, first on the relation of diffusion laws with the foundations of microphysics, and then on hadron spectrum. Following the latter, a random quark model is advanced; it gives to quark pairs properties similar to those of a harmonic oscillator or an elastic string, imagined as an explanation to their asymptotic freedom and their confinement. The stochastic study of such interactions as electron-nucleon, jets in e/sup +/e/sup -/ collisions, or pp -> ..pi../sup 0/ + X, gives form factors closely consistent with experiment. The conclusion is an epistemological comment (complementarity between stochastic and quantum domains, E.P.R. paradox, etc...).

  20. 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 ...

  1. Stochastic optimization methods

    Marti, Kurt

    2005-01-01

    Optimization problems arising in practice involve random parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insensitive with respect to random parameter variations, deterministic substitute problems are needed. Based on the distribution of the random data, and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into deterministic substitute problems. Due to the occurring probabilities and expectations, approximative solution techniques must be applied. Deterministic and stochastic approximation methods and their analytical properties are provided: Taylor expansion, regression and response surface methods, probability inequalities, First Order Reliability Methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation methods, differentiation of probability and mean value functions. Convergence results of the resulting iterative solution procedures are given.

  2. Stochastic quantum gravity

    Rumpf, H.

    1987-01-01

    We begin with a naive application of the Parisi-Wu scheme to linearized gravity. This will lead into trouble as one peculiarity of the full theory, the indefiniteness of the Euclidean action, shows up already at this level. After discussing some proposals to overcome this problem, Minkowski space stochastic quantization will be introduced. This will still not result in an acceptable quantum theory of linearized gravity, as the Feynman propagator turns out to be non-causal. This defect will be remedied only after a careful analysis of general covariance in stochastic quantization has been performed. The analysis requires the notion of a metric on the manifold of metrics, and a natural candidate for this is singled out. With this a consistent stochastic quantization of Einstein gravity becomes possible. It is even possible, at least perturbatively, to return to the Euclidean regime. 25 refs. (Author)

  3. Separable quadratic stochastic operators

    Rozikov, U.A.; Nazir, S.

    2009-04-01

    We consider quadratic stochastic operators, which are separable as a product of two linear operators. Depending on properties of these linear operators we classify the set of the separable quadratic stochastic operators: first class of constant operators, second class of linear and third class of nonlinear (separable) quadratic stochastic operators. Since the properties of operators from the first and second classes are well known, we mainly study the properties of the operators of the third class. We describe some Lyapunov functions of the operators and apply them to study ω-limit sets of the trajectories generated by the operators. We also compare our results with known results of the theory of quadratic operators and give some open problems. (author)

  4. Stochastic cooling at Fermilab

    Marriner, J.

    1986-08-01

    The topics discussed are the stochastic cooling systems in use at Fermilab and some of the techniques that have been employed to meet the particular requirements of the anti-proton source. Stochastic cooling at Fermilab became of paramount importance about 5 years ago when the anti-proton source group at Fermilab abandoned the electron cooling ring in favor of a high flux anti-proton source which relied solely on stochastic cooling to achieve the phase space densities necessary for colliding proton and anti-proton beams. The Fermilab systems have constituted a substantial advance in the techniques of cooling including: large pickup arrays operating at microwave frequencies, extensive use of cryogenic techniques to reduce thermal noise, super-conducting notch filters, and the development of tools for controlling and for accurately phasing the system

  5. Quantum noise and stochastic reduction

    Brody, Dorje C; Hughston, Lane P

    2006-01-01

    In standard nonrelativistic quantum mechanics the expectation of the energy is a conserved quantity. It is possible to extend the dynamical law associated with the evolution of a quantum state consistently to include a nonlinear stochastic component, while respecting the conservation law. According to the dynamics thus obtained, referred to as the energy-based stochastic Schroedinger equation, an arbitrary initial state collapses spontaneously to one of the energy eigenstates, thus describing the phenomenon of quantum state reduction. In this paper, two such models are investigated: one that achieves state reduction in infinite time and the other in finite time. The properties of the associated energy expectation process and the energy variance process are worked out in detail. By use of a novel application of a nonlinear filtering method, closed-form solutions-algebraic in character and involving no integration-are obtained of both these models. In each case, the solution is expressed in terms of a random variable representing the terminal energy of the system and an independent noise process. With these solutions at hand it is possible to simulate explicitly the dynamics of the quantum states of complicated physical systems

  6. Exponential stability of delayed fuzzy cellular neural networks with diffusion

    Huang Tingwen

    2007-01-01

    The exponential stability of delayed fuzzy cellular neural networks (FCNN) with diffusion is investigated. Exponential stability, significant for applications of neural networks, is obtained under conditions that are easily verified by a new approach. Earlier results on the exponential stability of FCNN with time-dependent delay, a special case of the model studied in this paper, are improved without using the time-varying term condition: dτ(t)/dt < μ

  7. Stochastic Feedforward Control Technique

    Halyo, Nesim

    1990-01-01

    Class of commanded trajectories modeled as stochastic process. Advanced Transport Operating Systems (ATOPS) research and development program conducted by NASA Langley Research Center aimed at developing capabilities for increases in capacities of airports, safe and accurate flight in adverse weather conditions including shear, winds, avoidance of wake vortexes, and reduced consumption of fuel. Advances in techniques for design of modern controls and increased capabilities of digital flight computers coupled with accurate guidance information from Microwave Landing System (MLS). Stochastic feedforward control technique developed within context of ATOPS program.

  8. Markov stochasticity coordinates

    Eliazar, Iddo

    2017-01-01

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

  9. Stochastic Switching Dynamics

    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...

