Analysis of a Stochastic Chemical System Close to a SNIPER Bifurcation of Its Mean-Field Model
Erban, Radek; Chapman, S. Jonathan; Kevrekidis, Ioannis G.; Vejchodský , Tomá š
2009-01-01
A framework for the analysis of stochastic models of chemical systems for which the deterministic mean-field description is undergoing a saddle-node infinite period (SNIPER) bifurcation is presented. Such a bifurcation occurs, for example
Stochastic modeling of catalytic processes in nanoporous materials: Beyond mean-field approach
Energy Technology Data Exchange (ETDEWEB)
Garcia, Andres [Iowa State Univ., Ames, IA (United States)
2017-08-05
Transport and reaction in zeolites and other porous materials, such as mesoporous silica particles, has been a focus of interest in recent years. This is in part due to the possibility of anomalous transport effects (e.g. single-file diffusion) and its impact in the reaction yield in catalytic processes. Computational simulations are often used to study these complex nonequilibrium systems. Computer simulations using Molecular Dynamics (MD) techniques are prohibitive, so instead coarse grained one-dimensional models with the aid of Kinetic Monte Carlo (KMC) simulations are used. Both techniques can be computationally expensive, both time and resource wise. These coarse-grained systems can be exactly described by a set of coupled stochastic master equations, that describe the reaction-diffusion kinetics of the system. The equations can be written exactly, however, coupling between the equations and terms within the equations make it impossible to solve them exactly; approximations must be made. One of the most common methods to obtain approximate solutions is to use Mean Field (MF) theory. MF treatments yield reasonable results at high ratios of reaction rate k to hop rate h of the particles, but fail completely at low k=h due to the over-estimation of fluxes of particles within the pore. We develop a method to estimate fluxes and intrapore diffusivity in simple one- dimensional reaction-diffusion models at high and low k=h, where the pores are coupled to an equilibrated three-dimensional fluid. We thus successfully describe analytically these simple reaction-diffusion one-dimensional systems. Extensions to models considering behavior with long range steric interactions and wider pores require determination of multiple boundary conditions. We give a prescription to estimate the required parameters for these simulations. For one dimensional systems, if single-file diffusion is relaxed, additional parameters to describe particle exchange have to be introduced. We use
Stochastic quantization and mean field approximation
International Nuclear Information System (INIS)
Jengo, R.; Parga, N.
1983-09-01
In the context of the stochastic quantization we propose factorized approximate solutions for the Fokker-Planck equation for the XY and Zsub(N) spin systems in D dimensions. The resulting differential equation for a factor can be solved and it is found to give in the limit of t→infinity the mean field or, in the more general case, the Bethe-Peierls approximation. (author)
Analysis of a Stochastic Chemical System Close to a SNIPER Bifurcation of Its Mean-Field Model
Erban, Radek
2009-01-01
A framework for the analysis of stochastic models of chemical systems for which the deterministic mean-field description is undergoing a saddle-node infinite period (SNIPER) bifurcation is presented. Such a bifurcation occurs, for example, in the modeling of cell-cycle regulation. It is shown that the stochastic system possesses oscillatory solutions even for parameter values for which the mean-field model does not oscillate. The dependence of the mean period of these oscillations on the parameters of the model (kinetic rate constants) and the size of the system (number of molecules present) are studied. Our approach is based on the chemical Fokker-Planck equation. To gain some insight into the advantages and disadvantages of the method, a simple one-dimensional chemical switch is first analyzed, and then the chemical SNIPER problem is studied in detail. First, results obtained by solving the Fokker-Planck equation numerically are presented. Then an asymptotic analysis of the Fokker-Planck equation is used to derive explicit formulae for the period of oscillation as a function of the rate constants and as a function of the system size. © 2009 Society for Industrial and Applied Mathematics.
Weak disorder asymptotics in the stochastic mean-field model of distance
Bhamidi, S.; Hofstad, van der R.W.
2010-01-01
In the recent past, there has been a concerted effort to develop mathematical models for real-world networks and analyze various dynamics on these models. One particular problem of significant importance is to understand the effect of random edge lengths or costs on the geometry and flow
Weak disorder asymptotics in the stochastic mean-field model of distance
Bhamidi, S.; Hofstad, van der R.W.
2012-01-01
In the recent past, there has been a concerted effort to develop mathematical models for real-world networks and to analyze various dynamics on these models. One particular problem of significant importance is to understand the effect of random edge lengths or costs on the geometry and flow
Mean Field Games for Stochastic Growth with Relative Utility
Energy Technology Data Exchange (ETDEWEB)
Huang, Minyi, E-mail: mhuang@math.carleton.ca [Carleton University, School of Mathematics and Statistics (Canada); Nguyen, Son Luu, E-mail: sonluu.nguyen@upr.edu [University of Puerto Rico, Department of Mathematics (United States)
2016-12-15
This paper considers continuous time stochastic growth-consumption optimization in a mean field game setting. The individual capital stock evolution is determined by a Cobb–Douglas production function, consumption and stochastic depreciation. The individual utility functional combines an own utility and a relative utility with respect to the population. The use of the relative utility reflects human psychology, leading to a natural pattern of mean field interaction. The fixed point equation of the mean field game is derived with the aid of some ordinary differential equations. Due to the relative utility interaction, our performance analysis depends on some ratio based approximation error estimate.
Mean Field Games for Stochastic Growth with Relative Utility
International Nuclear Information System (INIS)
Huang, Minyi; Nguyen, Son Luu
2016-01-01
This paper considers continuous time stochastic growth-consumption optimization in a mean field game setting. The individual capital stock evolution is determined by a Cobb–Douglas production function, consumption and stochastic depreciation. The individual utility functional combines an own utility and a relative utility with respect to the population. The use of the relative utility reflects human psychology, leading to a natural pattern of mean field interaction. The fixed point equation of the mean field game is derived with the aid of some ordinary differential equations. Due to the relative utility interaction, our performance analysis depends on some ratio based approximation error estimate.
A Stochastic Maximum Principle for General Mean-Field Systems
International Nuclear Information System (INIS)
Buckdahn, Rainer; Li, Juan; Ma, Jin
2016-01-01
In this paper we study the optimal control problem for a class of general mean-field stochastic differential equations, in which the coefficients depend, nonlinearly, on both the state process as well as of its law. In particular, we assume that the control set is a general open set that is not necessary convex, and the coefficients are only continuous on the control variable without any further regularity or convexity. We validate the approach of Peng (SIAM J Control Optim 2(4):966–979, 1990) by considering the second order variational equations and the corresponding second order adjoint process in this setting, and we extend the Stochastic Maximum Principle of Buckdahn et al. (Appl Math Optim 64(2):197–216, 2011) to this general case.
A Stochastic Maximum Principle for General Mean-Field Systems
Energy Technology Data Exchange (ETDEWEB)
Buckdahn, Rainer, E-mail: Rainer.Buckdahn@univ-brest.fr [Université de Bretagne-Occidentale, Département de Mathématiques (France); Li, Juan, E-mail: juanli@sdu.edu.cn [Shandong University, Weihai, School of Mathematics and Statistics (China); Ma, Jin, E-mail: jinma@usc.edu [University of Southern California, Department of Mathematics (United States)
2016-12-15
In this paper we study the optimal control problem for a class of general mean-field stochastic differential equations, in which the coefficients depend, nonlinearly, on both the state process as well as of its law. In particular, we assume that the control set is a general open set that is not necessary convex, and the coefficients are only continuous on the control variable without any further regularity or convexity. We validate the approach of Peng (SIAM J Control Optim 2(4):966–979, 1990) by considering the second order variational equations and the corresponding second order adjoint process in this setting, and we extend the Stochastic Maximum Principle of Buckdahn et al. (Appl Math Optim 64(2):197–216, 2011) to this general case.
Mean-field models and exotic nuclei
Energy Technology Data Exchange (ETDEWEB)
Bender, M; Buervenich, T; Maruhn, J A; Greiner, W [Inst. fuer Theoretische Physik, Univ. Frankfurt (Germany); Rutz, K [Inst. fuer Theoretische Physik, Univ. Frankfurt (Germany); [Gesellschaft fuer Schwerionenforschung mbH, Darmstadt (Germany); Reinhard, P G [Inst. fuer Theoretische Physik, Univ. Erlangen (Germany)
1998-06-01
We discuss two widely used nuclear mean-field models, the relativistic mean-field model and the (nonrelativistic) Skyrme-Hartree-Fock model, and their capability to describe exotic nuclei. Test cases are superheavy nuclei and neutron-rich Sn isotopes. New information in this regime helps to fix hitherto loosely determined aspects of the models. (orig.)
Mean-field models and exotic nuclei
International Nuclear Information System (INIS)
Bender, M.; Buervenich, T.; Maruhn, J.A.; Greiner, W.; Rutz, K.; Reinhard, P.G.
1998-01-01
We discuss two widely used nuclear mean-field models, the relativistic mean-field model and the (nonrelativistic) Skyrme-Hartree-Fock model, and their capability to describe exotic nuclei. Test cases are superheavy nuclei and neutron-rich Sn isotopes. New information in this regime helps to fix hitherto loosely determined aspects of the models. (orig.)
International Nuclear Information System (INIS)
Bissbort, Ulf; Hofstetter, Walter; Thomale, Ronny
2010-01-01
We discuss the stochastic mean-field theory (SMFT) method, which is a new approach for describing disordered Bose systems in the thermodynamic limit including localization and dimensional effects. We explicate the method in detail and apply it to the disordered Bose-Hubbard model at finite temperature, with on-site box disorder, as well as experimentally relevant unbounded speckle disorder. We find that disorder-induced condensation and re-entrant behavior at constant filling are only possible at low temperatures, beyond the reach of current experiments [M. Pasienski, D. McKay, M. White, and B. DeMarco, e-print arXiv:0908.1182]. Including off-diagonal hopping disorder as well, we investigate its effect on the phase diagram in addition to pure on-site disorder. To make connection to present experiments on a quantitative level, we also combine SMFT with an LDA approach and obtain the condensate fraction in the presence of an external trapping potential.
A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
Djehiche, Boualem; Tembine, Hamidou; Tempone, Raul
2015-01-01
In this paper we study mean-field type control problems with risk-sensitive performance functionals. We establish a stochastic maximum principle (SMP) for optimal control of stochastic differential equations (SDEs) of mean-field type, in which the drift and the diffusion coefficients as well as the performance functional depend not only on the state and the control but also on the mean of the distribution of the state. Our result extends the risk-sensitive SMP (without mean-field coupling) of Lim and Zhou (2005), derived for feedback (or Markov) type optimal controls, to optimal control problems for non-Markovian dynamics which may be time-inconsistent in the sense that the Bellman optimality principle does not hold. In our approach to the risk-sensitive SMP, the smoothness assumption on the value-function imposed in Lim and Zhou (2005) needs not be satisfied. For a general action space a Peng's type SMP is derived, specifying the necessary conditions for optimality. Two examples are carried out to illustrate the proposed risk-sensitive mean-field type SMP under linear stochastic dynamics with exponential quadratic cost function. Explicit solutions are given for both mean-field free and mean-field models.
A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
Djehiche, Boualem
2015-02-24
In this paper we study mean-field type control problems with risk-sensitive performance functionals. We establish a stochastic maximum principle (SMP) for optimal control of stochastic differential equations (SDEs) of mean-field type, in which the drift and the diffusion coefficients as well as the performance functional depend not only on the state and the control but also on the mean of the distribution of the state. Our result extends the risk-sensitive SMP (without mean-field coupling) of Lim and Zhou (2005), derived for feedback (or Markov) type optimal controls, to optimal control problems for non-Markovian dynamics which may be time-inconsistent in the sense that the Bellman optimality principle does not hold. In our approach to the risk-sensitive SMP, the smoothness assumption on the value-function imposed in Lim and Zhou (2005) needs not be satisfied. For a general action space a Peng\\'s type SMP is derived, specifying the necessary conditions for optimality. Two examples are carried out to illustrate the proposed risk-sensitive mean-field type SMP under linear stochastic dynamics with exponential quadratic cost function. Explicit solutions are given for both mean-field free and mean-field models.
Mean-field models and superheavy elements
International Nuclear Information System (INIS)
Reinhard, P.G.; Bender, M.; Maruhn, J.A.; Frankfurt Univ.
2001-03-01
We discuss the performance of two widely used nuclear mean-field models, the relativistic mean-field theory (RMF) and the non-relativistic Skyrme-Hartree-Fock approach (SHF), with particular emphasis on the description of superheavy elements (SHE). We provide a short introduction to the SHF and RMF, the relations between these two approaches and the relations to other nuclear structure models, briefly review the basic properties with respect to normal nuclear observables, and finally present and discuss recent results on the binding properties of SHE computed with a broad selection of SHF and RMF parametrisations. (orig.)
A Stochastic Maximum Principle for a Stochastic Differential Game of a Mean-Field Type
Energy Technology Data Exchange (ETDEWEB)
Hosking, John Joseph Absalom, E-mail: j.j.a.hosking@cma.uio.no [University of Oslo, Centre of Mathematics for Applications (CMA) (Norway)
2012-12-15
We construct a stochastic maximum principle (SMP) which provides necessary conditions for the existence of Nash equilibria in a certain form of N-agent stochastic differential game (SDG) of a mean-field type. The information structure considered for the SDG is of a possible asymmetric and partial type. To prove our SMP we take an approach based on spike-variations and adjoint representation techniques, analogous to that of S. Peng (SIAM J. Control Optim. 28(4):966-979, 1990) in the optimal stochastic control context. In our proof we apply adjoint representation procedures at three points. The first-order adjoint processes are defined as solutions to certain mean-field backward stochastic differential equations, and second-order adjoint processes of a first type are defined as solutions to certain backward stochastic differential equations. Second-order adjoint processes of a second type are defined as solutions of certain backward stochastic equations of a type that we introduce in this paper, and which we term conditional mean-field backward stochastic differential equations. From the resulting representations, we show that the terms relating to these second-order adjoint processes of the second type are of an order such that they do not appear in our final SMP equations. A comparable situation exists in an article by R. Buckdahn, B. Djehiche, and J. Li (Appl. Math. Optim. 64(2):197-216, 2011) that constructs a SMP for a mean-field type optimal stochastic control problem; however, the approach we take of using these second-order adjoint processes of a second type to deal with the type of terms that we refer to as the second form of quadratic-type terms represents an alternative to a development, to our setting, of the approach used in their article for their analogous type of term.
A Stochastic Maximum Principle for a Stochastic Differential Game of a Mean-Field Type
International Nuclear Information System (INIS)
Hosking, John Joseph Absalom
2012-01-01
We construct a stochastic maximum principle (SMP) which provides necessary conditions for the existence of Nash equilibria in a certain form of N-agent stochastic differential game (SDG) of a mean-field type. The information structure considered for the SDG is of a possible asymmetric and partial type. To prove our SMP we take an approach based on spike-variations and adjoint representation techniques, analogous to that of S. Peng (SIAM J. Control Optim. 28(4):966–979, 1990) in the optimal stochastic control context. In our proof we apply adjoint representation procedures at three points. The first-order adjoint processes are defined as solutions to certain mean-field backward stochastic differential equations, and second-order adjoint processes of a first type are defined as solutions to certain backward stochastic differential equations. Second-order adjoint processes of a second type are defined as solutions of certain backward stochastic equations of a type that we introduce in this paper, and which we term conditional mean-field backward stochastic differential equations. From the resulting representations, we show that the terms relating to these second-order adjoint processes of the second type are of an order such that they do not appear in our final SMP equations. A comparable situation exists in an article by R. Buckdahn, B. Djehiche, and J. Li (Appl. Math. Optim. 64(2):197–216, 2011) that constructs a SMP for a mean-field type optimal stochastic control problem; however, the approach we take of using these second-order adjoint processes of a second type to deal with the type of terms that we refer to as the second form of quadratic-type terms represents an alternative to a development, to our setting, of the approach used in their article for their analogous type of term.
Relativistic mean-field mass models
Energy Technology Data Exchange (ETDEWEB)
Pena-Arteaga, D.; Goriely, S.; Chamel, N. [Universite Libre de Bruxelles, Institut d' Astronomie et d' Astrophysique, CP-226, Brussels (Belgium)
2016-10-15
We present a new effort to develop viable mass models within the relativistic mean-field approach with density-dependent meson couplings, separable pairing and microscopic estimations for the translational and rotational correction energies. Two interactions, DD-MEB1 and DD-MEB2, are fitted to essentially all experimental masses, and also to charge radii and infinite nuclear matter properties as determined by microscopic models using realistic interactions. While DD-MEB1 includes the σ, ω and ρ meson fields, DD-MEB2 also considers the δ meson. Both mass models describe the 2353 experimental masses with a root mean square deviation of about 1.1 MeV and the 882 measured charge radii with a root mean square deviation of 0.029 fm. In addition, we show that the Pb isotopic shifts and moments of inertia are rather well reproduced, and the equation of state in pure neutron matter as well as symmetric nuclear matter are in relatively good agreement with existing realistic calculations. Both models predict a maximum neutron-star mass of more than 2.6 solar masses, and thus are able to accommodate the heaviest neutron stars observed so far. However, the new Lagrangians, like all previously determined RMF models, present the drawback of being characterized by a low effective mass, which leads to strong shell effects due to the strong coupling between the spin-orbit splitting and the effective mass. Complete mass tables have been generated and a comparison with other mass models is presented. (orig.)
A simplified BBGKY hierarchy for correlated fermions from a stochastic mean-field approach
International Nuclear Information System (INIS)
Lacroix, Denis; Tanimura, Yusuke; Ayik, Sakir; Yilmaz, Bulent
2016-01-01
The stochastic mean-field (SMF) approach allows to treat correlations beyond mean-field using a set of independent mean-field trajectories with appropriate choice of fluctuating initial conditions. We show here that this approach is equivalent to a simplified version of the Bogolyubov-Born-Green-Kirkwood-Yvon (BBGKY) hierarchy between one-, two-,.., N -body degrees of freedom. In this simplified version, one-body degrees of freedom are coupled to fluctuations to all orders while retaining only specific terms of the general BBGKY hierarchy. The use of the simplified BBGKY is illustrated with the Lipkin-Meshkov-Glick (LMG) model. We show that a truncated version of this hierarchy can be useful, as an alternative to the SMF, especially in the weak coupling regime to get physical insight in the effect beyond mean-field. In particular, it leads to approximate analytical expressions for the quantum fluctuations both in the weak and strong coupling regime. In the strong coupling regime, it can only be used for short time evolution. In that case, it gives information on the evolution time-scale close to a saddle point associated to a quantum phase-transition. For long time evolution and strong coupling, we observed that the simplified BBGKY hierarchy cannot be truncated and only the full SMF with initial sampling leads to reasonable results. (orig.)
Stochastic mean-field dynamics for fermions in the weak coupling limit
Energy Technology Data Exchange (ETDEWEB)
Lacroix, D
2005-09-15
Assuming that the effect of the residual interaction beyond mean-field is weak and can be treated as a statistical ensemble of two-body interactions, a Markovian quantum jump theory is developed for fermionic systems. In this theory, jumps occur between many-body densities formed of pairs of states D |{phi}{sub a}> <|{phi}{sub b}| / <|{phi}{sub b} | |{phi} {sub a}> where |{phi}{sub a}> and |{phi}{sub b}> are anti-symmetrized products of single-particle states. The underlying Stochastic Mean-Field (SMF) theory is discussed and applied to the monopole vibration of a spherical {sup 40}Ca nucleus under the influence of a statistical ensemble of two-body contact interactions. In this example, the mean-field evolution of one-body observables is recovered by averaging over different stochastic trajectories while fluctuations beyond mean-field are observed. Finally, the nature of the fluctuations is discussed. (author)
Stochastic mean-field dynamics for fermions in the weak coupling limit
International Nuclear Information System (INIS)
Lacroix, D.
2005-09-01
Assuming that the effect of the residual interaction beyond mean-field is weak and can be treated as a statistical ensemble of two-body interactions, a Markovian quantum jump theory is developed for fermionic systems. In this theory, jumps occur between many-body densities formed of pairs of states D |Φ a > b | / b | |Φ a > where |Φ a > and |Φ b > are anti-symmetrized products of single-particle states. The underlying Stochastic Mean-Field (SMF) theory is discussed and applied to the monopole vibration of a spherical 40 Ca nucleus under the influence of a statistical ensemble of two-body contact interactions. In this example, the mean-field evolution of one-body observables is recovered by averaging over different stochastic trajectories while fluctuations beyond mean-field are observed. Finally, the nature of the fluctuations is discussed. (author)
A General Stochastic Maximum Principle for SDEs of Mean-field Type
International Nuclear Information System (INIS)
Buckdahn, Rainer; Djehiche, Boualem; Li Juan
2011-01-01
We study the optimal control for stochastic differential equations (SDEs) of mean-field type, in which the coefficients depend on the state of the solution process as well as of its expected value. Moreover, the cost functional is also of mean-field type. This makes the control problem time inconsistent in the sense that the Bellman optimality principle does not hold. For a general action space a Peng’s-type stochastic maximum principle (Peng, S.: SIAM J. Control Optim. 2(4), 966–979, 1990) is derived, specifying the necessary conditions for optimality. This maximum principle differs from the classical one in the sense that here the first order adjoint equation turns out to be a linear mean-field backward SDE, while the second order adjoint equation remains the same as in Peng’s stochastic maximum principle.
Individual based and mean-field modeling of direct aggregation
Burger, Martin
2013-10-01
We introduce two models of biological aggregation, based on randomly moving particles with individual stochasticity depending on the perceived average population density in their neighborhood. In the firstorder model the location of each individual is subject to a density-dependent random walk, while in the second-order model the density-dependent random walk acts on the velocity variable, together with a density-dependent damping term. The main novelty of our models is that we do not assume any explicit aggregative force acting on the individuals; instead, aggregation is obtained exclusively by reducing the individual stochasticity in response to higher perceived density. We formally derive the corresponding mean-field limits, leading to nonlocal degenerate diffusions. Then, we carry out the mathematical analysis of the first-order model, in particular, we prove the existence of weak solutions and show that it allows for measure-valued steady states. We also perform linear stability analysis and identify conditions for pattern formation. Moreover, we discuss the role of the nonlocality for well-posedness of the first-order model. Finally, we present results of numerical simulations for both the first- and second-order model on the individual-based and continuum levels of description. 2012 Elsevier B.V. All rights reserved.
Individual based and mean-field modeling of direct aggregation
Burger, Martin; Haskovec, Jan; Wolfram, Marie-Therese
2013-01-01
We introduce two models of biological aggregation, based on randomly moving particles with individual stochasticity depending on the perceived average population density in their neighborhood. In the firstorder model the location of each individual is subject to a density-dependent random walk, while in the second-order model the density-dependent random walk acts on the velocity variable, together with a density-dependent damping term. The main novelty of our models is that we do not assume any explicit aggregative force acting on the individuals; instead, aggregation is obtained exclusively by reducing the individual stochasticity in response to higher perceived density. We formally derive the corresponding mean-field limits, leading to nonlocal degenerate diffusions. Then, we carry out the mathematical analysis of the first-order model, in particular, we prove the existence of weak solutions and show that it allows for measure-valued steady states. We also perform linear stability analysis and identify conditions for pattern formation. Moreover, we discuss the role of the nonlocality for well-posedness of the first-order model. Finally, we present results of numerical simulations for both the first- and second-order model on the individual-based and continuum levels of description. 2012 Elsevier B.V. All rights reserved.
Mean field models for spin glasses
Talagrand, Michel
2011-01-01
This is a new, completely revised, updated and enlarged edition of the author's Ergebnisse vol. 46: "Spin Glasses: A Challenge for Mathematicians". This new edition will appear in two volumes, the present first volume presents the basic results and methods, the second volume is expected to appear in 2011. In the eighties, a group of theoretical physicists introduced several models for certain disordered systems, called "spin glasses". These models are simple and rather canonical random structures, of considerable interest for several branches of science (statistical physics, neural networks and computer science). The physicists studied them by non-rigorous methods and predicted spectacular behaviors. This book introduces in a rigorous manner this exciting new area to the mathematically minded reader. It requires no knowledge whatsoever of any physics. The first volume of this new and completely rewritten edition presents six fundamental models and the basic techniques to study them.
International Nuclear Information System (INIS)
Hamed Hassani, S; Macris, Nicolas; Urbanke, Ruediger
2012-01-01
We consider a collection of Curie–Weiss (CW) spin systems, possibly with a random field, each of which is placed along the positions of a one-dimensional chain. The CW systems are coupled together by a Kac-type interaction in the longitudinal direction of the chain and by an infinite-range interaction in the direction transverse to the chain. Our motivations for studying this model come from recent findings in the theory of error-correcting codes based on spatially coupled graphs. We find that, although much simpler than the codes, the model studied here already displays similar behavior. We are interested in the van der Waals curve in a regime where the size of each Curie–Weiss model tends to infinity, and the length of the chain and range of the Kac interaction are large but finite. Below the critical temperature, and with appropriate boundary conditions, there appears a series of equilibrium states representing kink-like interfaces between the two equilibrium states of the individual system. The van der Waals curve oscillates periodically around the Maxwell plateau. These oscillations have a period inversely proportional to the chain length and an amplitude exponentially small in the range of the interaction; in other words, the spinodal points of the chain model lie exponentially close to the phase transition threshold. The amplitude of the oscillations is closely related to a Peierls–Nabarro free energy barrier for the motion of the kink along the chain. Analogies to similar phenomena and their possible algorithmic significance for graphical models of interest in coding theory and theoretical computer science are pointed out
Exotic nuclei in self-consistent mean-field models
International Nuclear Information System (INIS)
Bender, M.; Rutz, K.; Buervenich, T.; Reinhard, P.-G.; Maruhn, J. A.; Greiner, W.
1999-01-01
We discuss two widely used nuclear mean-field models, the relativistic mean-field model and the (nonrelativistic) Skyrme-Hartree-Fock model, and their capability to describe exotic nuclei with emphasis on neutron-rich tin isotopes and superheavy nuclei. (c) 1999 American Institute of Physics
Multiagent model and mean field theory of complex auction dynamics
Chen, Qinghua; Huang, Zi-Gang; Wang, Yougui; Lai, Ying-Cheng
2015-09-01
Recent years have witnessed a growing interest in analyzing a variety of socio-economic phenomena using methods from statistical and nonlinear physics. We study a class of complex systems arising from economics, the lowest unique bid auction (LUBA) systems, which is a recently emerged class of online auction game systems. Through analyzing large, empirical data sets of LUBA, we identify a general feature of the bid price distribution: an inverted J-shaped function with exponential decay in the large bid price region. To account for the distribution, we propose a multi-agent model in which each agent bids stochastically in the field of winner’s attractiveness, and develop a theoretical framework to obtain analytic solutions of the model based on mean field analysis. The theory produces bid-price distributions that are in excellent agreement with those from the real data. Our model and theory capture the essential features of human behaviors in the competitive environment as exemplified by LUBA, and may provide significant quantitative insights into complex socio-economic phenomena.
Multiagent model and mean field theory of complex auction dynamics
International Nuclear Information System (INIS)
Chen, Qinghua; Wang, Yougui; Huang, Zi-Gang; Lai, Ying-Cheng
2015-01-01
Recent years have witnessed a growing interest in analyzing a variety of socio-economic phenomena using methods from statistical and nonlinear physics. We study a class of complex systems arising from economics, the lowest unique bid auction (LUBA) systems, which is a recently emerged class of online auction game systems. Through analyzing large, empirical data sets of LUBA, we identify a general feature of the bid price distribution: an inverted J-shaped function with exponential decay in the large bid price region. To account for the distribution, we propose a multi-agent model in which each agent bids stochastically in the field of winner’s attractiveness, and develop a theoretical framework to obtain analytic solutions of the model based on mean field analysis. The theory produces bid-price distributions that are in excellent agreement with those from the real data. Our model and theory capture the essential features of human behaviors in the competitive environment as exemplified by LUBA, and may provide significant quantitative insights into complex socio-economic phenomena. (paper)
Two Populations Mean-Field Monomer-Dimer Model
Alberici, Diego; Mingione, Emanuele
2018-04-01
A two populations mean-field monomer-dimer model including both hard-core and attractive interactions between dimers is considered. The pressure density in the thermodynamic limit is proved to satisfy a variational principle. A detailed analysis is made in the limit of one population is much smaller than the other and a ferromagnetic mean-field phase transition is found.
Mean Field Games Models-A Brief Survey
Gomes, Diogo A.; Saú de, Joã o
2013-01-01
The mean-field framework was developed to study systems with an infinite number of rational agents in competition, which arise naturally in many applications. The systematic study of these problems was started, in the mathematical community by Lasry and Lions, and independently around the same time in the engineering community by P. Caines, Minyi Huang, and Roland Malhamé. Since these seminal contributions, the research in mean-field games has grown exponentially, and in this paper we present a brief survey of mean-field models as well as recent results and techniques. In the first part of this paper, we study reduced mean-field games, that is, mean-field games, which are written as a system of a Hamilton-Jacobi equation and a transport or Fokker-Planck equation. We start by the derivation of the models and by describing some of the existence results available in the literature. Then we discuss the uniqueness of a solution and propose a definition of relaxed solution for mean-field games that allows to establish uniqueness under minimal regularity hypothesis. A special class of mean-field games that we discuss in some detail is equivalent to the Euler-Lagrange equation of suitable functionals. We present in detail various additional examples, including extensions to population dynamics models. This section ends with a brief overview of the random variables point of view as well as some applications to extended mean-field games models. These extended models arise in problems where the costs incurred by the agents depend not only on the distribution of the other agents, but also on their actions. The second part of the paper concerns mean-field games in master form. These mean-field games can be modeled as a partial differential equation in an infinite dimensional space. We discuss both deterministic models as well as problems where the agents are correlated. We end the paper with a mean-field model for price impact. © 2013 Springer Science+Business Media New York.
Mean Field Games Models-A Brief Survey
Gomes, Diogo A.
2013-11-20
The mean-field framework was developed to study systems with an infinite number of rational agents in competition, which arise naturally in many applications. The systematic study of these problems was started, in the mathematical community by Lasry and Lions, and independently around the same time in the engineering community by P. Caines, Minyi Huang, and Roland Malhamé. Since these seminal contributions, the research in mean-field games has grown exponentially, and in this paper we present a brief survey of mean-field models as well as recent results and techniques. In the first part of this paper, we study reduced mean-field games, that is, mean-field games, which are written as a system of a Hamilton-Jacobi equation and a transport or Fokker-Planck equation. We start by the derivation of the models and by describing some of the existence results available in the literature. Then we discuss the uniqueness of a solution and propose a definition of relaxed solution for mean-field games that allows to establish uniqueness under minimal regularity hypothesis. A special class of mean-field games that we discuss in some detail is equivalent to the Euler-Lagrange equation of suitable functionals. We present in detail various additional examples, including extensions to population dynamics models. This section ends with a brief overview of the random variables point of view as well as some applications to extended mean-field games models. These extended models arise in problems where the costs incurred by the agents depend not only on the distribution of the other agents, but also on their actions. The second part of the paper concerns mean-field games in master form. These mean-field games can be modeled as a partial differential equation in an infinite dimensional space. We discuss both deterministic models as well as problems where the agents are correlated. We end the paper with a mean-field model for price impact. © 2013 Springer Science+Business Media New York.
Noisy mean field game model for malware propagation in opportunistic networks
Tembine, Hamidou
2012-01-01
In this paper we present analytical mean field techniques that can be used to better understand the behavior of malware propagation in opportunistic large networks. We develop a modeling methodology based on stochastic mean field optimal control that is able to capture many aspects of the problem, especially the impact of the control and heterogeneity of the system on the spreading characteristics of malware. The stochastic large process characterizing the evolution of the total number of infected nodes is examined with a noisy mean field limit and compared to a deterministic one. The stochastic nature of the wireless environment make stochastic approaches more realistic for such types of networks. By introducing control strategies, we show that the fraction of infected nodes can be maintained below some threshold. In contrast to most of the existing results on mean field propagation models which focus on deterministic equations, we show that the mean field limit is stochastic if the second moment of the number of object transitions per time slot is unbounded with the size of the system. This allows us to compare one path of the fraction of infected nodes with the stochastic trajectory of its mean field limit. In order to take into account the heterogeneity of opportunistic networks, the analysis is extended to multiple types of nodes. Our numerical results show that the heterogeneity can help to stabilize the system. We verify the results through simulation showing how to obtain useful approximations in the case of very large systems. © 2012 ICST Institute for Computer Science, Social Informatics and Telecommunications Engineering.
Self-consistent mean-field models for nuclear structure
International Nuclear Information System (INIS)
Bender, Michael; Heenen, Paul-Henri; Reinhard, Paul-Gerhard
2003-01-01
The authors review the present status of self-consistent mean-field (SCMF) models for describing nuclear structure and low-energy dynamics. These models are presented as effective energy-density functionals. The three most widely used variants of SCMF's based on a Skyrme energy functional, a Gogny force, and a relativistic mean-field Lagrangian are considered side by side. The crucial role of the treatment of pairing correlations is pointed out in each case. The authors discuss other related nuclear structure models and present several extensions beyond the mean-field model which are currently used. Phenomenological adjustment of the model parameters is discussed in detail. The performance quality of the SCMF model is demonstrated for a broad range of typical applications
A mean-field game economic growth model
Gomes, Diogo A.; Lafleche, Laurent; Nurbekyan, Levon
2016-01-01
Here, we examine a mean-field game (MFG) that models the economic growth of a population of non-cooperative, rational agents. In this MFG, agents are described by two state variables - the capital and consumer goods they own. Each agent seeks
Heavy-ion interactions in relativistic mean-field models
International Nuclear Information System (INIS)
Rashdan, M.
1996-01-01
The interaction potential between spherical nuclei and the elastic scattering cross section are calculated within relativistic mean-field (linear and non-linear) models, using a generalized relativistic local density approximation. The nuclear densities are calculated self-consistently from the solution of the relativistic mean-field equations. It is found that both the linear and non-linear models predict the characteristic switching-over phenomenon of the heavy-ion nuclear potential, where the potential gets attraction with increasing energy up to some value where it reverses this behaviour. The non-linear NLC model predicts a deeper potential than the linear LW model. The elastic scattering cross section calculated within the non-linear NLC model is in better agreement with experiments than that calculated within the linear LW model. (orig.)
Noisy mean field game model for malware propagation in opportunistic networks
Tembine, Hamidou; Vilanova, Pedro; Debbah, Mé roú ane
2012-01-01
nodes is examined with a noisy mean field limit and compared to a deterministic one. The stochastic nature of the wireless environment make stochastic approaches more realistic for such types of networks. By introducing control strategies, we show
Mean-field dynamics of a population of stochastic map neurons
Franović, Igor; Maslennikov, Oleg V.; Bačić, Iva; Nekorkin, Vladimir I.
2017-07-01
We analyze the emergent regimes and the stimulus-response relationship of a population of noisy map neurons by means of a mean-field model, derived within the framework of cumulant approach complemented by the Gaussian closure hypothesis. It is demonstrated that the mean-field model can qualitatively account for stability and bifurcations of the exact system, capturing all the generic forms of collective behavior, including macroscopic excitability, subthreshold oscillations, periodic or chaotic spiking, and chaotic bursting dynamics. Apart from qualitative analogies, we find a substantial quantitative agreement between the exact and the approximate system, as reflected in matching of the parameter domains admitting the different dynamical regimes, as well as the characteristic properties of the associated time series. The effective model is further shown to reproduce with sufficient accuracy the phase response curves of the exact system and the assembly's response to external stimulation of finite amplitude and duration.
Haji Ali, Abdul Lateef
2016-01-01
I discuss using single level and multilevel Monte Carlo methods to compute quantities of interests of a stochastic particle system in the mean-field. In this context, the stochastic particles follow a coupled system of Ito stochastic differential equations (SDEs). Moreover, this stochastic particle system converges to a stochastic mean-field limit as the number of particles tends to infinity. I start by recalling the results of applying different versions of Multilevel Monte Carlo (MLMC) for particle systems, both with respect to time steps and the number of particles and using a partitioning estimator. Next, I expand on these results by proposing the use of our recent Multi-index Monte Carlo method to obtain improved convergence rates.
Haji Ali, Abdul Lateef
2016-01-08
I discuss using single level and multilevel Monte Carlo methods to compute quantities of interests of a stochastic particle system in the mean-field. In this context, the stochastic particles follow a coupled system of Ito stochastic differential equations (SDEs). Moreover, this stochastic particle system converges to a stochastic mean-field limit as the number of particles tends to infinity. I start by recalling the results of applying different versions of Multilevel Monte Carlo (MLMC) for particle systems, both with respect to time steps and the number of particles and using a partitioning estimator. Next, I expand on these results by proposing the use of our recent Multi-index Monte Carlo method to obtain improved convergence rates.
A mean-field game economic growth model
Gomes, Diogo A.
2016-08-05
Here, we examine a mean-field game (MFG) that models the economic growth of a population of non-cooperative, rational agents. In this MFG, agents are described by two state variables - the capital and consumer goods they own. Each agent seeks to maximize his/her utility by taking into account statistical data about the whole population. The individual actions drive the evolution of the players, and a market-clearing condition determines the relative price of capital and consumer goods. We study the existence and uniqueness of optimal strategies of the agents and develop numerical methods to compute these strategies and the equilibrium price.
Mean-field theory and self-consistent dynamo modeling
International Nuclear Information System (INIS)
Yoshizawa, Akira; Yokoi, Nobumitsu
2001-12-01
Mean-field theory of dynamo is discussed with emphasis on the statistical formulation of turbulence effects on the magnetohydrodynamic equations and the construction of a self-consistent dynamo model. The dynamo mechanism is sought in the combination of the turbulent residual-helicity and cross-helicity effects. On the basis of this mechanism, discussions are made on the generation of planetary magnetic fields such as geomagnetic field and sunspots and on the occurrence of flow by magnetic fields in planetary and fusion phenomena. (author)
Relativistic Chiral Mean Field Model for Finite Nuclei
Ogawa, Y.; Toki, H.; Tamenaga, S.; Haga, A.
2009-08-01
We present a relativistic chiral mean field (RCMF) model, which is a method for the proper treatment of pion-exchange interaction in the nuclear many-body problem. There the dominant term of the pionic correlation is expressed in two-particle two-hole (2p-2h) states with particle-holes having pionic quantum number, J^{π}. The charge-and-parity-projected relativistic mean field (CPPRMF) model developed so far treats surface properties of pionic correlation in 2p-2h states with J^{π} = 0^{-} (spherical ansatz). We extend the CPPRMF model by taking 2p-2h states with higher spin quantum numbers, J^{π} = 1^{+}, 2^{-}, 3^{+}, ... to describe the full strength of the pionic correlation in the intermediate range (r > 0.5 fm). We apply the RCMF model to the ^{4}He nucleus as a pilot calculation for the study of medium and heavy nuclei. We study the behavior of energy convergence with the pionic quantum number, J^{π}, and find convergence around J^{π}_{max} = 6^{-}. We include further the effect of the short-range repulsion in terms of the unitary correlation operator method (UCOM) for the central part of the pion-exchange interaction. The energy contribution of about 50% of the net two-body interaction comes from the tensor part and 20% comes from the spin-spin central part of the pion-exchange interaction.}
Pairing gaps from nuclear mean-field models
International Nuclear Information System (INIS)
Bender, M.; Rutz, K.; Maruhn, J.A.
2000-01-01
We discuss the pairing gap, a measure for nuclear pairing correlations, in chains of spherical, semi-magic nuclei in the framework of self-consistent nuclear mean-field models. The equations for the conventional BCS model and the approximate projection-before-variation Lipkin-Nogami method are formulated in terms of local density functionals for the effective interaction. We calculate the Lipkin-Nogami corrections of both the mean-field energy and the pairing energy. Various definitions of the pairing gap are discussed as three-point, four-point and five-point mass-difference formulae, averaged matrix elements of the pairing potential, and single-quasiparticle energies. Experimental values for the pairing gap are compared with calculations employing both a delta pairing force and a density-dependent delta interaction in the BCS and Lipkin-Nogami model. Odd-mass nuclei are calculated in the spherical blocking approximation which neglects part of the the core polarization in the odd nucleus. We find that the five-point mass difference formula gives a very robust description of the odd-even staggering, other approximations for the gap may differ from that up to 30% for certain nuclei. (orig.)