  10. 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

  11. Stochastic singular optics

    Roux, FS

    2013-09-01

    Full Text Available Roux Presented at the International Conference on Correlation Optics 2013 Chernivtsi, Ukraine 18-20 September 2013 CSIR National Laser Centre, Pretoria, South Africa – p. 1/24 Contents ⊲ Defining Stochastic Singular Optics (SSO) ⊲ Tools of Stochastic... of vortices: topological charge ±1 (higher order are unstable). Positive and negative vortex densities np(x, y, z) and nn(x, y, z) ⊲ Vortex density: V = np + nn ⊲ Topological charge density: T = np − nn – p. 4/24 Subfields of SSO ⊲ Homogeneous, normally...

  12. Foundations of stochastic analysis

    Rao, M M; Lukacs, E

    1981-01-01

    Foundations of Stochastic Analysis deals with the foundations of the theory of Kolmogorov and Bochner and its impact on the growth of stochastic analysis. Topics covered range from conditional expectations and probabilities to projective and direct limits, as well as martingales and likelihood ratios. Abstract martingales and their applications are also discussed. Comprised of five chapters, this volume begins with an overview of the basic Kolmogorov-Bochner theorem, followed by a discussion on conditional expectations and probabilities containing several characterizations of operators and mea

  13. Markov stochasticity coordinates

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

    2017-01-15

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

  14. Exponential Smoothing, Long Memory and Volatility Prediction

    Proietti, Tommaso

    three models that are natural extensions of ES: the fractionally integrated first order moving average (FIMA) model, a new integrated moving average model formulated in terms of the fractional lag operator (FLagIMA), and a fractional equal root integrated moving average (FerIMA) model, proposed...... originally by Hosking. We investigate the properties of the volatility components and the forecasts arising from these specification, which depend uniquely on the memory and the moving average parameters. For statistical inference we show that, under mild regularity conditions, the Whittle pseudo...

  15. 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.

  16. Stochastic quantisation: theme and variation

    Klauder, J.R.; Kyoto Univ.

    1987-01-01

    The paper on stochastic quantisation is a contribution to the book commemorating the sixtieth birthday of E.S. Fradkin. Stochastic quantisation reformulates Euclidean quantum field theory in the language of Langevin equations. The generalised free field is discussed from the viewpoint of stochastic quantisation. An artificial family of highly singular model theories wherein the space-time derivatives are dropped altogether is also examined. Finally a modified form of stochastic quantisation is considered. (U.K.)

  17. Stochastic quantization of Proca field

    Lim, S.C.

    1981-03-01

    We discuss the complications that arise in the application of Nelson's stochastic quantization scheme to classical Proca field. One consistent way to obtain spin-one massive stochastic field is given. It is found that the result of Guerra et al on the connection between ground state stochastic field and the corresponding Euclidean-Markov field extends to the spin-one case. (author)

  18. Stochastic Estimation via Polynomial Chaos

    2015-10-01

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

  19. A concise course on stochastic partial differential equations

    Prévôt, Claudia

    2007-01-01

    These lectures concentrate on (nonlinear) stochastic partial differential equations (SPDE) of evolutionary type. All kinds of dynamics with stochastic influence in nature or man-made complex systems can be modelled by such equations. To keep the technicalities minimal we confine ourselves to the case where the noise term is given by a stochastic integral w.r.t. a cylindrical Wiener process.But all results can be easily generalized to SPDE with more general noises such as, for instance, stochastic integral w.r.t. a continuous local martingale. There are basically three approaches to analyze SPDE: the "martingale measure approach", the "mild solution approach" and the "variational approach". The purpose of these notes is to give a concise and as self-contained as possible an introduction to the "variational approach". A large part of necessary background material, such as definitions and results from the theory of Hilbert spaces, are included in appendices.

  20. Stochastic analysis in discrete and continuous settings with normal martingales

    Privault, Nicolas

    2009-01-01

    This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students and researchers having already received a basic training in probability. The simultaneous treatment of continuous and jump processes is done in the framework of normal martingales; that includes the Brownian motion and compensated Poisson processes as specific cases. In particular, the basic tools of stochastic analysis (chaos representation, gradient, divergence, integration by parts) are presented in this general setting. Applications are given to functional and deviation inequalities and mathematical finance.

  1. Elementary stochastic cooling

    Tollestrup, A.V.; Dugan, G

    1983-12-01

    Major headings in this review include: proton sources; antiproton production; antiproton sources and Liouville, the role of the Debuncher; transverse stochastic cooling, time domain; the accumulator; frequency domain; pickups and kickers; Fokker-Planck equation; calculation of constants in the Fokker-Planck equation; and beam feedback. (GHT)

  2. Affine stochastic mortality

    Schrager, D.F.

    2006-01-01

    We propose a new model for stochastic mortality. The model is based on the literature on affine term structure models. It satisfies three important requirements for application in practice: analytical tractibility, clear interpretation of the factors and compatibility with financial option pricing

  3. Composite stochastic processes

    Kampen, N.G. van

    Certain problems in physics and chemistry lead to the definition of a class of stochastic processes. Although they are not Markovian they can be treated explicitly to some extent. In particular, the probability distribution for large times can be found. It is shown to obey a master equation. This

  4. Entropy Production in Stochastics

    Demetris Koutsoyiannis

    2017-10-01

    Full Text Available While the modern definition of entropy is genuinely probabilistic, in entropy production the classical thermodynamic definition, as in heat transfer, is typically used. Here we explore the concept of entropy production within stochastics and, particularly, two forms of entropy production in logarithmic time, unconditionally (EPLT or conditionally on the past and present having been observed (CEPLT. We study the theoretical properties of both forms, in general and in application to a broad set of stochastic processes. A main question investigated, related to model identification and fitting from data, is how to estimate the entropy production from a time series. It turns out that there is a link of the EPLT with the climacogram, and of the CEPLT with two additional tools introduced here, namely the differenced climacogram and the climacospectrum. In particular, EPLT and CEPLT are related to slopes of log-log plots of these tools, with the asymptotic slopes at the tails being most important as they justify the emergence of scaling laws of second-order characteristics of stochastic processes. As a real-world application, we use an extraordinary long time series of turbulent velocity and show how a parsimonious stochastic model can be identified and fitted using the tools developed.