Coalescing colony model: Mean-field, scaling, and geometry
Carra, Giulia; Mallick, Kirone; Barthelemy, Marc
2017-12-01
We analyze the coalescing model where a `primary' colony grows and randomly emits secondary colonies that spread and eventually coalesce with it. This model describes population proliferation in theoretical ecology, tumor growth, and is also of great interest for modeling urban sprawl. Assuming the primary colony to be always circular of radius r (t ) and the emission rate proportional to r (t) θ , where θ >0 , we derive the mean-field equations governing the dynamics of the primary colony, calculate the scaling exponents versus θ , and compare our results with numerical simulations. We then critically test the validity of the circular approximation for the colony shape and show that it is sound for a constant emission rate (θ =0 ). However, when the emission rate is proportional to the perimeter, the circular approximation breaks down and the roughness of the primary colony cannot be discarded, thus modifying the scaling exponents.
Faugeras, Olivier; Touboul, Jonathan; Cessac, Bruno
2009-01-01
We deal with the problem of bridging the gap between two scales in neuronal modeling. At the first (microscopic) scale, neurons are considered individually and their behavior described by stochastic differential equations that govern the time variations of their membrane potentials. They are coupled by synaptic connections acting on their resulting activity, a nonlinear function of their membrane potential. At the second (mesoscopic) scale, interacting populations of neurons are described individually by similar equations. The equations describing the dynamical and the stationary mean-field behaviors are considered as functional equations on a set of stochastic processes. Using this new point of view allows us to prove that these equations are well-posed on any finite time interval and to provide a constructive method for effectively computing their unique solution. This method is proved to converge to the unique solution and we characterize its complexity and convergence rate. We also provide partial results for the stationary problem on infinite time intervals. These results shed some new light on such neural mass models as the one of Jansen and Rit (1995): their dynamics appears as a coarse approximation of the much richer dynamics that emerges from our analysis. Our numerical experiments confirm that the framework we propose and the numerical methods we derive from it provide a new and powerful tool for the exploration of neural behaviors at different scales.
Phase diagram of the mean field model of simplicial gravity
International Nuclear Information System (INIS)
Bialas, P.; Burda, Z.; Johnston, D.
1999-01-01
We discuss the phase diagram of the balls in boxes model, with a varying number of boxes. The model can be regarded as a mean-field model of simplicial gravity. We analyse in detail the case of weights of the form p(q) = q -β , which correspond to the measure term introduced in the simplicial quantum gravity simulations. The system has two phases: elongated (fluid) and crumpled. For β ε (2, ∞) the transition between these two phases is first-order, while for β ε (1, 2) it is continuous. The transition becomes softer when β approaches unity and eventually disappears at β = 1. We then generalise the discussion to an arbitrary set of weights. Finally, we show that if one introduces an additional kinematic bound on the average density of balls per box then a new condensed phase appears in the phase diagram. It bears some similarity to the crinkled phase of simplicial gravity discussed recently in models of gravity interacting with matter fields
Linear response in stochastic mean-field theories and the onset of instabilities
International Nuclear Information System (INIS)
Colonna, M.; Chomaz, Ph.
1993-01-01
The small amplitude response of stochastic one-body theories, such as the Boltzmann-Langevin approach is studied. Whereas the two-time correlation function only describes the propagation of fluctuations initially present, the equal-time correlation function is related to the source of stochasticity. For stable systems it yields the Einstein relation, while for unstable systems it determines the growth of the instabilities. These features are illustrated for unstable nuclear matter in two dimensions. (author) 14 refs.; 5 figs
Mean-Field-Game Model for Botnet Defense in Cyber-Security
Energy Technology Data Exchange (ETDEWEB)
Kolokoltsov, V. N., E-mail: v.kolokoltsov@warwick.ac.uk [University of Warwick, Department of Statistics (United Kingdom); Bensoussan, A. [The University of Texas at Dallas, School of Management (United States)
2016-12-15
We initiate the analysis of the response of computer owners to various offers of defence systems against a cyber-hacker (for instance, a botnet attack), as a stochastic game of a large number of interacting agents. We introduce a simple mean-field game that models their behavior. It takes into account both the random process of the propagation of the infection (controlled by the botner herder) and the decision making process of customers. Its stationary version turns out to be exactly solvable (but not at all trivial) under an additional natural assumption that the execution time of the decisions of the customers (say, switch on or out the defence system) is much faster that the infection rates.
Mean-Field-Game Model for Botnet Defense in Cyber-Security
International Nuclear Information System (INIS)
Kolokoltsov, V. N.; Bensoussan, A.
2016-01-01
We initiate the analysis of the response of computer owners to various offers of defence systems against a cyber-hacker (for instance, a botnet attack), as a stochastic game of a large number of interacting agents. We introduce a simple mean-field game that models their behavior. It takes into account both the random process of the propagation of the infection (controlled by the botner herder) and the decision making process of customers. Its stationary version turns out to be exactly solvable (but not at all trivial) under an additional natural assumption that the execution time of the decisions of the customers (say, switch on or out the defence system) is much faster that the infection rates.
Lyapunov exponent and criticality in the Hamiltonian mean field model
Filho, L. H. Miranda; Amato, M. A.; Rocha Filho, T. M.
2018-03-01
We investigate the dependence of the largest Lyapunov exponent (LLE) of an N-particle self-gravitating ring model at equilibrium with respect to the number of particles and its dependence on energy. This model has a continuous phase-transition from a ferromagnetic to homogeneous phase, and we numerically confirm with large scale simulations the existence of a critical exponent associated to the LLE, although at variance with the theoretical estimate. The existence of strong chaos in the magnetized state evidenced by a positive Lyapunov exponent is explained by the coupling of individual particle oscillations to the diffusive motion of the center of mass of the system and also results in a change of the scaling of the LLE with the number of particles. We also discuss thoroughly for the model the validity and limits of the approximations made by a geometrical model for their analytic estimate.
Energy Technology Data Exchange (ETDEWEB)
Juillet, O.; Gulminelli, F. [Caen Univ., Lab. de Physique Corpusculaire (LPC/ENSICAEN), 14 (France); Chomaz, Ph. [Grand Accelerateur National d' Ions Lourds (GANIL), 14 - Caen (France)
2003-11-01
The canonical thermodynamic properties of a one-dimensional system of interacting spin-1/2 fermions with an attractive zero-range pseudo-potential are investigated within an exact approach. The density operator is evaluated as the statistical average of dyadics formed from a stochastic mean-field propagation of independent Slater determinants. For an harmonically trapped Fermi gas and for fermions confined in a 1D-like torus, we observe the transition to a quasi-BCS state with Cooper-like momentum correlations and an algebraic long-range order. For few trapped fermions in a rotating torus, a dominant superfluid component with quantized circulation can be isolated. (author)
DEFF Research Database (Denmark)
Lerchner, Alexander; Sterner, G.; Hertz, J.
2006-01-01
We present a complete mean field theory for a balanced state of a simple model of an orientation hypercolumn, with a numerical procedure for solving the mean-field equations quantitatively. With our treatment, one can determine self-consistently both the firing rates and the firing correlations...
Pineda, M.; Stamatakis, M.
2017-07-01
Modeling the kinetics of surface catalyzed reactions is essential for the design of reactors and chemical processes. The majority of microkinetic models employ mean-field approximations, which lead to an approximate description of catalytic kinetics by assuming spatially uncorrelated adsorbates. On the other hand, kinetic Monte Carlo (KMC) methods provide a discrete-space continuous-time stochastic formulation that enables an accurate treatment of spatial correlations in the adlayer, but at a significant computation cost. In this work, we use the so-called cluster mean-field approach to develop higher order approximations that systematically increase the accuracy of kinetic models by treating spatial correlations at a progressively higher level of detail. We further demonstrate our approach on a reduced model for NO oxidation incorporating first nearest-neighbor lateral interactions and construct a sequence of approximations of increasingly higher accuracy, which we compare with KMC and mean-field. The latter is found to perform rather poorly, overestimating the turnover frequency by several orders of magnitude for this system. On the other hand, our approximations, while more computationally intense than the traditional mean-field treatment, still achieve tremendous computational savings compared to KMC simulations, thereby opening the way for employing them in multiscale modeling frameworks.
Isospin-dependent properties of asymmetric nuclear matter in relativistic mean-field models
Chen, Lie-Wen; Ko, Che Ming; Li, Bao-An
2007-01-01
Using various relativistic mean-field models, including the nonlinear ones with meson field self-interactions, those with density-dependent meson-nucleon couplings, and the point-coupling models without meson fields, we have studied the isospin-dependent bulk and single-particle properties of asymmetric nuclear matter. In particular, we have determined the density dependence of nuclear symmetry energy from these different relativistic mean-field models and compare the results with the constra...
Mean field theory of nuclei and shell model. Present status and future outlook
International Nuclear Information System (INIS)
Nakada, Hitoshi
2003-01-01
Many of the recent topics of the nuclear structure are concerned on the problems of unstable nuclei. It has been revealed experimentally that the nuclear halos and the neutron skins as well as the cluster structures or the molecule-like structures can be present in the unstable nuclei, and the magic numbers well established in the stable nuclei disappear occasionally while new ones appear. The shell model based on the mean field approximation has been successfully applied to stable nuclei to explain the nuclear structure as the finite many body system quantitatively and it is considered as the standard model at present. If the unstable nuclei will be understood on the same model basis or not is a matter related to fundamental principle of nuclear structure theories. In this lecture, the fundamental concept and the framework of the theory of nuclear structure based on the mean field theory and the shell model are presented to make clear the problems and to suggest directions for future researches. At first fundamental properties of nuclei are described under the subtitles: saturation and magic numbers, nuclear force and effective interactions, nuclear matter, and LS splitting. Then the mean field theory is presented under subtitles: the potential model, the mean field theory, Hartree-Fock approximation for nuclear matter, density dependent force, semiclassical mean field theory, mean field theory and symmetry, Skyrme interaction and density functional, density matrix expansion, finite range interactions, effective masses, and motion of center of mass. The subsequent section is devoted to the shell model with the subtitles: beyond the mean field approximation, core polarization, effective interaction of shell model, one-particle wave function, nuclear deformation and shell model, and shell model of cross shell. Finally structure of unstable nuclei is discussed with the subtitles: general remark on the study of unstable nuclear structure, asymptotic behavior of wave
Constitutive modeling of two phase materials using the Mean Field method for homogenization
Perdahcioglu, Emin Semih; Geijselaers, Hubertus J.M.
2010-01-01
A Mean-Field homogenization framework for constitutive modeling of materials involving two distinct elastic-plastic phases is presented. With this approach it is possible to compute the macroscopic mechanical behavior of this type of materials based on the constitutive models of the constituent
Lerchner, A; Hertz, J; Ahmadi, M
2004-01-01
We present a complete mean field theory for a balanced state of a simple model of an orientation hypercolumn. The theory is complemented by a description of a numerical procedure for solving the mean-field equations quantitatively. With our treatment, we can determine self-consistently both the firing rates and the firing correlations, without being restricted to specific neuron models. Here, we solve the analytically derived mean-field equations numerically for integrate-and-fire neurons. Several known key properties of orientation selective cortical neurons emerge naturally from the description: Irregular firing with statistics close to -- but not restricted to -- Poisson statistics; an almost linear gain function (firing frequency as a function of stimulus contrast) of the neurons within the network; and a contrast-invariant tuning width of the neuronal firing. We find that the irregularity in firing depends sensitively on synaptic strengths. If Fano factors are bigger than 1, then they are so for all stim...
Mean field theories and dual variation mathematical structures of the mesoscopic model
Suzuki, Takashi
2015-01-01
Mean field approximation has been adopted to describe macroscopic phenomena from microscopic overviews. It is still in progress; fluid mechanics, gauge theory, plasma physics, quantum chemistry, mathematical oncology, non-equilibirum thermodynamics. spite of such a wide range of scientific areas that are concerned with the mean field theory, a unified study of its mathematical structure has not been discussed explicitly in the open literature. The benefit of this point of view on nonlinear problems should have significant impact on future research, as will be seen from the underlying features of self-assembly or bottom-up self-organization which is to be illustrated in a unified way. The aim of this book is to formulate the variational and hierarchical aspects of the equations that arise in the mean field theory from macroscopic profiles to microscopic principles, from dynamics to equilibrium, and from biological models to models that arise from chemistry and physics.
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 ...
Should the coupling constants be mass dependent in the relativistic mean field models
International Nuclear Information System (INIS)
Levai, P.; Lukacs, B.
1986-05-01
Mass dependent coupling constants are proposed for baryonic resonances in the relativistic mean field model, according to the mass splitting of the SU-6 multiplet. With this choice the negative effective masses are avoided and the system remains nucleon dominated with moderate antidelta abundance. (author)
Neutron-skin thickness of finite nuclei in relativistic mean-field models with chiral limits
International Nuclear Information System (INIS)
Jiang Weizhou; Li Baoan; Chen Liewen
2007-01-01
We study several structure properties of finite nuclei using relativistic mean-field Lagrangians constructed according to the Brown-Rho scaling due to the chiral symmetry restoration at high densities. The models are consistent with current experimental constraints for the equations of state of symmetric matter at both normal and supranormal densities and of asymmetric matter at subsaturation densities. It is shown that these models can successfully describe the binding energies and charge radii of finite nuclei. Compared to calculations with usual relativistic mean-field models, these models give a reduced thickness of neutron skin in 208 Pb between 0.17 fm and 0.21 fm. The reduction of the predicted neutron skin thickness is found to be due to not only the softening of the symmetry energy but also the scaling property of ρ meson required by the partial restoration of chiral symmetry
Skyrme-Hartree-Fock in the realm of nuclear mean field models
International Nuclear Information System (INIS)
Reinhard, P.G.; Reiss, C.; Maruhn, J.; Bender, M.; Buervenich, T.; Greiner, W.
2000-01-01
We discuss and compare two brands of nuclear mean field models, the Skyrme-Hartree-Fock scheme (SHF) and the relativistic mean field model (RMF). Similarities and differences are worked out on a formal basis and with respect to the models performance in describing nuclear data. The bulk observables of stable nuclei are all described very well. Differences come up when extrapolating to exotic nuclei. The typically larger asymmetry energy in RMF leads to a larger neutron skin. Superheavy nuclei are found to be very sensitive on the single particle levels particularly on the spin orbit splitting. Ground state correlations from collective surface vibrations can have a significant effect on difference observables, as two-nucleon separation energy and two-nucleon shell gap. (author)
Isospin-dependent properties of asymmetric nuclear matter in relativistic mean field models
Chen, Lie-Wen; Ko, Che Ming; Li, Bao-An
2007-11-01
Using various relativistic mean-field models, including nonlinear ones with meson field self-interactions, models with density-dependent meson-nucleon couplings, and point-coupling models without meson fields, we have studied the isospin-dependent bulk and single-particle properties of asymmetric nuclear matter. In particular, we have determined the density dependence of nuclear symmetry energy from these different relativistic mean-field models and compared the results with the constraints recently extracted from analyses of experimental data on isospin diffusion and isotopic scaling in intermediate energy heavy-ion collisions as well as from measured isotopic dependence of the giant monopole resonances in even-A Sn isotopes. Among the 23 parameter sets in the relativistic mean-field model that are commonly used for nuclear structure studies, only a few are found to give symmetry energies that are consistent with the empirical constraints. We have also studied the nuclear symmetry potential and the isospin splitting of the nucleon effective mass in isospin asymmetric nuclear matter. We find that both the momentum dependence of the nuclear symmetry potential at fixed baryon density and the isospin splitting of the nucleon effective mass in neutron-rich nuclear matter depend not only on the nuclear interactions but also on the definition of the nucleon optical potential.
Neutron fraction and neutrino mean free path predictions in relativistic mean field models
International Nuclear Information System (INIS)
Hutauruk, P.T.P.; Williams, C.K.; Sulaksono, A.; Mart, T.
2004-01-01
The equation of state (EOS) of dense matter and neutrino mean free path (NMFP) in a neutron star have been studied by using relativistic mean field models motivated by effective field theory. It is found that the models predict too large proton fractions, although one of the models (G2) predicts an acceptable EOS. This is caused by the isovector terms. Except G2, the other two models predict anomalous NMFP's. In order to minimize the anomaly, besides an acceptable EOS, a large M* is favorable. A model with large M* retains the regularity in the NMFP even for a small neutron fraction
Higgs and confinement phases in the fundamental SU(2) Higgs model: Mean field analysis
International Nuclear Information System (INIS)
Damgaard, P.H.; Heller, U.M.
1985-01-01
The phase diagram of the four-dimensional SU(2) gauge-Higgs model with Higgs field in the fundamental representation is derived by mean field techniques. When the Higgs field is allowed to fluctuate in. Magnitude, the analytic connection between Higgs and confinement phases breaks down for sufficiently small values of the quark Higgs coupling, indicating that the Higgs and confinement phases for these couplings are strictly distinct phases. (orig.)
Statistical thermodynamics and mean-field theory for the alloy under irradiation model
International Nuclear Information System (INIS)
Kamyshendo, V.
1993-01-01
A generalization of statistical thermodynamics to the open systems case, is discussed, using as an example the alloy-under-irradiation model. The statistical properties of stationary states are described with the use of generalized thermodynamic potentials and 'quasi-interactions' determined from the master equation for micro-configuration probabilities. Methods for resolving this equation are illustrated by the mean-field type calculations of correlators, thermodynamic potentials and phase diagrams for disordered alloys
A new nonlinear mean-field model of neutron star matter
Miyazaki, K
2005-01-01
A new relativistic mean-field model of neutron star matter is developed. It is a generalization of the Zimanyi-Moszkowski (ZM) model based on the constituent quark picture of baryons. The renormalized meson-hyperon coupling constants in medium are uniquely determined in contrast to the naive extention of ZM model and so the application of the model to high-density neutron star (NS) matter is possible. Our results of the particle composition and the mass-radius relation of NSs agree well with those obtained from the phenomenologically-determined realistic equation-of-state.
Giant halos in medium nuclei within modified relativistic mean field (MRMF) model
Energy Technology Data Exchange (ETDEWEB)
Nugraha, A. M., E-mail: alpi.mahisha@gmail.com; Sulaksono, A. [Departemen Fisika, FMIPA, Universitas Indonesia, Kampus UI Depok (Indonesia); Sumaryada, T. [Department of Physics, Bogor Agricultural University, Jalan Meranti Kampus IPB Dramaga Bogor 16680 (Indonesia)
2016-04-19
The large number of neutrons in a region beyond a closed shell core indicates the presence of giant halos in nuclei. In this work, by using the Rotival method within a modified relativistic mean field (MRMF) model, we predict theoretically the formation of giant halos in Cr and Zr isotopes. The MRMF model is a modification of standard RMF model augmented with isoscalar and isovector tensor terms, isovector-isoscalar vector cross coupling term and electromagnetic exchange term for Coulomb interaction in local density approximation (LDA).
A dynamic mean-field glass model with reversible mode coupling and a trivial Hamiltonian
International Nuclear Information System (INIS)
Kawasaki, Kyozi; Kim, Bongsoo
2002-01-01
Often the current mode coupling theory (MCT) of glass transitions is compared with mean field theories. We explore this possible correspondence. After showing a simple-minded derivation of MCT with some difficulties we give a concise account of our toy model developed to gain more insight into MCT. We then reduce this toy model by adiabatically eliminating rapidly varying velocity-like variables to obtain a Fokker-Planck equation for the slowly varying density-like variables where the diffusion matrix can be singular. This gives room for non-ergodic stationary solutions of the above equation. (author)
Out-of-equilibrium dynamical mean-field equations for the perceptron model
Agoritsas, Elisabeth; Biroli, Giulio; Urbani, Pierfrancesco; Zamponi, Francesco
2018-02-01
Perceptrons are the building blocks of many theoretical approaches to a wide range of complex systems, ranging from neural networks and deep learning machines, to constraint satisfaction problems, glasses and ecosystems. Despite their applicability and importance, a detailed study of their Langevin dynamics has never been performed yet. Here we derive the mean-field dynamical equations that describe the continuous random perceptron in the thermodynamic limit, in a very general setting with arbitrary noise and friction kernels, not necessarily related by equilibrium relations. We derive the equations in two ways: via a dynamical cavity method, and via a path-integral approach in its supersymmetric formulation. The end point of both approaches is the reduction of the dynamics of the system to an effective stochastic process for a representative dynamical variable. Because the perceptron is formally very close to a system of interacting particles in a high dimensional space, the methods we develop here can be transferred to the study of liquid and glasses in high dimensions. Potentially interesting applications are thus the study of the glass transition in active matter, the study of the dynamics around the jamming transition, and the calculation of rheological properties in driven systems.
A Fractional Micro-Macro Model for Crowds of Pedestrians Based on Fractional Mean Field Games
Institute of Scientific and Technical Information of China (English)
Kecai Cao; Yang Quan Chen; Daniel Stuart
2016-01-01
Modeling a crowd of pedestrians has been considered in this paper from different aspects. Based on fractional microscopic model that may be much more close to reality, a fractional macroscopic model has been proposed using conservation law of mass. Then in order to characterize the competitive and cooperative interactions among pedestrians, fractional mean field games are utilized in the modeling problem when the number of pedestrians goes to infinity and fractional dynamic model composed of fractional backward and fractional forward equations are constructed in macro scale. Fractional micromacro model for crowds of pedestrians are obtained in the end.Simulation results are also included to illustrate the proposed fractional microscopic model and fractional macroscopic model,respectively.
Inverse problem for the mean-field monomer-dimer model with attractive interaction
International Nuclear Information System (INIS)
Contucci, Pierluigi; Luzi, Rachele; Vernia, Cecilia
2017-01-01
The inverse problem method is tested for a class of monomer-dimer statistical mechanics models that contain also an attractive potential and display a mean-field critical point at a boundary of a coexistence line. The inversion is obtained by analytically identifying the parameters in terms of the correlation functions and via the maximum-likelihood method. The precision is tested in the whole phase space and, when close to the coexistence line, the algorithm is used together with a clustering method to take care of the underlying possible ambiguity of the inversion. (paper)
High-conductance states in a mean-field cortical network model
Lerchner, A; Hertz, J
2004-01-01
Measured responses from visual cortical neurons show that spike times tend to be correlated rather than exactly Poisson distributed. Fano factors vary and are usually greater than 1 due to the tendency of spikes being clustered into bursts. We show that this behavior emerges naturally in a balanced cortical network model with random connectivity and conductance-based synapses. We employ mean field theory with correctly colored noise to describe temporal correlations in the neuronal activity. Our results illuminate the connection between two independent experimental findings: high conductance states of cortical neurons in their natural environment, and variable non-Poissonian spike statistics with Fano factors greater than 1.
Solution of the hyperon puzzle within a relativistic mean-field model
Energy Technology Data Exchange (ETDEWEB)
Maslov, K.A. [National Research Nuclear University (MEPhI), 115409 Moscow (Russian Federation); Kolomeitsev, E.E., E-mail: E.Kolomeitsev@gsi.de [Matej Bel University, SK-97401 Banska Bystrica (Slovakia); Voskresensky, D.N. [National Research Nuclear University (MEPhI), 115409 Moscow (Russian Federation)
2015-09-02
The equation of state of cold baryonic matter is studied within a relativistic mean-field model with hadron masses and coupling constants depending on the scalar field. All hadron masses undergo a universal scaling, whereas the couplings are scaled differently. The appearance of hyperons in dense neutron star interiors is accounted for, however the equation of state remains sufficiently stiff if the reduction of the ϕ meson mass is included. Our equation of state matches well the constraints known from analyses of the astrophysical data and particle production in heavy-ion collisions.
Solution of the hyperon puzzle within a relativistic mean-field model
Directory of Open Access Journals (Sweden)
K.A. Maslov
2015-09-01
Full Text Available The equation of state of cold baryonic matter is studied within a relativistic mean-field model with hadron masses and coupling constants depending on the scalar field. All hadron masses undergo a universal scaling, whereas the couplings are scaled differently. The appearance of hyperons in dense neutron star interiors is accounted for, however the equation of state remains sufficiently stiff if the reduction of the ϕ meson mass is included. Our equation of state matches well the constraints known from analyses of the astrophysical data and particle production in heavy-ion collisions.
New mean-field calculations for the phase diagram of the Annni model
International Nuclear Information System (INIS)
Tome, T.; Salinas, S.R.A.
1987-01-01
A variational procedure, with the inclusion of some spin fluctuations, to go beyond the standard layer-by-layer mean-field calculations for the T-p phase diagram of the ANNNI model is used. The high temperature region is studied analytically. The transition lines meet smoothly at the Lifshitz point, which is an inflection point of the second-order paramagnetic border. At low temperature, these numerical resuls confirm the stability of the main commensurate phases and show a quantitative trend towards the preductions f the Monte Carlo analyses. (author) [pt
A mean field study of the quasi-one-dimensional antiferromagnetic anisotropic Heisenberg model
International Nuclear Information System (INIS)
Benyoussef, A.
1996-10-01
The effect of the chain and the dimer anisotropies on the ground state energy and the energy gap of the spin-1/2 quasi-one-dimensional antiferromagnetic Heisenberg model is investigated using a mean field theory. The dependence of the magnetization and the effective hopping parameters on the anisotropy α xy (=J xy perpendicular /J xy parallel ) are presented for several values of the chain anisotropy. However, such a system exhibits a transition from antiferromagnetic ordered to disordered phases for arbitrary chain anisotropy and dimer anisotropy. (author). 22 refs, 11 figs
Saggar, Manish; Zanesco, Anthony P; King, Brandon G; Bridwell, David A; MacLean, Katherine A; Aichele, Stephen R; Jacobs, Tonya L; Wallace, B Alan; Saron, Clifford D; Miikkulainen, Risto
2015-07-01
Meditation training has been shown to enhance attention and improve emotion regulation. However, the brain processes associated with such training are poorly understood and a computational modeling framework is lacking. Modeling approaches that can realistically simulate neurophysiological data while conforming to basic anatomical and physiological constraints can provide a unique opportunity to generate concrete and testable hypotheses about the mechanisms supporting complex cognitive tasks such as meditation. Here we applied the mean-field computational modeling approach using the scalp-recorded electroencephalogram (EEG) collected at three assessment points from meditating participants during two separate 3-month-long shamatha meditation retreats. We modeled cortical, corticothalamic, and intrathalamic interactions to generate a simulation of EEG signals recorded across the scalp. We also present two novel extensions to the mean-field approach that allow for: (a) non-parametric analysis of changes in model parameter values across all channels and assessments; and (b) examination of variation in modeled thalamic reticular nucleus (TRN) connectivity over the retreat period. After successfully fitting whole-brain EEG data across three assessment points within each retreat, two model parameters were found to replicably change across both meditation retreats. First, after training, we observed an increased temporal delay between modeled cortical and thalamic cells. This increase provides a putative neural mechanism for a previously observed reduction in individual alpha frequency in these same participants. Second, we found decreased inhibitory connection strength between the TRN and secondary relay nuclei (SRN) of the modeled thalamus after training. This reduction in inhibitory strength was found to be associated with increased dynamical stability of the model. Altogether, this paper presents the first computational approach, taking core aspects of physiology and
Critical behavior of mean-field hadronic models for warm nuclear matter
International Nuclear Information System (INIS)
Silva, J.B.; Lourenco, O.; Delfino, A.; Martins, J.S. Sa; Dutra, M.
2008-01-01
We study a set of hadronic mean-field models in the liquid-gas phase transition regime and calculate their critical parameters. The discussion is unified by scaling the coexistence curves in terms of these critical parameters. We study the models close to spinodal points, where they also present critical behavior. Inspired by signals of criticality shown in fragmentation experiments, we analyze two different scenarios in which such behavior would be expected: (i) the stability limits of a metastable system with vanishing external pressure; and (ii) the critical point of a gas-liquid phase equilibrium system for which the Maxwell construction applies. Spinodal and coexistence curves show the regions in which model dependence arises. Unexpectedly, this model dependence does not manifest if one calculates the thermal incompressibility of the models
Economic dynamics with financial fragility and mean-field interaction: A model
Di Guilmi, C.; Gallegati, M.; Landini, S.
2008-06-01
Following Aoki’s statistical mechanics methodology [Masanao Aoki, New Approaches to Macroeconomic Modeling, Cambridge University Press, 1996; Masanao Aoki, Modeling Aggregate Behaviour and Fluctuations in Economics, Cambridge University Press, 2002; Masanao Aoki, and Hiroshi Yoshikawa, Reconstructing Macroeconomics, Cambridge University Press, 2006], we provide some insights into the well-known works of [Bruce Greenwald, Joseph Stiglitz, Macroeconomic models with equity and credit rationing, in: R. Hubbard (Ed.), Information, Capital Markets and Investment, Chicago University Press, Chicago, 1990; Bruce Greenwald, Joseph Stiglitz, Financial markets imperfections and business cycles, Quarterly journal of Economics (1993)]. Specifically, we reach analytically a closed form solution of their models overcoming the aggregation problem. The key idea is to represent the economy as an evolving complex system, composed by heterogeneous interacting agents, that can be partitioned into a space of macroscopic states. This meso level of aggregation permits to adopt mean-field interaction modeling and master equation techniques.
On a mean field game optimal control approach modeling fast exit scenarios in human crowds
Burger, Martin; Di Francesco, Marco; Markowich, Peter A.; Wolfram, Marie Therese
2013-01-01
The understanding of fast exit and evacuation situations in crowd motion research has received a lot of scientific interest in the last decades. Security issues in larger facilities, like shopping malls, sports centers, or festivals necessitate a better understanding of the major driving forces in crowd dynamics. In this paper we present an optimal control approach modeling fast exit scenarios in pedestrian crowds. The model is formulated in the framework of mean field games and based on a parabolic optimal control problem. We consider the case of a large human crowd trying to exit a room as fast as possible. The motion of every pedestrian is determined by minimizing a cost functional, which depends on his/her position and velocity, the overall density of people, and the time to exit. This microscopic setup leads in a mean-field formulation to a nonlinear macroscopic optimal control problem, which raises challenging questions for the analysis and numerical simulations.We discuss different aspects of the mathematical modeling and illustrate them with various computational results. ©2013 IEEE.
On a mean field game optimal control approach modeling fast exit scenarios in human crowds
Burger, Martin
2013-12-01
The understanding of fast exit and evacuation situations in crowd motion research has received a lot of scientific interest in the last decades. Security issues in larger facilities, like shopping malls, sports centers, or festivals necessitate a better understanding of the major driving forces in crowd dynamics. In this paper we present an optimal control approach modeling fast exit scenarios in pedestrian crowds. The model is formulated in the framework of mean field games and based on a parabolic optimal control problem. We consider the case of a large human crowd trying to exit a room as fast as possible. The motion of every pedestrian is determined by minimizing a cost functional, which depends on his/her position and velocity, the overall density of people, and the time to exit. This microscopic setup leads in a mean-field formulation to a nonlinear macroscopic optimal control problem, which raises challenging questions for the analysis and numerical simulations.We discuss different aspects of the mathematical modeling and illustrate them with various computational results. ©2013 IEEE.
Antikaon condensation in neutron stars by a new nonlinear mean-field model
Miyazaki, K
2005-01-01
We have investigated both the K^- and \\bar{K}^0 condensations in beta-equilibrated neutron star (NS) matter using the relativistic mean-field model with the renormalized meson-baryon coupling constants. Adopting the antikaon optical potential of -120MeV, our model predicts the K^- condensation as the second-order phase transition inside the neutron star of maximum mass, while the deeper potential than -160MeV is ruled out. This is in contrast to the result of the density-dependent hadron field theory. Our model also predicts remarkable softening of the equation of state by the \\bar{K}^0 condensation at high densities. Although this is contrasted with the result of the nonlinear Walecka model, only the K^- condensation can be formed in NSs.
Edge-Corrected Mean-Field Hubbard Model: Principle and Applications in 2D Materials
Directory of Open Access Journals (Sweden)
Xi Zhang
2017-05-01
Full Text Available This work reviews the current progress of tight-binding methods and the recent edge-modified mean-field Hubbard model. Undercoordinated atoms (atoms not fully coordinated exist at a high rate in nanomaterials with their impact overlooked. A quantum theory was proposed to calculate electronic structure of nanomaterials by incorporating bond order-length-strength (BOLS correlation to mean-field Hubbard model, i.e., BOLS-HM. Consistency between the BOLS-HM calculation and density functional theory (DFT calculation on 2D materials verified that (i bond contractions and potential well depression occur at the edge of graphene, phosphorene, and antimonene nanoribbons; (ii the physical origin of the band gap opening of graphene, phosphorene, and antimonene nanoribbons lays in the enhancement of edge potentials and hopping integrals due to the shorter and stronger bonds between undercoordinated atoms; (iii the band gap of 2D material nanoribbons expand as the width decreases due to the increasing under-coordination effects of edges which modulates the conductive behaviors; and (iv non-bond electrons at the edges and atomic vacancies of 2D material accompanied with the broken bond contribute to the Dirac-Fermi polaron (DFP with a local magnetic moment.
Adaptive and self-averaging Thouless-Anderson-Palmer mean-field theory for probabilistic modeling
DEFF Research Database (Denmark)
Opper, Manfred; Winther, Ole
2001-01-01
We develop a generalization of the Thouless-Anderson-Palmer (TAP) mean-field approach of disorder physics. which makes the method applicable to the computation of approximate averages in probabilistic models for real data. In contrast to the conventional TAP approach, where the knowledge...... of the distribution of couplings between the random variables is required, our method adapts to the concrete set of couplings. We show the significance of the approach in two ways: Our approach reproduces replica symmetric results for a wide class of toy models (assuming a nonglassy phase) with given disorder...... distributions in the thermodynamic limit. On the other hand, simulations on a real data model demonstrate that the method achieves more accurate predictions as compared to conventional TAP approaches....
Quantum correlated cluster mean-field theory applied to the transverse Ising model.
Zimmer, F M; Schmidt, M; Maziero, Jonas
2016-06-01
Mean-field theory (MFT) is one of the main available tools for analytical calculations entailed in investigations regarding many-body systems. Recently, there has been a surge of interest in ameliorating this kind of method, mainly with the aim of incorporating geometric and correlation properties of these systems. The correlated cluster MFT (CCMFT) is an improvement that succeeded quite well in doing that for classical spin systems. Nevertheless, even the CCMFT presents some deficiencies when applied to quantum systems. In this article, we address this issue by proposing the quantum CCMFT (QCCMFT), which, in contrast to its former approach, uses general quantum states in its self-consistent mean-field equations. We apply the introduced QCCMFT to the transverse Ising model in honeycomb, square, and simple cubic lattices and obtain fairly good results both for the Curie temperature of thermal phase transition and for the critical field of quantum phase transition. Actually, our results match those obtained via exact solutions, series expansions or Monte Carlo simulations.
Effects of anisotropies in turbulent magnetic diffusion in mean-field solar dynamo models
Energy Technology Data Exchange (ETDEWEB)
Pipin, V. V. [Institute of Solar-Terrestrial Physics, Russian Academy of Sciences, Irkutsk 664033 (Russian Federation); Kosovichev, A. G. [Hansen Experimental Physics Laboratory, Stanford University, Stanford, CA 94305 (United States)
2014-04-10
We study how anisotropies of turbulent diffusion affect the evolution of large-scale magnetic fields and the dynamo process on the Sun. The effect of anisotropy is calculated in a mean-field magnetohydrodynamics framework assuming that triple correlations provide relaxation to the turbulent electromotive force (so-called the 'minimal τ-approximation'). We examine two types of mean-field dynamo models: the well-known benchmark flux-transport model and a distributed-dynamo model with a subsurface rotational shear layer. For both models, we investigate effects of the double- and triple-cell meridional circulation, recently suggested by helioseismology and numerical simulations. To characterize the anisotropy effects, we introduce a parameter of anisotropy as a ratio of the radial and horizontal intensities of turbulent mixing. It is found that the anisotropy affects the distribution of magnetic fields inside the convection zone. The concentration of the magnetic flux near the bottom and top boundaries of the convection zone is greater when the anisotropy is stronger. It is shown that the critical dynamo number and the dynamo period approach to constant values for large values of the anisotropy parameter. The anisotropy reduces the overlap of toroidal magnetic fields generated in subsequent dynamo cycles, in the time-latitude 'butterfly' diagram. If we assume that sunspots are formed in the vicinity of the subsurface shear layer, then the distributed dynamo model with the anisotropic diffusivity satisfies the observational constraints from helioseismology and is consistent with the value of effective turbulent diffusion estimated from the dynamics of surface magnetic fields.
Balanced growth path solutions of a Boltzmann mean field game model for knowledge growth
Burger, Martin
2016-11-18
In this paper we study balanced growth path solutions of a Boltzmann mean field game model proposed by Lucas and Moll [15] to model knowledge growth in an economy. Agents can either increase their knowledge level by exchanging ideas in learning events or by producing goods with the knowledge they already have. The existence of balanced growth path solutions implies exponential growth of the overall production in time. We prove existence of balanced growth path solutions if the initial distribution of individuals with respect to their knowledge level satisfies a Pareto-tail condition. Furthermore we give first insights into the existence of such solutions if in addition to production and knowledge exchange the knowledge level evolves by geometric Brownian motion.
Malpetti, Daniele; Roscilde, Tommaso
2017-02-01
The mean-field approximation is at the heart of our understanding of complex systems, despite its fundamental limitation of completely neglecting correlations between the elementary constituents. In a recent work [Phys. Rev. Lett. 117, 130401 (2016), 10.1103/PhysRevLett.117.130401], we have shown that in quantum many-body systems at finite temperature, two-point correlations can be formally separated into a thermal part and a quantum part and that quantum correlations are generically found to decay exponentially at finite temperature, with a characteristic, temperature-dependent quantum coherence length. The existence of these two different forms of correlation in quantum many-body systems suggests the possibility of formulating an approximation, which affects quantum correlations only, without preventing the correct description of classical fluctuations at all length scales. Focusing on lattice boson and quantum Ising models, we make use of the path-integral formulation of quantum statistical mechanics to introduce such an approximation, which we dub quantum mean-field (QMF) approach, and which can be readily generalized to a cluster form (cluster QMF or cQMF). The cQMF approximation reduces to cluster mean-field theory at T =0 , while at any finite temperature it produces a family of systematically improved, semi-classical approximations to the quantum statistical mechanics of the lattice theory at hand. Contrary to standard MF approximations, the correct nature of thermal critical phenomena is captured by any cluster size. In the two exemplary cases of the two-dimensional quantum Ising model and of two-dimensional quantum rotors, we study systematically the convergence of the cQMF approximation towards the exact result, and show that the convergence is typically linear or sublinear in the boundary-to-bulk ratio of the clusters as T →0 , while it becomes faster than linear as T grows. These results pave the way towards the development of semiclassical numerical
Baró, Jordi; Davidsen, Jörn
2018-03-01
The hypothesis of critical failure relates the presence of an ultimate stability point in the structural constitutive equation of materials to a divergence of characteristic scales in the microscopic dynamics responsible for deformation. Avalanche models involving critical failure have determined common universality classes for stick-slip processes and fracture. However, not all empirical failure processes exhibit the trademarks of criticality. The rheological properties of materials introduce dissipation, usually reproduced in conceptual models as a hardening of the coarse grained elements of the system. Here, we investigate the effects of transient hardening on (i) the activity rate and (ii) the statistical properties of avalanches. We find the explicit representation of transient hardening in the presence of generalized viscoelasticity and solve the corresponding mean-field model of fracture. In the quasistatic limit, the accelerated energy release is invariant with respect to rheology and the avalanche propagation can be reinterpreted in terms of a stochastic counting process. A single universality class can be defined from such analogy, and all statistical properties depend only on the distance to criticality. We also prove that interevent correlations emerge due to the hardening—even in the quasistatic limit—that can be interpreted as "aftershocks" and "foreshocks."