  5. Stochastic modelling of turbulence

    Sørensen, Emil Hedevang Lohse

    previously been shown to be closely connected to the energy dissipation. The incorporation of the small scale dynamics into the spatial model opens the door to a fully fledged stochastic model of turbulence. Concerning the interaction of wind and wind turbine, a new method is proposed to extract wind turbine...

  6. Research in Stochastic Processes.

    1982-10-31

    Office of Scientific Research Grant AFOSR F49620 82 C 0009 Period: 1 Noveber 1981 through 31 October 1982 Title: Research in Stochastic Processes Co...STA4ATIS CAMBANIS The work briefly described here was developed in connection with problems arising from and related to the statistical comunication

  7. Stochastic Control - External Models

    Poulsen, Niels Kjølstad

    2005-01-01

    This note is devoted to control of stochastic systems described in discrete time. We are concerned with external descriptions or transfer function model, where we have a dynamic model for the input output relation only (i.e.. no direct internal information). The methods are based on LTI systems...

  8. Stochastic nonlinear beam equations

    Brzezniak, Z.; Maslowski, Bohdan; Seidler, Jan

    2005-01-01

    Roč. 132, č. 1 (2005), s. 119-149 ISSN 0178-8051 R&D Projects: GA ČR(CZ) GA201/01/1197 Institutional research plan: CEZ:AV0Z10190503 Keywords : stochastic beam equation * stability Subject RIV: BA - General Mathematics Impact factor: 0.896, year: 2005

  9. An overview of multivariate gamma distributions as seen from a (multivariate) matrix exponential perspective

    Bladt, Mogens; Nielsen, Bo Friis

    2012-01-01

    Laplace transform. In a longer perspective stochastic and statistical analysis for MVME will in particular apply to any of the previously defined distributions. Multivariate gamma distributions have been used in a variety of fields like hydrology, [11], [10], [6], space (wind modeling) [9] reliability [3......Numerous definitions of multivariate exponential and gamma distributions can be retrieved from the literature [4]. These distribtuions belong to the class of Multivariate Matrix-- Exponetial Distributions (MVME) whenever their joint Laplace transform is a rational function. The majority...... of these distributions further belongs to an important subclass of MVME distributions [5, 1] where the multivariate random vector can be interpreted as a number of simultaneously collected rewards during sojourns in a the states of a Markov chain with one absorbing state, the rest of the states being transient. We...

  10. Non centered minor hysteresis loops evaluation based on exponential parameters transforms of the modified inverse Jiles–Atherton model

    Hamimid, M.; Mimoune, S.M.; Feliachi, M.; Atallah, K.

    2014-01-01

    In this present work, a non centered minor hysteresis loops evaluation is performed using the exponential transforms (ET) of the modified inverse Jiles–Atherton model parameters. This model improves the non centered minor hysteresis loops representation. The parameters of the non centered minor hysteresis loops are obtained from exponential expressions related to the major ones. The parameters of minor loops are obtained by identification using the stochastic optimization method “simulated annealing”. The four parameters of JA model (a,α, k and c) obtained by this transformation are applied only in both ascending and descending branches of the non centered minor hysteresis loops while the major ones are applied to the rest of the cycle. This proposal greatly improves both branches and consequently the minor loops. To validate this model, calculated non-centered minor hysteresis loops are compared with measured ones and good agreements are obtained

  11. Finite Difference Solution of Elastic-Plastic Thin Rotating Annular Disk with Exponentially Variable Thickness and Exponentially Variable Density

    Sanjeev Sharma

    2013-01-01

    Full Text Available Elastic-plastic stresses, strains, and displacements have been obtained for a thin rotating annular disk with exponentially variable thickness and exponentially variable density with nonlinear strain hardening material by finite difference method using Von-Mises' yield criterion. Results have been computed numerically and depicted graphically. From the numerical results, it can be concluded that disk whose thickness decreases radially and density increases radially is on the safer side of design as compared to the disk with exponentially varying thickness and exponentially varying density as well as to flat disk.

  12. Stochastic chemical kinetics theory and (mostly) systems biological applications

    Érdi, Péter; Lente, Gabor

    2014-01-01

    This volume reviews the theory and simulation methods of stochastic kinetics by integrating historical and recent perspectives, presents applications, mostly in the context of systems biology and also in combustion theory. In recent years, due to the development in experimental techniques, such as optical imaging, single cell analysis, and fluorescence spectroscopy, biochemical kinetic data inside single living cells have increasingly been available. The emergence of systems biology brought renaissance in the application of stochastic kinetic methods.

  13. Stochastic Analysis of Gaussian Processes via Fredholm Representation

    Tommi Sottinen

    2016-01-01

    Full Text Available We show that every separable Gaussian process with integrable variance function admits a Fredholm representation with respect to a Brownian motion. We extend the Fredholm representation to a transfer principle and develop stochastic analysis by using it. We show the convenience of the Fredholm representation by giving applications to equivalence in law, bridges, series expansions, stochastic differential equations, and maximum likelihood estimations.