High-conductance states in a mean-field cortical network model
DEFF Research Database (Denmark)
Lerchner, Alexander; Ahmadi, Mandana; Hertz, John
2004-01-01
cortical network model with random connectivity and conductance-based synapses. We employ mean-field theory with correctly colored noise to describe temporal correlations in the neuronal activity. Our results illuminate the connection between two independent experimental findings: high-conductance states......Measured responses from visual cortical neurons show that spike times tend to be correlated rather than exactly Poisson distributed. Fano factors vary and are usually greater than 1, indicating a tendency toward spikes being clustered. We show that this behavior emerges naturally in a balanced...... of cortical neurons in their natural environment, and variable non-Poissonian spike statistics with Fano factors greater than 1. (C) 2004 Elsevier B.V. All rights reserved....
Simple Theory for the Dynamics of Mean-Field-Like Models of Glass-Forming Fluids
Szamel, Grzegorz
2017-10-01
We propose a simple theory for the dynamics of model glass-forming fluids, which should be solvable using a mean-field-like approach. The theory is based on transparent physical assumptions, which can be tested in computer simulations. The theory predicts an ergodicity-breaking transition that is identical to the so-called dynamic transition predicted within the replica approach. Thus, it can provide the missing dynamic component of the random first order transition framework. In the large-dimensional limit the theory reproduces the result of a recent exact calculation of Maimbourg et al. [Phys. Rev. Lett. 116, 015902 (2016), 10.1103/PhysRevLett.116.015902]. Our approach provides an alternative, physically motivated derivation of this result.
Small traveling clusters in attractive and repulsive Hamiltonian mean-field models.
Barré, Julien; Yamaguchi, Yoshiyuki Y
2009-03-01
Long-lasting small traveling clusters are studied in the Hamiltonian mean-field model by comparing between attractive and repulsive interactions. Nonlinear Landau damping theory predicts that a Gaussian momentum distribution on a spatially homogeneous background permits the existence of traveling clusters in the repulsive case, as in plasma systems, but not in the attractive case. Nevertheless, extending the analysis to a two-parameter family of momentum distributions of Fermi-Dirac type, we theoretically predict the existence of traveling clusters in the attractive case; these findings are confirmed by direct N -body numerical simulations. The parameter region with the traveling clusters is much reduced in the attractive case with respect to the repulsive case.
Continuous spin mean-field models : Limiting kernels and Gibbs properties of local transforms
Kulske, Christof; Opoku, Alex A.
2008-01-01
We extend the notion of Gibbsianness for mean-field systems to the setup of general (possibly continuous) local state spaces. We investigate the Gibbs properties of systems arising from an initial mean-field Gibbs measure by application of given local transition kernels. This generalizes previous
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...
Dispersive versus constant-geometry models of the neutron-208Pb mean field
International Nuclear Information System (INIS)
Mahaux, C.; Sartor, R.
1990-01-01
Phenomenological optical-model analyses of differential elastic scattering cross sections of neutrons by 208 Pb indicate that the radius of the real part of the potential decreases with increasing energy in the domain 4< E<40 MeV. On the other hand, the experimental total cross section is compatible with a real potential whose radial shape is energy independent. In order to clarify this situation, we compare a 'constant geometry' model whose real part has an energy-independent radial shape with a 'dispersive model' whose real part has an energy-dependent radial shape calculated from the dispersion relation which connects the real and imaginary parts of the field. The following three main features are considered. (i) The junction of the optical-model potential with the shell-model potential at negative energy. (ii) The agreement between the calculated total and differential cross sections and their experimental values. (iii) The extent to which the real part of the optical-model potential can be accurately determined by analyzing the total cross section only. It is concluded that the presently available experimental data support the existence of an energy dependence of the radial shape of the real potential, in keeping with the dispersion relation. A new parametrization of a 'dispersive' mean field is also presented. It does not involve more parameters than the previously published one but takes better account of the physical properties of the spectral functions; it is shown to improve the agreement between predicted and experimental scattering data. (orig.)
Dedes, I.; Dudek, J.
2018-03-01
We examine the effects of the parametric correlations on the predictive capacities of the theoretical modelling keeping in mind the nuclear structure applications. The main purpose of this work is to illustrate the method of establishing the presence and determining the form of parametric correlations within a model as well as an algorithm of elimination by substitution (see text) of parametric correlations. We examine the effects of the elimination of the parametric correlations on the stabilisation of the model predictions further and further away from the fitting zone. It follows that the choice of the physics case and the selection of the associated model are of secondary importance in this case. Under these circumstances we give priority to the relative simplicity of the underlying mathematical algorithm, provided the model is realistic. Following such criteria, we focus specifically on an important but relatively simple case of doubly magic spherical nuclei. To profit from the algorithmic simplicity we chose working with the phenomenological spherically symmetric Woods–Saxon mean-field. We employ two variants of the underlying Hamiltonian, the traditional one involving both the central and the spin orbit potential in the Woods–Saxon form and the more advanced version with the self-consistent density-dependent spin–orbit interaction. We compare the effects of eliminating of various types of correlations and discuss the improvement of the quality of predictions (‘predictive power’) under realistic parameter adjustment conditions.
Open-System Quantum Annealing in Mean-Field Models with Exponential Degeneracy*
Directory of Open Access Journals (Sweden)
Kostyantyn Kechedzhi
2016-05-01
Full Text Available Real-life quantum computers are inevitably affected by intrinsic noise resulting in dissipative nonunitary dynamics realized by these devices. We consider an open-system quantum annealing algorithm optimized for such a realistic analog quantum device which takes advantage of noise-induced thermalization and relies on incoherent quantum tunneling at finite temperature. We theoretically analyze the performance of this algorithm considering a p-spin model that allows for a mean-field quasiclassical solution and, at the same time, demonstrates the first-order phase transition and exponential degeneracy of states, typical characteristics of spin glasses. We demonstrate that finite-temperature effects introduced by the noise are particularly important for the dynamics in the presence of the exponential degeneracy of metastable states. We determine the optimal regime of the open-system quantum annealing algorithm for this model and find that it can outperform simulated annealing in a range of parameters. Large-scale multiqubit quantum tunneling is instrumental for the quantum speedup in this model, which is possible because of the unusual nonmonotonous temperature dependence of the quantum-tunneling action in this model, where the most efficient transition rate corresponds to zero temperature. This model calculation is the first analytically tractable example where open-system quantum annealing algorithm outperforms simulated annealing, which can, in principle, be realized using an analog quantum computer.
Higgs-Yukawa model with higher dimension operators via extended mean field theory
Akerlund, Oscar
2016-01-01
Using Extended Mean Field Theory (EMFT) on the lattice, we study properties of the Higgs-Yukawa model as an approximation of the Standard Model Higgs sector, and the effect of higher dimension operators. We note that the discussion of vacuum stability is completely modified in the presence of a $\\phi^6$ term, and that the Higgs mass no longer appears fine tuned. We also study the finite temperature transition. Without higher dimension operators the transition is found to be second order (crossover with gauge fields) for the experimental value of the Higgs mass $M_h=125$ GeV. By taking a $\\phi^6$ interaction in the Higgs potential as a proxy for a UV completion of the Standard Model, the transition becomes stronger and turns first order if the scale of new physics, i.e. the mass of the lightest mediator particle, is around $1.5$ TeV. This implies that electroweak baryogenesis may be viable in models which introduce new particles around that scale.
International Nuclear Information System (INIS)
Hasegawa, Hideo
2003-01-01
A dynamical mean-field approximation (DMA) previously proposed by the present author [H. Hasegawa, Phys. Rev E 67, 041903 (2003)] has been extended to ensembles described by a general noisy spiking neuron model. Ensembles of N-unit neurons, each of which is expressed by coupled K-dimensional differential equations (DEs), are assumed to be subject to spatially correlated white noises. The original KN-dimensional stochastic DEs have been replaced by K(K+2)-dimensional deterministic DEs expressed in terms of means and the second-order moments of local and global variables: the fourth-order contributions are taken into account by the Gaussian decoupling approximation. Our DMA has been applied to an ensemble of Hodgkin-Huxley (HH) neurons (K=4), for which effects of the noise, the coupling strength, and the ensemble size on the response to a single-spike input have been investigated. Numerical results calculated by the DMA theory are in good agreement with those obtained by direct simulations, although the former computation is about a thousand times faster than the latter for a typical HH neuron ensemble with N=100
Mean-field modeling approach for understanding epidemic dynamics in interconnected networks
International Nuclear Information System (INIS)
Zhu, Guanghu; Fu, Xinchu; Tang, Qinggan; Li, Kezan
2015-01-01
Modern systems (e.g., social, communicant, biological networks) are increasingly interconnected each other formed as ‘networks of networks’. Such complex systems usually possess inconsistent topologies and permit agents distributed in different subnetworks to interact directly/indirectly. Corresponding dynamics phenomena, such as the transmission of information, power, computer virus and disease, would exhibit complicated and heterogeneous tempo-spatial patterns. In this paper, we focus on the scenario of epidemic spreading in interconnected networks. We intend to provide a typical mean-field modeling framework to describe the time-evolution dynamics, and offer some mathematical skills to study the spreading threshold and the global stability of the model. Integrating the research with numerical analysis, we are able to quantify the effects of networks structure and epidemiology parameters on the transmission dynamics. Interestingly, we find that the diffusion transition in the whole network is governed by a unique threshold, which mainly depends on the most heterogenous connection patterns of network substructures. Further, the dynamics is highly sensitive to the critical values of cross infectivity with switchable phases.
Relativistic mean field model for entrainment in general relativistic superfluid neutron stars
International Nuclear Information System (INIS)
Comer, G.L.; Joynt, R.
2003-01-01
General relativistic superfluid neutron stars have a significantly more intricate dynamics than their ordinary fluid counterparts. Superfluidity allows different superfluid (and superconducting) species of particles to have independent fluid flows, a consequence of which is that the fluid equations of motion contain as many fluid element velocities as superfluid species. Whenever the particles of one superfluid interact with those of another, the momentum of each superfluid will be a linear combination of both superfluid velocities. This leads to the so-called entrainment effect whereby the motion of one superfluid will induce a momentum in the other superfluid. We have constructed a fully relativistic model for entrainment between superfluid neutrons and superconducting protons using a relativistic σ-ω mean field model for the nucleons and their interactions. In this context there are two notions of 'relativistic': relativistic motion of the individual nucleons with respect to a local region of the star (i.e. a fluid element containing, say, an Avogadro's number of particles), and the motion of fluid elements with respect to the rest of the star. While it is the case that the fluid elements will typically maintain average speeds at a fraction of that of light, the supranuclear densities in the core of a neutron star can make the nucleons themselves have quite high average speeds within each fluid element. The formalism is applied to the problem of slowly rotating superfluid neutron star configurations, a distinguishing characteristic being that the neutrons can rotate at a rate different from that of the protons
International Nuclear Information System (INIS)
Singh, BirBikram; Patra, S. K.; Gupta, Raj K.
2010-01-01
We have studied the (ground-state) cluster radioactive decays within the preformed cluster model (PCM) of Gupta and collaborators [R. K. Gupta, in Proceedings of the 5th International Conference on Nuclear Reaction Mechanisms, Varenna, edited by E. Gadioli (Ricerca Scientifica ed Educazione Permanente, Milano, 1988), p. 416; S. S. Malik and R. K. Gupta, Phys. Rev. C 39, 1992 (1989)]. The relativistic mean-field (RMF) theory is used to obtain the nuclear matter densities for the double folding procedure used to construct the cluster-daughter potential with M3Y nucleon-nucleon interaction including exchange effects. Following the PCM approach, we have deduced empirically the preformation probability P 0 emp from the experimental data on both the α- and exotic cluster-decays, specifically of parents in the trans-lead region having doubly magic 208 Pb or its neighboring nuclei as daughters. Interestingly, the RMF-densities-based nuclear potential supports the concept of preformation for both the α and heavier clusters in radioactive nuclei. P 0 α(emp) for α decays is almost constant (∼10 -2 -10 -3 ) for all the parent nuclei considered here, and P 0 c(emp) for cluster decays of the same parents decrease with the size of clusters emitted from different parents. The results obtained for P 0 c(emp) are reasonable and are within two to three orders of magnitude of the well-accepted phenomenological model of Blendowske-Walliser for light clusters.
Baro Urbea, J.; Davidsen, J.
2017-12-01
The hypothesis of critical failure relates the presence of an ultimate stability point in the structural constitutive equation of materials to a divergence of characteristic scales in the microscopic dynamics responsible of deformation. Avalanche models involving critical failure have determined universality classes in different systems: from slip events in crystalline and amorphous materials to the jamming of granular media or the fracture of brittle materials. However, not all empirical failure processes exhibit the trademarks of critical failure. As an example, the statistical properties of ultrasonic acoustic events recorded during the failure of porous brittle materials are stationary, except for variations in the activity rate that can be interpreted in terms of aftershock and foreshock activity (J. Baró et al., PRL 2013).The rheological properties of materials introduce dissipation, usually reproduced in atomistic models as a hardening of the coarse-grained elements of the system. If the hardening is associated to a relaxation process the same mechanism is able to generate temporal correlations. We report the analytic solution of a mean field fracture model exemplifying how criticality and temporal correlations are tuned by transient hardening. We provide a physical meaning to the conceptual model by deriving the constitutive equation from the explicit representation of the transient hardening in terms of a generalized viscoelasticity model. The rate of 'aftershocks' is controlled by the temporal evolution of the viscoelastic creep. At the quasistatic limit, the moment release is invariant to rheology. Therefore, the lack of criticality is explained by the increase of the activity rate close to failure, i.e. 'foreshocks'. Finally, the avalanche propagation can be reinterpreted as a pure mathematical problem in terms of a stochastic counting process. The statistical properties depend only on the distance to a critical point, which is universal for any
A two-site mean field model of discontinuous dynamic recrystallization
International Nuclear Information System (INIS)
Bernard, P.; Bag, S.; Huang, K.; Loge, R.E.
2011-01-01
Highlights: → Discontinuous dynamic recrystallization (DDRX) is modelled at the grain scale. → The two-site mean field approach allows introducing topological information. → DDRX kinetics, flow stress curves and recrystallized grain size are well predicted. → Temperature, strain rate and initial grain size effects are successfully described. → Grain size dependence naturally emerges from the model and agrees with experiment. - Abstract: The paper describes a new model of discontinuous dynamic recrystallization (DDRX) which can operate in constant or variable thermomechanical conditions. The model considers the elementary physical phenomena at the grain scale such as strain hardening, recovery, grain boundary migration, and nucleation. The microstructure is represented through a set of representative grains defined by their size and dislocation density. It is linked to a constitutive law giving access to the polycrystal flow stress. Interaction between representative grains and the surrounding material is idealized using a two-site approach whereby two homogeneous equivalent media with different dislocation densities are considered. Topological information is incorporated into the model by prescribing the relative weight of these two equivalent media as a function of their volume fractions. This procedure allows accounting for the well-known necklace structures. The model is applied to the prediction of DDRX in 304 L stainless steel, with parameters identified using an inverse methodology based on a genetic algorithm. Results show good agreement with experimental data at different temperatures and strain rates, predicting recrystallization kinetics, recrystallized grain size and stress-strain curve. Parameters identified with one initial grain size lead to accurate results for another initial grain size without introducing any additional parameter.
General model of phospholipid bilayers in fluid phase within the single chain mean field theory
Energy Technology Data Exchange (ETDEWEB)
Guo, Yachong; Baulin, Vladimir A. [Departament d’Enginyeria Química, Universitat Rovira i Virgili, Av. dels Paisos Catalans 26, 43007 Tarragona (Spain); Pogodin, Sergey [Institute of Chemical Research of Catalonia, ICIQ, Av. Paisos Catalans 16, 43007 Tarragona (Spain)
2014-05-07
Coarse-grained model for saturated phospholipids: 1,2-didecanoyl-sn-glycero-3-phosphocholine (DCPC), 1,2-dilauroyl-sn-glycero-3-phosphocholine (DLPC), 1,2-dimyristoyl-sn-glycero-3-phosphocholine (DMPC), 1,2-dipalmitoyl-sn-glycero-3-phosphocholine (DPPC), 1,2-distearoyl-sn-glycero-3-phosphocholine (DSPC) and unsaturated phospholipids: 1-palmitoyl-2-oleoyl-sn-glycero-3-phosphocholine (POPC), 1,2- dioleoyl-sn-glycero-3-phosphocholine (DOPC) is introduced within the single chain mean field theory. A single set of parameters adjusted for DMPC bilayers gives an adequate description of equilibrium and mechanical properties of a range of saturated lipid molecules that differ only in length of their hydrophobic tails and unsaturated (POPC, DOPC) phospholipids which have double bonds in the tails. A double bond is modeled with a fixed angle of 120°, while the rest of the parameters are kept the same as saturated lipids. The thickness of the bilayer and its hydrophobic core, the compressibility, and the equilibrium area per lipid correspond to experimentally measured values for each lipid, changing linearly with the length of the tail. The model for unsaturated phospholipids also fetches main thermodynamical properties of the bilayers. This model is used for an accurate estimation of the free energies of the compressed or stretched bilayers in stacks or multilayers and gives reasonable estimates for free energies. The proposed model may further be used for studies of mixtures of lipids, small molecule inclusions, interactions of bilayers with embedded proteins.
Dynamic mean field theory for lattice gas models of fluid mixtures confined in mesoporous materials.
Edison, J R; Monson, P A
2013-11-12
We present the extension of dynamic mean field theory (DMFT) for fluids in porous materials (Monson, P. A. J. Chem. Phys. 2008, 128, 084701) to the case of mixtures. The theory can be used to describe the relaxation processes in the approach to equilibrium or metastable equilibrium states for fluids in pores after a change in the bulk pressure or composition. It is especially useful for studying systems where there are capillary condensation or evaporation transitions. Nucleation processes associated with these transitions are emergent features of the theory and can be visualized via the time dependence of the density distribution and composition distribution in the system. For mixtures an important component of the dynamics is relaxation of the composition distribution in the system, especially in the neighborhood of vapor-liquid interfaces. We consider two different types of mixtures, modeling hydrocarbon adsorption in carbon-like slit pores. We first present results on bulk phase equilibria of the mixtures and then the equilibrium (stable/metastable) behavior of these mixtures in a finite slit pore and an inkbottle pore. We then use DMFT to describe the evolution of the density and composition in the pore in the approach to equilibrium after changing the state of the bulk fluid via composition or pressure changes.
van Albada, S J; Gray, R T; Drysdale, P M; Robinson, P A
2009-04-21
Neuronal correlates of Parkinson's disease (PD) include a shift to lower frequencies in the electroencephalogram (EEG) and enhanced synchronized oscillations at 3-7 and 7-30 Hz in the basal ganglia, thalamus, and cortex. This study describes the dynamics of a recent physiologically based mean-field model of the basal ganglia-thalamocortical system, and shows how it accounts for many key electrophysiological correlates of PD. Its detailed functional connectivity comprises partially segregated direct and indirect pathways through two populations of striatal neurons, a hyperdirect pathway involving a corticosubthalamic projection, thalamostriatal feedback, and local inhibition in striatum and external pallidum (GPe). In a companion paper, realistic steady-state firing rates were obtained for the healthy state, and after dopamine loss modeled by weaker direct and stronger indirect pathways, reduced intrapallidal inhibition, lower firing thresholds of the GPe and subthalamic nucleus (STN), a stronger projection from striatum to GPe, and weaker cortical interactions. Here it is shown that oscillations around 5 and 20 Hz can arise with a strong indirect pathway, which also causes increased synchronization throughout the basal ganglia. Furthermore, increased theta power with progressive nigrostriatal degeneration is correlated with reduced alpha power and peak frequency, in agreement with empirical results. Unlike the hyperdirect pathway, the indirect pathway sustains oscillations with phase relationships that coincide with those found experimentally. Alterations in the responses of basal ganglia to transient stimuli accord with experimental observations. Reduced cortical gains due to both nigrostriatal and mesocortical dopamine loss lead to slower changes in cortical activity and may be related to bradykinesia. Finally, increased EEG power found in some studies may be partly explained by a lower effective GPe firing threshold, reduced GPe-GPe inhibition, and/or weaker
The symmetry energy {\\boldsymbol{\\gamma }} parameter of relativistic mean-field models
Dutra, Mariana; Lourenço, Odilon; Hen, Or; Piasetzky, Eliezer; Menezes, Débora P.
2018-05-01
The relativistic mean-field models tested in previous works against nuclear matter experimental values, critical parameters and macroscopic stellar properties are revisited and used in the evaluation of the symmetry energy γ parameter obtained in three different ways. We have checked that, independent of the choice made to calculate the γ values, a trend of linear correlation is observed between γ and the symmetry energy ({{\\mathscr{S}}}0) and a more clear linear relationship is established between γ and the slope of the symmetry energy (L 0). These results directly contribute to the arising of other linear correlations between γ and the neutron star radii of {R}1.0 and {R}1.4, in agreement with recent findings. Finally, we have found that short-range correlations induce two specific parametrizations, namely, IU-FSU and DD-MEδ, simultaneously compatible with the neutron star mass constraint of 1.93≤slant {M}{{\\max }}/{M}ȯ ≤slant 2.05 and with the overlap band for the {L}0× {{\\mathscr{S}}}0 region, to present γ in the range of γ =0.25+/- 0.05. This work is a part of the project INCT-FNA Proc. No. 464898/2014-5 and was partially supported by Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq), Brazil under grants 300602/2009-0 and 306786/2014-1. E. P. acknowledges support from the Israel Science Foundation. O. H. acknowledges the U.S. Department of Energy Office of Science, Office of Nuclear Physics program under award number DE-FG02-94ER40818
International Nuclear Information System (INIS)
Rodrigues, Serafim; Terry, John R.; Breakspear, Michael
2006-01-01
In this Letter, the genesis of spike-wave activity-a hallmark of many generalized epileptic seizures-is investigated in a reduced mean-field model of human neural activity. Drawing upon brain modelling and dynamical systems theory, we demonstrate that the thalamic circuitry of the system is crucial for the generation of these abnormal rhythms, observing that the combination of inhibition from reticular nuclei and excitation from the cortical signal, interplay to generate the spike-wave oscillation. The mechanism revealed provides an explanation of why approaches based on linear stability and Heaviside approximations to the activation function have failed to explain the phenomena of spike-wave behaviour in mean-field models. A mathematical understanding of this transition is a crucial step towards relating spiking network models and mean-field approaches to human brain modelling
Stochastic modelling of turbulence
DEFF Research Database (Denmark)
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...
Stochastic Control - External Models
DEFF Research Database (Denmark)
Poulsen, Niels Kjølstad
2005-01-01
This note is devoted to control of stochastic systems described in discrete time. We are concerned with external descriptions or transfer function model, where we have a dynamic model for the input output relation only (i.e.. no direct internal information). The methods are based on LTI systems...
An effective correlated mean-field theory applied in the spin-1/2 Ising ferromagnetic model
Energy Technology Data Exchange (ETDEWEB)
Roberto Viana, J.; Salmon, Octávio R. [Universidade Federal do Amazonas – UFAM, Manaus 69077-000, AM (Brazil); Ricardo de Sousa, J. [Universidade Federal do Amazonas – UFAM, Manaus 69077-000, AM (Brazil); National Institute of Science and Technology for Complex Systems, Universidade Federal do Amazonas, 3000, Japiim, 69077-000 Manaus, AM (Brazil); Neto, Minos A.; Padilha, Igor T. [Universidade Federal do Amazonas – UFAM, Manaus 69077-000, AM (Brazil)
2014-11-15
We developed a new treatment for mean-field theory applied in spins systems, denominated effective correlated mean-field (ECMF). We apply this theory to study the spin-1/2 Ising ferromagnetic model with nearest-neighbor interactions on a square lattice. We use clusters of finite sizes and study the criticality of the ferromagnetic system, where we obtain a convergence of critical temperature for the value k{sub B}T{sub c}/J≃2.27905±0.00141. Also the behavior of magnetic and thermodynamic properties, using the condition of minimum energy of the physical system is obtained. - Highlights: • We developed spin models to study real magnetic systems. • We study the thermodynamic and magnetic properties of the ferromagnetism. • We enhanced a mean-field theory applied in spins models.
Energy Technology Data Exchange (ETDEWEB)
Graber, P. Jameson, E-mail: jameson-graber@baylor.edu [Baylor University, Department of Mathematics (United States)
2016-12-15
We study a general linear quadratic mean field type control problem and connect it to mean field games of a similar type. The solution is given both in terms of a forward/backward system of stochastic differential equations and by a pair of Riccati equations. In certain cases, the solution to the mean field type control is also the equilibrium strategy for a class of mean field games. We use this fact to study an economic model of production of exhaustible resources.
Consequences of the center-of-mass correction in nuclear mean-field models
International Nuclear Information System (INIS)
Bender, M.; Rutz, K.; Reinhard, P.G.; Maruhn, J.A.
2000-01-01
We study the influence of the scheme for the correction for spurious center-of-mass motion on the fit of effective interactions for self-consistent nuclear mean-field calculations. We find that interactions with very simple center-of-mass correction have significantly larger surface coefficients than interactions for which the center-of-mass correction was calculated for the actual many-body state during the fit. The reason for that is that the effective interaction has to counteract the wrong trends with nucleon number of all simplified schemes for center-of-mass correction which puts a wrong trend with mass number into the effective interaction itself. The effect becomes clearly visible when looking at the deformation energy of largely deformed systems, e.g. superdeformed states or fission barriers of heavy nuclei. (orig.)
International Nuclear Information System (INIS)
Wrobel, P.; Jacak, L.
1988-01-01
It is shown theoretically that the superconducting transition in the framework of RVB mean field treatment in nearly half-filled band Hubbard model is substantially influenced by spin density wave instability. The reasonable SDW and SC ordering phase diagram for doped La 2 CuO 4 compounds is found
Pairing in a two-dimensional two-band very anisotropic model in the mean field approximation
International Nuclear Information System (INIS)
Fazakas, A.B.; Pitis, R.
1993-09-01
A two-dimensional model is proposed: there are two kinds of sites, with one electronic state per site; tunneling takes place only in one direction; the interaction involves only electrons on different sites. The existence of a phase transition involving interband pairing of electrons is discussed in the mean field approximation. (author)
International Nuclear Information System (INIS)
Backes, Steffen
2017-04-01
The study of the electronic properties of correlated systems is a very diverse field and has lead to valuable insight into the physics of real materials. In these systems, the decisive factor that governs the physical properties is the ratio between the electronic kinetic energy, which promotes delocalization over the lattice, and the Coulomb interaction, which instead favours localized electronic states. Due to this competition, correlated electronic systems can show unique and interesting properties like the Metal-Insulator transition, diverse phase diagrams, strong temperature dependence and in general a high sensitivity to the environmental conditions. A theoretical description of these systems is not an easy task, since perturbative approaches that do not preserve the competition between the kinetic and interaction terms can only be applied in special limiting cases. One of the most famous approaches to obtain the electronic properties of a real material is the ab initio density functional theory (DFT) method. It allows one to obtain the ground state density of the system under investigation by mapping onto an effective non-interacting system that has to be found self-consistently. While being an exact theory, in practical implementations certain approximations have to be made to the exchange-correlation potential. The local density approximation (LDA), which approximates the exchange-correlation contribution to the total energy by that of a homogeneous electron gas with the corresponding density, has proven quite successful in many cases. Though, this approximation in general leads to an underestimation of electronic correlations and is not able to describe a metal-insulator transition due to electronic localization in the presence of strong Coulomb interaction. A different approach to the interacting electronic problem is the dynamical mean-field theory (DMFT), which is non-perturbative in the kinetic and interaction term but neglects all non
Energy Technology Data Exchange (ETDEWEB)
Backes, Steffen
2017-04-15
The study of the electronic properties of correlated systems is a very diverse field and has lead to valuable insight into the physics of real materials. In these systems, the decisive factor that governs the physical properties is the ratio between the electronic kinetic energy, which promotes delocalization over the lattice, and the Coulomb interaction, which instead favours localized electronic states. Due to this competition, correlated electronic systems can show unique and interesting properties like the Metal-Insulator transition, diverse phase diagrams, strong temperature dependence and in general a high sensitivity to the environmental conditions. A theoretical description of these systems is not an easy task, since perturbative approaches that do not preserve the competition between the kinetic and interaction terms can only be applied in special limiting cases. One of the most famous approaches to obtain the electronic properties of a real material is the ab initio density functional theory (DFT) method. It allows one to obtain the ground state density of the system under investigation by mapping onto an effective non-interacting system that has to be found self-consistently. While being an exact theory, in practical implementations certain approximations have to be made to the exchange-correlation potential. The local density approximation (LDA), which approximates the exchange-correlation contribution to the total energy by that of a homogeneous electron gas with the corresponding density, has proven quite successful in many cases. Though, this approximation in general leads to an underestimation of electronic correlations and is not able to describe a metal-insulator transition due to electronic localization in the presence of strong Coulomb interaction. A different approach to the interacting electronic problem is the dynamical mean-field theory (DMFT), which is non-perturbative in the kinetic and interaction term but neglects all non
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.
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.
International Nuclear Information System (INIS)
Grasso, M.
2009-10-01
This document is a summary of the author's research activities whose common topic is the N-body problem. The first chapter introduces the N-body issue through models based on the mean-field theory and on the Hartree-Fock-Bogoliubov equations. The second chapter presents the understanding of exotic nuclei features within the mean-field approach. Exotic phenomena like nuclear bubble structure, pairing correlations and pairing violations, giant neutron halos, non-standard terms in the Skyrme interactions are reviewed. The chapter 3 is dedicated to some extensions of the RPA (random phase approximation). For instance the computation of the shell structure far from the stability valley requires a more accurate assessment of the energy of the individual states through the introduction of a particle-vibration coupling. Different RPA extensions are described: first the self-consistent extension enlarged beyond particle-hole configurations, then the boson-mapping-based extension in a 3-level Lipkin model and also the second random-phase approximation. The chapter 4 gathers some studies concerning ultra-cold gases of trapped atoms. These systems are the only structures that allow the study of the correlations associated to superfluidity in terms of interaction intensity, temperature or system size. The mean-field approach is adequate for these studies. The last chapter draws a perspective for the mean-field-based models, their limits are assessed and ways of improvement are proposed. (A.C.)
Quest of halo in 31Ne using Glauber model formalism with deformed relativistic mean field density
International Nuclear Information System (INIS)
Sharma, Mahesh K.; Patra, S.K.
2012-01-01
The advancement of radio active ion beam (RIB) explored the structure of exotic nuclei, which are away from the β stability line. Such nuclei with weak binding lie at the limit of stability and exhibit some fascinating phenomena. One of them is the formation of one or more nucleon halo structure. It is well established that the interaction cross section of halo nuclei like 11 Li, 11 Be and 19 C show anomalously large interaction cross sections and matter radius than that of their neighboring nuclei. Some recent investigations for 31 Ne predict that has a halo nature. The first experimental evidence also suggests 31 Ne as a halo candidate. The isotope 31 Ne having N=21, which breaks the shell closer structure as a consequence of deformation associated with the strong intruder configuration and having special interest, because it lie at island of inversion. Here we apply the well known Glauber approach with conjunction of deformed relativistic mean field densities of projectile and target nuclei. It is to be noted that Panda et al has done the similar calculation using a spherical density
Mean field strategies induce unrealistic nonlinearities in calcium puffs
Directory of Open Access Journals (Sweden)
Guillermo eSolovey
2011-08-01
Full Text Available Mean field models are often useful approximations to biological systems, but sometimes, they can yield misleading results. In this work, we compare mean field approaches with stochastic models of intracellular calcium release. In particular, we concentrate on calcium signals generated by the concerted opening of several clustered channels (calcium puffs. To this end we simulate calcium puffs numerically and then try to reproduce features of the resulting calcium distribution using mean field models were all the channels open and close simultaneously. We show that an unrealistic nonlinear relationship between the current and the number of open channels is needed to reproduce the simulated puffs. Furthermore, a single channel current which is five times smaller than the one of the stochastic simulations is also needed. Our study sheds light on the importance of the stochastic kinetics of the calcium release channel activity to estimate the release fluxes.
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.
Borgs, C.; Chayes, J.T.; Hofstad, van der R.W.; Slade, G.
1999-01-01
We introduce a mean-field model of lattice trees based on embeddings into d of abstract trees having a critical Poisson offspring distribution. This model provides a combinatorial interpretation for the self-consistent mean-field model introduced previously by Derbez and Slade [9], and provides an
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...
Stochastic ontogenetic growth model
West, B. J.; West, D.
2012-02-01
An ontogenetic growth model (OGM) for a thermodynamically closed system is generalized to satisfy both the first and second law of thermodynamics. The hypothesized stochastic ontogenetic growth model (SOGM) is shown to entail the interspecies allometry relation by explicitly averaging the basal metabolic rate and the total body mass over the steady-state probability density for the total body mass (TBM). This is the first derivation of the interspecies metabolic allometric relation from a dynamical model and the asymptotic steady-state distribution of the TBM is fit to data and shown to be inverse power law.
Stochastic models of intracellular transport
Bressloff, Paul C.
2013-01-09
The interior of a living cell is a crowded, heterogenuous, fluctuating environment. Hence, a major challenge in modeling intracellular transport is to analyze stochastic processes within complex environments. Broadly speaking, there are two basic mechanisms for intracellular transport: passive diffusion and motor-driven active transport. Diffusive transport can be formulated in terms of the motion of an overdamped Brownian particle. On the other hand, active transport requires chemical energy, usually in the form of adenosine triphosphate hydrolysis, and can be direction specific, allowing biomolecules to be transported long distances; this is particularly important in neurons due to their complex geometry. In this review a wide range of analytical methods and models of intracellular transport is presented. In the case of diffusive transport, narrow escape problems, diffusion to a small target, confined and single-file diffusion, homogenization theory, and fractional diffusion are considered. In the case of active transport, Brownian ratchets, random walk models, exclusion processes, random intermittent search processes, quasi-steady-state reduction methods, and mean-field approximations are considered. Applications include receptor trafficking, axonal transport, membrane diffusion, nuclear transport, protein-DNA interactions, virus trafficking, and the self-organization of subcellular structures. © 2013 American Physical Society.
International Nuclear Information System (INIS)
Ivanov, Y.B.; Russkikh, V.N.; Pokrovsky, Y.E. Kurchatov; Ivanov, Y.B.; Russkikh, V.N.; Polrovsky, Y.E.; Henning, P.A.; Henning, P.A.
1995-01-01
A three-dimensional realization of the relativistic mean-field 2-fluid model is described. The first results of analyzing the inclusive data on the yield of nuclear fragments and pions, as well as the Plastic-Ball rapidity distributions of nuclear fragments are presented. For comparison, the calculations within the conventional relativistic hydrodynamical model with the same mean fields are also performed. It is found that all the analysed observables, except the pion spectra, appeared to be fairly insensitive to the nuclear EOS. The sensitivity to the nuclear stopping power is slightly higher. The original sensitivity of the rapidity distributions to the stopping power is smeared out by the Plastic-Ball filter and selection criterion. Nevertheless, one can conclude that the stopping power induced by the Cugnon cross-sections is not quite sufficient for a more adequate reproduction of the experimental data. (authors)
Shen, Ka
2018-04-01
We study magnon spectra at finite temperature in yttrium iron garnet using a tight-binding model with nearest-neighbor exchange interaction. The spin reduction due to thermal magnon excitation is taken into account via the mean field approximation to the local spin and is found to be different at two sets of iron atoms. The resulting temperature dependence of the spin wave gap shows good agreement with experiment. We find that only two magnon modes are relevant to the ferromagnetic resonance.
Study of the tensor correlation in oxygen isotopes using mean-field-type and shell model methods
International Nuclear Information System (INIS)
Sugimoto, Satoru
2007-01-01
The tensor force plays important roles in nuclear structure. Recently, we have developed a mean-field-type model which can treat the two-particle-two-hole correlation induced by the tensor force. We applied the model to sub-closed-shell oxygen isotopes and found that an sizable attractive energy comes from the tensor force. We also studied the tensor correlation in 16O using a shell model including two-particle-two-hole configurations. In this case, quite a large attractive energy is obtained for the correlation energy from the tensor force
DEFF Research Database (Denmark)
Opper, Manfred; Winther, Ole
2001-01-01
We develop an advanced mean held method for approximating averages in probabilistic data models that is based on the Thouless-Anderson-Palmer (TAP) approach of disorder physics. In contrast to conventional TAP. where the knowledge of the distribution of couplings between the random variables...... is required. our method adapts to the concrete couplings. We demonstrate the validity of our approach, which is so far restricted to models with nonglassy behavior? by replica calculations for a wide class of models as well as by simulations for a real data set....
International Nuclear Information System (INIS)
Perevertov, Oleksiy
2003-01-01
The classical Preisach model (PM) of magnetic hysteresis requires that any minor differential permeability curve lies under minor curves with larger field amplitude. Measurements of ferromagnetic materials show that very often this is not true. By applying the classical PM formalism to measured minor curves one can discover that it leads to an oval-shaped region on each half of the Preisach plane where the calculations produce negative values in the Preisach function. Introducing an effective field, which differs from the applied one by a mean-field term proportional to the magnetization, usually solves this problem. Complex techniques exist to estimate the minimum necessary proportionality constant (the moving parameter). In this paper we propose a simpler way to estimate the mean-field effects for use in nondestructive testing, which is based on experience from the measurements of industrial steels. A new parameter (parameter of shift) is introduced, which monitors the mean-field effects. The relation between the shift parameter and the moving one was studied for a number of steels. From preliminary experiments no correlation was found between the shift parameter and the classical magnetic ones such as the coercive field, maximum differential permeability and remanent magnetization
International Nuclear Information System (INIS)
Tercariol, Cesar Augusto Sangaletti; Kiipper, Felipe de Moura; Martinez, Alexandre Souto
2007-01-01
Consider that the coordinates of N points are randomly generated along the edges of a d-dimensional hypercube (random point problem). The probability P (d,N) m,n that an arbitrary point is the mth nearest neighbour to its own nth nearest neighbour (Cox probabilities) plays an important role in spatial statistics. Also, it has been useful in the description of physical processes in disordered media. Here we propose a simpler derivation of Cox probabilities, where we stress the role played by the system dimensionality d. In the limit d → ∞, the distances between pair of points become independent (random link model) and closed analytical forms for the neighbourhood probabilities are obtained both for the thermodynamic limit and finite-size system. Breaking the distance symmetry constraint drives us to the random map model, for which the Cox probabilities are obtained for two cases: whether a point is its own nearest neighbour or not
Nonlinear cloudy bag model in the meson mean-field approximation
International Nuclear Information System (INIS)
Bunatyan, G.G.
1989-01-01
We investigate the cloudy bag model for the nucleon, including the essentially nonlinear interaction of the quarks with the meson field. From the boundary conditions, which guarantee the stability of the bag, we obtain equations for the size R of the bag, for the momentum p of the quarks, and for the mean pion field var-phi. We obtain an expression for the total energy E of the bag nucleon. By taking the appropriate averages of all the relations the calculations reduce to the case of a spherically symmetric bag. We show that in the general nonlinear cloudy bag model in question the equations for R, p, and var-phi have a simultaneous solution which corresponds to the absolute minimum of the bag energy E and, consequently, that there exists a stable equilibrium state of the bag nucleon
Phase diagram of 2D Hubbard model by simulated annealing mean field approximation
International Nuclear Information System (INIS)
Kato, Masaru; Kitagaki, Takashi
1991-01-01
In order to investigate the stable magnetic structure of the Hubbard model on a square lattice, we utilize the dynamical simulated annealing method which proposed by R. Car and M. Parrinello. Results of simulations on a 10 x 10 lattice system with 80 electrons under assumption of collinear magnetic structure that the most stable state is incommensurate spin density wave state with periodic domain wall. (orig.)