  14. High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations

    Abdulle, Assyr

    2012-01-01

    © 2012 Society for Industrial and Applied Mathematics. Inspired by recent advances in the theory of modified differential equations, we propose a new methodology for constructing numerical integrators with high weak order for the time integration of stochastic differential equations. This approach is illustrated with the constructions of new methods of weak order two, in particular, semi-implicit integrators well suited for stiff (meansquare stable) stochastic problems, and implicit integrators that exactly conserve all quadratic first integrals of a stochastic dynamical system. Numerical examples confirm the theoretical results and show the versatility of our methodology.

  15. Homogenization of the stochastic Navier–Stokes equation with a stochastic slip boundary condition

    Bessaih, Hakima

    2015-11-02

    The two-dimensional Navier–Stokes equation in a perforated domain with a dynamical slip boundary condition is considered. We assume that the dynamic is driven by a stochastic perturbation on the interior of the domain and another stochastic perturbation on the boundaries of the holes. We consider a scaling (ᵋ for the viscosity and 1 for the density) that will lead to a time-dependent limit problem. However, the noncritical scaling (ᵋ, β > 1) is considered in front of the nonlinear term. The homogenized system in the limit is obtained as a Darcy’s law with memory with two permeabilities and an extra term that is due to the stochastic perturbation on the boundary of the holes. The nonhomogeneity on the boundary contains a stochastic part that yields in the limit an additional term in the Darcy’s law. We use the two-scale convergence method after extending the solution with 0 inside the holes to pass to the limit. By Itô stochastic calculus, we get uniform estimates on the solution in appropriate spaces. Due to the stochastic integral, the pressure that appears in the variational formulation does not have enough regularity in time. This fact made us rely only on the variational formulation for the passage to the limit on the solution. We obtain a variational formulation for the limit that is solution of a Stokes system with two pressures. This two-scale limit gives rise to three cell problems, two of them give the permeabilities while the third one gives an extra term in the Darcy’s law due to the stochastic perturbation on the boundary of the holes.

  16. Exponential Correlation of IQ and the Wealth of Nations

    Dickerson, Richard E.

    2006-01-01

    Plots of mean IQ and per capita real Gross Domestic Product for groups of 81 and 185 nations, as collected by Lynn and Vanhanen, are best fitted by an exponential function of the form: GDP = "a" * 10["b"*(IQ)], where "a" and "b" are empirical constants. Exponential fitting yields markedly higher correlation coefficients than either linear or…

  17. Is the basic law of radioactive decay exponential?

    Gopych, P.M.; Zalyubovskii, I.I.

    1988-01-01

    Basic theoretical approaches to the explanation of the observed exponential nature of the decay law are discussed together with the hypothesis that it is not exponential. The significance of this question and its connection with fundamental problems of modern physics are considered. The results of experiments relating to investigation of the form of the decay law are given

  18. Exponential stability in a scalar functional differential equation

    Pituk Mihály

    2006-01-01

    Full Text Available We establish a criterion for the global exponential stability of the zero solution of the scalar retarded functional differential equation whose linear part generates a monotone semiflow on the phase space with respect to the exponential ordering, and the nonlinearity has at most linear growth.

  19. Blowing-up semilinear wave equation with exponential nonlinearity ...

    H1-norm. Hence, it is legitimate to consider an exponential nonlinearity. Moreover, the choice of an exponential nonlinearity emerges from a possible control of solutions via a. Moser–Trudinger type inequality [1, 16, 19]. In fact, Nakamura and Ozawa [17] proved global well-posedness and scattering for small Cauchy data in ...

  20. Review of "Going Exponential: Growing the Charter School Sector's Best"

    Garcia, David

    2011-01-01

    This Progressive Policy Institute report argues that charter schools should be expanded rapidly and exponentially. Citing exponential growth organizations, such as Starbucks and Apple, as well as the rapid growth of molds, viruses and cancers, the report advocates for similar growth models for charter schools. However, there is no explanation of…

  1. Exponential convergence on a continuous Monte Carlo transport problem

    Booth, T.E.

    1997-01-01

    For more than a decade, it has been known that exponential convergence on discrete transport problems was possible using adaptive Monte Carlo techniques. An adaptive Monte Carlo method that empirically produces exponential convergence on a simple continuous transport problem is described

  2. Global exponential stability for nonautonomous cellular neural networks with delays

    Zhang Qiang; Wei Xiaopeng; Xu Jin

    2006-01-01

    In this Letter, by utilizing Lyapunov functional method and Halanay inequalities, we analyze global exponential stability of nonautonomous cellular neural networks with delay. Several new sufficient conditions ensuring global exponential stability of the network are obtained. The results given here extend and improve the earlier publications. An example is given to demonstrate the effectiveness of the obtained results

  3. Residual, restarting and Richardson iteration for the matrix exponential

    Bochev, Mikhail A.; Grimm, Volker; Hochbruck, Marlis

    2013-01-01

    A well-known problem in computing some matrix functions iteratively is the lack of a clear, commonly accepted residual notion. An important matrix function for which this is the case is the matrix exponential. Suppose the matrix exponential of a given matrix times a given vector has to be computed.

  4. Residual, restarting and Richardson iteration for the matrix exponential

    Bochev, Mikhail A.

    2010-01-01

    A well-known problem in computing some matrix functions iteratively is a lack of a clear, commonly accepted residual notion. An important matrix function for which this is the case is the matrix exponential. Assume, the matrix exponential of a given matrix times a given vector has to be computed. We

  5. Ranking Exponential Trapezoidal Fuzzy Numbers by Median Value

    S. Rezvani

    2013-12-01

    Full Text Available In this paper, we want represented a method for ranking of two exponential trapezoidal fuzzy numbers. A median value is proposed for the ranking of exponential trapezoidal fuzzy numbers. For the validation the results of the proposed approach are compared with different existing approaches.

  6. New Results of Global Exponential Stabilization for BLDCMs System

    Fengxia Tian; Fangchao Zhen; Guopeng Zhou; Xiaoxin Liao

    2015-01-01

    The global exponential stabilization for brushless direct current motor (BLDCM) system is studied. Four linear and simple feedback controllers are proposed to realize the global stabilization of BLDCM with exponential convergence rate; the control law used in each theorem is less conservative and more concise. Finally, an example is given to demonstrate the correctness of the proposed results.

  7. Possible stretched exponential parametrization for humidity absorption in polymers.

    Hacinliyan, A; Skarlatos, Y; Sahin, G; Atak, K; Aybar, O O

    2009-04-01

    Polymer thin films have irregular transient current characteristics under constant voltage. In hydrophilic and hydrophobic polymers, the irregularity is also known to depend on the humidity absorbed by the polymer sample. Different stretched exponential models are studied and it is shown that the absorption of humidity as a function of time can be adequately modelled by a class of these stretched exponential absorption models.

  8. Exponential B-splines and the partition of unity property

    Christensen, Ole; Massopust, Peter

    2012-01-01

    We provide an explicit formula for a large class of exponential B-splines. Also, we characterize the cases where the integer-translates of an exponential B-spline form a partition of unity up to a multiplicative constant. As an application of this result we construct explicitly given pairs of dual...

  9. Stochastic processes in cell biology

    Bressloff, Paul C

    2014-01-01

    This book develops the theory of continuous and discrete stochastic processes within the context of cell biology.  A wide range of biological topics are covered including normal and anomalous diffusion in complex cellular environments, stochastic ion channels and excitable systems, stochastic calcium signaling, molecular motors, intracellular transport, signal transduction, bacterial chemotaxis, robustness in gene networks, genetic switches and oscillators, cell polarization, polymerization, cellular length control, and branching processes. The book also provides a pedagogical introduction to the theory of stochastic process – Fokker Planck equations, stochastic differential equations, master equations and jump Markov processes, diffusion approximations and the system size expansion, first passage time problems, stochastic hybrid systems, reaction-diffusion equations, exclusion processes, WKB methods, martingales and branching processes, stochastic calculus, and numerical methods.   This text is primarily...

  10. Stochastic stability of mechanical systems under renewal jump process parametric excitation

    Iwankiewicz, R.; Nielsen, Søren R.K.; Larsen, Jesper Winther

    2005-01-01

    independent, negative exponential distributed variables; hence, the arrival process may be termed as a generalized Erlang renewal process. The excitation process is governed by the stochastic equation driven by two independent Poisson processes, with different parameters. If the response in a single mode...... is investigated, the problem is governed in the state space by two stochastic equations, because the stochastic equation for the excitation process is autonomic. However due to the parametric nature of the excitation, the nonlinear term appears at the right-hand sides of the equations. The equations become linear...... of the stochastic equation governing the natural logarithm of the hyperspherical amplitude process and using the modification of the method wherein the time averaging of the pertinent expressions is replaced by ensemble averaging. It is found that the direct simulation is more suitable and that the asymptotic mean...

  11. Decomposition and (importance) sampling techniques for multi-stage stochastic linear programs

    Infanger, G.

    1993-11-01

    The difficulty of solving large-scale multi-stage stochastic linear programs arises from the sheer number of scenarios associated with numerous stochastic parameters. The number of scenarios grows exponentially with the number of stages and problems get easily out of hand even for very moderate numbers of stochastic parameters per stage. Our method combines dual (Benders) decomposition with Monte Carlo sampling techniques. We employ importance sampling to efficiently obtain accurate estimates of both expected future costs and gradients and right-hand sides of cuts. The method enables us to solve practical large-scale problems with many stages and numerous stochastic parameters per stage. We discuss the theory of sharing and adjusting cuts between different scenarios in a stage. We derive probabilistic lower and upper bounds, where we use importance path sampling for the upper bound estimation. Initial numerical results turned out to be promising.

  12. Level crossings and excess times due to a superposition of uncorrelated exponential pulses

    Theodorsen, A.; Garcia, O. E.

    2018-01-01

    A well-known stochastic model for intermittent fluctuations in physical systems is investigated. The model is given by a superposition of uncorrelated exponential pulses, and the degree of pulse overlap is interpreted as an intermittency parameter. Expressions for excess time statistics, that is, the rate of level crossings above a given threshold and the average time spent above the threshold, are derived from the joint distribution of the process and its derivative. Limits of both high and low intermittency are investigated and compared to previously known results. In the case of a strongly intermittent process, the distribution of times spent above threshold is obtained analytically. This expression is verified numerically, and the distribution of times above threshold is explored for other intermittency regimes. The numerical simulations compare favorably to known results for the distribution of times above the mean threshold for an Ornstein-Uhlenbeck process. This contribution generalizes the excess time statistics for the stochastic model, which find applications in a wide diversity of natural and technological systems.