Analytic properties of the Ruelle ζ-function for mean field models of phase transition
International Nuclear Information System (INIS)
Hallerberg, Sarah; Just, Wolfram; Radons, Guenter
2005-01-01
We evaluate by analytical means the Ruelle ζ-function for a spin model with global coupling. The implications of the ferromagnetic phase transitions for the analytical properties of the ζ-function are discussed in detail. In the paramagnetic phase the ζ-function develops a single branch point. In the low-temperature regime two branch points appear which correspond to the ferromagnetic state and the metastable state. The results are typical for any Ginsburg-Landau-type phase transition
International Nuclear Information System (INIS)
Anderson, M.J.; Rowe, A.; Wells, J.; Basoalto, H.C.
2016-01-01
A multi-component mean field model has been applied to predict the particle evolution of the γ′ particles in the nickel based superalloy IN738LC, capturing the transition from an initial multimodal particle distribution towards a unimodal distribution. Experiments have been performed to measure the coarsening behaviour during isothermal heat treatments using quantitative analysis of micrographs. The three dimensional size of the γ′ particles has been approximated for use in simulation. A coupled thermodynamic/mean field modelling framework is presented and applied to describe the particle size evolution. A robust numerical implementation of the model is detailed that makes use of surrogate models to capture the thermodynamics. Different descriptions of the particle growth rate of non-dilute particle systems have been explored. A numerical investigation of the influence of scatter in chemical composition upon the particle size distribution evolution has been carried out. It is shown how the tolerance in chemical composition of a given alloy can impact particle coarsening behaviour. Such predictive capability is of interest in understanding variation in component performance and the refinement of chemical composition tolerances. It has been found that the inclusion of misfit strain within the current model formulation does not have a significant affect upon predicted long term particle coarsening behaviour. Model predictions show good agreement with experimental data. In particular, the model predicts a reduced growth rate of the mean particle size during the transition from bimodal to unimodal distributions.
Neutron-/sup 90/Zr mean field from a dispersive optical model analysis
International Nuclear Information System (INIS)
Delaroche, J.P.; Wang, Y.; Rapaport, J.
1989-01-01
Elastic scattering cross sections have been measured for 8, 10, and 24 MeV neutrons incident on /sup 90/Zr. These measurements, together with other neutron elastic scattering and total cross section data available up to 29 MeV, are used in grid searches to obtain an optical model potential which contains a dispersion relation term. This potential is then extrapolated toward negative energies to predict bound single-particle state properties. An overall good description of the data at positive and negative energies is achieved
Advantage of nonlinear relativistic mean-field model in studying neutron star matter
Miyazaki, K
2006-01-01
We test the extended Zimanyi-Moszkowski model of relativistic nuclear matter for reproducing the density dependence of the symmetry energy, the direct URCA constraint M_{G}^{DU} \\geq 1.5M_{\\odot} on the gravitational mass of neutron star (NS), the large radii of NSs in RX J1856.5-3754 and qLMXB X7, the massive NSs in PSR J0751+1807 and 4U1700-37, and the baryonic mass of J0737-3039B. The two sets of NN\\rho coupling constant are considered. The first (EZM1) is the same as the Bonn A potential. The second (EZM2) is chosen so as to reproduce the symmetry energy E_s=32MeV of nuclear matter. The EZM1 can pass 6 tests among 7, while the EZM2 passes 5 tests. We can therefore conclude that the EZM model has unique and excellent features and is the most prospective one for studying the dense baryonic matter.
Energy Technology Data Exchange (ETDEWEB)
Dreyer, Wolfgang [Weierstrass-Institut fuer Angewandte Analysis und Stochastik (WIAS) im Forschungsverbund Berlin e.V. (Germany); Kimmerle, Sven-Joachim [Humboldt-Univ. Berlin (Germany). Dept. of Mathematics
2009-07-01
Based on a thermodynamically consistent model for precipitation in gallium arsenide crystals including surface tension and bulk stresses by Dreyer and Duderstadt, we propose different mathematical models to describe the size evolution of liquid droplets in a crystalline solid. The first class of models treats the diffusion-controlled regime of interface motion, while the second class is concerned with the interface-controlled regime of interface motion. Our models take care of conservation of mass and substance. We consider homogenised models, where different length scales of the experimental situation have been exploited in order to simplify the equations. These homogenised models generalise the well-known Lifshitz-Slyozov-Wagner model for Ostwald ripening. Mean field models capture the main properties of our system and are well adapted for numerics and further analysis. Numerical evidence suggests in which case which one of the two regimes might be appropriate to the experimental situation. (orig.)
Alternative Asymmetric Stochastic Volatility Models
M. Asai (Manabu); M.J. McAleer (Michael)
2010-01-01
textabstractThe stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is
Risk-sensitive mean-field games
Tembine, Hamidou
2014-04-01
In this paper, we study a class of risk-sensitive mean-field stochastic differential games. We show that under appropriate regularity conditions, the mean-field value of the stochastic differential game with exponentiated integral cost functional coincides with the value function satisfying a Hamilton -Jacobi- Bellman (HJB) equation with an additional quadratic term. We provide an explicit solution of the mean-field best response when the instantaneous cost functions are log-quadratic and the state dynamics are affine in the control. An equivalent mean-field risk-neutral problem is formulated and the corresponding mean-field equilibria are characterized in terms of backward-forward macroscopic McKean-Vlasov equations, Fokker-Planck-Kolmogorov equations, and HJB equations. We provide numerical examples on the mean field behavior to illustrate both linear and McKean-Vlasov dynamics. © 1963-2012 IEEE.
Risk-sensitive mean-field games
Tembine, Hamidou; Zhu, Quanyan; Başar, Tamer
2014-01-01
In this paper, we study a class of risk-sensitive mean-field stochastic differential games. We show that under appropriate regularity conditions, the mean-field value of the stochastic differential game with exponentiated integral cost functional coincides with the value function satisfying a Hamilton -Jacobi- Bellman (HJB) equation with an additional quadratic term. We provide an explicit solution of the mean-field best response when the instantaneous cost functions are log-quadratic and the state dynamics are affine in the control. An equivalent mean-field risk-neutral problem is formulated and the corresponding mean-field equilibria are characterized in terms of backward-forward macroscopic McKean-Vlasov equations, Fokker-Planck-Kolmogorov equations, and HJB equations. We provide numerical examples on the mean field behavior to illustrate both linear and McKean-Vlasov dynamics. © 1963-2012 IEEE.
Aryanpour, K.; Pickett, W. E.; Scalettar, R. T.
2006-01-01
We employ dynamical mean field theory (DMFT) with a Quantum Monte Carlo (QMC) atomic solver to investigate the finite temperature Mott transition in the Hubbard model with the nearest neighbor hopping on a triangular lattice at half-filling. We estimate the value of the critical interaction to be $U_c=12.0 \\pm 0.5$ in units of the hopping amplitude $t$ through the evolution of the magnetic moment, spectral function, internal energy and specific heat as the interaction $U$ and temperature $T$ ...
DEFF Research Database (Denmark)
Sakellariou, Jason; Roudi, Yasser; Mezard, Marc
2012-01-01
We study how the degree of symmetry in the couplings influences the performance of three mean field methods used for solving the direct and inverse problems for generalized Sherrington-Kirkpatrick models. In this context, the direct problem is predicting the potentially time-varying magnetizations...... than the other two approximations, TAP outperforms MF when the coupling matrix is nearly symmetric, while MF works better when it is strongly asymmetric. For the inverse problem, MF performs better than both TAP and nMF, although an ad hoc adjustment of TAP can make it comparable to MF. For high...
Athreya, C. N.; Mukilventhan, A.; Suwas, Satyam; Vedantam, Srikanth; Subramanya Sarma, V.
2018-04-01
The influence of the mode of deformation on recrystallisation behaviour of Ti was studied by experiments and modelling. Ti samples were deformed through torsion and rolling to the same equivalent strain of 0.5. The deformed samples were annealed at different temperatures for different time durations and the recrystallisation kinetics were compared. Recrystallisation is found to be faster in the rolled samples compared to the torsion deformed samples. This is attributed to the differences in stored energy and number of nuclei per unit area in the two modes of deformation. Considering decay in stored energy during recrystallisation, the grain boundary mobility was estimated through a mean field model. The activation energy for recrystallisation obtained from experiments matched with the activation energy for grain boundary migration obtained from mobility calculation. A multi-phase field model (with mobility estimated from the mean field model as a constitutive input) was used to simulate the kinetics, microstructure and texture evolution. The recrystallisation kinetics and grain size distributions obtained from experiments matched reasonably well with the phase field simulations. The recrystallisation texture predicted through phase field simulations compares well with experiments though few additional texture components are present in simulations. This is attributed to the anisotropy in grain boundary mobility, which is not accounted for in the present study.
Gomes, Diogo A.
2014-01-06
In this talk we will report on new results concerning the existence of smooth solutions for time dependent mean-field games. This new result is established through a combination of various tools including several a-priori estimates for time-dependent mean-field games combined with new techniques for the regularity of Hamilton-Jacobi equations.
Gomes, Diogo A.
2014-01-01
In this talk we will report on new results concerning the existence of smooth solutions for time dependent mean-field games. This new result is established through a combination of various tools including several a-priori estimates for time-dependent mean-field games combined with new techniques for the regularity of Hamilton-Jacobi equations.
Mendonça, J. Ricardo G.
We investigate the nonequilibrium roughening transition of a one-dimensional restricted solid-on-solid model by directly sampling the stationary probability density of a suitable order parameter as the surface adsorption rate varies. The shapes of the probability density histograms suggest a typical Ginzburg-Landau scenario for the phase transition of the model, and estimates of the "magnetic" exponent seem to confirm its mean-field critical behavior. We also found that the flipping times between the metastable phases of the model scale exponentially with the system size, signaling the breaking of ergodicity in the thermodynamic limit. Incidentally, we discovered that a closely related model not considered before also displays a phase transition with the same critical behavior as the original model. Our results support the usefulness of off-critical histogram techniques in the investigation of nonequilibrium phase transitions. We also briefly discuss in the appendix a good and simple pseudo-random number generator used in our simulations.
International Nuclear Information System (INIS)
Frank, T D; Mongkolsakulvong, S
2015-01-01
In a previous study strongly nonlinear autoregressive (SNAR) models have been introduced as a generalization of the widely-used time-discrete autoregressive models that are known to apply both to Markov and non-Markovian systems. In contrast to conventional autoregressive models, SNAR models depend on process mean values. So far, only linear dependences have been studied. We consider the case in which process mean values can have a nonlinear impact on the processes under consideration. It is shown that such models describe Markov and non-Markovian many-body systems with mean field forces that exhibit a nonlinear impact on single subsystems. We exemplify that such nonlinear dependences can describe order-disorder phase transitions of time-discrete Markovian and non-Markovian many-body systems. The relevant order parameter equations are derived and issues of stability and stationarity are studied. (paper)
Massive neutron star with strangeness in a relativistic mean-field model with a high-density cutoff
Zhang, Ying; Hu, Jinniu; Liu, Peng
2018-01-01
The properties of neutron stars with the strangeness degree of freedom are studied in the relativistic mean-field (RMF) model via including a logarithmic interaction as a function of the scalar meson field. This interaction, named the σ -cut potential, can largely reduce the attractive contributions of the scalar meson field at high density without any influence on the properties of nuclear structure around the normal saturation density. In this work, the TM1 parameter set is chosen as the RMF interaction, while the strengths of σ -cut potential are constrained by the properties of finite nuclei so that we can obtain a reasonable effective nucleon-nucleon interaction. The hyperons Λ ,Σ , and Ξ are considered in neutron stars within this framework, whose coupling constants with mesons are determined by the latest hyperon-nucleon and Λ -Λ potentials extracted from the available experimental data of hypernuclei. The maximum mass of neutron star can be larger than 2 M⊙ with these hyperons in the present framework. Furthermore, the nucleon mass at high density will be saturated due to this additional σ -cut potential, which is consistent with the conclusions obtained by other calculations such as Brueckner-Hartree-Fock theory and quark mean-field model.
Modeling premartensitic effects in Ni2MnGa: A mean-field and Monte Carlo simulation study
DEFF Research Database (Denmark)
Castan, T.; Vives, E.; Lindgård, Per-Anker
1999-01-01
is constructed and justified based on the analysis of the experimentally observed strain variables and precursor phenomena. The description includes the (local) tetragonal distortion, the amplitude of the plane-modulating strain, and the magnetization. The model is solved by means of mean-field theory and Monte......The degenerate Blume-Emery-Griffiths model for martensitic transformations is extended by including both structural and magnetic degrees of freedom in order to elucidate premartensitic effects. Special attention is paid to the effect of the magnetoelastic coupling in Ni2MnGa. The microscopic model...... heat, not always associated with a true phase transition. The main conclusion is that premartensitic effects result from the interplay between the softness of the anomalous phonon driving the modulation and the magnetoelastic coupling. In particular, the premartensitic transition occurs when...
Stochastic lattice model of synaptic membrane protein domains.
Li, Yiwei; Kahraman, Osman; Haselwandter, Christoph A
2017-05-01
Neurotransmitter receptor molecules, concentrated in synaptic membrane domains along with scaffolds and other kinds of proteins, are crucial for signal transmission across chemical synapses. In common with other membrane protein domains, synaptic domains are characterized by low protein copy numbers and protein crowding, with rapid stochastic turnover of individual molecules. We study here in detail a stochastic lattice model of the receptor-scaffold reaction-diffusion dynamics at synaptic domains that was found previously to capture, at the mean-field level, the self-assembly, stability, and characteristic size of synaptic domains observed in experiments. We show that our stochastic lattice model yields quantitative agreement with mean-field models of nonlinear diffusion in crowded membranes. Through a combination of analytic and numerical solutions of the master equation governing the reaction dynamics at synaptic domains, together with kinetic Monte Carlo simulations, we find substantial discrepancies between mean-field and stochastic models for the reaction dynamics at synaptic domains. Based on the reaction and diffusion properties of synaptic receptors and scaffolds suggested by previous experiments and mean-field calculations, we show that the stochastic reaction-diffusion dynamics of synaptic receptors and scaffolds provide a simple physical mechanism for collective fluctuations in synaptic domains, the molecular turnover observed at synaptic domains, key features of the observed single-molecule trajectories, and spatial heterogeneity in the effective rates at which receptors and scaffolds are recycled at the cell membrane. Our work sheds light on the physical mechanisms and principles linking the collective properties of membrane protein domains to the stochastic dynamics that rule their molecular components.
Panda, R. N.; Sharma, Mahesh K.; Panigrahi, M.; Patra, S. K.
2018-06-01
We have examined the ground state properties of Al isotopes towards the proton rich side from A = 22 to 28 using the well known relativistic mean field (RMF) formalism with NLSH parameter set. The calculated results are compared with the predictions of finite range droplet model and experimental data. The calculation is extended to estimate the reaction cross section for ^{22-28}Al as projectiles with ^{12}C as target. The incident energy of the projectiles are taken as 950 MeV/nucleon, for both spherical and deformed RMF densities as inputs in the Glauber model approximation. Further investigation of enhanced values of total reaction cross section for ^{23}Al and ^{24}Al in comparison to rest of the isotopes indicates the proton skin structure of these isotopes. Specifically, the large value of root mean square radius and total reaction cross section of ^{23}Al could not be ruled out the formation of proton halo.
International Nuclear Information System (INIS)
Adam, G.; Adam, S.
2007-01-01
The Green function (GF) equation of motion technique for solving the effective two-band Hubbard model of high-T c superconductivity in cuprates rests on the Hubbard operator (HO) algebra. We show that, if we take into account the invariance to translations and spin reversal, the HO algebra results in invariance properties of several specific correlation functions. The use of these properties allows rigorous derivation and simplification of the expressions of the frequency matrix (FM) and of the generalized mean-field approximation (GMFA) Green functions (GFs) of the model. For the normal singlet hopping and anomalous exchange pairing correlation functions which enter the FM and GMFA-GFs, the use of spectral representations allows the identification and elimination of exponentially small quantities. This procedure secures the reduction of the correlation order to the GMFA-GF expressions
Yoshitake, Junki; Nasu, Joji; Motome, Yukitoshi
2016-10-07
Experimental identification of quantum spin liquids remains a challenge, as the pristine nature is to be seen in asymptotically low temperatures. We here theoretically show that the precursor of quantum spin liquids appears in the spin dynamics in the paramagnetic state over a wide temperature range. Using the cluster dynamical mean-field theory and the continuous-time quantum Monte Carlo method, which are newly developed in the Majorana fermion representation, we calculate the dynamical spin structure factor, relaxation rate in nuclear magnetic resonance, and magnetic susceptibility for the honeycomb Kitaev model whose ground state is a canonical example of the quantum spin liquid. We find that dynamical spin correlations show peculiar temperature and frequency dependence even below the temperature where static correlations saturate. The results provide the experimentally accessible symptoms of the fluctuating fractionalized spins evincing the quantum spin liquids.
Superfluid and insulating phases in an interacting-boson model: mean-field theory and the RPA
International Nuclear Information System (INIS)
Sheshadri, K.; Pandit, R.; Krishnamurthy, H.R.; Ramakrishnan, T.V.
1993-01-01
The bosonic Hubbard model is studied via a simple mean-field theory. At zero temperature, in addition to yielding a phase diagram that is qualitatively correct, namely a superfluid phase for non-integer fillings and a Mott transition from a superfluid to an insulating phase for integer fillings, this theory gives results that are in good agreement with Monte Carlo simulations. In particular, the superfluid fraction obtained as a function of the interaction strength U for both integer and non-integer fillings is close to the simulation results. In all phases the excitation spectra are obtained by using the random phase approximation (RPA): the spectrum has a gap in the insulating phase and is gapless (and linear at small wave vectors) in the superfluid phase. Analytic results are presented in the limits of large U and small superfluid density. Finite-temperature phase diagrams and the Mott-insulator-normal-phase crossover are also described. (orig.)
Sornette, Didier
1993-05-01
A mean-field (MF) model of the critical behavior of charge-density waves below the threshold for sliding is proposed, which replaces the combined effect of the pinning force and of the forces exerted by the neighbors on a given particle n by an effective force threshold Xn. It allows one to rationalize the numerical results of Middleton and Fisher [Phys. Rev. Lett. 66 (1991) 92] on the divergence of the polarization and of the largest correlation length and of Pla and Nori [Phys. Rev. Lett. 67 (1991) 919] on the distribution D( d) of sliding bursts of size d, measured in narrow intervals of driving fields E at a finite distance below the threshold Ec.
Flocking dynamics and mean-field limit in the Cucker-Smale-type model with topological interactions
Haskovec, Jan
2013-10-01
We introduce a Cucker-Smale-type model for flocking, where the strength of interaction between two agents depends on their relative separation (called "topological distance" in previous works), which is the number of intermediate individuals separating them. This makes the model scale-free and is motivated by recent extensive observations of starling flocks, suggesting that the interaction ruling animal collective behavior depends on topological rather than the metric distance. We study the conditions leading to asymptotic flocking in the topological model, defined as the convergence of the agents\\' velocities to a common vector. The shift from metric to topological interactions requires development of new analytical methods, taking into account the graph-theoretical nature of the problem. Moreover, we provide a rigorous derivation of the mean-field limit of large populations, recovering kinetic and hydrodynamic descriptions. In particular, we introduce the novel concept of relative separation in continuum descriptions, which is applicable to a broad variety of models of collective behavior. As an example, we shortly discuss a topological modification of the attraction-repulsion model and illustrate with numerical simulations that the modified model produces interesting new pattern dynamics. © 2013 Elsevier B.V. All rights reserved.
Campo, M. A.; Lopez, J. J.; Rebole, J. P.
2012-04-01
This work was carried out in north of Spain. San Sebastian A meteorological station, where there are available precipitation records every ten minutes was selected. Precipitation data covers from October of 1927 to September of 1997. Pulse models describe the temporal process of rainfall as a succession of rainy cells, main storm, whose origins are distributed in time according to a Poisson process and a secondary process that generates a random number of cells of rain within each storm. Among different pulse models, the Bartlett-Lewis was used. On the other hand, alternative renewal processes and Markov chains describe the way in which the process will evolve in the future depending only on the current state. Therefore they are nor dependant on past events. Two basic processes are considered when describing the occurrence of rain: the alternation of wet and dry periods and temporal distribution of rainfall in each rain event, which determines the rainwater collected in each of the intervals that make up the rain. This allows the introduction of alternative renewal processes and Markov chains of three states, where interstorm time is given by either of the two dry states, short or long. Thus, the stochastic model of Markov chains tries to reproduce the basis of pulse models: the succession of storms, each one composed for a series of rain, separated by a short interval of time without theoretical complexity of these. In a first step, we analyzed all variables involved in the sequential process of the rain: rain event duration, event duration of non-rain, average rainfall intensity in rain events, and finally, temporal distribution of rainfall within the rain event. Additionally, for pulse Bartlett-Lewis model calibration, main descriptive statistics were calculated for each month, considering the process of seasonal rainfall in each month. In a second step, both models were calibrated. Finally, synthetic series were simulated with calibration parameters; series
Stochastic Models of Polymer Systems
2016-01-01
Distribution Unlimited Final Report: Stochastic Models of Polymer Systems The views, opinions and/or findings contained in this report are those of the...ADDRESS. Princeton University PO Box 0036 87 Prospect Avenue - 2nd floor Princeton, NJ 08544 -2020 14-Mar-2014 ABSTRACT Number of Papers published in...peer-reviewed journals: Number of Papers published in non peer-reviewed journals: Final Report: Stochastic Models of Polymer Systems Report Title
International Nuclear Information System (INIS)
Steenbakkers, Rudi J A; Schieber, Jay D; Tzoumanekas, Christos; Li, Ying; Liu, Wing Kam; Kröger, Martin
2014-01-01
We present a method to map the full equilibrium distribution of the primitive-path (PP) length, obtained from multi-chain simulations of polymer melts, onto a single-chain mean-field ‘target’ model. Most previous works used the Doi–Edwards tube model as a target. However, the average number of monomers per PP segment, obtained from multi-chain PP networks, has consistently shown a discrepancy of a factor of two with respect to tube-model estimates. Part of the problem is that the tube model neglects fluctuations in the lengths of PP segments, the number of entanglements per chain and the distribution of monomers among PP segments, while all these fluctuations are observed in multi-chain simulations. Here we use a recently proposed slip-link model, which includes fluctuations in all these variables as well as in the spatial positions of the entanglements. This turns out to be essential to obtain qualitative and quantitative agreement with the equilibrium PP-length distribution obtained from multi-chain simulations. By fitting this distribution, we are able to determine two of the three parameters of the model, which govern its equilibrium properties. This mapping is executed for four different linear polymers and for different molecular weights. The two parameters are found to depend on chemistry, but not on molecular weight. The model predicts a constant plateau modulus minus a correction inversely proportional to molecular weight. The value for well-entangled chains, with the parameters determined ab initio, lies in the range of experimental data for the materials investigated. (paper)
Energy Technology Data Exchange (ETDEWEB)
Pawlak, A., E-mail: pawlak@amu.edu.pl [Faculty of Physics, Adam Mickiewicz University, Umultowska 85, 61–614 Poznań (Poland); Gülpınar, G. [Department of Physics, Dokuz Eylül University, 35160 İzmir (Turkey); Erdem, R. [Department of Physics, Akdeniz University, 07058 Antalya (Turkey); Ağartıoğlu, M. [Institute of Science, Dokuz Eylül University, 35160 İzmir (Turkey)
2015-12-01
The expressions for the dipolar and quadrupolar susceptibilities are obtained within the mean-field approximation in the Blume–Emery–Griffiths model. Temperature as well as crystal field dependences of the susceptibilities are investigated for two different phase diagram topologies which take place for K/J=3 and K/J=5.0.Their behavior near the second and first order transition points as well as multi-critical points such as tricritical, triple and critical endpoint is presented. It is found that in addition to the jumps connected with the phase transitions there are broad peaks in the quadrupolar susceptibility. It is indicated that these broad peaks lie on a prolongation of the first-order line from a triple point to a critical point ending the line of first-order transitions between two distinct paramagnetic phases. It is argued that the broad peaks are a reminiscence of very strong quadrupolar fluctuations at the critical point. The results reveal the fact that near ferromagnetic–paramagnetic phase transitions the quadrupolar susceptibility generally shows a jump whereas near the phase transition between two distinct paramagnetic phases it is an edge-like. - Highlights: • MFA calculation of the quadrupolar and dipolar susceptibility in BEG model is given • The crystal-field variation of susceptibilities near the multi-critical points is examined • There are broad peaks in the quadrupolar susceptibility in the vicinity of CP • These maxima are remembrances of the very strong quadrupolar Fluctuations.
Analysis of the anomalous mean-field like properties of Gaussian core model in terms of entropy
Nandi, Manoj Kumar; Maitra Bhattacharyya, Sarika
2018-01-01
Studies of the Gaussian core model (GCM) have shown that it behaves like a mean-field model and the properties are quite different from standard glass former. In this work, we investigate the entropies, namely, the excess entropy (Sex) and the configurational entropy (Sc) and their different components to address these anomalies. Our study corroborates most of the earlier observations and also sheds new light on the high and low temperature dynamics. We find that unlike in standard glass former where high temperature dynamics is dominated by two-body correlation and low temperature by many-body correlations, in the GCM both high and low temperature dynamics are dominated by many-body correlations. We also find that the many-body entropy which is usually positive at low temperatures and is associated with activated dynamics is negative in the GCM suggesting suppression of activation. Interestingly despite the suppression of activation, the Adam-Gibbs (AG) relation that describes activated dynamics holds in the GCM, thus suggesting a non-activated contribution in AG relation. We also find an overlap between the AG relation and mode coupling power law regime leading to a power law behavior of Sc. From our analysis of this power law behavior, we predict that in the GCM the high temperature dynamics will disappear at dynamical transition temperature and below that there will be a transition to the activated regime. Our study further reveals that the activated regime in the GCM is quite narrow.
Stochastic Still Water Response Model
DEFF Research Database (Denmark)
Friis-Hansen, Peter; Ditlevsen, Ove Dalager
2002-01-01
In this study a stochastic field model for the still water loading is formulated where the statistics (mean value, standard deviation, and correlation) of the sectional forces are obtained by integration of the load field over the relevant part of the ship structure. The objective of the model is...... 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...
Mean-field approximation minimizes relative entropy
International Nuclear Information System (INIS)
Bilbro, G.L.; Snyder, W.E.; Mann, R.C.
1991-01-01
The authors derive the mean-field approximation from the information-theoretic principle of minimum relative entropy instead of by minimizing Peierls's inequality for the Weiss free energy of statistical physics theory. They show that information theory leads to the statistical mechanics procedure. As an example, they consider a problem in binary image restoration. They find that mean-field annealing compares favorably with the stochastic approach
International Nuclear Information System (INIS)
Aoyama, Tatsumi; Kawai, Hikaru; Shibusa, Yuuichiro
2006-01-01
We investigate the origin of our four-dimensional space-time by considering dynamical aspects of the IIB matrix model using the improved mean field approximation. Previous works have focused on the specific choices of configurations as ansatz which preserve SO(d) rotational symmetry. In this report, an extended ansatz is proposed and examined up to a third-order approximation which includes both the SO(4) ansatz and the SO(7) ansatz in their respective limits. From the solutions of the self-consistency condition represented by the extrema of the free energy of the system, it is found that some of the solutions found in the SO(4) or SO(7) ansatz disappear in the extended ansatz. This implies that the extension of ansatz can be used to distinguish stable solutions from unstable solutions. It is also found that there is a non-trivial accumulation of extrema including the SO(4)-preserving solution, which may lead to the formation of a plateau. (author)
International Nuclear Information System (INIS)
Jiang Weizhou; Li Baozn; Chen Liewen
2007-01-01
Using in-medium hadron properties according to the Brown-Rho scaling due to the chiral symmetry restoration at high densities and considering naturalness of the coupling constants, we have newly constructed several relativistic mean-field Lagrangians with chiral limits. The model parameters are adjusted such that the symmetric part of the resulting equation of state at supra-normal densities is consistent with that required by the collective flow data from high energy heavy-ion reactions, while the resulting density dependence of the symmetry energy at sub-saturation densities agrees with that extracted from the recent isospin diffusion data from intermediate energy heavy-ion reactions. The resulting equations of state have the special feature of being soft at intermediate densities but stiff at high densities naturally. With these constrained equations of state, it is found that the radius of a 1.4M o canonical neutron star is in the range of 11.9 km≤R≤13.1 km, and the maximum neutron star mass is around 2.0M o close to the recent observations
Schoen, Martin; Haslam, Andrew J; Jackson, George
2017-10-24
The phase behavior and structure of a simple square-well bulk fluid with anisotropic interactions is described in detail. The orientation dependence of the intermolecular interactions allows for the formation of a nematic liquid-crystalline phase in addition to the more conventional isotropic gas and liquid phases. A version of classical density functional theory (DFT) is employed to determine the properties of the model, and comparisons are made with the corresponding data from Monte Carlo (MC) computer simulations in both the grand canonical and canonical ensembles, providing a benchmark to assess the adequacy of the DFT results. A novel element of the DFT approach is the assumption that the structure of the fluid is dominated by intermolecular interactions in the isotropic fluid. A so-called augmented modified mean-field (AMMF) approximation is employed accounting for the influence of anisotropic interactions. The AMMF approximation becomes exact in the limit of vanishing density. We discuss advantages and disadvantages of the AMMF approximation with respect to an accurate description of isotropic and nematic branches of the phase diagram, the degree of orientational order, and orientation-dependent pair correlations. The performance of the AMMF approximations is found to be good in comparison with the MC data; the AMMF approximation has clear advantages with respect to an accurate and more detailed description of the fluid structure. Possible strategies to improve the DFT are discussed.
Hayami, Satoru; Kusunose, Hiroaki; Motome, Yukitoshi
2018-05-01
We investigate a two-orbital Hubbard model on a honeycomb structure, with a special focus on the antisymmetric spin-orbit coupling (ASOC) induced by symmetry breaking in the electronic degrees of freedom. By investigating the ground-state phase diagram by the mean-field approximation in addition to the analysis in the strong correlation limit, we obtain a variety of symmetry-broken phases that induce different types of effective ASOCs by breaking of spatial inversion symmetry. We find several unusual properties emergent from the ASOCs, such as a linear magnetoelectric effect in a spin-orbital ordered phase at 1/4 filling and a spin splitting in the band structure in charge ordered phases at 1/4 and 1/2 fillings. We also show that a staggered potential on the honeycomb structure leads to another type of ASOC, which gives rise to a valley splitting in the band structure at 1/2 filling. We discuss the experimental relevance of our results to candidate materials including transition metal dichalcogenides and trichalcogenides.
Klaiman, S.; Streltsov, A. I.; Alon, O. E.
2018-04-01
A solvable model of a generic trapped bosonic mixture, N 1 bosons of mass m 1 and N 2 bosons of mass m 2 trapped in an harmonic potential of frequency ω and interacting by harmonic inter-particle interactions of strengths λ 1, λ 2, and λ 12, is discussed. It has recently been shown for the ground state [J. Phys. A 50, 295002 (2017)] that in the infinite-particle limit, when the interaction parameters λ 1(N 1 ‑ 1), λ 2(N 2 ‑ 1), λ 12 N 1, λ 12 N 2 are held fixed, each of the species is 100% condensed and its density per particle as well as the total energy per particle are given by the solution of the coupled Gross-Pitaevskii equations of the mixture. In the present work we investigate properties of the trapped generic mixture at the infinite-particle limit, and find differences between the many-body and mean-field descriptions of the mixture, despite each species being 100%. We compute analytically and analyze, both for the mixture and for each species, the center-of-mass position and momentum variances, their uncertainty product, the angular-momentum variance, as well as the overlap of the exact and Gross-Pitaevskii wavefunctions of the mixture. The results obtained in this work can be considered as a step forward in characterizing how important are many-body effects in a fully condensed trapped bosonic mixture at the infinite-particle limit.
Interplanetary Alfvenic fluctuations: A stochastic model
International Nuclear Information System (INIS)
Barnes, A.
1981-01-01
The strong alignment of the average directions of minimum magnetic variance and mean magnetic field in interplanetary Alfvenic fluctuations is inconsistent with the usual wave-propagation models. We investigate the concept of minimum variance for nonplanar Alfvenic fluctuations in which the field direction varies stochastically. It is found that the tendency of the minimum variance and mean field directions to be aligned may be purely a consequence of the randomness of the field direction. In particular, a well-defined direction of minimum variance does not imply that the fluctuations are necessarily planar. The fluctuation power spectrum is a power law for frequencies much higher than the inverse of the correlation time. The probability distribution of directions a randomly fluctuating field of constant magnitude is calculated. A new approach for observational studies of interplanetary fluctuations is suggested
Stochastic models: theory and simulation.
Energy Technology Data Exchange (ETDEWEB)
Field, Richard V., Jr.
2008-03-01
Many problems in applied science and engineering involve physical phenomena that behave randomly in time and/or space. Examples are diverse and include turbulent flow over an aircraft wing, Earth climatology, material microstructure, and the financial markets. Mathematical models for these random phenomena are referred to as stochastic processes and/or random fields, and Monte Carlo simulation is the only general-purpose tool for solving problems of this type. The use of Monte Carlo simulation requires methods and algorithms to generate samples of the appropriate stochastic model; these samples then become inputs and/or boundary conditions to established deterministic simulation codes. While numerous algorithms and tools currently exist to generate samples of simple random variables and vectors, no cohesive simulation tool yet exists for generating samples of stochastic processes and/or random fields. There are two objectives of this report. First, we provide some theoretical background on stochastic processes and random fields that can be used to model phenomena that are random in space and/or time. Second, we provide simple algorithms that can be used to generate independent samples of general stochastic models. The theory and simulation of random variables and vectors is also reviewed for completeness.
Stochastic models of cell motility
DEFF Research Database (Denmark)
Gradinaru, Cristian
2012-01-01
Cell motility and migration are central to the development and maintenance of multicellular organisms, and errors during this process can lead to major diseases. Consequently, the mechanisms and phenomenology of cell motility are currently under intense study. In recent years, a new...... interdisciplinary field focusing on the study of biological processes at the nanoscale level, with a range of technological applications in medicine and biological research, has emerged. The work presented in this thesis is at the interface of cell biology, image processing, and stochastic modeling. The stochastic...... models introduced here are based on persistent random motion, which I apply to real-life studies of cell motility on flat and nanostructured surfaces. These models aim to predict the time-dependent position of cell centroids in a stochastic manner, and conversely determine directly from experimental...
Stochastic Modelling of Hydrologic Systems
DEFF Research Database (Denmark)
Jonsdottir, Harpa
2007-01-01
In this PhD project several stochastic modelling methods are studied and applied on various subjects in hydrology. The research was prepared at Informatics and Mathematical Modelling at the Technical University of Denmark. The thesis is divided into two parts. The first part contains...... an introduction and an overview of the papers published. Then an introduction to basic concepts in hydrology along with a description of hydrological data is given. Finally an introduction to stochastic modelling is given. The second part contains the research papers. In the research papers the stochastic methods...... are described, as at the time of publication these methods represent new contribution to hydrology. The second part also contains additional description of software used and a brief introduction to stiff systems. The system in one of the papers is stiff....
Stochastic Modelling of River Geometry
DEFF Research Database (Denmark)
Sørensen, John Dalsgaard; Schaarup-Jensen, K.
1996-01-01
Numerical hydrodynamic river models are used in a large number of applications to estimate critical events for rivers. These estimates are subject to a number of uncertainties. In this paper, the problem to evaluate these estimates using probabilistic methods is considered. Stochastic models for ...... for river geometries are formulated and a coupling between hydraulic computational methods and numerical reliability methods is presented....
Stochastic Volatility and DSGE Models
DEFF Research Database (Denmark)
Andreasen, Martin Møller
This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE models may not be appropriate, because the level of a process with this specification does not have conditional or unconditional moments. This is unfortunate because agents may...
Stochastic-field cavitation model
International Nuclear Information System (INIS)
Dumond, J.; Magagnato, F.; Class, A.
2013-01-01
Nonlinear phenomena can often be well described using probability density functions (pdf) and pdf transport models. Traditionally, the simulation of pdf transport requires Monte-Carlo codes based on Lagrangian “particles” or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic-field method solving pdf transport based on Eulerian fields has been proposed which eliminates the necessity to mix Eulerian and Lagrangian techniques or prescribed pdf assumptions. In the present work, for the first time the stochastic-field method is applied to multi-phase flow and, in particular, to cavitating flow. To validate the proposed stochastic-field cavitation model, two applications are considered. First, sheet cavitation is simulated in a Venturi-type nozzle. The second application is an innovative fluidic diode which exhibits coolant flashing. Agreement with experimental results is obtained for both applications with a fixed set of model constants. The stochastic-field cavitation model captures the wide range of pdf shapes present at different locations
Stochastic-field cavitation model
Dumond, J.; Magagnato, F.; Class, A.
2013-07-01
Nonlinear phenomena can often be well described using probability density functions (pdf) and pdf transport models. Traditionally, the simulation of pdf transport requires Monte-Carlo codes based on Lagrangian "particles" or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic-field method solving pdf transport based on Eulerian fields has been proposed which eliminates the necessity to mix Eulerian and Lagrangian techniques or prescribed pdf assumptions. In the present work, for the first time the stochastic-field method is applied to multi-phase flow and, in particular, to cavitating flow. To validate the proposed stochastic-field cavitation model, two applications are considered. First, sheet cavitation is simulated in a Venturi-type nozzle. The second application is an innovative fluidic diode which exhibits coolant flashing. Agreement with experimental results is obtained for both applications with a fixed set of model constants. The stochastic-field cavitation model captures the wide range of pdf shapes present at different locations.
A Fractionally Integrated Wishart Stochastic Volatility Model
M. Asai (Manabu); M.J. McAleer (Michael)
2013-01-01
textabstractThere has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of
Transport properties of stochastic Lorentz models
Beijeren, H. van
Diffusion processes are considered for one-dimensional stochastic Lorentz models, consisting of randomly distributed fixed scatterers and one moving light particle. In waiting time Lorentz models the light particle makes instantaneous jumps between scatterers after a stochastically distributed
Nonasymptotic mean-field games
Tembine, Hamidou
2014-12-01
Mean-field games have been studied under the assumption of very large number of players. For such large systems, the basic idea consists to approximate large games by a stylized game model with a continuum of players. The approach has been shown to be useful in some applications. However, the stylized game model with continuum of decision-makers is rarely observed in practice and the approximation proposed in the asymptotic regime is meaningless for networked systems with few entities. In this paper we propose a mean-field framework that is suitable not only for large systems but also for a small world with few number of entities. The applicability of the proposed framework is illustrated through a dynamic auction with asymmetric valuation distributions.
Nonasymptotic mean-field games
Tembine, Hamidou
2014-12-01
Mean-field games have been studied under the assumption of very large number of players. For such large systems, the basic idea consists of approximating large games by a stylized game model with a continuum of players. The approach has been shown to be useful in some applications. However, the stylized game model with continuum of decision-makers is rarely observed in practice and the approximation proposed in the asymptotic regime is meaningless for networks with few entities. In this paper, we propose a mean-field framework that is suitable not only for large systems but also for a small world with few number of entities. The applicability of the proposed framework is illustrated through various examples including dynamic auction with asymmetric valuation distributions, and spiteful bidders.
Stochastic diffusion models for substitutable technological innovations
Wang, L.; Hu, B.; Yu, X.
2004-01-01
Based on the analysis of firms' stochastic adoption behaviour, this paper first points out the necessity to build more practical stochastic models. And then, stochastic evolutionary models are built for substitutable innovation diffusion system. Finally, through the computer simulation of the
Research on nonlinear stochastic dynamical price model
International Nuclear Information System (INIS)
Li Jiaorui; Xu Wei; Xie Wenxian; Ren Zhengzheng
2008-01-01
In consideration of many uncertain factors existing in economic system, nonlinear stochastic dynamical price model which is subjected to Gaussian white noise excitation is proposed based on deterministic model. One-dimensional averaged Ito stochastic differential equation for the model is derived by using the stochastic averaging method, and applied to investigate the stability of the trivial solution and the first-passage failure of the stochastic price model. The stochastic price model and the methods presented in this paper are verified by numerical studies
Continuous time finite state mean field games
Gomes, Diogo A.; Mohr, Joana; Souza, Rafael Rigã o
2013-01-01
In this paper we consider symmetric games where a large number of players can be in any one of d states. We derive a limiting mean field model and characterize its main properties. This mean field limit is a system of coupled ordinary differential equations with initial-terminal data. For this mean field problem we prove a trend to equilibrium theorem, that is convergence, in an appropriate limit, to stationary solutions. Then we study an N+1-player problem, which the mean field model attempts to approximate. Our main result is the convergence as N→∞ of the mean field model and an estimate of the rate of convergence. We end the paper with some further examples for potential mean field games. © 2013 Springer Science+Business Media New York.
Continuous time finite state mean field games
Gomes, Diogo A.
2013-04-23
In this paper we consider symmetric games where a large number of players can be in any one of d states. We derive a limiting mean field model and characterize its main properties. This mean field limit is a system of coupled ordinary differential equations with initial-terminal data. For this mean field problem we prove a trend to equilibrium theorem, that is convergence, in an appropriate limit, to stationary solutions. Then we study an N+1-player problem, which the mean field model attempts to approximate. Our main result is the convergence as N→∞ of the mean field model and an estimate of the rate of convergence. We end the paper with some further examples for potential mean field games. © 2013 Springer Science+Business Media New York.
Continuous Time Finite State Mean Field Games
Energy Technology Data Exchange (ETDEWEB)
Gomes, Diogo A., E-mail: dgomes@math.ist.utl.pt [Instituto Superior Tecnico, Center for Mathematical Analysis, Geometry, and Dynamical Systems, Departamento de Matematica (Portugal); Mohr, Joana, E-mail: joana.mohr@ufrgs.br; Souza, Rafael Rigao, E-mail: rafars@mat.ufrgs.br [UFRGS, Instituto de Matematica (Brazil)
2013-08-01
In this paper we consider symmetric games where a large number of players can be in any one of d states. We derive a limiting mean field model and characterize its main properties. This mean field limit is a system of coupled ordinary differential equations with initial-terminal data. For this mean field problem we prove a trend to equilibrium theorem, that is convergence, in an appropriate limit, to stationary solutions. Then we study an N+1-player problem, which the mean field model attempts to approximate. Our main result is the convergence as N{yields}{infinity} of the mean field model and an estimate of the rate of convergence. We end the paper with some further examples for potential mean field games.
Continuous Time Finite State Mean Field Games
International Nuclear Information System (INIS)
Gomes, Diogo A.; Mohr, Joana; Souza, Rafael Rigão
2013-01-01
In this paper we consider symmetric games where a large number of players can be in any one of d states. We derive a limiting mean field model and characterize its main properties. This mean field limit is a system of coupled ordinary differential equations with initial-terminal data. For this mean field problem we prove a trend to equilibrium theorem, that is convergence, in an appropriate limit, to stationary solutions. Then we study an N+1-player problem, which the mean field model attempts to approximate. Our main result is the convergence as N→∞ of the mean field model and an estimate of the rate of convergence. We end the paper with some further examples for potential mean field games
Stochastic models for atmospheric dispersion
DEFF Research Database (Denmark)
Ditlevsen, Ove Dalager
2003-01-01
Simple stochastic differential equation models have been applied by several researchers to describe the dispersion of tracer particles in the planetary atmospheric boundary layer and to form the basis for computer simulations of particle paths. To obtain the drift coefficient, empirical vertical...... positions close to the boundaries. Different rules have been suggested in the literature with justifications based on simulation studies. Herein the relevant stochastic differential equation model is formulated in a particular way. The formulation is based on the marginal transformation of the position...... velocity distributions that depend on height above the ground both with respect to standard deviation and skewness are substituted into the stationary Fokker/Planck equation. The particle position distribution is taken to be uniform *the well/mixed condition( and also a given dispersion coefficient...
Mean-field model for the interference of matter-waves from a three-dimensional optical trap
International Nuclear Information System (INIS)
Adhikari, Sadhan K.; Muruganandam, Paulsamy
2003-01-01
Using the mean-field time-dependent Gross-Pitaevskii equation we study the formation of a repulsive Bose-Einstein condensate on a combined optical and harmonic traps in two and three dimensions and subsequent generation of the interference pattern upon the removal of the combined traps as in the experiment by Greiner et al. [Nature (London) 415 (2002) 39]. For optical traps of moderate strength, interference pattern of 27 (9) prominent bright spots is found to be formed in three (two) dimensions on a cubic (square) lattice in agreement with experiment. Similar interference pattern can also be formed upon removal of the optical lattice trap only. The pattern so formed can oscillate for a long time in the harmonic trap which can be observed experimentally
International Nuclear Information System (INIS)
Sun, B.; Montes, F.; Geng, L. S.; Geissel, H.; Litvinov, Yu. A.; Meng, J.
2008-01-01
A new mass table calculated by the relativistic mean-field approach with the state-dependent BCS method for the pairing correlation is applied for the first time to study r-process nucleosynthesis. The solar r-process abundance is well reproduced within a waiting-point approximation approach. Using an exponential fitting procedure to find the required astrophysical conditions, the influence of mass uncertainty is investigated. The r-process calculations using the FRDM, ETFSI-Q, and HFB-13 mass tables have been used for that purpose. It is found that the nuclear physical uncertainty can significantly influence the deduced astrophysical conditions for the r-process site. In addition, the influence of the shell closure and shape transition have been examined in detail in the r-process simulations
Hybrid approaches for multiple-species stochastic reaction–diffusion models
International Nuclear Information System (INIS)
Spill, Fabian; Guerrero, Pilar; Alarcon, Tomas; Maini, Philip K.; Byrne, Helen
2015-01-01
Reaction–diffusion models are used to describe systems in fields as diverse as physics, chemistry, ecology and biology. The fundamental quantities in such models are individual entities such as atoms and molecules, bacteria, cells or animals, which move and/or react in a stochastic manner. If the number of entities is large, accounting for each individual is inefficient, and often partial differential equation (PDE) models are used in which the stochastic behaviour of individuals is replaced by a description of the averaged, or mean behaviour of the system. In some situations the number of individuals is large in certain regions and small in others. In such cases, a stochastic model may be inefficient in one region, and a PDE model inaccurate in another. To overcome this problem, we develop a scheme which couples a stochastic reaction–diffusion system in one part of the domain with its mean field analogue, i.e. a discretised PDE model, in the other part of the domain. The interface in between the two domains occupies exactly one lattice site and is chosen such that the mean field description is still accurate there. In this way errors due to the flux between the domains are small. Our scheme can account for multiple dynamic interfaces separating multiple stochastic and deterministic domains, and the coupling between the domains conserves the total number of particles. The method preserves stochastic features such as extinction not observable in the mean field description, and is significantly faster to simulate on a computer than the pure stochastic model. - Highlights: • A novel hybrid stochastic/deterministic reaction–diffusion simulation method is given. • Can massively speed up stochastic simulations while preserving stochastic effects. • Can handle multiple reacting species. • Can handle moving boundaries
Hybrid approaches for multiple-species stochastic reaction–diffusion models
Energy Technology Data Exchange (ETDEWEB)
Spill, Fabian, E-mail: fspill@bu.edu [Department of Biomedical Engineering, Boston University, 44 Cummington Street, Boston, MA 02215 (United States); Department of Mechanical Engineering, Massachusetts Institute of Technology, 77 Massachusetts Avenue, Cambridge, MA 02139 (United States); Guerrero, Pilar [Department of Mathematics, University College London, Gower Street, London WC1E 6BT (United Kingdom); Alarcon, Tomas [Centre de Recerca Matematica, Campus de Bellaterra, Edifici C, 08193 Bellaterra (Barcelona) (Spain); Departament de Matemàtiques, Universitat Atonòma de Barcelona, 08193 Bellaterra (Barcelona) (Spain); Maini, Philip K. [Wolfson Centre for Mathematical Biology, Mathematical Institute, University of Oxford, Oxford OX2 6GG (United Kingdom); Byrne, Helen [Wolfson Centre for Mathematical Biology, Mathematical Institute, University of Oxford, Oxford OX2 6GG (United Kingdom); Computational Biology Group, Department of Computer Science, University of Oxford, Oxford OX1 3QD (United Kingdom)
2015-10-15
Reaction–diffusion models are used to describe systems in fields as diverse as physics, chemistry, ecology and biology. The fundamental quantities in such models are individual entities such as atoms and molecules, bacteria, cells or animals, which move and/or react in a stochastic manner. If the number of entities is large, accounting for each individual is inefficient, and often partial differential equation (PDE) models are used in which the stochastic behaviour of individuals is replaced by a description of the averaged, or mean behaviour of the system. In some situations the number of individuals is large in certain regions and small in others. In such cases, a stochastic model may be inefficient in one region, and a PDE model inaccurate in another. To overcome this problem, we develop a scheme which couples a stochastic reaction–diffusion system in one part of the domain with its mean field analogue, i.e. a discretised PDE model, in the other part of the domain. The interface in between the two domains occupies exactly one lattice site and is chosen such that the mean field description is still accurate there. In this way errors due to the flux between the domains are small. Our scheme can account for multiple dynamic interfaces separating multiple stochastic and deterministic domains, and the coupling between the domains conserves the total number of particles. The method preserves stochastic features such as extinction not observable in the mean field description, and is significantly faster to simulate on a computer than the pure stochastic model. - Highlights: • A novel hybrid stochastic/deterministic reaction–diffusion simulation method is given. • Can massively speed up stochastic simulations while preserving stochastic effects. • Can handle multiple reacting species. • Can handle moving boundaries.
Stochastic modeling and analysis of telecoms networks
Decreusefond, Laurent
2012-01-01
This book addresses the stochastic modeling of telecommunication networks, introducing the main mathematical tools for that purpose, such as Markov processes, real and spatial point processes and stochastic recursions, and presenting a wide list of results on stability, performances and comparison of systems.The authors propose a comprehensive mathematical construction of the foundations of stochastic network theory: Markov chains, continuous time Markov chains are extensively studied using an original martingale-based approach. A complete presentation of stochastic recursions from an
Stochastic modeling analysis and simulation
Nelson, Barry L
1995-01-01
A coherent introduction to the techniques for modeling dynamic stochastic systems, this volume also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Suitable for advanced undergraduates and graduate-level industrial engineers and management science majors, it proposes modeling systems in terms of their simulation, regardless of whether simulation is employed for analysis. Beginning with a view of the conditions that permit a mathematical-numerical analysis, the text explores Poisson and renewal processes, Markov chains in discrete and continuous time, se
Mean Field Games with a Dominating Player
Energy Technology Data Exchange (ETDEWEB)
Bensoussan, A., E-mail: axb046100@utdallas.edu [The University of Texas at Dallas, International Center for Decision and Risk Analysis, Jindal School of Management (United States); Chau, M. H. M., E-mail: michaelchaumanho@gmail.com; Yam, S. C. P., E-mail: scpyam@sta.cuhk.edu.hk [The Chinese University of Hong Kong, Department of Statistics (Hong Kong, People’s Republic of China) (China)
2016-08-15
In this article, we consider mean field games between a dominating player and a group of representative agents, each of which acts similarly and also interacts with each other through a mean field term being substantially influenced by the dominating player. We first provide the general theory and discuss the necessary condition for the optimal controls and equilibrium condition by adopting adjoint equation approach. We then present a special case in the context of linear-quadratic framework, in which a necessary and sufficient condition can be asserted by stochastic maximum principle; we finally establish the sufficient condition that guarantees the unique existence of the equilibrium control. The proof of the convergence result of finite player game to mean field counterpart is provided in Appendix.
Mean field games for cognitive radio networks
Tembine, Hamidou
2012-06-01
In this paper we study mobility effect and power saving in cognitive radio networks using mean field games. We consider two types of users: primary and secondary users. When active, each secondary transmitter-receiver uses carrier sensing and is subject to long-term energy constraint. We formulate the interaction between primary user and large number of secondary users as an hierarchical mean field game. In contrast to the classical large-scale approaches based on stochastic geometry, percolation theory and large random matrices, the proposed mean field framework allows one to describe the evolution of the density distribution and the associated performance metrics using coupled partial differential equations. We provide explicit formulas and algorithmic power management for both primary and secondary users. A complete characterization of the optimal distribution of energy and probability of success is given.
Stochastic Subspace Modelling of Turbulence
DEFF Research Database (Denmark)
Sichani, Mahdi Teimouri; Pedersen, B. J.; Nielsen, Søren R.K.
2009-01-01
positive definite cross-spectral density matrix a frequency response matrix is constructed which determines the turbulence vector as a linear filtration of Gaussian white noise. Finally, an accurate state space modelling method is proposed which allows selection of an appropriate model order......, and estimation of a state space model for the vector turbulence process incorporating its phase spectrum in one stage, and its results are compared with a conventional ARMA modelling method.......Turbulence of the incoming wind field is of paramount importance to the dynamic response of civil engineering structures. Hence reliable stochastic models of the turbulence should be available from which time series can be generated for dynamic response and structural safety analysis. In the paper...
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.
Sequential neural models with stochastic layers
DEFF Research Database (Denmark)
Fraccaro, Marco; Sønderby, Søren Kaae; Paquet, Ulrich
2016-01-01
How can we efficiently propagate uncertainty in a latent state representation with recurrent neural networks? This paper introduces stochastic recurrent neural networks which glue a deterministic recurrent neural network and a state space model together to form a stochastic and sequential neural...... generative model. The clear separation of deterministic and stochastic layers allows a structured variational inference network to track the factorization of the model's posterior distribution. By retaining both the nonlinear recursive structure of a recurrent neural network and averaging over...
Probabilistic theory of mean field games with applications
Carmona, René
2018-01-01
This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions. Volume I of the book is entirely devoted to the theory of mean field games without a common noise. The first half of the volume provides a self-contained introduction to mean field games, starting from concrete illustrations of games with a finite number of players, and ending with ready-for-use solvability results. Readers are provided with the tools necessary for the solution of forward-backward stochastic differential equations of the McKean-Vlasov type at the core of the probabilistic approach. The second half of this volume focuses on the main principles of analysis on the Wasserstein space. It includes Lions' approach to the Wasserstein differential calculus, and the applications of its results to the analysis of stochastic...
A stochastic model of hormesis
International Nuclear Information System (INIS)
Yakovlev, A.Yu.; Tsodikov, A.D.; Bass, L.
1993-01-01
In order to describe the life-prolonging effect of some agents that are harmful at higher doses, ionizing radiations in particular, a stochastic model is developed in terms of accumulation and progression of intracellular lesions caused by the environment and by the agent itself. The processes of lesion repair, operating at the molecular and cellular level, are assumed to be responsible for this hormesis effect within the framework of the proposed model. Properties of lifetime distributions, derived for analysis of animal experiments with prolonged and acute irradiation, are given special attention. The model provides efficient means of interpreting experimental findings, as evidenced by its application to analysis of some published data on the hormetic effects of prolonged irradiation and of procaine on animal longevity. 51 refs., 2 figs., 1 tabs
Stochastic models for tumoral growth
Escudero, Carlos
2006-02-01
Strong experimental evidence has indicated that tumor growth belongs to the molecular beam epitaxy universality class. This type of growth is characterized by the constraint of cell proliferation to the tumor border and the surface diffusion of cells at the growing edge. Tumor growth is thus conceived as a competition for space between the tumor and the host, and cell diffusion at the tumor border is an optimal strategy adopted for minimizing the pressure and helping tumor development. Two stochastic partial differential equations are reported in this paper in order to correctly model the physical properties of tumoral growth in (1+1) and (2+1) dimensions. The advantage of these models is that they reproduce the correct geometry of the tumor and are defined in terms of polar variables. An analysis of these models allows us to quantitatively estimate the response of the tumor to an unfavorable perturbation during growth.
International Nuclear Information System (INIS)
Cassandro, M.; Olivieri, E.; Picco, P.
1984-10-01
We discuss and solve by standard method a simple model with long range random interaction. In this model we can rigorously define and explicitly work out many peculiar features already found in the Sherrington-Kirpatrick model only by means of replica symmetry breaking and/or via numerical simulations
Directory of Open Access Journals (Sweden)
Hamit Yurtseven
2012-01-01
Full Text Available The temperature dependence of the static dielectric constant ( is calculated close to the smectic A-smectic B ( transition ( = 71.3°C for the liquid crystal compound B5. By expanding the free energy in terms of the order parameter in the mean field theory, the expression for the dielectric susceptibility (dielectric constant is derived and is fitted to the experimental data for which was obtained at the field strengths of 0 and 67 kV/cm from literature. Coefficients in the free energy expansion are determined from our fit for the transition of B5. Our results show that the observed behaviour of the dielectric constant close to the transition in B5 can be described satisfactorily by our mean field model.
Stochastic hyperfine interactions modeling library
Zacate, Matthew O.; Evenson, William E.
2011-04-01
The stochastic hyperfine interactions modeling library (SHIML) provides a set of routines to assist in the development and application of stochastic models of hyperfine interactions. The library provides routines written in the C programming language that (1) read a text description of a model for fluctuating hyperfine fields, (2) set up the Blume matrix, upon which the evolution operator of the system depends, and (3) find the eigenvalues and eigenvectors of the Blume matrix so that theoretical spectra of experimental techniques that measure hyperfine interactions can be calculated. The optimized vector and matrix operations of the BLAS and LAPACK libraries are utilized; however, there was a need to develop supplementary code to find an orthonormal set of (left and right) eigenvectors of complex, non-Hermitian matrices. In addition, example code is provided to illustrate the use of SHIML to generate perturbed angular correlation spectra for the special case of polycrystalline samples when anisotropy terms of higher order than A can be neglected. Program summaryProgram title: SHIML Catalogue identifier: AEIF_v1_0 Program summary URL:http://cpc.cs.qub.ac.uk/summaries/AEIF_v1_0.html Program obtainable from: CPC Program Library, Queen's University, Belfast, N. Ireland Licensing provisions: GNU GPL 3 No. of lines in distributed program, including test data, etc.: 8224 No. of bytes in distributed program, including test data, etc.: 312 348 Distribution format: tar.gz Programming language: C Computer: Any Operating system: LINUX, OS X RAM: Varies Classification: 7.4 External routines: TAPP [1], BLAS [2], a C-interface to BLAS [3], and LAPACK [4] Nature of problem: In condensed matter systems, hyperfine methods such as nuclear magnetic resonance (NMR), Mössbauer effect (ME), muon spin rotation (μSR), and perturbed angular correlation spectroscopy (PAC) measure electronic and magnetic structure within Angstroms of nuclear probes through the hyperfine interaction. When
CAM Stochastic Volatility Model for Option Pricing
Directory of Open Access Journals (Sweden)
Wanwan Huang
2016-01-01
Full Text Available The coupled additive and multiplicative (CAM noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks of the model. We also derive an approximation for the characteristic function of the model.
Flocking dynamics and mean-field limit in the Cucker-Smale-type model with topological interactions
Haskovec, Jan
2013-01-01
separating them. This makes the model scale-free and is motivated by recent extensive observations of starling flocks, suggesting that the interaction ruling animal collective behavior depends on topological rather than the metric distance. We study
Environmental versus demographic variability in stochastic predator–prey models
International Nuclear Information System (INIS)
Dobramysl, U; Täuber, U C
2013-01-01
In contrast to the neutral population cycles of the deterministic mean-field Lotka–Volterra rate equations, including spatial structure and stochastic noise in models for predator–prey interactions yields complex spatio-temporal structures associated with long-lived erratic population oscillations. Environmental variability in the form of quenched spatial randomness in the predation rates results in more localized activity patches. Our previous study showed that population fluctuations in rare favorable regions in turn cause a remarkable increase in the asymptotic densities of both predators and prey. Very intriguing features are found when variable interaction rates are affixed to individual particles rather than lattice sites. Stochastic dynamics with demographic variability in conjunction with inheritable predation efficiencies generate non-trivial time evolution for the predation rate distributions, yet with overall essentially neutral optimization. (paper)
Czech Academy of Sciences Publication Activity Database
Panas, J.; Kauch, Anna; Kuneš, Jan; Vollhardt, D.; Byczuk, K.
2015-01-01
Roč. 92, č. 4 (2015), "045102-1"-"045102-9" ISSN 1098-0121 Institutional support: RVO:68378271 Keywords : Bose-Hubbard model * Bose-Einstein condensation * superfluidity Subject RIV: BE - Theoretical Physics Impact factor: 3.736, year: 2014
Consistent Stochastic Modelling of Meteocean Design Parameters
DEFF Research Database (Denmark)
Sørensen, John Dalsgaard; Sterndorff, M. J.
2000-01-01
Consistent stochastic models of metocean design parameters and their directional dependencies are essential for reliability assessment of offshore structures. In this paper a stochastic model for the annual maximum values of the significant wave height, and the associated wind velocity, current...
Stochastic modeling of soil salinity
Suweis, S.; Porporato, A. M.; Daly, E.; van der Zee, S.; Maritan, A.; Rinaldo, A.
2010-12-01
A minimalist stochastic model of primary soil salinity is proposed, in which the rate of soil salinization is determined by the balance between dry and wet salt deposition and the intermittent leaching events caused by rainfall events. The equations for the probability density functions of salt mass and concentration are found by reducing the coupled soil moisture and salt mass balance equations to a single stochastic differential equation (generalized Langevin equation) driven by multiplicative Poisson noise. Generalized Langevin equations with multiplicative white Poisson noise pose the usual Ito (I) or Stratonovich (S) prescription dilemma. Different interpretations lead to different results and then choosing between the I and S prescriptions is crucial to describe correctly the dynamics of the model systems. We show how this choice can be determined by physical information about the timescales involved in the process. We also show that when the multiplicative noise is at most linear in the random variable one prescription can be made equivalent to the other by a suitable transformation in the jump probability distribution. We then apply these results to the generalized Langevin equation that drives the salt mass dynamics. The stationary analytical solutions for the probability density functions of salt mass and concentration provide insight on the interplay of the main soil, plant and climate parameters responsible for long term soil salinization. In particular, they show the existence of two distinct regimes, one where the mean salt mass remains nearly constant (or decreases) with increasing rainfall frequency, and another where mean salt content increases markedly with increasing rainfall frequency. As a result, relatively small reductions of rainfall in drier climates may entail dramatic shifts in longterm soil salinization trends, with significant consequences, e.g. for climate change impacts on rain fed agriculture.
Lubashevsky, I.; Kanemoto, S.
2010-07-01
A continuous time model for multiagent systems governed by reinforcement learning with scale-free memory is developed. The agents are assumed to act independently of one another in optimizing their choice of possible actions via trial-and-error search. To gain awareness about the action value the agents accumulate in their memory the rewards obtained from taking a specific action at each moment of time. The contribution of the rewards in the past to the agent current perception of action value is described by an integral operator with a power-law kernel. Finally a fractional differential equation governing the system dynamics is obtained. The agents are considered to interact with one another implicitly via the reward of one agent depending on the choice of the other agents. The pairwise interaction model is adopted to describe this effect. As a specific example of systems with non-transitive interactions, a two agent and three agent systems of the rock-paper-scissors type are analyzed in detail, including the stability analysis and numerical simulation. Scale-free memory is demonstrated to cause complex dynamics of the systems at hand. In particular, it is shown that there can be simultaneously two modes of the system instability undergoing subcritical and supercritical bifurcation, with the latter one exhibiting anomalous oscillations with the amplitude and period growing with time. Besides, the instability onset via this supercritical mode may be regarded as “altruism self-organization”. For the three agent system the instability dynamics is found to be rather irregular and can be composed of alternate fragments of oscillations different in their properties.
Stochastic quantization for the axial model
International Nuclear Information System (INIS)
Farina, C.; Montani, H.; Albuquerque, L.C.
1991-01-01
We use bosonization ideas to solve the axial model in the stochastic quantization framework. We obtain the fermion propagator of the theory decoupling directly the Langevin equation, instead of the Fokker-Planck equation. In the Appendix we calculate explicitly the anomalous divergence of the axial-vector current by using a regularization that does not break the Markovian character of the stochastic process
Nonasymptotic mean-field games
Tembine, Hamidou
2014-01-01
a mean-field framework that is suitable not only for large systems but also for a small world with few number of entities. The applicability of the proposed framework is illustrated through various examples including dynamic auction with asymmetric
STOCHASTIC CHARACTERISTICS AND MODELING OF RELATIVE ...
African Journals Online (AJOL)
Test
Results are highly accurate and promising for all models based on Lewis' criteria. ... hydrological cycle. Future increases in ... STOCHASTIC CHARACTERISTICS AND MODELING OF RELATIVE HUMIDITY OF OGUN BASIN, NIGERIA. 71 ...
Towards Model Checking Stochastic Process Algebra
Hermanns, H.; Grieskamp, W.; Santen, T.; Katoen, Joost P.; Stoddart, B.; Meyer-Kayser, J.; Siegle, M.
2000-01-01
Stochastic process algebras have been proven useful because they allow behaviour-oriented performance and reliability modelling. As opposed to traditional performance modelling techniques, the behaviour- oriented style supports composition and abstraction in a natural way. However, analysis of
Hybrid approaches for multiple-species stochastic reaction-diffusion models
Spill, Fabian; Guerrero, Pilar; Alarcon, Tomas; Maini, Philip K.; Byrne, Helen
2015-10-01
Reaction-diffusion models are used to describe systems in fields as diverse as physics, chemistry, ecology and biology. The fundamental quantities in such models are individual entities such as atoms and molecules, bacteria, cells or animals, which move and/or react in a stochastic manner. If the number of entities is large, accounting for each individual is inefficient, and often partial differential equation (PDE) models are used in which the stochastic behaviour of individuals is replaced by a description of the averaged, or mean behaviour of the system. In some situations the number of individuals is large in certain regions and small in others. In such cases, a stochastic model may be inefficient in one region, and a PDE model inaccurate in another. To overcome this problem, we develop a scheme which couples a stochastic reaction-diffusion system in one part of the domain with its mean field analogue, i.e. a discretised PDE model, in the other part of the domain. The interface in between the two domains occupies exactly one lattice site and is chosen such that the mean field description is still accurate there. In this way errors due to the flux between the domains are small. Our scheme can account for multiple dynamic interfaces separating multiple stochastic and deterministic domains, and the coupling between the domains conserves the total number of particles. The method preserves stochastic features such as extinction not observable in the mean field description, and is significantly faster to simulate on a computer than the pure stochastic model.
Hybrid approaches for multiple-species stochastic reaction-diffusion models.
Spill, Fabian
2015-10-01
Reaction-diffusion models are used to describe systems in fields as diverse as physics, chemistry, ecology and biology. The fundamental quantities in such models are individual entities such as atoms and molecules, bacteria, cells or animals, which move and/or react in a stochastic manner. If the number of entities is large, accounting for each individual is inefficient, and often partial differential equation (PDE) models are used in which the stochastic behaviour of individuals is replaced by a description of the averaged, or mean behaviour of the system. In some situations the number of individuals is large in certain regions and small in others. In such cases, a stochastic model may be inefficient in one region, and a PDE model inaccurate in another. To overcome this problem, we develop a scheme which couples a stochastic reaction-diffusion system in one part of the domain with its mean field analogue, i.e. a discretised PDE model, in the other part of the domain. The interface in between the two domains occupies exactly one lattice site and is chosen such that the mean field description is still accurate there. In this way errors due to the flux between the domains are small. Our scheme can account for multiple dynamic interfaces separating multiple stochastic and deterministic domains, and the coupling between the domains conserves the total number of particles. The method preserves stochastic features such as extinction not observable in the mean field description, and is significantly faster to simulate on a computer than the pure stochastic model.
Hybrid approaches for multiple-species stochastic reaction-diffusion models.
Spill, Fabian; Guerrero, Pilar; Alarcon, Tomas; Maini, Philip K; Byrne, Helen
2015-01-01
Reaction-diffusion models are used to describe systems in fields as diverse as physics, chemistry, ecology and biology. The fundamental quantities in such models are individual entities such as atoms and molecules, bacteria, cells or animals, which move and/or react in a stochastic manner. If the number of entities is large, accounting for each individual is inefficient, and often partial differential equation (PDE) models are used in which the stochastic behaviour of individuals is replaced by a description of the averaged, or mean behaviour of the system. In some situations the number of individuals is large in certain regions and small in others. In such cases, a stochastic model may be inefficient in one region, and a PDE model inaccurate in another. To overcome this problem, we develop a scheme which couples a stochastic reaction-diffusion system in one part of the domain with its mean field analogue, i.e. a discretised PDE model, in the other part of the domain. The interface in between the two domains occupies exactly one lattice site and is chosen such that the mean field description is still accurate there. In this way errors due to the flux between the domains are small. Our scheme can account for multiple dynamic interfaces separating multiple stochastic and deterministic domains, and the coupling between the domains conserves the total number of particles. The method preserves stochastic features such as extinction not observable in the mean field description, and is significantly faster to simulate on a computer than the pure stochastic model.
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.
Stochasticity and determinism in models of hematopoiesis.
Kimmel, Marek
2014-01-01
This chapter represents a novel view of modeling in hematopoiesis, synthesizing both deterministic and stochastic approaches. Whereas the stochastic models work in situations where chance dominates, for example when the number of cells is small, or under random mutations, the deterministic models are more important for large-scale, normal hematopoiesis. New types of models are on the horizon. These models attempt to account for distributed environments such as hematopoietic niches and their impact on dynamics. Mixed effects of such structures and chance events are largely unknown and constitute both a challenge and promise for modeling. Our discussion is presented under the separate headings of deterministic and stochastic modeling; however, the connections between both are frequently mentioned. Four case studies are included to elucidate important examples. We also include a primer of deterministic and stochastic dynamics for the reader's use.
Modeling and analysis of stochastic systems
Kulkarni, Vidyadhar G
2011-01-01
Based on the author's more than 25 years of teaching experience, Modeling and Analysis of Stochastic Systems, Second Edition covers the most important classes of stochastic processes used in the modeling of diverse systems, from supply chains and inventory systems to genetics and biological systems. For each class of stochastic process, the text includes its definition, characterization, applications, transient and limiting behavior, first passage times, and cost/reward models. Along with reorganizing the material, this edition revises and adds new exercises and examples. New to the second edi
Modelling and application of stochastic processes
1986-01-01
The subject of modelling and application of stochastic processes is too vast to be exhausted in a single volume. In this book, attention is focused on a small subset of this vast subject. The primary emphasis is on realization and approximation of stochastic systems. Recently there has been considerable interest in the stochastic realization problem, and hence, an attempt has been made here to collect in one place some of the more recent approaches and algorithms for solving the stochastic realiza tion problem. Various different approaches for realizing linear minimum-phase systems, linear nonminimum-phase systems, and bilinear systems are presented. These approaches range from time-domain methods to spectral-domain methods. An overview of the chapter contents briefly describes these approaches. Also, in most of these chapters special attention is given to the problem of developing numerically ef ficient algorithms for obtaining reduced-order (approximate) stochastic realizations. On the application side,...
Numerical Simulation of the Heston Model under Stochastic Correlation
Directory of Open Access Journals (Sweden)
Long Teng
2017-12-01
Full Text Available Stochastic correlation models have become increasingly important in financial markets. In order to be able to price vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing stochastic correlations driven by a stochastic differential equation. We discuss the efficient algorithms for the extended Heston model by incorporating stochastic correlations. Our numerical experiments show that the proposed algorithms can efficiently provide highly accurate results for the extended Heston by including stochastic correlations. By investigating the effect of stochastic correlations on the implied volatility, we find that the performance of the Heston model can be proved by including stochastic correlations.
Mean-field results of the multiple-band extended Hubbard model for the square-planar CuO2 lattice
International Nuclear Information System (INIS)
Nimkar, S.; Sarma, D.D.; Krishnamurthy, H.R.; Ramasesha, S.
1993-01-01
We obtain metal-insulator phase diagrams at half-filling for the five-band extended Hubbard model of the square-planar CuO 2 lattice treated within a Hartree-Fock mean-field approximation, allowing for spiral spin-density waves. We indicate the existence of an insulating phase (covalent insulator) characterized by strong covalency effects, not identified in the earlier Zaanen-Sawatzky-Allen phase diagram. While the insulating phase is always antiferromagnetic, we also obtain an antiferromagnetic metallic phase for a certain range of interaction parameters. Performing a nonperturbative calculation of J eff , the in-plane antiferromagnetic interaction is presented as a function of the parameters in the model. We also calculate the band gap and magnetic moments at various sites and discuss critically the contrasting interpretation of the electronic structure of high-T c materials arising from photoemission and neutron-scattering experiments
da Silva, Roberto; Vainstein, Mendeli H.; Gonçalves, Sebastián; Paula, Felipe S. F.
2013-08-01
Statistics of soccer tournament scores based on the double round robin system of several countries are studied. Exploring the dynamics of team scoring during tournament seasons from recent years we find evidences of superdiffusion. A mean-field analysis results in a drift velocity equal to that of real data but in a different diffusion coefficient. Along with the analysis of real data we present the results of simulations of soccer tournaments obtained by an agent-based model which successfully describes the final scoring distribution [da Silva , Comput. Phys. Commun.CPHCBZ0010-465510.1016/j.cpc.2012.10.030 184, 661 (2013)]. Such model yields random walks of scores over time with the same anomalous diffusion as observed in real data.
Scalable inference for stochastic block models
Peng, Chengbin; Zhang, Zhihua; Wong, Ka-Chun; Zhang, Xiangliang; Keyes, David E.
2017-01-01
Community detection in graphs is widely used in social and biological networks, and the stochastic block model is a powerful probabilistic tool for describing graphs with community structures. However, in the era of "big data," traditional inference
Stochastic interest rates model in compounding | Galadima ...
African Journals Online (AJOL)
Stochastic interest rates model in compounding. ... in finance, real estate, insurance, accounting and other areas of business administration. The assumption that future rates are fixed and known with certainty at the beginning of an investment, ...
Moment Closure for the Stochastic Logistic Model
National Research Council Canada - National Science Library
Singh, Abhyudai; Hespanha, Joao P
2006-01-01
..., which we refer to as the moment closure function. In this paper, a systematic procedure for constructing moment closure functions of arbitrary order is presented for the stochastic logistic model...
A stochastic model of enzyme kinetics
Stefanini, Marianne; Newman, Timothy; McKane, Alan
2003-10-01
Enzyme kinetics is generally modeled by deterministic rate equations, and in the simplest case leads to the well-known Michaelis-Menten equation. It is plausible that stochastic effects will play an important role at low enzyme concentrations. We have addressed this by constructing a simple stochastic model which can be exactly solved in the steady-state. Throughout a wide range of parameter values Michaelis-Menten dynamics is replaced by a new and simple theoretical result.
Electricity price modeling with stochastic time change
International Nuclear Information System (INIS)
Borovkova, Svetlana; Schmeck, Maren Diane
2017-01-01
In this paper, we develop a novel approach to electricity price modeling, based on the powerful technique of stochastic time change. This technique allows us to incorporate the characteristic features of electricity prices (such as seasonal volatility, time varying mean reversion and seasonally occurring price spikes) into the model in an elegant and economically justifiable way. The stochastic time change introduces stochastic as well as deterministic (e.g., seasonal) features in the price process' volatility and in the jump component. We specify the base process as a mean reverting jump diffusion and the time change as an absolutely continuous stochastic process with seasonal component. The activity rate of the stochastic time change can be related to the factors that influence supply and demand. Here we use the temperature as a proxy for the demand and hence, as the driving factor of the stochastic time change, and show that this choice leads to realistic price paths. We derive properties of the resulting price process and develop the model calibration procedure. We calibrate the model to the historical EEX power prices and apply it to generating realistic price paths by Monte Carlo simulations. We show that the simulated price process matches the distributional characteristics of the observed electricity prices in periods of both high and low demand. - Highlights: • We develop a novel approach to electricity price modeling, based on the powerful technique of stochastic time change. • We incorporate the characteristic features of electricity prices, such as seasonal volatility and spikes into the model. • We use the temperature as a proxy for the demand and hence, as the driving factor of the stochastic time change • We derive properties of the resulting price process and develop the model calibration procedure. • We calibrate the model to the historical EEX power prices and apply it to generating realistic price paths.
Modelling Cow Behaviour Using Stochastic Automata
DEFF Research Database (Denmark)
Jónsson, Ragnar Ingi
This report covers an initial study on the modelling of cow behaviour using stochastic automata with the aim of detecting lameness. Lameness in cows is a serious problem that needs to be dealt with because it results in less profitable production units and in reduced quality of life...... for the affected livestock. By featuring training data consisting of measurements of cow activity, three different models are obtained, namely an autonomous stochastic automaton, a stochastic automaton with coinciding state and output and an autonomous stochastic automaton with coinciding state and output, all...... of which describe the cows' activity in the two regarded behavioural scenarios, non-lame and lame. Using the experimental measurement data the different behavioural relations for the two regarded behavioural scenarios are assessed. The three models comprise activity within last hour, activity within last...
A stochastic SIS epidemic model with vaccination
Cao, Boqiang; Shan, Meijing; Zhang, Qimin; Wang, Weiming
2017-11-01
In this paper, we investigate the basic features of an SIS type infectious disease model with varying population size and vaccinations in presence of environment noise. By applying the Markov semigroup theory, we propose a stochastic reproduction number R0s which can be seen as a threshold parameter to utilize in identifying the stochastic extinction and persistence: If R0s disease-free absorbing set for the stochastic epidemic model, which implies that disease dies out with probability one; while if R0s > 1, under some mild extra conditions, the SDE model has an endemic stationary distribution which results in the stochastic persistence of the infectious disease. The most interesting finding is that large environmental noise can suppress the outbreak of the disease.
Dynamics of a Stochastic Intraguild Predation Model
Directory of Open Access Journals (Sweden)
Zejing Xing
2016-04-01
Full Text Available Intraguild predation (IGP is a widespread ecological phenomenon which occurs when one predator species attacks another predator species with which it competes for a shared prey species. The objective of this paper is to study the dynamical properties of a stochastic intraguild predation model. We analyze stochastic persistence and extinction of the stochastic IGP model containing five cases and establish the sufficient criteria for global asymptotic stability of the positive solutions. This study shows that it is possible for the coexistence of three species under the influence of environmental noise, and that the noise may have a positive effect for IGP species. A stationary distribution of the stochastic IGP model is established and it has the ergodic property, suggesting that the time average of population size with the development of time is equal to the stationary distribution in space. Finally, we show that our results may be extended to two well-known biological systems: food chains and exploitative competition.
Nonasymptotic mean-field games
Tembine, Hamidou
2014-01-01
propose a mean-field framework that is suitable not only for large systems but also for a small world with few number of entities. The applicability of the proposed framework is illustrated through a dynamic auction with asymmetric valuation distributions.
International Nuclear Information System (INIS)
Li, Z.; Zhuo, Y.; Li, Z.; Mao, G.; Zhuo, Y.; Mao, G.; Greiner, W.
1997-01-01
An investigation of the transition to Δ matter is performed based on a relativistic mean field formulation of the nonlinear σ and ω model. We demonstrate that in addition to the Δ-meson coupling, the occurrence of the baryon resonance isomer also depends on the nucleon-meson coupling. Our results show that for the favored phenomenological value of m * and K, the Δ isomer exists at baryon density ∼2 3ρ 0 if β=1.31 is adopted. For universal coupling of the nucleon and Δ, the Δ density at baryon density ∼2 3ρ 0 and temperature ∼0.4 0.5 fm -1 is about normal nuclear matter density, which is in accord with a recent experimental finding. copyright 1997 The American Physical Society
Computer Aided Continuous Time Stochastic Process Modelling
DEFF Research Database (Denmark)
Kristensen, N.R.; Madsen, Henrik; Jørgensen, Sten Bay
2001-01-01
A grey-box approach to process modelling that combines deterministic and stochastic modelling is advocated for identification of models for model-based control of batch and semi-batch processes. A computer-aided tool designed for supporting decision-making within the corresponding modelling cycle...