  13. Exponential fading to white of black holes in quantum gravity

    Barceló, Carlos; Carballo-Rubio, Raúl; Garay, Luis J

    2017-01-01

    Quantization of the gravitational field may allow the existence of a decay channel of black holes into white holes with an explicit time-reversal symmetry. The definition of a meaningful decay probability for this channel is studied in spherically symmetric situations. As a first nontrivial calculation, we present the functional integration over a set of geometries using a single-variable function to interpolate between black-hole and white-hole geometries in a bounded region of spacetime. This computation gives a finite result which depends only on the Schwarzschild mass and a parameter measuring the width of the interpolating region. The associated probability distribution displays an exponential decay law on the latter parameter, with a mean lifetime inversely proportional to the Schwarzschild mass. In physical terms this would imply that matter collapsing to a black hole from a finite radius bounces back elastically and instantaneously, with negligible time delay as measured by external observers. These results invite to reconsider the ultimate nature of astrophysical black holes, providing a possible mechanism for the formation of black stars instead of proper general relativistic black holes. The existence of both this decay channel and black stars can be tested in future observations of gravitational waves. (paper)

  14. ESTIMATION OF PARAMETERS AND RELIABILITY FUNCTION OF EXPONENTIATED EXPONENTIAL DISTRIBUTION: BAYESIAN APPROACH UNDER GENERAL ENTROPY LOSS FUNCTION

    Sanjay Kumar Singh

    2011-06-01

    Full Text Available In this Paper we propose Bayes estimators of the parameters of Exponentiated Exponential distribution and Reliability functions under General Entropy loss function for Type II censored sample. The proposed estimators have been compared with the corresponding Bayes estimators obtained under Squared Error loss function and maximum likelihood estimators for their simulated risks (average loss over sample space.

  15. Generation of a stochastic precipitation model for the tropical climate

    Ng, Jing Lin; Abd Aziz, Samsuzana; Huang, Yuk Feng; Wayayok, Aimrun; Rowshon, MK

    2017-06-01

    A tropical country like Malaysia is characterized by intense localized precipitation with temperatures remaining relatively constant throughout the year. A stochastic modeling of precipitation in the flood-prone Kelantan River Basin is particularly challenging due to the high intermittency of precipitation events of the northeast monsoons. There is an urgent need to have long series of precipitation in modeling the hydrological responses. A single-site stochastic precipitation model that includes precipitation occurrence and an intensity model was developed, calibrated, and validated for the Kelantan River Basin. The simulation process was carried out separately for each station without considering the spatial correlation of precipitation. The Markov chains up to the fifth-order and six distributions were considered. The daily precipitation data of 17 rainfall stations for the study period of 1954-2013 were selected. The results suggested that second- and third-order Markov chains were suitable for simulating monthly and yearly precipitation occurrences, respectively. The fifth-order Markov chain resulted in overestimation of precipitation occurrences. For the mean, distribution, and standard deviation of precipitation amounts, the exponential, gamma, log-normal, skew normal, mixed exponential, and generalized Pareto distributions performed superiorly. However, for the extremes of precipitation, the exponential and log-normal distributions were better while the skew normal and generalized Pareto distributions tend to show underestimations. The log-normal distribution was chosen as the best distribution to simulate precipitation amounts. Overall, the stochastic precipitation model developed is considered a convenient tool to simulate the characteristics of precipitation in the Kelantan River Basin.

  16. Gradient-based stochastic estimation of the density matrix

    Wang, Zhentao; Chern, Gia-Wei; Batista, Cristian D.; Barros, Kipton

    2018-03-01

    Fast estimation of the single-particle density matrix is key to many applications in quantum chemistry and condensed matter physics. The best numerical methods leverage the fact that the density matrix elements f(H)ij decay rapidly with distance rij between orbitals. This decay is usually exponential. However, for the special case of metals at zero temperature, algebraic decay of the density matrix appears and poses a significant numerical challenge. We introduce a gradient-based probing method to estimate all local density matrix elements at a computational cost that scales linearly with system size. For zero-temperature metals, the stochastic error scales like S-(d+2)/2d, where d is the dimension and S is a prefactor to the computational cost. The convergence becomes exponential if the system is at finite temperature or is insulating.

  17. Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results

    Leif Andersen; Alexander Lipton

    2012-01-01

    Exponential L\\'evy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, etc. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such processes, and the corresponding implied volatility surfaces have been analyzed in some detail. In the non-asymptotic regimes, option prices are described by the Lewis-Lipton formula which allows one to represent them as Fourier integrals; the prices can be trivia...

  18. ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS

    LEIF ANDERSEN; ALEXANDER LIPTON

    2013-01-01

    Exponential Lévy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such processes, and the corresponding implied volatility surfaces have been analyzed in some detail. In the non-asymptotic regimes, option prices are described by the Lewis-Lipton formula, which allows one to represent them as Fourier integrals, and the prices can ...

  19. On ray stochasticity during lower hybrid current drive in tokamaks

    Bizarro, J.P.; Moreau, D.

    1992-08-01

    A comprehensive and detailed analysis is presented on the importance of toroidally induced ray stochasticity for the modelling of lower hybrid current drive and for the dynamics of the launched power spectrum. A combined ray tracing and Fokker-Planck code is used and the injected lower hybrid power distribution in poloidal angle and in parallel wave index is accurately represented by taking into account the poloidal extent of the antenna ad by efficiently covering the full range of its radiated spectrum. The importance of the balance between the wave damping and the exponential divergence of nearby ray trajectories in determining the shape of the predicted lower hybrid power deposition profiles is emphasized. When a sufficiently large number of rays is used to densely cover the region of the launched power spectrum which is affected by stochastic effects, code predictions are shown to be stable with respect to small changes in initial conditions and plasma parameters and to be consistent with experimental data

  20. Stochastic Model of Vesicular Sorting in Cellular Organelles

    Vagne, Quentin; Sens, Pierre

    2018-02-01

    The proper sorting of membrane components by regulated exchange between cellular organelles is crucial to intracellular organization. This process relies on the budding and fusion of transport vesicles, and should be strongly influenced by stochastic fluctuations, considering the relatively small size of many organelles. We identify the perfect sorting of two membrane components initially mixed in a single compartment as a first passage process, and we show that the mean sorting time exhibits two distinct regimes as a function of the ratio of vesicle fusion to budding rates. Low ratio values lead to fast sorting but result in a broad size distribution of sorted compartments dominated by small entities. High ratio values result in two well-defined sorted compartments but sorting is exponentially slow. Our results suggest an optimal balance between vesicle budding and fusion for the rapid and efficient sorting of membrane components and highlight the importance of stochastic effects for the steady-state organization of intracellular compartments.