Stochastic Wake Modelling Based on POD Analysis
Directory of Open Access Journals (Sweden)
David Bastine
2018-03-01
Full Text Available In this work, large eddy simulation data is analysed to investigate a new stochastic modeling approach for the wake of a wind turbine. The data is generated by the large eddy simulation (LES model PALM combined with an actuator disk with rotation representing the turbine. After applying a proper orthogonal decomposition (POD, three different stochastic models for the weighting coefficients of the POD modes are deduced resulting in three different wake models. Their performance is investigated mainly on the basis of aeroelastic simulations of a wind turbine in the wake. Three different load cases and their statistical characteristics are compared for the original LES, truncated PODs and the stochastic wake models including different numbers of POD modes. It is shown that approximately six POD modes are enough to capture the load dynamics on large temporal scales. Modeling the weighting coefficients as independent stochastic processes leads to similar load characteristics as in the case of the truncated POD. To complete this simplified wake description, we show evidence that the small-scale dynamics can be captured by adding to our model a homogeneous turbulent field. In this way, we present a procedure to derive stochastic wake models from costly computational fluid dynamics (CFD calculations or elaborated experimental investigations. These numerically efficient models provide the added value of possible long-term studies. Depending on the aspects of interest, different minimalized models may be obtained.
Band mixing effects in mean field theories
International Nuclear Information System (INIS)
Kuyucak, S.; Morrison, I.
1989-01-01
The 1/N expansion method, which is an angular momentum projected mean field theory, is used to investigate the nature of electromagnetic transitions in the interacting boson model (IBM). Conversely, comparison with the exact IBM results sheds light on the range of validity of the mean field theory. It is shown that the projected mean field results for the E2 transitions among the ground, β and γ bands are incomplete for the spin dependent terms and it is essential to include band mixing effect for a correct (Mikhailov) analysis of E2 data. The algebraic expressions derived are general and will be useful in the analysis of experimental data in terms of both the sd and sdg boson models. 17 refs., 7 figs., 8 tabs
Stochastic differential equations used to model conjugation
DEFF Research Database (Denmark)
Philipsen, Kirsten Riber; Christiansen, Lasse Engbo
Stochastic differential equations (SDEs) are used to model horizontal transfer of antibiotic resis- tance by conjugation. The model describes the concentration of donor, recipient, transconjugants and substrate. The strength of the SDE model over the traditional ODE models is that the noise can...
Stochastic Modeling of Traffic Air Pollution
DEFF Research Database (Denmark)
Thoft-Christensen, Palle
2014-01-01
In this paper, modeling of traffic air pollution is discussed with special reference to infrastructures. A number of subjects related to health effects of air pollution and the different types of pollutants are briefly presented. A simple model for estimating the social cost of traffic related air...... and using simple Monte Carlo techniques to obtain a stochastic estimate of the costs of traffic air pollution for infrastructures....... pollution is derived. Several authors have published papers on this very complicated subject, but no stochastic modelling procedure have obtained general acceptance. The subject is discussed basis of a deterministic model. However, it is straightforward to modify this model to include uncertain parameters...
Bauso, Dario; Dia, Ben Mansour; Djehiche, Boualem; Tembine, Hamidou; Tempone, Raul
2014-01-01
The myth of marriage has been and is still a fascinating historical societal phenomenon. Paradoxically, the empirical divorce rates are at an all-time high. This work describes a unique paradigm for preserving relationships and marital stability from mean-field game theory. We show that optimizing the long-term well-being via effort and society feeling state distribution will help in stabilizing relationships.
Bauso, Dario
2014-01-06
The myth of marriage has been and is still a fascinating historical societal phenomenon. Paradoxically, the empirical divorce rates are at an all-time high. This work describes a unique paradigm for preserving relationships and marital stability from mean-field game theory. We show that optimizing the long-term well-being via effort and society feeling state distribution will help in stabilizing relationships.
Stochastic differential equation model to Prendiville processes
Energy Technology Data Exchange (ETDEWEB)
Granita, E-mail: granitafc@gmail.com [Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310, Johor Malaysia (Malaysia); Bahar, Arifah [Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310, Johor Malaysia (Malaysia); UTM Center for Industrial & Applied Mathematics (UTM-CIAM) (Malaysia)
2015-10-22
The Prendiville process is another variation of the logistic model which assumes linearly decreasing population growth rate. It is a continuous time Markov chain (CTMC) taking integer values in the finite interval. The continuous time Markov chain can be approximated by stochastic differential equation (SDE). This paper discusses the stochastic differential equation of Prendiville process. The work started with the forward Kolmogorov equation in continuous time Markov chain of Prendiville process. Then it was formulated in the form of a central-difference approximation. The approximation was then used in Fokker-Planck equation in relation to the stochastic differential equation of the Prendiville process. The explicit solution of the Prendiville process was obtained from the stochastic differential equation. Therefore, the mean and variance function of the Prendiville process could be easily found from the explicit solution.
Stochastic differential equation model to Prendiville processes
International Nuclear Information System (INIS)
Granita; Bahar, Arifah
2015-01-01
The Prendiville process is another variation of the logistic model which assumes linearly decreasing population growth rate. It is a continuous time Markov chain (CTMC) taking integer values in the finite interval. The continuous time Markov chain can be approximated by stochastic differential equation (SDE). This paper discusses the stochastic differential equation of Prendiville process. The work started with the forward Kolmogorov equation in continuous time Markov chain of Prendiville process. Then it was formulated in the form of a central-difference approximation. The approximation was then used in Fokker-Planck equation in relation to the stochastic differential equation of the Prendiville process. The explicit solution of the Prendiville process was obtained from the stochastic differential equation. Therefore, the mean and variance function of the Prendiville process could be easily found from the explicit solution
Non-equilibrium mean-field theories on scale-free networks
International Nuclear Information System (INIS)
Caccioli, Fabio; Dall'Asta, Luca
2009-01-01
Many non-equilibrium processes on scale-free networks present anomalous critical behavior that is not explained by standard mean-field theories. We propose a systematic method to derive stochastic equations for mean-field order parameters that implicitly account for the degree heterogeneity. The method is used to correctly predict the dynamical critical behavior of some binary spin models and reaction–diffusion processes. The validity of our non-equilibrium theory is further supported by showing its relation with the generalized Landau theory of equilibrium critical phenomena on networks
Infinite-degree-corrected stochastic block model
DEFF Research Database (Denmark)
Herlau, Tue; Schmidt, Mikkel Nørgaard; Mørup, Morten
2014-01-01
In stochastic block models, which are among the most prominent statistical models for cluster analysis of complex networks, clusters are defined as groups of nodes with statistically similar link probabilities within and between groups. A recent extension by Karrer and Newman [Karrer and Newman...... corrected stochastic block model as a nonparametric Bayesian model, incorporating a parameter to control the amount of degree correction that can then be inferred from data. Additionally, our formulation yields principled ways of inferring the number of groups as well as predicting missing links...
Harrison, R. G.
2015-07-01
A mean-field positive-feedback (PFB) theory of ferromagnetism is used to explain the origin of Barkhausen noise (BN) and to show why it is most pronounced in the irreversible regions of the hysteresis loop. By incorporating the ABBM-Sablik model of BN into the PFB theory, we obtain analytical solutions that simultaneously describe both the major hysteresis loop and, by calculating separate expressions for the differential susceptibility in the irreversible and reversible regions, the BN power response at all points of the loop. The PFB theory depends on summing components of the applied field, in particular, the non-monotonic field-magnetization relationship characterizing hysteresis, associated with physical processes occurring in the material. The resulting physical model is then validated by detailed comparisons with measured single-peak BN data in three different steels. It also agrees with the well-known influence of a demagnetizing field on the position and shape of these peaks. The results could form the basis of a physics-based method for modeling and understanding the significance of the observed single-peak (and in multi-constituent materials, multi-peak) BN envelope responses seen in contemporary applications of BN, such as quality control in manufacturing, non-destructive testing, and monitoring the microstructural state of ferromagnetic materials.
International Nuclear Information System (INIS)
Sabass, Benedikt; Schwarz, Ulrich S
2010-01-01
In migrating cells, retrograde flow of the actin cytoskeleton is related to traction at adhesion sites located at the base of the lamellipodium. The coupling between the moving cytoskeleton and the stationary adhesions is mediated by the continuous association and dissociation of molecular bonds. We introduce a simple model for the competition between the stochastic dynamics of elastic bonds at the moving interface and relaxation within the moving actin cytoskeleton represented by an internal viscous friction coefficient. Using exact stochastic simulations and an analytical mean field theory, we show that the stochastic bond dynamics lead to biphasic friction laws as observed experimentally. At low internal dissipation, stochastic bond dynamics lead to a regime of irregular stick-and-slip motion. High internal dissipation effectively suppresses cooperative effects among bonds and hence stabilizes the adhesion.
Mean-field theory and solitonic matter
International Nuclear Information System (INIS)
Cohen, T.D.
1989-01-01
Finite density solitonic matter is considered in the context of quantum field theory. Mean-field theory, which provides a reasonable description for single-soliton properties gives rise to a crystalline description. A heuristic description of solitonic matter is given which shows that the low-density limit of solitonic matter (the limit which is presumably relevant for nuclear matter) does not commute with the mean-field theory limit and gives rise to a Fermi-gas description of the system. It is shown on the basis of a formal expansion of simple soliton models in terms of the coupling constant why one expects mean-field theory to fail at low densities and why the corrections to mean-field theory are nonperturbative. This heuristic description is tested against an exactly solvable 1+1 dimensional model (the sine-Gordon model) and found to give the correct behavior. The relevance of these results to the program of doing nuclear physics based on soliton models is discussed. (orig.)
Mean-field Ensemble Kalman Filter
Law, Kody; Tembine, Hamidou; Tempone, Raul
2015-01-01
A proof of convergence of the standard EnKF generalized to non-Gaussian state space models is provided. A density-based deterministic approximation of the mean-field limiting EnKF (MFEnKF) is proposed, consisting of a PDE solver and a quadrature
Configuration mixing of mean-field states
International Nuclear Information System (INIS)
Bender, M; Heenen, P-H
2005-01-01
Starting from self-consistent mean-field models, we discuss how to include correlations from fluctuations in collective degrees of freedom through symmetry restoration and configuration mixing, which give access to ground-state correlations and collective excitations. As an example for the method, we discuss the spectroscopy of neutron-deficient Pb isotopes
From complex to simple: interdisciplinary stochastic models
International Nuclear Information System (INIS)
Mazilu, D A; Zamora, G; Mazilu, I
2012-01-01
We present two simple, one-dimensional, stochastic models that lead to a qualitative understanding of very complex systems from biology, nanoscience and social sciences. The first model explains the complicated dynamics of microtubules, stochastic cellular highways. Using the theory of random walks in one dimension, we find analytical expressions for certain physical quantities, such as the time dependence of the length of the microtubules, and diffusion coefficients. The second one is a stochastic adsorption model with applications in surface deposition, epidemics and voter systems. We introduce the ‘empty interval method’ and show sample calculations for the time-dependent particle density. These models can serve as an introduction to the field of non-equilibrium statistical physics, and can also be used as a pedagogical tool to exemplify standard statistical physics concepts, such as random walks or the kinetic approach of the master equation. (paper)
Can a microscopic stochastic model explain the emergence of pain cycles in patients?
International Nuclear Information System (INIS)
Di Patti, Francesca; Fanelli, Duccio
2009-01-01
A stochastic model is introduced here to investigate the molecular mechanisms which trigger the perception of pain. The action of analgesic drug compounds is discussed in a dynamical context, where the competition with inactive species is explicitly accounted for. Finite size effects inevitably perturb the mean-field dynamics: oscillations in the amount of bound receptors are spontaneously manifested, driven by the noise which is intrinsic to the system under scrutiny. These effects are investigated both numerically, via stochastic simulations, and analytically, through a large size expansion. The claim that our findings could provide a consistent interpretative framework for explaining the emergence of cyclic behaviors in response to analgesic treatments is substantiated
Stochastic volatility models and Kelvin waves
Energy Technology Data Exchange (ETDEWEB)
Lipton, Alex [Merrill Lynch, Mlfc Main, 2 King Edward Street, London EC1A 1HQ (United Kingdom); Sepp, Artur [Merrill Lynch, 4 World Financial Center, New York, NY 10080 (United States)], E-mail: Alex_Lipton@ml.com, E-mail: Artur_Sepp@ml.com
2008-08-29
We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.
Stochastic volatility models and Kelvin waves
Lipton, Alex; Sepp, Artur
2008-08-01
We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.
Stochastic volatility models and Kelvin waves
International Nuclear Information System (INIS)
Lipton, Alex; Sepp, Artur
2008-01-01
We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics
Stochastic Modeling Of Wind Turbine Drivetrain Components
DEFF Research Database (Denmark)
Rafsanjani, Hesam Mirzaei; Sørensen, John Dalsgaard
2014-01-01
reliable components are needed for wind turbine. In this paper focus is on reliability of critical components in drivetrain such as bearings and shafts. High failure rates of these components imply a need for more reliable components. To estimate the reliability of these components, stochastic models...... are needed for initial defects and damage accumulation. In this paper, stochastic models are formulated considering some of the failure modes observed in these components. The models are based on theoretical considerations, manufacturing uncertainties, size effects of different scales. It is illustrated how...
Weather Derivatives and Stochastic Modelling of Temperature
Directory of Open Access Journals (Sweden)
Fred Espen Benth
2011-01-01
Full Text Available We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded contracts at the Chicago Mercantile Exchange on indices like cooling- and heating-degree days and cumulative average temperatures are computed, as well as option prices on them.
Knolle, Johannes; Bhattacharjee, Subhro; Moessner, Roderich
2018-04-01
We present an augmented parton mean-field theory which (i) reproduces the exact ground state, spectrum, and dynamics of the quantum spin-liquid phase of Kitaev's honeycomb model, and (ii) is amenable to the inclusion of integrability breaking terms, allowing a perturbation theory from a controlled starting point. Thus, we exemplarily study dynamical spin correlations of the honeycomb Kitaev quantum spin liquid within the K -J -Γ model, which includes Heisenberg and symmetric-anisotropic (pseudodipolar) interactions. This allows us to trace changes of the correlations in the regime of slowly moving fluxes, where the theory captures the dominant deviations when integrability is lost. These include an asymmetric shift together with a broadening of the dominant peak in the response as a function of frequency, the generation of further-neighbor correlations and their structure in real and spin space, and a resulting loss of an approximate rotational symmetry of the structure factor in reciprocal space. We discuss the limitations of this approach and also view the neutron-scattering experiments on the putative proximate quantum spin-liquid material α -RuCl3 in the light of the results from this extended parton theory.
STOCHASTIC MODEL OF THE SPIN DISTRIBUTION OF DARK MATTER HALOS
Energy Technology Data Exchange (ETDEWEB)
Kim, Juhan [Center for Advanced Computation, Korea Institute for Advanced Study, Heogiro 85, Seoul 130-722 (Korea, Republic of); Choi, Yun-Young [Department of Astronomy and Space Science, Kyung Hee University, Gyeonggi 446-701 (Korea, Republic of); Kim, Sungsoo S.; Lee, Jeong-Eun [School of Space Research, Kyung Hee University, Gyeonggi 446-701 (Korea, Republic of)
2015-09-15
We employ a stochastic approach to probing the origin of the log-normal distributions of halo spin in N-body simulations. After analyzing spin evolution in halo merging trees, it was found that a spin change can be characterized by a stochastic random walk of angular momentum. Also, spin distributions generated by random walks are fairly consistent with those directly obtained from N-body simulations. We derived a stochastic differential equation from a widely used spin definition and measured the probability distributions of the derived angular momentum change from a massive set of halo merging trees. The roles of major merging and accretion are also statistically analyzed in evolving spin distributions. Several factors (local environment, halo mass, merging mass ratio, and redshift) are found to influence the angular momentum change. The spin distributions generated in the mean-field or void regions tend to shift slightly to a higher spin value compared with simulated spin distributions, which seems to be caused by the correlated random walks. We verified the assumption of randomness in the angular momentum change observed in the N-body simulation and detected several degrees of correlation between walks, which may provide a clue for the discrepancies between the simulated and generated spin distributions in the voids. However, the generated spin distributions in the group and cluster regions successfully match the simulated spin distribution. We also demonstrated that the log-normality of the spin distribution is a natural consequence of the stochastic differential equation of the halo spin, which is well described by the Geometric Brownian Motion model.
Stochastic Modelling Of The Repairable System
Directory of Open Access Journals (Sweden)
Andrzejczak Karol
2015-11-01
Full Text Available All reliability models consisting of random time factors form stochastic processes. In this paper we recall the definitions of the most common point processes which are used for modelling of repairable systems. Particularly this paper presents stochastic processes as examples of reliability systems for the support of the maintenance related decisions. We consider the simplest one-unit system with a negligible repair or replacement time, i.e., the unit is operating and is repaired or replaced at failure, where the time required for repair and replacement is negligible. When the repair or replacement is completed, the unit becomes as good as new and resumes operation. The stochastic modelling of recoverable systems constitutes an excellent method of supporting maintenance related decision-making processes and enables their more rational use.
Compositional Modelling of Stochastic Hybrid Systems
Strubbe, S.N.
2005-01-01
In this thesis we present a modelling framework for compositional modelling of stochastic hybrid systems. Hybrid systems consist of a combination of continuous and discrete dynamics. The state space of a hybrid system is hybrid in the sense that it consists of a continuous component and a discrete
Some recent developments in stochastic volatility modelling
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole Eiler; Nicolato, Elisa; Shephard, N.
2002-01-01
This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation...
Stochastic models for turbulent reacting flows
Energy Technology Data Exchange (ETDEWEB)
Kerstein, A. [Sandia National Laboratories, Livermore, CA (United States)
1993-12-01
The goal of this program is to develop and apply stochastic models of various processes occurring within turbulent reacting flows in order to identify the fundamental mechanisms governing these flows, to support experimental studies of these flows, and to further the development of comprehensive turbulent reacting flow models.
Predicting Footbridge Response using Stochastic Load Models
DEFF Research Database (Denmark)
Pedersen, Lars; Frier, Christian
2013-01-01
Walking parameters such as step frequency, pedestrian mass, dynamic load factor, etc. are basically stochastic, although it is quite common to adapt deterministic models for these parameters. The present paper considers a stochastic approach to modeling the action of pedestrians, but when doing so...... decisions need to be made in terms of statistical distributions of walking parameters and in terms of the parameters describing the statistical distributions. The paper explores how sensitive computations of bridge response are to some of the decisions to be made in this respect. This is useful...
Steyn-Ross, Moira L.; Steyn-Ross, D. A.; Sleigh, J. W.
2013-04-01
Electrical recordings of brain activity during the transition from wake to anesthetic coma show temporal and spectral alterations that are correlated with gross changes in the underlying brain state. Entry into anesthetic unconsciousness is signposted by the emergence of large, slow oscillations of electrical activity (≲1Hz) similar to the slow waves observed in natural sleep. Here we present a two-dimensional mean-field model of the cortex in which slow spatiotemporal oscillations arise spontaneously through a Turing (spatial) symmetry-breaking bifurcation that is modulated by a Hopf (temporal) instability. In our model, populations of neurons are densely interlinked by chemical synapses, and by interneuronal gap junctions represented as an inhibitory diffusive coupling. To demonstrate cortical behavior over a wide range of distinct brain states, we explore model dynamics in the vicinity of a general-anesthetic-induced transition from “wake” to “coma.” In this region, the system is poised at a codimension-2 point where competing Turing and Hopf instabilities coexist. We model anesthesia as a moderate reduction in inhibitory diffusion, paired with an increase in inhibitory postsynaptic response, producing a coma state that is characterized by emergent low-frequency oscillations whose dynamics is chaotic in time and space. The effect of long-range axonal white-matter connectivity is probed with the inclusion of a single idealized point-to-point connection. We find that the additional excitation from the long-range connection can provoke seizurelike bursts of cortical activity when inhibitory diffusion is weak, but has little impact on an active cortex. Our proposed dynamic mechanism for the origin of anesthetic slow waves complements—and contrasts with—conventional explanations that require cyclic modulation of ion-channel conductances. We postulate that a similar bifurcation mechanism might underpin the slow waves of natural sleep and comment on the
Directory of Open Access Journals (Sweden)
Moira L. Steyn-Ross
2013-05-01
Full Text Available Electrical recordings of brain activity during the transition from wake to anesthetic coma show temporal and spectral alterations that are correlated with gross changes in the underlying brain state. Entry into anesthetic unconsciousness is signposted by the emergence of large, slow oscillations of electrical activity (≲1 Hz similar to the slow waves observed in natural sleep. Here we present a two-dimensional mean-field model of the cortex in which slow spatiotemporal oscillations arise spontaneously through a Turing (spatial symmetry-breaking bifurcation that is modulated by a Hopf (temporal instability. In our model, populations of neurons are densely interlinked by chemical synapses, and by interneuronal gap junctions represented as an inhibitory diffusive coupling. To demonstrate cortical behavior over a wide range of distinct brain states, we explore model dynamics in the vicinity of a general-anesthetic-induced transition from “wake” to “coma.” In this region, the system is poised at a codimension-2 point where competing Turing and Hopf instabilities coexist. We model anesthesia as a moderate reduction in inhibitory diffusion, paired with an increase in inhibitory postsynaptic response, producing a coma state that is characterized by emergent low-frequency oscillations whose dynamics is chaotic in time and space. The effect of long-range axonal white-matter connectivity is probed with the inclusion of a single idealized point-to-point connection. We find that the additional excitation from the long-range connection can provoke seizurelike bursts of cortical activity when inhibitory diffusion is weak, but has little impact on an active cortex. Our proposed dynamic mechanism for the origin of anesthetic slow waves complements—and contrasts with—conventional explanations that require cyclic modulation of ion-channel conductances. We postulate that a similar bifurcation mechanism might underpin the slow waves of natural
A Stochastic Model for Malaria Transmission Dynamics
Directory of Open Access Journals (Sweden)
Rachel Waema Mbogo
2018-01-01
Full Text Available Malaria is one of the three most dangerous infectious diseases worldwide (along with HIV/AIDS and tuberculosis. In this paper we compare the disease dynamics of the deterministic and stochastic models in order to determine the effect of randomness in malaria transmission dynamics. Relationships between the basic reproduction number for malaria transmission dynamics between humans and mosquitoes and the extinction thresholds of corresponding continuous-time Markov chain models are derived under certain assumptions. The stochastic model is formulated using the continuous-time discrete state Galton-Watson branching process (CTDSGWbp. The reproduction number of deterministic models is an essential quantity to predict whether an epidemic will spread or die out. Thresholds for disease extinction from stochastic models contribute crucial knowledge on disease control and elimination and mitigation of infectious diseases. Analytical and numerical results show some significant differences in model predictions between the stochastic and deterministic models. In particular, we find that malaria outbreak is more likely if the disease is introduced by infected mosquitoes as opposed to infected humans. These insights demonstrate the importance of a policy or intervention focusing on controlling the infected mosquito population if the control of malaria is to be realized.
Modeling stochasticity in biochemical reaction networks
International Nuclear Information System (INIS)
Constantino, P H; Vlysidis, M; Smadbeck, P; Kaznessis, Y N
2016-01-01
Small biomolecular systems are inherently stochastic. Indeed, fluctuations of molecular species are substantial in living organisms and may result in significant variation in cellular phenotypes. The chemical master equation (CME) is the most detailed mathematical model that can describe stochastic behaviors. However, because of its complexity the CME has been solved for only few, very small reaction networks. As a result, the contribution of CME-based approaches to biology has been very limited. In this review we discuss the approach of solving CME by a set of differential equations of probability moments, called moment equations. We present different approaches to produce and to solve these equations, emphasizing the use of factorial moments and the zero information entropy closure scheme. We also provide information on the stability analysis of stochastic systems. Finally, we speculate on the utility of CME-based modeling formalisms, especially in the context of synthetic biology efforts. (topical review)
International Nuclear Information System (INIS)
Cruz, Roberto de la; Guerrero, Pilar; Calvo, Juan; Alarcón, Tomás
2017-01-01
The development of hybrid methodologies is of current interest in both multi-scale modelling and stochastic reaction–diffusion systems regarding their applications to biology. We formulate a hybrid method for stochastic multi-scale models of cells populations that extends the remit of existing hybrid methods for reaction–diffusion systems. Such method is developed for a stochastic multi-scale model of tumour growth, i.e. population-dynamical models which account for the effects of intrinsic noise affecting both the number of cells and the intracellular dynamics. In order to formulate this method, we develop a coarse-grained approximation for both the full stochastic model and its mean-field limit. Such approximation involves averaging out the age-structure (which accounts for the multi-scale nature of the model) by assuming that the age distribution of the population settles onto equilibrium very fast. We then couple the coarse-grained mean-field model to the full stochastic multi-scale model. By doing so, within the mean-field region, we are neglecting noise in both cell numbers (population) and their birth rates (structure). This implies that, in addition to the issues that arise in stochastic-reaction diffusion systems, we need to account for the age-structure of the population when attempting to couple both descriptions. We exploit our coarse-graining model so that, within the mean-field region, the age-distribution is in equilibrium and we know its explicit form. This allows us to couple both domains consistently, as upon transference of cells from the mean-field to the stochastic region, we sample the equilibrium age distribution. Furthermore, our method allows us to investigate the effects of intracellular noise, i.e. fluctuations of the birth rate, on collective properties such as travelling wave velocity. We show that the combination of population and birth-rate noise gives rise to large fluctuations of the birth rate in the region at the leading edge
Mean field interaction in biochemical reaction networks
Tembine, Hamidou; Tempone, Raul; Vilanova, Pedro
2011-01-01
In this paper we establish a relationship between chemical dynamics and mean field game dynamics. We show that chemical reaction networks can be studied using noisy mean field limits. We provide deterministic, noisy and switching mean field limits
Stochastic resonance in models of neuronal ensembles
International Nuclear Information System (INIS)
Chialvo, D.R.; Longtin, A.; Mueller-Gerkin, J.
1997-01-01
Two recently suggested mechanisms for the neuronal encoding of sensory information involving the effect of stochastic resonance with aperiodic time-varying inputs are considered. It is shown, using theoretical arguments and numerical simulations, that the nonmonotonic behavior with increasing noise of the correlation measures used for the so-called aperiodic stochastic resonance (ASR) scenario does not rely on the cooperative effect typical of stochastic resonance in bistable and excitable systems. Rather, ASR with slowly varying signals is more properly interpreted as linearization by noise. Consequently, the broadening of the open-quotes resonance curveclose quotes in the multineuron stochastic resonance without tuning scenario can also be explained by this linearization. Computation of the input-output correlation as a function of both signal frequency and noise for the model system further reveals conditions where noise-induced firing with aperiodic inputs will benefit from stochastic resonance rather than linearization by noise. Thus, our study clarifies the tuning requirements for the optimal transduction of subthreshold aperiodic signals. It also shows that a single deterministic neuron can perform as well as a network when biased into a suprathreshold regime. Finally, we show that the inclusion of a refractory period in the spike-detection scheme produces a better correlation between instantaneous firing rate and input signal. copyright 1997 The American Physical Society
Stochastic linear programming models, theory, and computation
Kall, Peter
2011-01-01
This new edition of Stochastic Linear Programming: Models, Theory and Computation has been brought completely up to date, either dealing with or at least referring to new material on models and methods, including DEA with stochastic outputs modeled via constraints on special risk functions (generalizing chance constraints, ICC’s and CVaR constraints), material on Sharpe-ratio, and Asset Liability Management models involving CVaR in a multi-stage setup. To facilitate use as a text, exercises are included throughout the book, and web access is provided to a student version of the authors’ SLP-IOR software. Additionally, the authors have updated the Guide to Available Software, and they have included newer algorithms and modeling systems for SLP. The book is thus suitable as a text for advanced courses in stochastic optimization, and as a reference to the field. From Reviews of the First Edition: "The book presents a comprehensive study of stochastic linear optimization problems and their applications. … T...
Stochastic dynamical models for ecological regime shifts
DEFF Research Database (Denmark)
Møller, Jan Kloppenborg; Carstensen, Jacob; Madsen, Henrik
the physical and biological knowledge of the system, and nonlinearities introduced here can generate regime shifts or enhance the probability of regime shifts in the case of stochastic models, typically characterized by a threshold value for the known driver. A simple model for light competition between...... definition and stability of regimes become less subtle. Ecological regime shifts and their modeling must be viewed in a probabilistic manner, particularly if such model results are to be used in ecosystem management....
Modeling animal movements using stochastic differential equations
Haiganoush K. Preisler; Alan A. Ager; Bruce K. Johnson; John G. Kie
2004-01-01
We describe the use of bivariate stochastic differential equations (SDE) for modeling movements of 216 radiocollared female Rocky Mountain elk at the Starkey Experimental Forest and Range in northeastern Oregon. Spatially and temporally explicit vector fields were estimated using approximating difference equations and nonparametric regression techniques. Estimated...
Stochastic Load Models and Footbridge Response
DEFF Research Database (Denmark)
Pedersen, Lars; Frier, Christian
2015-01-01
Pedestrians may cause vibrations in footbridges and these vibrations may potentially be annoying. This calls for predictions of footbridge vibration levels and the paper considers a stochastic approach to modeling the action of pedestrians assuming walking parameters such as step frequency, pedes...
Stochastic Growth Models with No Discounting
Czech Academy of Sciences Publication Activity Database
Sladký, Karel
2007-01-01
Roč. 15, č. 4 (2007), s. 88-98 ISSN 0572-3043 R&D Projects: GA ČR(CZ) GA402/06/0990; GA ČR GA402/05/0115 Institutional research plan: CEZ:AV0Z10750506 Keywords : economic dynamics * stochastic version of the Ramsey growth model * Markov decision processes Subject RIV: AH - Economics
Stochastic forward and inverse groundwater flow and solute transport modeling
Janssen, G.M.C.M.
2008-01-01
Keywords: calibration, inverse modeling, stochastic modeling, nonlinear biodegradation, stochastic-convective, advective-dispersive, travel time, network design, non-Gaussian distribution, multimodal distribution, representers
This thesis offers three new approaches that contribute
Stochastic models in reliability and maintenance
2002-01-01
Our daily lives can be maintained by the high-technology systems. Computer systems are typical examples of such systems. We can enjoy our modern lives by using many computer systems. Much more importantly, we have to maintain such systems without failure, but cannot predict when such systems will fail and how to fix such systems without delay. A stochastic process is a set of outcomes of a random experiment indexed by time, and is one of the key tools needed to analyze the future behavior quantitatively. Reliability and maintainability technologies are of great interest and importance to the maintenance of such systems. Many mathematical models have been and will be proposed to describe reliability and maintainability systems by using the stochastic processes. The theme of this book is "Stochastic Models in Reliability and Main tainability. " This book consists of 12 chapters on the theme above from the different viewpoints of stochastic modeling. Chapter 1 is devoted to "Renewal Processes," under which cla...
News Impact Curve for Stochastic Volatility Models
Makoto Takahashi; Yasuhiro Omori; Toshiaki Watanabe
2012-01-01
This paper proposes a new method to compute the news impact curve for stochastic volatility (SV) models. The new method incorporates the joint movement of return and volatility, which has been ignored by the extant literature, by simply adding a couple of steps to the Bayesian MCMC estimation procedures for SV models. This simple procedure is versatile and applicable to various SV type models. Contrary to the monotonic news impact functions in the extant literature, the new method gives a U-s...
Model predictive control classical, robust and stochastic
Kouvaritakis, Basil
2016-01-01
For the first time, a textbook that brings together classical predictive control with treatment of up-to-date robust and stochastic techniques. Model Predictive Control describes the development of tractable algorithms for uncertain, stochastic, constrained systems. The starting point is classical predictive control and the appropriate formulation of performance objectives and constraints to provide guarantees of closed-loop stability and performance. Moving on to robust predictive control, the text explains how similar guarantees may be obtained for cases in which the model describing the system dynamics is subject to additive disturbances and parametric uncertainties. Open- and closed-loop optimization are considered and the state of the art in computationally tractable methods based on uncertainty tubes presented for systems with additive model uncertainty. Finally, the tube framework is also applied to model predictive control problems involving hard or probabilistic constraints for the cases of multiplic...
Dynamic optimization deterministic and stochastic models
Hinderer, Karl; Stieglitz, Michael
2016-01-01
This book explores discrete-time dynamic optimization and provides a detailed introduction to both deterministic and stochastic models. Covering problems with finite and infinite horizon, as well as Markov renewal programs, Bayesian control models and partially observable processes, the book focuses on the precise modelling of applications in a variety of areas, including operations research, computer science, mathematics, statistics, engineering, economics and finance. Dynamic Optimization is a carefully presented textbook which starts with discrete-time deterministic dynamic optimization problems, providing readers with the tools for sequential decision-making, before proceeding to the more complicated stochastic models. The authors present complete and simple proofs and illustrate the main results with numerous examples and exercises (without solutions). With relevant material covered in four appendices, this book is completely self-contained.
On Social Optima of Non-Cooperative Mean Field Games
Energy Technology Data Exchange (ETDEWEB)
Li, Sen; Zhang, Wei; Zhao, Lin; Lian, Jianming; Kalsi, Karanjit
2016-12-12
This paper studies the social optima in noncooperative mean-field games for a large population of agents with heterogeneous stochastic dynamic systems. Each agent seeks to maximize an individual utility functional, and utility functionals of different agents are coupled through a mean field term that depends on the mean of the population states/controls. The paper has the following contributions. First, we derive a set of control strategies for the agents that possess *-Nash equilibrium property, and converge to the mean-field Nash equilibrium as the population size goes to infinity. Second, we study the social optimal in the mean field game. We derive the conditions, termed the socially optimal conditions, under which the *-Nash equilibrium of the mean field game maximizes the social welfare. Third, a primal-dual algorithm is proposed to compute the *-Nash equilibrium of the mean field game. Since the *-Nash equilibrium of the mean field game is socially optimal, we can compute the equilibrium by solving the social welfare maximization problem, which can be addressed by a decentralized primal-dual algorithm. Numerical simulations are presented to demonstrate the effectiveness of the proposed approach.
Stochastic model of radioiodine transport
International Nuclear Information System (INIS)
Schwarz, G.; Hoffman, F.O.
1980-01-01
A research project has been underway at the Oak Ridge National Laboratory with the objective to evaluate dose assessment models and to determine the uncertainty associated with the model predictions. This has resulted in the application of methods to propagate uncertainties through models. Some techniques and results related to this problem are discussed
Stochastic Spectral Descent for Discrete Graphical Models
International Nuclear Information System (INIS)
Carlson, David; Hsieh, Ya-Ping; Collins, Edo; Carin, Lawrence; Cevher, Volkan
2015-01-01
Interest in deep probabilistic graphical models has in-creased in recent years, due to their state-of-the-art performance on many machine learning applications. Such models are typically trained with the stochastic gradient method, which can take a significant number of iterations to converge. Since the computational cost of gradient estimation is prohibitive even for modestly sized models, training becomes slow and practically usable models are kept small. In this paper we propose a new, largely tuning-free algorithm to address this problem. Our approach derives novel majorization bounds based on the Schatten- norm. Intriguingly, the minimizers of these bounds can be interpreted as gradient methods in a non-Euclidean space. We thus propose using a stochastic gradient method in non-Euclidean space. We both provide simple conditions under which our algorithm is guaranteed to converge, and demonstrate empirically that our algorithm leads to dramatically faster training and improved predictive ability compared to stochastic gradient descent for both directed and undirected graphical models.
Brain-inspired Stochastic Models and Implementations
Al-Shedivat, Maruan
2015-05-12
One of the approaches to building artificial intelligence (AI) is to decipher the princi- ples of the brain function and to employ similar mechanisms for solving cognitive tasks, such as visual perception or natural language understanding, using machines. The recent breakthrough, named deep learning, demonstrated that large multi-layer networks of arti- ficial neural-like computing units attain remarkable performance on some of these tasks. Nevertheless, such artificial networks remain to be very loosely inspired by the brain, which rich structures and mechanisms may further suggest new algorithms or even new paradigms of computation. In this thesis, we explore brain-inspired probabilistic mechanisms, such as neural and synaptic stochasticity, in the context of generative models. The two questions we ask here are: (i) what kind of models can describe a neural learning system built of stochastic components? and (ii) how can we implement such systems e ̆ciently? To give specific answers, we consider two well known models and the corresponding neural architectures: the Naive Bayes model implemented with a winner-take-all spiking neural network and the Boltzmann machine implemented in a spiking or non-spiking fashion. We propose and analyze an e ̆cient neuromorphic implementation of the stochastic neu- ral firing mechanism and study the e ̄ects of synaptic unreliability on learning generative energy-based models implemented with neural networks.
Stochastic Modelling of Energy Systems
DEFF Research Database (Denmark)
Andersen, Klaus Kaae
2001-01-01
is that the model structure has to be adequate for practical applications, such as system simulation, fault detection and diagnosis, and design of control strategies. This also reflects on the methods used for identification of the component models. The main result from this research is the identification......In this thesis dynamic models of typical components in Danish heating systems are considered. Emphasis is made on describing and evaluating mathematical methods for identification of such models, and on presentation of component models for practical applications. The thesis consists of seven...... research papers (case studies) together with a summary report. Each case study takes it's starting point in typical heating system components and both, the applied mathematical modelling methods and the application aspects, are considered. The summary report gives an introduction to the scope...
Uncertainty quantification for mean field games in social interactions
Dia, Ben Mansour
2016-01-09
We present an overview of mean field games formulation. A comparative analysis of the optimality for a stochastic McKean-Vlasov process with time-dependent probability is presented. Then we examine mean-field games for social interactions and we show that optimizing the long-term well-being through effort and social feeling state distribution (mean-field) will help to stabilize couple (marriage). However , if the cost of effort is very high, the couple fluctuates in a bad feeling state or the marriage breaks down. We then examine the influence of society on a couple using mean field sentimental games. We show that, in mean-field equilibrium, the optimal effort is always higher than the one-shot optimal effort. Finally we introduce the Wiener chaos expansion for the construction of solution of stochastic differential equations of Mckean-Vlasov type. The method is based on the Cameron-Martin version of the Wiener Chaos expansion and allow to quantify the uncertainty in the optimality system.
Uncertainty quantification for mean field games in social interactions
Dia, Ben Mansour
2016-01-01
We present an overview of mean field games formulation. A comparative analysis of the optimality for a stochastic McKean-Vlasov process with time-dependent probability is presented. Then we examine mean-field games for social interactions and we show that optimizing the long-term well-being through effort and social feeling state distribution (mean-field) will help to stabilize couple (marriage). However , if the cost of effort is very high, the couple fluctuates in a bad feeling state or the marriage breaks down. We then examine the influence of society on a couple using mean field sentimental games. We show that, in mean-field equilibrium, the optimal effort is always higher than the one-shot optimal effort. Finally we introduce the Wiener chaos expansion for the construction of solution of stochastic differential equations of Mckean-Vlasov type. The method is based on the Cameron-Martin version of the Wiener Chaos expansion and allow to quantify the uncertainty in the optimality system.
Solvable stochastic dealer models for financial markets
Yamada, Kenta; Takayasu, Hideki; Ito, Takatoshi; Takayasu, Misako
2009-05-01
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise generator, the model becomes fairly realistic by adding only two effects: the self-modulation of transaction intervals and a forecasting tendency, which uses a moving average of the latest market price changes. Based on the present microscopic model of markets, we find a quantitative relation with market potential forces, which have recently been discovered in the study of market price modeling based on random walks.
Modeling and Prediction Using Stochastic Differential Equations
DEFF Research Database (Denmark)
Juhl, Rune; Møller, Jan Kloppenborg; Jørgensen, John Bagterp
2016-01-01
Pharmacokinetic/pharmakodynamic (PK/PD) modeling for a single subject is most often performed using nonlinear models based on deterministic ordinary differential equations (ODEs), and the variation between subjects in a population of subjects is described using a population (mixed effects) setup...... deterministic and can predict the future perfectly. A more realistic approach would be to allow for randomness in the model due to e.g., the model be too simple or errors in input. We describe a modeling and prediction setup which better reflects reality and suggests stochastic differential equations (SDEs...
Fuzzy Stochastic Optimization Theory, Models and Applications
Wang, Shuming
2012-01-01
Covering in detail both theoretical and practical perspectives, this book is a self-contained and systematic depiction of current fuzzy stochastic optimization that deploys the fuzzy random variable as a core mathematical tool to model the integrated fuzzy random uncertainty. It proceeds in an orderly fashion from the requisite theoretical aspects of the fuzzy random variable to fuzzy stochastic optimization models and their real-life case studies. The volume reflects the fact that randomness and fuzziness (or vagueness) are two major sources of uncertainty in the real world, with significant implications in a number of settings. In industrial engineering, management and economics, the chances are high that decision makers will be confronted with information that is simultaneously probabilistically uncertain and fuzzily imprecise, and optimization in the form of a decision must be made in an environment that is doubly uncertain, characterized by a co-occurrence of randomness and fuzziness. This book begins...
Stochastic models for time series
Doukhan, Paul
2018-01-01
This book presents essential tools for modelling non-linear time series. The first part of the book describes the main standard tools of probability and statistics that directly apply to the time series context to obtain a wide range of modelling possibilities. Functional estimation and bootstrap are discussed, and stationarity is reviewed. The second part describes a number of tools from Gaussian chaos and proposes a tour of linear time series models. It goes on to address nonlinearity from polynomial or chaotic models for which explicit expansions are available, then turns to Markov and non-Markov linear models and discusses Bernoulli shifts time series models. Finally, the volume focuses on the limit theory, starting with the ergodic theorem, which is seen as the first step for statistics of time series. It defines the distributional range to obtain generic tools for limit theory under long or short-range dependences (LRD/SRD) and explains examples of LRD behaviours. More general techniques (central limit ...
A stochastic model for quantum measurement
International Nuclear Information System (INIS)
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)
de la Cruz, Roberto; Guerrero, Pilar; Calvo, Juan; Alarcón, Tomás
2017-12-01
The development of hybrid methodologies is of current interest in both multi-scale modelling and stochastic reaction-diffusion systems regarding their applications to biology. We formulate a hybrid method for stochastic multi-scale models of cells populations that extends the remit of existing hybrid methods for reaction-diffusion systems. Such method is developed for a stochastic multi-scale model of tumour growth, i.e. population-dynamical models which account for the effects of intrinsic noise affecting both the number of cells and the intracellular dynamics. In order to formulate this method, we develop a coarse-grained approximation for both the full stochastic model and its mean-field limit. Such approximation involves averaging out the age-structure (which accounts for the multi-scale nature of the model) by assuming that the age distribution of the population settles onto equilibrium very fast. We then couple the coarse-grained mean-field model to the full stochastic multi-scale model. By doing so, within the mean-field region, we are neglecting noise in both cell numbers (population) and their birth rates (structure). This implies that, in addition to the issues that arise in stochastic-reaction diffusion systems, we need to account for the age-structure of the population when attempting to couple both descriptions. We exploit our coarse-graining model so that, within the mean-field region, the age-distribution is in equilibrium and we know its explicit form. This allows us to couple both domains consistently, as upon transference of cells from the mean-field to the stochastic region, we sample the equilibrium age distribution. Furthermore, our method allows us to investigate the effects of intracellular noise, i.e. fluctuations of the birth rate, on collective properties such as travelling wave velocity. We show that the combination of population and birth-rate noise gives rise to large fluctuations of the birth rate in the region at the leading edge of
Stochastic Modeling of Past Volcanic Crises
Woo, Gordon
2018-01-01
The statistical foundation of disaster risk analysis is past experience. From a scientific perspective, history is just one realization of what might have happened, given the randomness and chaotic dynamics of Nature. Stochastic analysis of the past is an exploratory exercise in counterfactual history, considering alternative possible scenarios. In particular, the dynamic perturbations that might have transitioned a volcano from an unrest to an eruptive state need to be considered. The stochastic modeling of past volcanic crises leads to estimates of eruption probability that can illuminate historical volcanic crisis decisions. It can also inform future economic risk management decisions in regions where there has been some volcanic unrest, but no actual eruption for at least hundreds of years. Furthermore, the availability of a library of past eruption probabilities would provide benchmark support for estimates of eruption probability in future volcanic crises.
A stochastic model for the financial market with discontinuous prices
Directory of Open Access Journals (Sweden)
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.
Hidden Symmetries of Stochastic Models
Directory of Open Access Journals (Sweden)
Boyka Aneva
2007-05-01
Full Text Available In the matrix product states approach to $n$ species diffusion processes the stationary probability distribution is expressed as a matrix product state with respect to a quadratic algebra determined by the dynamics of the process. The quadratic algebra defines a noncommutative space with a $SU_q(n$ quantum group action as its symmetry. Boundary processes amount to the appearance of parameter dependent linear terms in the algebraic relations and lead to a reduction of the $SU_q(n$ symmetry. We argue that the boundary operators of the asymmetric simple exclusion process generate a tridiagonal algebra whose irriducible representations are expressed in terms of the Askey-Wilson polynomials. The Askey-Wilson algebra arises as a symmetry of the boundary problem and allows to solve the model exactly.
Mean field methods for cortical network dynamics
DEFF Research Database (Denmark)
Hertz, J.; Lerchner, Alexander; Ahmadi, M.
2004-01-01
We review the use of mean field theory for describing the dynamics of dense, randomly connected cortical circuits. For a simple network of excitatory and inhibitory leaky integrate- and-fire neurons, we can show how the firing irregularity, as measured by the Fano factor, increases...... with the strength of the synapses in the network and with the value to which the membrane potential is reset after a spike. Generalizing the model to include conductance-based synapses gives insight into the connection between the firing statistics and the high- conductance state observed experimentally in visual...
Mean field interaction in biochemical reaction networks
Tembine, Hamidou
2011-09-01
In this paper we establish a relationship between chemical dynamics and mean field game dynamics. We show that chemical reaction networks can be studied using noisy mean field limits. We provide deterministic, noisy and switching mean field limits and illustrate them with numerical examples. © 2011 IEEE.
Pedestrian Flow in the Mean Field Limit
Haji Ali, Abdul Lateef
2012-11-01
We study the mean-field limit of a particle-based system modeling the behavior of many indistinguishable pedestrians as their number increases. The base model is a modified version of Helbing\\'s social force model. In the mean-field limit, the time-dependent density of two-dimensional pedestrians satisfies a four-dimensional integro-differential Fokker-Planck equation. To approximate the solution of the Fokker-Planck equation we use a time-splitting approach and solve the diffusion part using a Crank-Nicholson method. The advection part is solved using a Lax-Wendroff-Leveque method or an upwind Backward Euler method depending on the advection speed. Moreover, we use multilevel Monte Carlo to estimate observables from the particle-based system. We discuss these numerical methods, and present numerical results showing the convergence of observables that were calculated using the particle-based model as the number of pedestrians increases to those calculated using the probability density function satisfying the Fokker-Planck equation.
Stochastic Optimization of Wind Turbine Power Factor Using Stochastic Model of Wind Power
DEFF Research Database (Denmark)
Chen, Peiyuan; Siano, Pierluigi; Bak-Jensen, Birgitte
2010-01-01
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...
Modeling stochastic frontier based on vine copulas
Constantino, Michel; Candido, Osvaldo; Tabak, Benjamin M.; da Costa, Reginaldo Brito
2017-11-01
This article models a production function and analyzes the technical efficiency of listed companies in the United States, Germany and England between 2005 and 2012 based on the vine copula approach. Traditional estimates of the stochastic frontier assume that data is multivariate normally distributed and there is no source of asymmetry. The proposed method based on vine copulas allow us to explore different types of asymmetry and multivariate distribution. Using data on product, capital and labor, we measure the relative efficiency of the vine production function and estimate the coefficient used in the stochastic frontier literature for comparison purposes. This production vine copula predicts the value added by firms with given capital and labor in a probabilistic way. It thereby stands in sharp contrast to the production function, where the output of firms is completely deterministic. The results show that, on average, S&P500 companies are more efficient than companies listed in England and Germany, which presented similar average efficiency coefficients. For comparative purposes, the traditional stochastic frontier was estimated and the results showed discrepancies between the coefficients obtained by the application of the two methods, traditional and frontier-vine, opening new paths of non-linear research.
Modelling Evolutionary Algorithms with Stochastic Differential Equations.
Heredia, Jorge Pérez
2017-11-20
There has been renewed interest in modelling the behaviour of evolutionary algorithms (EAs) by more traditional mathematical objects, such as ordinary differential equations or Markov chains. The advantage is that the analysis becomes greatly facilitated due to the existence of well established methods. However, this typically comes at the cost of disregarding information about the process. Here, we introduce the use of stochastic differential equations (SDEs) for the study of EAs. SDEs can produce simple analytical results for the dynamics of stochastic processes, unlike Markov chains which can produce rigorous but unwieldy expressions about the dynamics. On the other hand, unlike ordinary differential equations (ODEs), they do not discard information about the stochasticity of the process. We show that these are especially suitable for the analysis of fixed budget scenarios and present analogues of the additive and multiplicative drift theorems from runtime analysis. In addition, we derive a new more general multiplicative drift theorem that also covers non-elitist EAs. This theorem simultaneously allows for positive and negative results, providing information on the algorithm's progress even when the problem cannot be optimised efficiently. Finally, we provide results for some well-known heuristics namely Random Walk (RW), Random Local Search (RLS), the (1+1) EA, the Metropolis Algorithm (MA), and the Strong Selection Weak Mutation (SSWM) algorithm.
Models of the stochastic activity of neurones
Holden, Arun Vivian
1976-01-01
These notes have grown from a series of seminars given at Leeds between 1972 and 1975. They represent an attempt to gather together the different kinds of model which have been proposed to account for the stochastic activity of neurones, and to provide an introduction to this area of mathematical biology. A striking feature of the electrical activity of the nervous system is that it appears stochastic: this is apparent at all levels of recording, ranging from intracellular recordings to the electroencephalogram. The chapters start with fluctuations in membrane potential, proceed through single unit and synaptic activity and end with the behaviour of large aggregates of neurones: L have chgaen this seque~~e\\/~~';uggest that the interesting behaviourr~f :the nervous system - its individuality, variability and dynamic forms - may in part result from the stochastic behaviour of its components. I would like to thank Dr. Julio Rubio for reading and commenting on the drafts, Mrs. Doris Beighton for producing the fin...
Discrete stochastic analogs of Erlang epidemic models.
Getz, Wayne M; Dougherty, Eric R
2018-12-01
Erlang differential equation models of epidemic processes provide more realistic disease-class transition dynamics from susceptible (S) to exposed (E) to infectious (I) and removed (R) categories than the ubiquitous SEIR model. The latter is itself is at one end of the spectrum of Erlang SE[Formula: see text]I[Formula: see text]R models with [Formula: see text] concatenated E compartments and [Formula: see text] concatenated I compartments. Discrete-time models, however, are computationally much simpler to simulate and fit to epidemic outbreak data than continuous-time differential equations, and are also much more readily extended to include demographic and other types of stochasticity. Here we formulate discrete-time deterministic analogs of the Erlang models, and their stochastic extension, based on a time-to-go distributional principle. Depending on which distributions are used (e.g. discretized Erlang, Gamma, Beta, or Uniform distributions), we demonstrate that our formulation represents both a discretization of Erlang epidemic models and generalizations thereof. We consider the challenges of fitting SE[Formula: see text]I[Formula: see text]R models and our discrete-time analog to data (the recent outbreak of Ebola in Liberia). We demonstrate that the latter performs much better than the former; although confining fits to strict SEIR formulations reduces the numerical challenges, but sacrifices best-fit likelihood scores by at least 7%.
Mathematical models of information and stochastic systems
Kornreich, Philipp
2008-01-01
From ancient soothsayers and astrologists to today's pollsters and economists, probability theory has long been used to predict the future on the basis of past and present knowledge. Mathematical Models of Information and Stochastic Systems shows that the amount of knowledge about a system plays an important role in the mathematical models used to foretell the future of the system. It explains how this known quantity of information is used to derive a system's probabilistic properties. After an introduction, the book presents several basic principles that are employed in the remainder of the t
Stochastic model of energetic nuclear reactor
International Nuclear Information System (INIS)
Bojko, R.V.; Ryazanov, V.V.
2002-01-01
Behaviour of nuclear reactor was treated using the theory of branching processes. As mathematical model descriptive the neutron number in time the Markov occasional process is proposed. Application of branching occasional processes with variable regime to the description of neutron behaviour in the reactor makes possible conducting strong description of critical operation regime and demonstrates the severity of the process. Three regimes of the critical behaviour depending on the sign of manipulated variables and feedbacks were discovered. Probability regularities peculiar to the behaviour of the reactor are embodied to the suggested stochastic model [ru
Predicting extinction rates in stochastic epidemic models
International Nuclear Information System (INIS)
Schwartz, Ira B; Billings, Lora; Dykman, Mark; Landsman, Alexandra
2009-01-01
We investigate the stochastic extinction processes in a class of epidemic models. Motivated by the process of natural disease extinction in epidemics, we examine the rate of extinction as a function of disease spread. We show that the effective entropic barrier for extinction in a susceptible–infected–susceptible epidemic model displays scaling with the distance to the bifurcation point, with an unusual critical exponent. We make a direct comparison between predictions and numerical simulations. We also consider the effect of non-Gaussian vaccine schedules, and show numerically how the extinction process may be enhanced when the vaccine schedules are Poisson distributed
Edison, John R; Monson, Peter A
2013-06-21
This article addresses the accuracy of a dynamic mean field theory (DMFT) for fluids in porous materials [P. A. Monson, J. Chem. Phys. 128, 084701 (2008)]. The theory is used to study the relaxation processes of fluids in pores driven by step changes made to a bulk reservoir in contact with the pore. We compare the results of the DMFT to those obtained by averaging over large numbers of dynamic Monte Carlo (DMC) simulation trajectories. The problem chosen for comparison is capillary condensation in slit pores, driven by step changes in the chemical potential in the bulk reservoir and involving a nucleation process via the formation of a liquid bridge. The principal difference between the DMFT results and DMC is the replacement of a distribution of nucleation times and location along the pore for the formation of liquid bridges by a single time and location. DMFT is seen to yield an otherwise qualitatively accurate description of the dynamic behavior.
A Maximum Principle for SDEs of Mean-Field Type
Energy Technology Data Exchange (ETDEWEB)
Andersson, Daniel, E-mail: danieand@math.kth.se; Djehiche, Boualem, E-mail: boualem@math.kth.se [Royal Institute of Technology, Department of Mathematics (Sweden)
2011-06-15
We study the optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend on some functional of the law as well as the state of the process. Moreover the cost functional is also of mean-field type, which makes the control problem time inconsistent in the sense that the Bellman optimality principle does not hold. Under the assumption of a convex action space a maximum principle of local form is derived, specifying the necessary conditions for optimality. These are also shown to be sufficient under additional assumptions. This maximum principle differs from the classical one, where the adjoint equation is a linear backward SDE, since here the adjoint equation turns out to be a linear mean-field backward SDE. As an illustration, we apply the result to the mean-variance portfolio selection problem.
A Maximum Principle for SDEs of Mean-Field Type
International Nuclear Information System (INIS)
Andersson, Daniel; Djehiche, Boualem
2011-01-01
We study the optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend on some functional of the law as well as the state of the process. Moreover the cost functional is also of mean-field type, which makes the control problem time inconsistent in the sense that the Bellman optimality principle does not hold. Under the assumption of a convex action space a maximum principle of local form is derived, specifying the necessary conditions for optimality. These are also shown to be sufficient under additional assumptions. This maximum principle differs from the classical one, where the adjoint equation is a linear backward SDE, since here the adjoint equation turns out to be a linear mean-field backward SDE. As an illustration, we apply the result to the mean-variance portfolio selection problem.
Mean field dynamics of networks of delay-coupled noisy excitable units
Energy Technology Data Exchange (ETDEWEB)
Franović, Igor, E-mail: franovic@ipb.ac.rs [Scientific Computing Laboratory, Institute of Physics Belgrade, University of Belgrade, Pregrevica 118, 11080 Belgrade (Serbia); Todorović, Kristina; Burić, Nikola [Department of Physics and Mathematics, Faculty of Pharmacy, University of Belgrade, Vojvode Stepe 450, Belgrade (Serbia); Vasović, Nebojša [Department of Applied Mathematics, Faculty of Mining and Geology, University of Belgrade, PO Box 162, Belgrade (Serbia)
2016-06-08
We use the mean-field approach to analyze the collective dynamics in macroscopic networks of stochastic Fitzhugh-Nagumo units with delayed couplings. The conditions for validity of the two main approximations behind the model, called the Gaussian approximation and the Quasi-independence approximation, are examined. It is shown that the dynamics of the mean-field model may indicate in a self-consistent fashion the parameter domains where the Quasi-independence approximation fails. Apart from a network of globally coupled units, we also consider the paradigmatic setup of two interacting assemblies to demonstrate how our framework may be extended to hierarchical and modular networks. In both cases, the mean-field model can be used to qualitatively analyze the stability of the system, as well as the scenarios for the onset and the suppression of the collective mode. In quantitative terms, the mean-field model is capable of predicting the average oscillation frequency corresponding to the global variables of the exact system.
Modelling conjugation with stochastic differential equations
DEFF Research Database (Denmark)
Philipsen, Kirsten Riber; Christiansen, Lasse Engbo; Hasman, Henrik
2010-01-01
Enterococcus faecium strains in a rich exhaustible media. The model contains a new expression for a substrate dependent conjugation rate. A maximum likelihood based method is used to estimate the model parameters. Different models including different noise structure for the system and observations are compared......Conjugation is an important mechanism involved in the transfer of resistance between bacteria. In this article a stochastic differential equation based model consisting of a continuous time state equation and a discrete time measurement equation is introduced to model growth and conjugation of two...... using a likelihood-ratio test and Akaike's information criterion. Experiments indicating conjugation on the agar plates selecting for transconjugants motivates the introduction of an extended model, for which conjugation on the agar plate is described in the measurement equation. This model is compared...
A stochastic step flow model with growth in 1+1 dimensions
International Nuclear Information System (INIS)
Margetis, Dionisios
2010-01-01
Mathematical implications of adding Gaussian white noise to the Burton-Cabrera-Frank model for N terraces ('gaps') on a crystal surface are studied under external material deposition for large N. The terraces separate straight, non-interacting line defects (steps) with uniform spacing initially (t = 0). As the growth tends to vanish, the gaps become uncorrelated. First, simple closed-form expressions for the gap variance are obtained directly for small fluctuations. The leading-order, linear stochastic differential equations are prototypical for discrete asymmetric processes. Second, the Bogoliubov-Born-Green-Kirkwood-Yvon (BBGKY) hierarchy for joint gap densities is formulated. Third, a self-consistent 'mean field' is defined via the BBGKY hierarchy. This field is then determined approximately through a terrace decorrelation hypothesis. Fourth, comparisons are made of directly obtained and mean-field results. Limitations and issues in the modeling of noise are outlined.
Stochastic Model Checking of the Stochastic Quality Calculus
DEFF Research Database (Denmark)
Nielson, Flemming; Nielson, Hanne Riis; Zeng, Kebin
2015-01-01
The Quality Calculus uses quality binders for input to express strategies for continuing the computation even when the desired input has not been received. The Stochastic Quality Calculus adds generally distributed delays for output actions and real-time constraints on the quality binders for input....... 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...
Modelling the stochastic behaviour of primary nucleation.
Maggioni, Giovanni Maria; Mazzotti, Marco
2015-01-01
We study the stochastic nature of primary nucleation and how it manifests itself in a crystallisation process at different scales and under different operating conditions. Such characteristics of nucleation are evident in many experiments where detection times of crystals are not identical, despite identical experimental conditions, but instead are distributed around an average value. While abundant experimental evidence has been reported in the literature, a clear theoretical understanding and an appropriate modelling of this feature is still missing. In this contribution, we present two models describing a batch cooling crystallisation, where the interplay between stochastic nucleation and deterministic crystal growth is described differently in each. The nucleation and growth rates of the two models are estimated by a comprehensive set of measurements of paracetamol crystallisation from aqueous solution in a 1 mL vessel [Kadam et al., Chemical Engineering Science, 2012, 72, 10-19]. Both models are applied to the cooling crystallisation process above under different operating conditions, i.e. different volumes, initial concentrations, cooling rates. The advantages and disadvantages of the two approaches are illustrated and discussed, with particular reference to their use across scales of nucleation rate measured in very small crystallisers.
Characterizing economic trends by Bayesian stochastic model specifi cation search
Grassi, Stefano; Proietti, Tommaso
2010-01-01
We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and deterministic trends. In particular, we formulate autoregressive models with stochastic trends components and decide on whether a specific feature of the series, i.e. the underlying level and/or the rate...
Scalable inference for stochastic block models
Peng, Chengbin
2017-12-08
Community detection in graphs is widely used in social and biological networks, and the stochastic block model is a powerful probabilistic tool for describing graphs with community structures. However, in the era of "big data," traditional inference algorithms for such a model are increasingly limited due to their high time complexity and poor scalability. In this paper, we propose a multi-stage maximum likelihood approach to recover the latent parameters of the stochastic block model, in time linear with respect to the number of edges. We also propose a parallel algorithm based on message passing. Our algorithm can overlap communication and computation, providing speedup without compromising accuracy as the number of processors grows. For example, to process a real-world graph with about 1.3 million nodes and 10 million edges, our algorithm requires about 6 seconds on 64 cores of a contemporary commodity Linux cluster. Experiments demonstrate that the algorithm can produce high quality results on both benchmark and real-world graphs. An example of finding more meaningful communities is illustrated consequently in comparison with a popular modularity maximization algorithm.
Intimate Partner Violence: A Stochastic Model.
Guidi, Elisa; Meringolo, Patrizia; Guazzini, Andrea; Bagnoli, Franco
2017-01-01
Intimate partner violence (IPV) has been a well-studied problem in the past psychological literature, especially through its classical methodology such as qualitative, quantitative and mixed methods. This article introduces two basic stochastic models as an alternative approach to simulate the short and long-term dynamics of a couple at risk of IPV. In both models, the members of the couple may assume a finite number of states, updating them in a probabilistic way at discrete time steps. After defining the transition probabilities, we first analyze the evolution of the couple in isolation and then we consider the case in which the individuals modify their behavior depending on the perceived violence from other couples in their environment or based on the perceived informal social support. While high perceived violence in other couples may converge toward the own presence of IPV by means a gender-specific transmission, the gender differences fade-out in the case of received informal social support. Despite the simplicity of the two stochastic models, they generate results which compare well with past experimental studies about IPV and they give important practical implications for prevention intervention in this field. Copyright: © 2016 by Fabrizio Serra editore, Pisa · Roma.
Stochastic Model of TCP SYN Attacks
Directory of Open Access Journals (Sweden)
Simona Ramanauskaitė
2011-08-01
Full Text Available A great proportion of essential services are moving into internet space making the threat of DoS attacks even more actual. To estimate the real risk of some kind of denial of service (DoS attack in real world is difficult, but mathematical and software models make this task easier. In this paper we overview the ways of implementing DoS attack models and offer a stochastic model of SYN flooding attack. It allows evaluating the potential threat of SYN flooding attacks, taking into account both the legitimate system flow as well as the possible attack power. At the same time we can assess the effect of such parameters as buffer capacity, open connection storage in the buffer or filtering efficiency on the success of different SYN flooding attacks. This model can be used for other type of memory depletion denial of service attacks.Article in Lithuanian
Stochastic approaches to inflation model building
International Nuclear Information System (INIS)
Ramirez, Erandy; Liddle, Andrew R.
2005-01-01
While inflation gives an appealing explanation of observed cosmological data, there are a wide range of different inflation models, providing differing predictions for the initial perturbations. Typically models are motivated either by fundamental physics considerations or by simplicity. An alternative is to generate large numbers of models via a random generation process, such as the flow equations approach. The flow equations approach is known to predict a definite structure to the observational predictions. In this paper, we first demonstrate a more efficient implementation of the flow equations exploiting an analytic solution found by Liddle (2003). We then consider alternative stochastic methods of generating large numbers of inflation models, with the aim of testing whether the structures generated by the flow equations are robust. We find that while typically there remains some concentration of points in the observable plane under the different methods, there is significant variation in the predictions amongst the methods considered
Stochastic modeling of financial electricity contracts
International Nuclear Information System (INIS)
Benth, Fred Espen; Koekebakker, Steen
2008-01-01
We discuss the modeling of electricity contracts traded in many deregulated power markets. These forward/futures type contracts deliver (either physically or financially) electricity over a specified time period, and is frequently referred to as swaps since they in effect represent an exchange of fixed for floating electricity price. We propose to use the Heath-Jarrow-Morton approach to model swap prices since the notion of a spot price is not easily defined in these markets. For general stochastic dynamical models, we connect the spot price, the instantaneous-delivery forward price and the swap price, and analyze two different ways to apply the Heath-Jarrow-Morton approach to swap pricing: Either one specifies a dynamics for the non-existing instantaneous-delivery forwards and derives the implied swap dynamics, or one models directly on the swaps. The former is shown to lead to quite complicated stochastic models for the swap price, even when the forward dynamics is simple. The latter has some theoretical problems due to a no-arbitrage condition that has to be satisfied for swaps with overlapping delivery periods. To overcome this problem, a practical modeling approach is analyzed. The market is supposed only to consist of non-overlapping swaps, and these are modelled directly. A thorough empirical study is performed using data collected from Nord Pool. Our investigations demonstrate that it is possible to state reasonable models for the swap price dynamics which is analytically tractable for risk management and option pricing purposes, however, this is an area of further research. (author)
Mean-field Ensemble Kalman Filter
Law, Kody
2015-01-07
A proof of convergence of the standard EnKF generalized to non-Gaussian state space models is provided. A density-based deterministic approximation of the mean-field limiting EnKF (MFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for d < 2 . The fidelity of approximation of the true distribution is also established using an extension of total variation metric to random measures. This is limited by a Gaussian bias term arising from non-linearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.
Extended Deterministic Mean-Field Games
Gomes, Diogo A.
2016-04-21
In this paper, we consider mean-field games where the interaction of each player with the mean field takes into account not only the states of the players but also their collective behavior. To do so, we develop a random variable framework that is particularly convenient for these problems. We prove an existence result for extended mean-field games and establish uniqueness conditions. In the last section, we consider the Master Equation and discuss properties of its solutions.
Extended Deterministic Mean-Field Games
Gomes, Diogo A.; Voskanyan, Vardan K.
2016-01-01
In this paper, we consider mean-field games where the interaction of each player with the mean field takes into account not only the states of the players but also their collective behavior. To do so, we develop a random variable framework that is particularly convenient for these problems. We prove an existence result for extended mean-field games and establish uniqueness conditions. In the last section, we consider the Master Equation and discuss properties of its solutions.
Stochastic modeling of thermal fatigue crack growth
Radu, Vasile
2015-01-01
The book describes a systematic stochastic modeling approach for assessing thermal-fatigue crack-growth in mixing tees, based on the power spectral density of temperature fluctuation at the inner pipe surface. It shows the development of a frequency-temperature response function in the framework of single-input, single-output (SISO) methodology from random noise/signal theory under sinusoidal input. The frequency response of stress intensity factor (SIF) is obtained by a polynomial fitting procedure of thermal stress profiles at various instants of time. The method, which takes into account the variability of material properties, and has been implemented in a real-world application, estimates the probabilities of failure by considering a limit state function and Monte Carlo analysis, which are based on the proposed stochastic model. Written in a comprehensive and accessible style, this book presents a new and effective method for assessing thermal fatigue crack, and it is intended as a concise and practice-or...
Hopf bifurcation of the stochastic model on business cycle
International Nuclear Information System (INIS)
Xu, J; Wang, H; Ge, G
2008-01-01
A stochastic model on business cycle was presented in thas paper. Simplifying the model through the quasi Hamiltonian theory, the Ito diffusion process was obtained. According to Oseledec multiplicative ergodic theory and singular boundary theory, the conditions of local and global stability were acquired. Solving the stationary FPK equation and analyzing the stationary probability density, the stochastic Hopf bifurcation was explained. The result indicated that the change of parameter awas the key factor to the appearance of the stochastic Hopf bifurcation
Double diffusivity model under stochastic forcing
Chattopadhyay, Amit K.; Aifantis, Elias C.
2017-05-01
The "double diffusivity" model was proposed in the late 1970s, and reworked in the early 1980s, as a continuum counterpart to existing discrete models of diffusion corresponding to high diffusivity paths, such as grain boundaries and dislocation lines. It was later rejuvenated in the 1990s to interpret experimental results on diffusion in polycrystalline and nanocrystalline specimens where grain boundaries and triple grain boundary junctions act as high diffusivity paths. Technically, the model pans out as a system of coupled Fick-type diffusion equations to represent "regular" and "high" diffusivity paths with "source terms" accounting for the mass exchange between the two paths. The model remit was extended by analogy to describe flow in porous media with double porosity, as well as to model heat conduction in media with two nonequilibrium local temperature baths, e.g., ion and electron baths. Uncoupling of the two partial differential equations leads to a higher-ordered diffusion equation, solutions of which could be obtained in terms of classical diffusion equation solutions. Similar equations could also be derived within an "internal length" gradient (ILG) mechanics formulation applied to diffusion problems, i.e., by introducing nonlocal effects, together with inertia and viscosity, in a mechanics based formulation of diffusion theory. While being remarkably successful in studies related to various aspects of transport in inhomogeneous media with deterministic microstructures and nanostructures, its implications in the presence of stochasticity have not yet been considered. This issue becomes particularly important in the case of diffusion in nanopolycrystals whose deterministic ILG-based theoretical calculations predict a relaxation time that is only about one-tenth of the actual experimentally verified time scale. This article provides the "missing link" in this estimation by adding a vital element in the ILG structure, that of stochasticity, that takes into
Advances in dynamic and mean field games theory, applications, and numerical methods
Viscolani, Bruno
2017-01-01
This contributed volume considers recent advances in dynamic games and their applications, based on presentations given at the 17th Symposium of the International Society of Dynamic Games, held July 12-15, 2016, in Urbino, Italy. Written by experts in their respective disciplines, these papers cover various aspects of dynamic game theory including mean-field games, stochastic and pursuit-evasion games, and computational methods for dynamic games. Topics covered include Pedestrian flow in crowded environments Models for climate change negotiations Nash Equilibria for dynamic games involving Volterra integral equations Differential games in healthcare markets Linear-quadratic Gaussian dynamic games Aircraft control in wind shear conditions Advances in Dynamic and Mean-Field Games presents state-of-the-art research in a wide spectrum of areas. As such, it serves as a testament to the continued vitality and growth of the field of dynamic games and their applications. It will be of interest to an interdisciplinar...
Stochastic stability and bifurcation in a macroeconomic model
International Nuclear Information System (INIS)
Li Wei; Xu Wei; Zhao Junfeng; Jin Yanfei
2007-01-01
On the basis of the work of Goodwin and Puu, a new business cycle model subject to a stochastically parametric excitation is derived in this paper. At first, we reduce the model to a one-dimensional diffusion process by applying the stochastic averaging method of quasi-nonintegrable Hamiltonian system. Secondly, we utilize the methods of Lyapunov exponent and boundary classification associated with diffusion process respectively to analyze the stochastic stability of the trivial solution of system. The numerical results obtained illustrate that the trivial solution of system must be globally stable if it is locally stable in the state space. Thirdly, we explore the stochastic Hopf bifurcation of the business cycle model according to the qualitative changes in stationary probability density of system response. It is concluded that the stochastic Hopf bifurcation occurs at two critical parametric values. Finally, some explanations are given in a simply way on the potential applications of stochastic stability and bifurcation analysis
Stochastic inverse problems: Models and metrics
International Nuclear Information System (INIS)
Sabbagh, Elias H.; Sabbagh, Harold A.; Murphy, R. Kim; Aldrin, John C.; Annis, Charles; Knopp, Jeremy S.
2015-01-01
In past work, we introduced model-based inverse methods, and applied them to problems in which the anomaly could be reasonably modeled by simple canonical shapes, such as rectangular solids. In these cases the parameters to be inverted would be length, width and height, as well as the occasional probe lift-off or rotation. We are now developing a formulation that allows more flexibility in modeling complex flaws. The idea consists of expanding the flaw in a sequence of basis functions, and then solving for the expansion coefficients of this sequence, which are modeled as independent random variables, uniformly distributed over their range of values. There are a number of applications of such modeling: 1. Connected cracks and multiple half-moons, which we have noted in a POD set. Ideally we would like to distinguish connected cracks from one long shallow crack. 2. Cracks of irregular profile and shape which have appeared in cold work holes during bolt-hole eddy-current inspection. One side of such cracks is much deeper than other. 3. L or C shaped crack profiles at the surface, examples of which have been seen in bolt-hole cracks. By formulating problems in a stochastic sense, we are able to leverage the stochastic global optimization algorithms in NLSE, which is resident in VIC-3D®, to answer questions of global minimization and to compute confidence bounds using the sensitivity coefficient that we get from NLSE. We will also address the issue of surrogate functions which are used during the inversion process, and how they contribute to the quality of the estimation of the bounds
Stochastic inverse problems: Models and metrics
Sabbagh, Elias H.; Sabbagh, Harold A.; Murphy, R. Kim; Aldrin, John C.; Annis, Charles; Knopp, Jeremy S.
2015-03-01
In past work, we introduced model-based inverse methods, and applied them to problems in which the anomaly could be reasonably modeled by simple canonical shapes, such as rectangular solids. In these cases the parameters to be inverted would be length, width and height, as well as the occasional probe lift-off or rotation. We are now developing a formulation that allows more flexibility in modeling complex flaws. The idea consists of expanding the flaw in a sequence of basis functions, and then solving for the expansion coefficients of this sequence, which are modeled as independent random variables, uniformly distributed over their range of values. There are a number of applications of such modeling: 1. Connected cracks and multiple half-moons, which we have noted in a POD set. Ideally we would like to distinguish connected cracks from one long shallow crack. 2. Cracks of irregular profile and shape which have appeared in cold work holes during bolt-hole eddy-current inspection. One side of such cracks is much deeper than other. 3. L or C shaped crack profiles at the surface, examples of which have been seen in bolt-hole cracks. By formulating problems in a stochastic sense, we are able to leverage the stochastic global optimization algorithms in NLSE, which is resident in VIC-3D®, to answer questions of global minimization and to compute confidence bounds using the sensitivity coefficient that we get from NLSE. We will also address the issue of surrogate functions which are used during the inversion process, and how they contribute to the quality of the estimation of the bounds.
Effective masses and the nuclear mean field
International Nuclear Information System (INIS)
Mahaux, C.; Sartor, R.
1985-01-01
The effective mass characterizes the energy dependence of the empirical average nuclear potential. This energy dependence has two different sources, namely the nonlocality in space of the microscopic mean field on the one hand, and its true energy dependence on the other hand. Correspondingly it is convenient to divide the effective mass into two components, the k-mass and the ω-mass. The latter is responsible for the existence of a peak in the energy dependence of the effective mass. This peak is located near the Fermi energy in nuclear matter and in nuclei, as well as in the electron gas, the hard sphere Fermi gas and liquid helium 3. A related phenomenon is the existence of a low energy anomaly in the energy dependence of the optical model potential between two heavy ions. (orig.)
Stochastic models for surface diffusion of molecules
Energy Technology Data Exchange (ETDEWEB)
Shea, Patrick, E-mail: patrick.shea@dal.ca; Kreuzer, Hans Jürgen [Department of Physics and Atmospheric Science, Dalhousie University, Halifax, Nova Scotia B3H 3J5 (Canada)
2014-07-28
We derive a stochastic model for the surface diffusion of molecules, starting from the classical equations of motion for an N-atom molecule on a surface. The equation of motion becomes a generalized Langevin equation for the center of mass of the molecule, with a non-Markovian friction kernel. In the Markov approximation, a standard Langevin equation is recovered, and the effect of the molecular vibrations on the diffusion is seen to lead to an increase in the friction for center of mass motion. This effective friction has a simple form that depends on the curvature of the lowest energy diffusion path in the 3N-dimensional coordinate space. We also find that so long as the intramolecular forces are sufficiently strong, memory effects are usually not significant and the Markov approximation can be employed, resulting in a simple one-dimensional model that can account for the effect of the dynamics of the molecular vibrations on the diffusive motion.
Can Household Benefit from Stochastic Programming Models?
DEFF Research Database (Denmark)
Rasmussen, Kourosh Marjani; Madsen, Claus A.; Poulsen, Rolf
2014-01-01
The Danish mortgage market is large and sophisticated. However, most Danish mortgage banks advise private home-owners based on simple, if sensible, rules of thumb. In recent years a number of papers (from Nielsen and Poulsen in J Econ Dyn Control 28:1267–1289, 2004 over Rasmussen and Zenios in J...... Risk 10:1–18, 2007 to Pedersen et al. in Ann Oper Res, 2013) have suggested a model-based, stochastic programming approach to mortgage choice. This paper gives an empirical comparison of performance over the period 2000–2010 of the rules of thumb to the model-based strategies. While the rules of thumb.......3–0.9 %-points (depending on the borrower’s level of conservatism) compared to the rules of thumb without increasing the risk. The answer to the question in the title is thus affirmative....
An adaptive stochastic model for financial markets
International Nuclear Information System (INIS)
Hernández, Juan Antonio; Benito, Rosa Marı´a; Losada, Juan Carlos
2012-01-01
An adaptive stochastic model is introduced to simulate the behavior of real asset markets. The model adapts itself by changing its parameters automatically on the basis of the recent historical data. The basic idea underlying the model is that a random variable uniformly distributed within an interval with variable extremes can replicate the histograms of asset returns. These extremes are calculated according to the arrival of new market information. This adaptive model is applied to the daily returns of three well-known indices: Ibex35, Dow Jones and Nikkei, for three complete years. The model reproduces the histograms of the studied indices as well as their autocorrelation structures. It produces the same fat tails and the same power laws, with exactly the same exponents, as in the real indices. In addition, the model shows a great adaptation capability, anticipating the volatility evolution and showing the same volatility clusters observed in the assets. This approach provides a novel way to model asset markets with internal dynamics which changes quickly with time, making it impossible to define a fixed model to fit the empirical observations.
Nonequilibrium dynamical mean-field theory
Energy Technology Data Exchange (ETDEWEB)
Eckstein, Martin
2009-12-21
The aim of this thesis is the investigation of strongly interacting quantum many-particle systems in nonequilibrium by means of the dynamical mean-field theory (DMFT). An efficient numerical implementation of the nonequilibrium DMFT equations within the Keldysh formalism is provided, as well a discussion of several approaches to solve effective single-site problem to which lattice models such as the Hubbard-model are mapped within DMFT. DMFT is then used to study the relaxation of the thermodynamic state after a sudden increase of the interaction parameter in two different models: the Hubbard model and the Falicov-Kimball model. In the latter case an exact solution can be given, which shows that the state does not even thermalize after infinite waiting times. For a slow change of the interaction, a transition to adiabatic behavior is found. The Hubbard model, on the other hand, shows a very sensitive dependence of the relaxation on the interaction, which may be called a dynamical phase transition. Rapid thermalization only occurs at the interaction parameter which corresponds to this transition. (orig.)
Nonequilibrium dynamical mean-field theory
International Nuclear Information System (INIS)
Eckstein, Martin
2009-01-01
The aim of this thesis is the investigation of strongly interacting quantum many-particle systems in nonequilibrium by means of the dynamical mean-field theory (DMFT). An efficient numerical implementation of the nonequilibrium DMFT equations within the Keldysh formalism is provided, as well a discussion of several approaches to solve effective single-site problem to which lattice models such as the Hubbard-model are mapped within DMFT. DMFT is then used to study the relaxation of the thermodynamic state after a sudden increase of the interaction parameter in two different models: the Hubbard model and the Falicov-Kimball model. In the latter case an exact solution can be given, which shows that the state does not even thermalize after infinite waiting times. For a slow change of the interaction, a transition to adiabatic behavior is found. The Hubbard model, on the other hand, shows a very sensitive dependence of the relaxation on the interaction, which may be called a dynamical phase transition. Rapid thermalization only occurs at the interaction parameter which corresponds to this transition. (orig.)