  1. Some illustrations of stochasticity

    Laslett, L.J.

    1977-01-01

    A complex, and apparently stochastic, character frequently can be seen to occur in the solutions to simple Hamiltonian problems. Such behavior is of interest, and potentially of importance, to designers of particle accelerators--as well as to workers in other fields of physics and related disciplines. Even a slow development of disorder in the motion of particles in a circular accelerator or storage ring could be troublesome, because a practical design requires the beam particles to remain confined in an orderly manner within a narrow beam tube for literally tens of billions of revolutions. The material presented is primarily the result of computer calculations made to investigate the occurrence of ''stochasticity,'' and is organized in a manner similar to that adopted for presentation at a 1974 accelerator conference

  2. 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.

  3. Fractional Stochastic Field Theory

    Honkonen, Juha

    2018-02-01

    Models describing evolution of physical, chemical, biological, social and financial processes are often formulated as differential equations with the understanding that they are large-scale equations for averages of quantities describing intrinsically random processes. Explicit account of randomness may lead to significant changes in the asymptotic behaviour (anomalous scaling) in such models especially in low spatial dimensions, which in many cases may be captured with the use of the renormalization group. Anomalous scaling and memory effects may also be introduced with the use of fractional derivatives and fractional noise. Construction of renormalized stochastic field theory with fractional derivatives and fractional noise in the underlying stochastic differential equations and master equations and the interplay between fluctuation-induced and built-in anomalous scaling behaviour is reviewed and discussed.

  4. Essentials of stochastic processes

    Durrett, Richard

    2016-01-01

    Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatm...

  5. 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...

  6. Stochastic porous media equations

    Barbu, Viorel; Röckner, Michael

    2016-01-01

    Focusing on stochastic porous media equations, this book places an emphasis on existence theorems, asymptotic behavior and ergodic properties of the associated transition semigroup. Stochastic perturbations of the porous media equation have reviously been considered by physicists, but rigorous mathematical existence results have only recently been found. The porous media equation models a number of different physical phenomena, including the flow of an ideal gas and the diffusion of a compressible fluid through porous media, and also thermal propagation in plasma and plasma radiation. Another important application is to a model of the standard self-organized criticality process, called the "sand-pile model" or the "Bak-Tang-Wiesenfeld model". The book will be of interest to PhD students and researchers in mathematics, physics and biology.

  7. Stochastic stacking without filters

    Johnson, R.P.; Marriner, J.

    1982-12-01

    The rate of accumulation of antiprotons is a critical factor in the design of p anti p colliders. A design of a system to accumulate higher anti p fluxes is presented here which is an alternative to the schemes used at the CERN AA and in the Fermilab Tevatron I design. Contrary to these stacking schemes, which use a system of notch filters to protect the dense core of antiprotons from the high power of the stack tail stochastic cooling, an eddy current shutter is used to protect the core in the region of the stack tail cooling kicker. Without filters one can have larger cooling bandwidths, better mixing for stochastic cooling, and easier operational criteria for the power amplifiers. In the case considered here a flux of 1.4 x 10 8 per sec is achieved with a 4 to 8 GHz bandwidth

  8. Multistage stochastic optimization

    Pflug, Georg Ch

    2014-01-01

    Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization.  It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book

  9. 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 ...

  10. Stability of Nonlinear Neutral Stochastic Functional Differential Equations

    Minggao Xue

    2010-01-01

    Full Text Available Neutral stochastic functional differential equations (NSFDEs have recently been studied intensively. The well-known conditions imposed for the existence and uniqueness and exponential stability of the global solution are the local Lipschitz condition and the linear growth condition. Therefore, the existing results cannot be applied to many important nonlinear NSFDEs. The main aim of this paper is to remove the linear growth condition and establish a Khasminskii-type test for nonlinear NSFDEs. New criteria not only cover a wide class of highly nonlinear NSFDEs but they can also be verified much more easily than the classical criteria. Finally, several examples are given to illustrate main results.

  11. Pinning impulsive synchronization of stochastic delayed coupled networks

    Tang Yang; Fang Jian-An; Wong W K; Miao Qing-Ying

    2011-01-01

    In this paper, the pinning synchronization problem of stochastic delayed complex network (SDCN) is investigated by using a novel hybrid pinning controller. The proposed hybrid pinning controller is composed of adaptive controller and impulsive controller, where the two controllers are both added to a fraction of nodes in the network. Using the Lyapunov stability theory and the novel hybrid pinning controller, some sufficient conditions are derived for the exponential synchronization of such dynamical networks in mean square. Two numerical simulation examples are provided to verify the effectiveness of the proposed approach. The simulation results show that the proposed control scheme has a fast convergence rate compared with the conventional adaptive pinning method. (general)

  12. Approximate models for broken clouds in stochastic radiative transfer theory

    Doicu, Adrian; Efremenko, Dmitry S.; Loyola, Diego; Trautmann, Thomas

    2014-01-01

    This paper presents approximate models in stochastic radiative transfer theory. The independent column approximation and its modified version with a solar source computed in a full three-dimensional atmosphere are formulated in a stochastic framework and for arbitrary cloud statistics. The nth-order stochastic models describing the independent column approximations are equivalent to the nth-order stochastic models for the original radiance fields in which the gradient vectors are neglected. Fast approximate models are further derived on the basis of zeroth-order stochastic models and the independent column approximation. The so-called “internal mixing” models assume a combination of the optical properties of the cloud and the clear sky, while the “external mixing” models assume a combination of the radiances corresponding to completely overcast and clear skies. A consistent treatment of internal and external mixing models is provided, and a new parameterization of the closure coefficient in the effective thickness approximation is given. An efficient computation of the closure coefficient for internal mixing models, using a previously derived vector stochastic model as a reference, is also presented. Equipped with appropriate look-up tables for the closure coefficient, these models can easily be integrated into operational trace gas retrieval systems that exploit absorption features in the near-IR solar spectrum. - Highlights: • Independent column approximation in a stochastic setting. • Fast internal and external mixing models for total and diffuse radiances. • Efficient optimization of internal mixing models to match reference models

  13. Identifiability in stochastic models

    1992-01-01

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

  14. Stochastic split determinant algorithms

    Horvatha, Ivan

    2000-01-01

    I propose a large class of stochastic Markov processes associated with probability distributions analogous to that of lattice gauge theory with dynamical fermions. The construction incorporates the idea of approximate spectral split of the determinant through local loop action, and the idea of treating the infrared part of the split through explicit diagonalizations. I suggest that exact algorithms of practical relevance might be based on Markov processes so constructed

  15. Uncertainty Reduction for Stochastic Processes on Complex Networks

    Radicchi, Filippo; Castellano, Claudio

    2018-05-01

    Many real-world systems are characterized by stochastic dynamical rules where a complex network of interactions among individual elements probabilistically determines their state. Even with full knowledge of the network structure and of the stochastic rules, the ability to predict system configurations is generally characterized by a large uncertainty. Selecting a fraction of the nodes and observing their state may help to reduce the uncertainty about the unobserved nodes. However, choosing these points of observation in an optimal way is a highly nontrivial task, depending on the nature of the stochastic process and on the structure of the underlying interaction pattern. In this paper, we introduce a computationally efficient algorithm to determine quasioptimal solutions to the problem. The method leverages network sparsity to reduce computational complexity from exponential to almost quadratic, thus allowing the straightforward application of the method to mid-to-large-size systems. Although the method is exact only for equilibrium stochastic processes defined on trees, it turns out to be effective also for out-of-equilibrium processes on sparse loopy networks.

  16. Application of Stochastic Partial Differential Equations to Reservoir Property Modelling

    Potsepaev, R.

    2010-09-06

    Existing algorithms of geostatistics for stochastic modelling of reservoir parameters require a mapping (the \\'uvt-transform\\') into the parametric space and reconstruction of a stratigraphic co-ordinate system. The parametric space can be considered to represent a pre-deformed and pre-faulted depositional environment. Existing approximations of this mapping in many cases cause significant distortions to the correlation distances. In this work we propose a coordinate free approach for modelling stochastic textures through the application of stochastic partial differential equations. By avoiding the construction of a uvt-transform and stratigraphic coordinates, one can generate realizations directly in the physical space in the presence of deformations and faults. In particular the solution of the modified Helmholtz equation driven by Gaussian white noise is a zero mean Gaussian stationary random field with exponential correlation function (in 3-D). This equation can be used to generate realizations in parametric space. In order to sample in physical space we introduce a stochastic elliptic PDE with tensor coefficients, where the tensor is related to correlation anisotropy and its variation is physical space.

  17. On the stochastic approach to marine population dynamics

    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

  18. Stochastic quantization of instantons

    Grandati, Y.; Berard, A.; Grange, P.

    1996-01-01

    The method of Parisi and Wu to quantize classical fields is applied to instanton solutions var-phi I of euclidian non-linear theory in one dimension. The solution var-phi var-epsilon of the corresponding Langevin equation is built through a singular perturbative expansion in var-epsilon=h 1/2 in the frame of the center of the mass of the instanton, where the difference var-phi var-epsilon -var-phi I carries only fluctuations of the instanton form. The relevance of the method is shown for the stochastic K dV equation with uniform noise in space: the exact solution usually obtained by the inverse scattering method is retrieved easily by the singular expansion. A general diagrammatic representation of the solution is then established which makes a thorough use of regrouping properties of stochastic diagrams derived in scalar field theory. Averaging over the noise and in the limit of infinite stochastic time, the authors obtain explicit expressions for the first two orders in var-epsilon of the pertrubed instanton of its Green function. Specializing to the Sine-Gordon and var-phi 4 models, the first anaharmonic correction is obtained analytically. The calculation is carried to second order for the var-phi 4 model, showing good convergence. 21 refs., 5 fig

  19. Exponential function and its derivative revisited

    Ho, Weng Kin; Him Ho, Foo; Lee, Tuo Yeong

    2013-04-01

    Most of the available proofs for ? rely on results involving either power series, uniform convergence or a round-about definition of the natural logarithm function ln(x) by the definite integral ? , and are thus not readily accessible by high school teachers and students. Even instructors of calculus courses avoid showing the complete proof to their undergraduate students because a direct and elementary approach is missing. This short article fills in this gap by supplying a simple proof of the aforementioned basic calculus fact.

  20. Stochastic beam dynamics in storage rings

    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.)