Stochastic modeling of consumer preferences for health care institutions.
Malhotra, N K
1983-01-01
This paper proposes a stochastic procedure for modeling consumer preferences via LOGIT analysis. First, a simple, non-technical exposition of the use of a stochastic approach in health care marketing is presented. Second, a study illustrating the application of the LOGIT model in assessing consumer preferences for hospitals is given. The paper concludes with several implications of the proposed approach.
A stochastic modeling of recurrent measles epidemic | Kassem ...
African Journals Online (AJOL)
A simple stochastic mathematical model is developed and investigated for the dynamics of measles epidemic. The model, which is a multi-dimensional diffusion process, includes susceptible individuals, latent (exposed), infected and removed individuals. Stochastic effects are assumed to arise in the process of infection of ...
Review of "Stochastic Modelling for Systems Biology" by Darren Wilkinson
Directory of Open Access Journals (Sweden)
Bullinger Eric
2006-12-01
Full Text Available Abstract "Stochastic Modelling for Systems Biology" by Darren Wilkinson introduces the peculiarities of stochastic modelling in biology. This book is particularly suited to as a textbook or for self-study, and for readers with a theoretical background.
Approximate models for broken clouds in stochastic radiative transfer theory
International Nuclear Information System (INIS)
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
Spatial Stochastic Point Models for Reservoir Characterization
Energy Technology Data Exchange (ETDEWEB)
Syversveen, Anne Randi
1997-12-31
The main part of this thesis discusses stochastic modelling of geology in petroleum reservoirs. A marked point model is defined for objects against a background in a two-dimensional vertical cross section of the reservoir. The model handles conditioning on observations from more than one well for each object and contains interaction between objects, and the objects have the correct length distribution when penetrated by wells. The model is developed in a Bayesian setting. The model and the simulation algorithm are demonstrated by means of an example with simulated data. The thesis also deals with object recognition in image analysis, in a Bayesian framework, and with a special type of spatial Cox processes called log-Gaussian Cox processes. In these processes, the logarithm of the intensity function is a Gaussian process. The class of log-Gaussian Cox processes provides flexible models for clustering. The distribution of such a process is completely characterized by the intensity and the pair correlation function of the Cox process. 170 refs., 37 figs., 5 tabs.
Mean Field Analysis of Quantum Annealing Correction.
Matsuura, Shunji; Nishimori, Hidetoshi; Albash, Tameem; Lidar, Daniel A
2016-06-03
Quantum annealing correction (QAC) is a method that combines encoding with energy penalties and decoding to suppress and correct errors that degrade the performance of quantum annealers in solving optimization problems. While QAC has been experimentally demonstrated to successfully error correct a range of optimization problems, a clear understanding of its operating mechanism has been lacking. Here we bridge this gap using tools from quantum statistical mechanics. We study analytically tractable models using a mean-field analysis, specifically the p-body ferromagnetic infinite-range transverse-field Ising model as well as the quantum Hopfield model. We demonstrate that for p=2, where the phase transition is of second order, QAC pushes the transition to increasingly larger transverse field strengths. For p≥3, where the phase transition is of first order, QAC softens the closing of the gap for small energy penalty values and prevents its closure for sufficiently large energy penalty values. Thus QAC provides protection from excitations that occur near the quantum critical point. We find similar results for the Hopfield model, thus demonstrating that our conclusions hold in the presence of disorder.
Time independent mean-field theory
International Nuclear Information System (INIS)
Negele, J.W.
1980-02-01
The physical and theoretical motivations for the time-dependent mean-field theory are presented, and the successes and limitations of the time-dependent Hartree-Fock initial-vaue problem are reviewed. New theoretical developments are described in the treatment of two-body correlations and the formulation of a quantum mean-field theory of large-amplitude collective motion and tunneling decay. Finally, the mean-field theory is used to obtain new insights into the phenomenon of pion condensation in finite nuclei. 18 figures
12th Workshop on Stochastic Models, Statistics and Their Applications
Rafajłowicz, Ewaryst; Szajowski, Krzysztof
2015-01-01
This volume presents the latest advances and trends in stochastic models and related statistical procedures. Selected peer-reviewed contributions focus on statistical inference, quality control, change-point analysis and detection, empirical processes, time series analysis, survival analysis and reliability, statistics for stochastic processes, big data in technology and the sciences, statistical genetics, experiment design, and stochastic models in engineering. Stochastic models and related statistical procedures play an important part in furthering our understanding of the challenging problems currently arising in areas of application such as the natural sciences, information technology, engineering, image analysis, genetics, energy and finance, to name but a few. This collection arises from the 12th Workshop on Stochastic Models, Statistics and Their Applications, Wroclaw, Poland.
Stochastic modeling of sunshine number data
Energy Technology Data Exchange (ETDEWEB)
Brabec, Marek, E-mail: mbrabec@cs.cas.cz [Department of Nonlinear Modeling, Institute of Computer Science, Academy of Sciences of the Czech Republic, Pod Vodarenskou vezi 2, 182 07 Prague 8 (Czech Republic); Paulescu, Marius [Physics Department, West University of Timisoara, V. Parvan 4, 300223 Timisoara (Romania); Badescu, Viorel [Candida Oancea Institute, Polytechnic University of Bucharest, Spl. Independentei 313, 060042 Bucharest (Romania)
2013-11-13
In this paper, we will present a unified statistical modeling framework for estimation and forecasting sunshine number (SSN) data. Sunshine number has been proposed earlier to describe sunshine time series in qualitative terms (Theor Appl Climatol 72 (2002) 127-136) and since then, it was shown to be useful not only for theoretical purposes but also for practical considerations, e.g. those related to the development of photovoltaic energy production. Statistical modeling and prediction of SSN as a binary time series has been challenging problem, however. Our statistical model for SSN time series is based on an underlying stochastic process formulation of Markov chain type. We will show how its transition probabilities can be efficiently estimated within logistic regression framework. In fact, our logistic Markovian model can be relatively easily fitted via maximum likelihood approach. This is optimal in many respects and it also enables us to use formalized statistical inference theory to obtain not only the point estimates of transition probabilities and their functions of interest, but also related uncertainties, as well as to test of various hypotheses of practical interest, etc. It is straightforward to deal with non-homogeneous transition probabilities in this framework. Very importantly from both physical and practical points of view, logistic Markov model class allows us to test hypotheses about how SSN dependents on various external covariates (e.g. elevation angle, solar time, etc.) and about details of the dynamic model (order and functional shape of the Markov kernel, etc.). Therefore, using generalized additive model approach (GAM), we can fit and compare models of various complexity which insist on keeping physical interpretation of the statistical model and its parts. After introducing the Markovian model and general approach for identification of its parameters, we will illustrate its use and performance on high resolution SSN data from the Solar
Stochastic modeling of sunshine number data
Brabec, Marek; Paulescu, Marius; Badescu, Viorel
2013-11-01
In this paper, we will present a unified statistical modeling framework for estimation and forecasting sunshine number (SSN) data. Sunshine number has been proposed earlier to describe sunshine time series in qualitative terms (Theor Appl Climatol 72 (2002) 127-136) and since then, it was shown to be useful not only for theoretical purposes but also for practical considerations, e.g. those related to the development of photovoltaic energy production. Statistical modeling and prediction of SSN as a binary time series has been challenging problem, however. Our statistical model for SSN time series is based on an underlying stochastic process formulation of Markov chain type. We will show how its transition probabilities can be efficiently estimated within logistic regression framework. In fact, our logistic Markovian model can be relatively easily fitted via maximum likelihood approach. This is optimal in many respects and it also enables us to use formalized statistical inference theory to obtain not only the point estimates of transition probabilities and their functions of interest, but also related uncertainties, as well as to test of various hypotheses of practical interest, etc. It is straightforward to deal with non-homogeneous transition probabilities in this framework. Very importantly from both physical and practical points of view, logistic Markov model class allows us to test hypotheses about how SSN dependents on various external covariates (e.g. elevation angle, solar time, etc.) and about details of the dynamic model (order and functional shape of the Markov kernel, etc.). Therefore, using generalized additive model approach (GAM), we can fit and compare models of various complexity which insist on keeping physical interpretation of the statistical model and its parts. After introducing the Markovian model and general approach for identification of its parameters, we will illustrate its use and performance on high resolution SSN data from the Solar
Stochastic modeling of sunshine number data
International Nuclear Information System (INIS)
Brabec, Marek; Paulescu, Marius; Badescu, Viorel
2013-01-01
In this paper, we will present a unified statistical modeling framework for estimation and forecasting sunshine number (SSN) data. Sunshine number has been proposed earlier to describe sunshine time series in qualitative terms (Theor Appl Climatol 72 (2002) 127-136) and since then, it was shown to be useful not only for theoretical purposes but also for practical considerations, e.g. those related to the development of photovoltaic energy production. Statistical modeling and prediction of SSN as a binary time series has been challenging problem, however. Our statistical model for SSN time series is based on an underlying stochastic process formulation of Markov chain type. We will show how its transition probabilities can be efficiently estimated within logistic regression framework. In fact, our logistic Markovian model can be relatively easily fitted via maximum likelihood approach. This is optimal in many respects and it also enables us to use formalized statistical inference theory to obtain not only the point estimates of transition probabilities and their functions of interest, but also related uncertainties, as well as to test of various hypotheses of practical interest, etc. It is straightforward to deal with non-homogeneous transition probabilities in this framework. Very importantly from both physical and practical points of view, logistic Markov model class allows us to test hypotheses about how SSN dependents on various external covariates (e.g. elevation angle, solar time, etc.) and about details of the dynamic model (order and functional shape of the Markov kernel, etc.). Therefore, using generalized additive model approach (GAM), we can fit and compare models of various complexity which insist on keeping physical interpretation of the statistical model and its parts. After introducing the Markovian model and general approach for identification of its parameters, we will illustrate its use and performance on high resolution SSN data from the Solar
Gompertzian stochastic model with delay effect to cervical cancer growth
International Nuclear Information System (INIS)
Mazlan, Mazma Syahidatul Ayuni binti; Rosli, Norhayati binti; Bahar, Arifah
2015-01-01
In this paper, a Gompertzian stochastic model with time delay is introduced to describe the cervical cancer growth. The parameters values of the mathematical model are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic model numerically. The efficiency of mathematical model is measured by comparing the simulated result and the clinical data of cervical cancer growth. Low values of Mean-Square Error (MSE) of Gompertzian stochastic model with delay effect indicate good fits
Gompertzian stochastic model with delay effect to cervical cancer growth
Energy Technology Data Exchange (ETDEWEB)
Mazlan, Mazma Syahidatul Ayuni binti; Rosli, Norhayati binti [Faculty of Industrial Sciences and Technology, Universiti Malaysia Pahang, Lebuhraya Tun Razak, 26300 Gambang, Pahang (Malaysia); Bahar, Arifah [Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor and UTM Centre for Industrial and Applied Mathematics (UTM-CIAM), Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia)
2015-02-03
In this paper, a Gompertzian stochastic model with time delay is introduced to describe the cervical cancer growth. The parameters values of the mathematical model are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic model numerically. The efficiency of mathematical model is measured by comparing the simulated result and the clinical data of cervical cancer growth. Low values of Mean-Square Error (MSE) of Gompertzian stochastic model with delay effect indicate good fits.
Stochastic growth logistic model with aftereffect for batch fermentation process
Rosli, Norhayati; Ayoubi, Tawfiqullah; Bahar, Arifah; Rahman, Haliza Abdul; Salleh, Madihah Md
2014-06-01
In this paper, the stochastic growth logistic model with aftereffect for the cell growth of C. acetobutylicum P262 and Luedeking-Piret equations for solvent production in batch fermentation system is introduced. The parameters values of the mathematical models are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic models numerically. The effciency of mathematical models is measured by comparing the simulated result and the experimental data of the microbial growth and solvent production in batch system. Low values of Root Mean-Square Error (RMSE) of stochastic models with aftereffect indicate good fits.
Stochastic growth logistic model with aftereffect for batch fermentation process
International Nuclear Information System (INIS)
Rosli, Norhayati; Ayoubi, Tawfiqullah; Bahar, Arifah; Rahman, Haliza Abdul; Salleh, Madihah Md
2014-01-01
In this paper, the stochastic growth logistic model with aftereffect for the cell growth of C. acetobutylicum P262 and Luedeking-Piret equations for solvent production in batch fermentation system is introduced. The parameters values of the mathematical models are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic models numerically. The effciency of mathematical models is measured by comparing the simulated result and the experimental data of the microbial growth and solvent production in batch system. Low values of Root Mean-Square Error (RMSE) of stochastic models with aftereffect indicate good fits
Stochastic growth logistic model with aftereffect for batch fermentation process
Energy Technology Data Exchange (ETDEWEB)
Rosli, Norhayati; Ayoubi, Tawfiqullah [Faculty of Industrial Sciences and Technology, Universiti Malaysia Pahang, Lebuhraya Tun Razak, 26300 Gambang, Pahang (Malaysia); Bahar, Arifah; Rahman, Haliza Abdul [Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia); Salleh, Madihah Md [Department of Biotechnology Industry, Faculty of Biosciences and Bioengineering, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia)
2014-06-19
In this paper, the stochastic growth logistic model with aftereffect for the cell growth of C. acetobutylicum P262 and Luedeking-Piret equations for solvent production in batch fermentation system is introduced. The parameters values of the mathematical models are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic models numerically. The effciency of mathematical models is measured by comparing the simulated result and the experimental data of the microbial growth and solvent production in batch system. Low values of Root Mean-Square Error (RMSE) of stochastic models with aftereffect indicate good fits.
Simultaneous perturbation stochastic approximation for tidal models
Altaf, M.U.
2011-05-12
The Dutch continental shelf model (DCSM) is a shallow sea model of entire continental shelf which is used operationally in the Netherlands to forecast the storm surges in the North Sea. The forecasts are necessary to support the decision of the timely closure of the moveable storm surge barriers to protect the land. In this study, an automated model calibration method, simultaneous perturbation stochastic approximation (SPSA) is implemented for tidal calibration of the DCSM. The method uses objective function evaluations to obtain the gradient approximations. The gradient approximation for the central difference method uses only two objective function evaluation independent of the number of parameters being optimized. The calibration parameter in this study is the model bathymetry. A number of calibration experiments is performed. The effectiveness of the algorithm is evaluated in terms of the accuracy of the final results as well as the computational costs required to produce these results. In doing so, comparison is made with a traditional steepest descent method and also with a newly developed proper orthogonal decompositionbased calibration method. The main findings are: (1) The SPSA method gives comparable results to steepest descent method with little computational cost. (2) The SPSA method with little computational cost can be used to estimate large number of parameters.
Simultaneous perturbation stochastic approximation for tidal models
Altaf, M.U.; Heemink, A.W.; Verlaan, M.; Hoteit, Ibrahim
2011-01-01
The Dutch continental shelf model (DCSM) is a shallow sea model of entire continental shelf which is used operationally in the Netherlands to forecast the storm surges in the North Sea. The forecasts are necessary to support the decision of the timely closure of the moveable storm surge barriers to protect the land. In this study, an automated model calibration method, simultaneous perturbation stochastic approximation (SPSA) is implemented for tidal calibration of the DCSM. The method uses objective function evaluations to obtain the gradient approximations. The gradient approximation for the central difference method uses only two objective function evaluation independent of the number of parameters being optimized. The calibration parameter in this study is the model bathymetry. A number of calibration experiments is performed. The effectiveness of the algorithm is evaluated in terms of the accuracy of the final results as well as the computational costs required to produce these results. In doing so, comparison is made with a traditional steepest descent method and also with a newly developed proper orthogonal decompositionbased calibration method. The main findings are: (1) The SPSA method gives comparable results to steepest descent method with little computational cost. (2) The SPSA method with little computational cost can be used to estimate large number of parameters.
A stochastic model for early placental development.
Cotter, Simon L
2014-08-01
In the human, placental structure is closely related to placental function and consequent pregnancy outcome. Studies have noted abnormal placental shape in small-for-gestational-age infants which extends to increased lifetime risk of cardiovascular disease. The origins and determinants of placental shape are incompletely understood and are difficult to study in vivo. In this paper, we model the early development of the human placenta, based on the hypothesis that this is driven by a chemoattractant effect emanating from proximal spiral arteries in the decidua. We derive and explore a two-dimensional stochastic model, and investigate the effects of loss of spiral arteries in regions near to the cord insertion on the shape of the placenta. This model demonstrates that disruption of spiral arteries can exert profound effects on placental shape, particularly if this is close to the cord insertion. Thus, placental shape reflects the underlying maternal vascular bed. Abnormal placental shape may reflect an abnormal uterine environment, predisposing to pregnancy complications. Through statistical analysis of model placentas, we are able to characterize the probability that a given placenta grew in a disrupted environment, and even able to distinguish between different disruptions.
Stochastic model of the spinning electron
International Nuclear Information System (INIS)
Simaciu, I.; Borsos, Z.
2002-01-01
In Stochastic Electrodynamics (SED) it is demonstrated that electrostatic interaction is the result of the scattering of the Classical Zero-Point Field (CZPF) background by the charged particles. In such models, the electron is modelled as a two-dimensional oscillator, which interacts with the electric component of the CZPF background. The electron with spin is not only an electric monopole but also a magnetic dipole. The interaction of the spin electron with the CZPF background is not only electric but also magnetic. We calculate the scattering cross-section of magnetic dipole in the situation when a magnetic field, variable in time B arrow = B 0 arrow sin ωt, acts over the rigid magnetic dipole given by the symmetry of the model. The cross-section of a magnetic dipole σ m must be equal to the cross-section of an electric monopole σ e . This equality between σ m and σ e cross-sections is motivated, too, by the fact that, in the model of the two-dimensional oscillator, the electric charge q e has the motion speed c. (authors)
Mean field games for cognitive radio networks
Tembine, Hamidou; Tempone, Raul; Vilanova, Pedro
2012-01-01
In this paper we study mobility effect and power saving in cognitive radio networks using mean field games. We consider two types of users: primary and secondary users. When active, each secondary transmitter-receiver uses carrier sensing
Bauso, Dario
2014-05-07
This article examines mean-field games for marriage. The results support the argument that optimizing the long-term well-being through effort and social feeling state distribution (mean-field) will help to stabilize marriage. However, if the cost of effort is very high, the couple fluctuates in a bad feeling state or the marriage breaks down. We then examine the influence of society on a couple using mean-field sentimental games. We show that, in mean-field equilibrium, the optimal effort is always higher than the one-shot optimal effort. We illustrate numerically the influence of the couple\\'s network on their feeling states and their well-being. © 2014 Bauso et al.
Mean field approach to nuclear structure
International Nuclear Information System (INIS)
Nazarewicz, W.; Tennessee Univ., Knoxville, TN
1993-01-01
Several examples of mean-field calculations, relevant to the recent and planned low-spin experimental works, are presented. The perspectives for future studies (mainly related to spectroscopy of exotic nuclei) are reviewd
Weakly coupled mean-field game systems
Gomes, Diogo A.; Patrizi, Stefania
2016-01-01
Here, we prove the existence of solutions to first-order mean-field games (MFGs) arising in optimal switching. First, we use the penalization method to construct approximate solutions. Then, we prove uniform estimates for the penalized problem
Bauso, Dario; Dia, Ben Mansour; Djehiche, Boualem; Tembine, Hamidou; Tempone, Raul
2014-01-01
This article examines mean-field games for marriage. The results support the argument that optimizing the long-term well-being through effort and social feeling state distribution (mean-field) will help to stabilize marriage. However, if the cost of effort is very high, the couple fluctuates in a bad feeling state or the marriage breaks down. We then examine the influence of society on a couple using mean-field sentimental games. We show that, in mean-field equilibrium, the optimal effort is always higher than the one-shot optimal effort. We illustrate numerically the influence of the couple’s network on their feeling states and their well-being. PMID:24804835
Bauso, Dario; Dia, Ben Mansour; Djehiche, Boualem; Tembine, Hamidou; Tempone, Raul
2014-01-01
This article examines mean-field games for marriage. The results support the argument that optimizing the long-term well-being through effort and social feeling state distribution (mean-field) will help to stabilize marriage. However, if the cost of effort is very high, the couple fluctuates in a bad feeling state or the marriage breaks down. We then examine the influence of society on a couple using mean-field sentimental games. We show that, in mean-field equilibrium, the optimal effort is always higher than the one-shot optimal effort. We illustrate numerically the influence of the couple's network on their feeling states and their well-being. © 2014 Bauso et al.
Mean-field games for marriage.
Directory of Open Access Journals (Sweden)
Dario Bauso
Full Text Available This article examines mean-field games for marriage. The results support the argument that optimizing the long-term well-being through effort and social feeling state distribution (mean-field will help to stabilize marriage. However, if the cost of effort is very high, the couple fluctuates in a bad feeling state or the marriage breaks down. We then examine the influence of society on a couple using mean-field sentimental games. We show that, in mean-field equilibrium, the optimal effort is always higher than the one-shot optimal effort. We illustrate numerically the influence of the couple's network on their feeling states and their well-being.
Stochastic modelling of two-phase flows including phase change
International Nuclear Information System (INIS)
Hurisse, O.; Minier, J.P.
2011-01-01
Stochastic modelling has already been developed and applied for single-phase flows and incompressible two-phase flows. In this article, we propose an extension of this modelling approach to two-phase flows including phase change (e.g. for steam-water flows). Two aspects are emphasised: a stochastic model accounting for phase transition and a modelling constraint which arises from volume conservation. To illustrate the whole approach, some remarks are eventually proposed for two-fluid models. (authors)
Survival Analysis of a Nonautonomous Logistic Model with Stochastic Perturbation
Directory of Open Access Journals (Sweden)
Chun Lu
2012-01-01
Full Text Available Taking white noise into account, a stochastic nonautonomous logistic model is proposed and investigated. Sufficient conditions for extinction, nonpersistence in the mean, weak persistence, stochastic permanence, and global asymptotic stability are established. Moreover, the threshold between weak persistence and extinction is obtained. Finally, we introduce some numerical simulink graphics to illustrate our main results.
On the small-time behavior of stochastic logistic models
Directory of Open Access Journals (Sweden)
Dung Tien Nguyen
2017-09-01
Full Text Available In this paper we investigate the small-time behaviors of the solution to a stochastic logistic model. The obtained results allow us to estimate the number of individuals in the population and can be used to study stochastic prey-predator systems.
Analysis and reconstruction of stochastic coupled map lattice models
International Nuclear Information System (INIS)
Coca, Daniel; Billings, Stephen A.
2003-01-01
The Letter introduces a general stochastic coupled lattice map model together with an algorithm to estimate the nodal equations involved based only on a small set of observable variables and in the presence of stochastic perturbations. More general forms of the Frobenius-Perron and the transfer operators, which describe the evolution of densities under the action of the CML transformation, are derived
A probabilistic graphical model based stochastic input model construction
International Nuclear Information System (INIS)
Wan, Jiang; Zabaras, Nicholas
2014-01-01
Model reduction techniques have been widely used in modeling of high-dimensional stochastic input in uncertainty quantification tasks. However, the probabilistic modeling of random variables projected into reduced-order spaces presents a number of computational challenges. Due to the curse of dimensionality, the underlying dependence relationships between these random variables are difficult to capture. In this work, a probabilistic graphical model based approach is employed to learn the dependence by running a number of conditional independence tests using observation data. Thus a probabilistic model of the joint PDF is obtained and the PDF is factorized into a set of conditional distributions based on the dependence structure of the variables. The estimation of the joint PDF from data is then transformed to estimating conditional distributions under reduced dimensions. To improve the computational efficiency, a polynomial chaos expansion is further applied to represent the random field in terms of a set of standard random variables. This technique is combined with both linear and nonlinear model reduction methods. Numerical examples are presented to demonstrate the accuracy and efficiency of the probabilistic graphical model based stochastic input models. - Highlights: • Data-driven stochastic input models without the assumption of independence of the reduced random variables. • The problem is transformed to a Bayesian network structure learning problem. • Examples are given in flows in random media
Deterministic Mean-Field Ensemble Kalman Filtering
Law, Kody
2016-05-03
The proof of convergence of the standard ensemble Kalman filter (EnKF) from Le Gland, Monbet, and Tran [Large sample asymptotics for the ensemble Kalman filter, in The Oxford Handbook of Nonlinear Filtering, Oxford University Press, Oxford, UK, 2011, pp. 598--631] is extended to non-Gaussian state-space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence k between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for dimension d<2k. The fidelity of approximation of the true distribution is also established using an extension of the total variation metric to random measures. This is limited by a Gaussian bias term arising from nonlinearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.
Mean-field approach to unconventional superconductivity
International Nuclear Information System (INIS)
Sacks, William; Mauger, Alain; Noat, Yves
2014-01-01
Highlights: • A model Hamiltonian for unconventional superconductivity (SC) is proposed. • The pseudogap (PG) state is described in terms of pair fluctuations. • SC coherence is restored by a new pair–pair interaction, which counteracts fluctuations. • Given the temperature dependence of the parameters, the SC to PG transition is examined. • The theory fits the ‘peak–dip–hump’ features of cuprate and pnictide excitation spectra. - Abstract: We propose a model that connects the quasiparticle spectral function of high-T c superconductors to the condensation energy. Given the evidence for pair correlations above T c , we consider a coarse-grain Hamiltonian of fluctuating pairs describing the incoherent pseudogap (PG) state, together with a novel pair–pair interaction term that restores long-range superconducting (SC) coherence below T c . A mean-field solution then leads to a self-consistent gap equation containing the new pair–pair coupling. The corresponding spectral function A(k,E) reveals the characteristic peak–dip–hump features of cuprates, now observed on iron pnictides (LiFeAs). The continuous transition from SC to PG states is discussed
Deterministic Mean-Field Ensemble Kalman Filtering
Law, Kody; Tembine, Hamidou; Tempone, Raul
2016-01-01
The proof of convergence of the standard ensemble Kalman filter (EnKF) from Le Gland, Monbet, and Tran [Large sample asymptotics for the ensemble Kalman filter, in The Oxford Handbook of Nonlinear Filtering, Oxford University Press, Oxford, UK, 2011, pp. 598--631] is extended to non-Gaussian state-space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence k between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for dimension d<2k. The fidelity of approximation of the true distribution is also established using an extension of the total variation metric to random measures. This is limited by a Gaussian bias term arising from nonlinearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.
Stochastic modeling of virus capsid assembly pathways
Schwartz, Russell
2009-03-01
Virus capsids have become a key model system for understanding self-assembly due to their high complexity, robust and efficient assembly processes, and experimental tractability. Our ability to directly examine and manipulate capsid assembly kinetics in detail nonetheless remains limited, creating a need for computer models that can infer experimentally inaccessible features of the assembly process and explore the effects of hypothetical manipulations on assembly trajectories. We have developed novel algorithms for stochastic simulation of capsid assembly [1,2] that allow us to model capsid assembly over broad parameter spaces [3]. We apply these methods to study the nature of assembly pathway control in virus capsids as well as their sensitivity to assembly conditions and possible experimental interventions. [4pt] [1] F. Jamalyaria, R. Rohlfs, and R. Schwartz. J Comp Phys 204, 100 (2005). [0pt] [2] N. Misra and R. Schwartz. J Chem Phys 129, in press (2008). [0pt] [3] B. Sweeney, T. Zhang, and R. Schwartz. Biophys J 94, 772 (2008).
Systematic parameter inference in stochastic mesoscopic modeling
Energy Technology Data Exchange (ETDEWEB)
Lei, Huan; Yang, Xiu [Pacific Northwest National Laboratory, Richland, WA 99352 (United States); Li, Zhen [Division of Applied Mathematics, Brown University, Providence, RI 02912 (United States); Karniadakis, George Em, E-mail: george_karniadakis@brown.edu [Division of Applied Mathematics, Brown University, Providence, RI 02912 (United States)
2017-02-01
We propose a method to efficiently determine the optimal coarse-grained force field in mesoscopic stochastic simulations of Newtonian fluid and polymer melt systems modeled by dissipative particle dynamics (DPD) and energy conserving dissipative particle dynamics (eDPD). The response surfaces of various target properties (viscosity, diffusivity, pressure, etc.) with respect to model parameters are constructed based on the generalized polynomial chaos (gPC) expansion using simulation results on sampling points (e.g., individual parameter sets). To alleviate the computational cost to evaluate the target properties, we employ the compressive sensing method to compute the coefficients of the dominant gPC terms given the prior knowledge that the coefficients are “sparse”. The proposed method shows comparable accuracy with the standard probabilistic collocation method (PCM) while it imposes a much weaker restriction on the number of the simulation samples especially for systems with high dimensional parametric space. Fully access to the response surfaces within the confidence range enables us to infer the optimal force parameters given the desirable values of target properties at the macroscopic scale. Moreover, it enables us to investigate the intrinsic relationship between the model parameters, identify possible degeneracies in the parameter space, and optimize the model by eliminating model redundancies. The proposed method provides an efficient alternative approach for constructing mesoscopic models by inferring model parameters to recover target properties of the physics systems (e.g., from experimental measurements), where those force field parameters and formulation cannot be derived from the microscopic level in a straight forward way.
International Nuclear Information System (INIS)
Schwen, E M; Mazilu, I; Mazilu, D A
2015-01-01
We introduce a stochastic cooperative model for particle deposition and evaporation relevant to ionic self-assembly of nanoparticles with applications in surface fabrication and nanomedicine, and present a method for mapping our model onto the Ising model. The mapping process allows us to use the established results for the Ising model to describe the steady-state properties of our system. After completing the mapping process, we investigate the time dependence of particle density using the mean field approximation. We complement this theoretical analysis with Monte Carlo simulations that support our model. These techniques, which can be used separately or in combination, are useful as pedagogical tools because they are tractable mathematically and they apply equally well to many other physical systems with nearest-neighbour interactions including voter and epidemic models. (paper)
Nonperturbative stochastic method for driven spin-boson model
Orth, Peter P.; Imambekov, Adilet; Le Hur, Karyn
2013-01-01
We introduce and apply a numerically exact method for investigating the real-time dissipative dynamics of quantum impurities embedded in a macroscopic environment beyond the weak-coupling limit. We focus on the spin-boson Hamiltonian that describes a two-level system interacting with a bosonic bath of harmonic oscillators. This model is archetypal for investigating dissipation in quantum systems, and tunable experimental realizations exist in mesoscopic and cold-atom systems. It finds abundant applications in physics ranging from the study of decoherence in quantum computing and quantum optics to extended dynamical mean-field theory. Starting from the real-time Feynman-Vernon path integral, we derive an exact stochastic Schrödinger equation that allows us to compute the full spin density matrix and spin-spin correlation functions beyond weak coupling. We greatly extend our earlier work [P. P. Orth, A. Imambekov, and K. Le Hur, Phys. Rev. APLRAAN1050-294710.1103/PhysRevA.82.032118 82, 032118 (2010)] by fleshing out the core concepts of the method and by presenting a number of interesting applications. Methodologically, we present an analogy between the dissipative dynamics of a quantum spin and that of a classical spin in a random magnetic field. This analogy is used to recover the well-known noninteracting-blip approximation in the weak-coupling limit. We explain in detail how to compute spin-spin autocorrelation functions. As interesting applications of our method, we explore the non-Markovian effects of the initial spin-bath preparation on the dynamics of the coherence σx(t) and of σz(t) under a Landau-Zener sweep of the bias field. We also compute to a high precision the asymptotic long-time dynamics of σz(t) without bias and demonstrate the wide applicability of our approach by calculating the spin dynamics at nonzero bias and different temperatures.
A hierarchical stochastic model for bistable perception.
Directory of Open Access Journals (Sweden)
Stefan Albert
2017-11-01
Full Text Available Viewing of ambiguous stimuli can lead to bistable perception alternating between the possible percepts. During continuous presentation of ambiguous stimuli, percept changes occur as single events, whereas during intermittent presentation of ambiguous stimuli, percept changes occur at more or less regular intervals either as single events or bursts. Response patterns can be highly variable and have been reported to show systematic differences between patients with schizophrenia and healthy controls. Existing models of bistable perception often use detailed assumptions and large parameter sets which make parameter estimation challenging. Here we propose a parsimonious stochastic model that provides a link between empirical data analysis of the observed response patterns and detailed models of underlying neuronal processes. Firstly, we use a Hidden Markov Model (HMM for the times between percept changes, which assumes one single state in continuous presentation and a stable and an unstable state in intermittent presentation. The HMM captures the observed differences between patients with schizophrenia and healthy controls, but remains descriptive. Therefore, we secondly propose a hierarchical Brownian model (HBM, which produces similar response patterns but also provides a relation to potential underlying mechanisms. The main idea is that neuronal activity is described as an activity difference between two competing neuronal populations reflected in Brownian motions with drift. This differential activity generates switching between the two conflicting percepts and between stable and unstable states with similar mechanisms on different neuronal levels. With only a small number of parameters, the HBM can be fitted closely to a high variety of response patterns and captures group differences between healthy controls and patients with schizophrenia. At the same time, it provides a link to mechanistic models of bistable perception, linking the group
A hierarchical stochastic model for bistable perception.
Albert, Stefan; Schmack, Katharina; Sterzer, Philipp; Schneider, Gaby
2017-11-01
Viewing of ambiguous stimuli can lead to bistable perception alternating between the possible percepts. During continuous presentation of ambiguous stimuli, percept changes occur as single events, whereas during intermittent presentation of ambiguous stimuli, percept changes occur at more or less regular intervals either as single events or bursts. Response patterns can be highly variable and have been reported to show systematic differences between patients with schizophrenia and healthy controls. Existing models of bistable perception often use detailed assumptions and large parameter sets which make parameter estimation challenging. Here we propose a parsimonious stochastic model that provides a link between empirical data analysis of the observed response patterns and detailed models of underlying neuronal processes. Firstly, we use a Hidden Markov Model (HMM) for the times between percept changes, which assumes one single state in continuous presentation and a stable and an unstable state in intermittent presentation. The HMM captures the observed differences between patients with schizophrenia and healthy controls, but remains descriptive. Therefore, we secondly propose a hierarchical Brownian model (HBM), which produces similar response patterns but also provides a relation to potential underlying mechanisms. The main idea is that neuronal activity is described as an activity difference between two competing neuronal populations reflected in Brownian motions with drift. This differential activity generates switching between the two conflicting percepts and between stable and unstable states with similar mechanisms on different neuronal levels. With only a small number of parameters, the HBM can be fitted closely to a high variety of response patterns and captures group differences between healthy controls and patients with schizophrenia. At the same time, it provides a link to mechanistic models of bistable perception, linking the group differences to
International Nuclear Information System (INIS)
Romanovsky, E.A.; Bespalova, O.V.; Goncharov, S.A.; Pleshkov, D.V.; Spasskaya, T.I.
2000-01-01
Data on the scattering of protons with energies 5 MeV 90 Zr nuclei and data on the energies of proton particle and hole levels in the A + 1 and A - 1 systems with A = 90 are analyzed within the dispersive optical model. The parameters of the mean proton field for 90 Zr are determined in the energy range -60 MeV 3 He), ( 3 He, d), (n, d), and (d, n) reactions for levels near the Fermi surface and in (e, e'p) and (p, 2p) reactions for deep levels
Stochastic Wilson–Cowan models of neuronal network dynamics with memory and delay
International Nuclear Information System (INIS)
Goychuk, Igor; Goychuk, Andriy
2015-01-01
We consider a simple Markovian class of the stochastic Wilson–Cowan type models of neuronal network dynamics, which incorporates stochastic delay caused by the existence of a refractory period of neurons. From the point of view of the dynamics of the individual elements, we are dealing with a network of non-Markovian stochastic two-state oscillators with memory, which are coupled globally in a mean-field fashion. This interrelation of a higher-dimensional Markovian and lower-dimensional non-Markovian dynamics is discussed in its relevance to the general problem of the network dynamics of complex elements possessing memory. The simplest model of this class is provided by a three-state Markovian neuron with one refractory state, which causes firing delay with an exponentially decaying memory within the two-state reduced model. This basic model is used to study critical avalanche dynamics (the noise sustained criticality) in a balanced feedforward network consisting of the excitatory and inhibitory neurons. Such avalanches emerge due to the network size dependent noise (mesoscopic noise). Numerical simulations reveal an intermediate power law in the distribution of avalanche sizes with the critical exponent around −1.16. We show that this power law is robust upon a variation of the refractory time over several orders of magnitude. However, the avalanche time distribution is biexponential. It does not reflect any genuine power law dependence. (paper)
Stochastic modeling of wetland-groundwater systems
Bertassello, Leonardo Enrico; Rao, P. Suresh C.; Park, Jeryang; Jawitz, James W.; Botter, Gianluca
2018-02-01
Modeling and data analyses were used in this study to examine the temporal hydrological variability in geographically isolated wetlands (GIWs), as influenced by hydrologic connectivity to shallow groundwater, wetland bathymetry, and subject to stochastic hydro-climatic forcing. We examined the general case of GIWs coupled to shallow groundwater through exfiltration or infiltration across wetland bottom. We also examined limiting case with the wetland stage as the local expression of the shallow groundwater. We derive analytical expressions for the steady-state probability density functions (pdfs) for wetland water storage and stage using few, scaled, physically-based parameters. In addition, we analyze the hydrologic crossing time properties of wetland stage, and the dependence of the mean hydroperiod on climatic and wetland morphologic attributes. Our analyses show that it is crucial to account for shallow groundwater connectivity to fully understand the hydrologic dynamics in wetlands. The application of the model to two different case studies in Florida, jointly with a detailed sensitivity analysis, allowed us to identify the main drivers of hydrologic dynamics in GIWs under different climate and morphologic conditions.
Reversibility in Quantum Models of Stochastic Processes
Gier, David; Crutchfield, James; Mahoney, John; James, Ryan
Natural phenomena such as time series of neural firing, orientation of layers in crystal stacking and successive measurements in spin-systems are inherently probabilistic. The provably minimal classical models of such stochastic processes are ɛ-machines, which consist of internal states, transition probabilities between states and output values. The topological properties of the ɛ-machine for a given process characterize the structure, memory and patterns of that process. However ɛ-machines are often not ideal because their statistical complexity (Cμ) is demonstrably greater than the excess entropy (E) of the processes they represent. Quantum models (q-machines) of the same processes can do better in that their statistical complexity (Cq) obeys the relation Cμ >= Cq >= E. q-machines can be constructed to consider longer lengths of strings, resulting in greater compression. With code-words of sufficiently long length, the statistical complexity becomes time-symmetric - a feature apparently novel to this quantum representation. This result has ramifications for compression of classical information in quantum computing and quantum communication technology.
Roberto Viana, J.; Rodriguez Salmon, Octavio D.; Neto, Minos A.; Carvalho, Diego C.
2018-02-01
A new approximation technique is developed so as to study the quantum ferromagnetic spin-1 Blume-Capel model in the presence of a transverse crystal field in the square lattice. Our proposal consists of approaching the spin system by considering islands of finite clusters whose frontiers are surrounded by noninteracting spins that are treated by the effective-field theory. The resulting phase diagram is qualitatively correct, in contrast to most effective-field treatments, in which the first-order line exhibits spurious behavior by not being perpendicular to the anisotropy axis at low-temperatures. The effect of the transverse anisotropy is also verified by the presence of quantum phase transitions. The possibility of using larger sizes constitutes an advantage to other approaches where the implementation of larger sizes is computationally costly.
Instabilities constraint and relativistic mean field parametrization
International Nuclear Information System (INIS)
Sulaksono, A.; Kasmudin; Buervenich, T.J.; Reinhard, P.-G.; Maruhn, J.A.
2011-01-01
Two parameter sets (Set 1 and Set 2) of the standard relativistic mean field (RMF) model plus additional vector isoscalar nonlinear term, which are constrained by a set of criteria 20 determined by symmetric nuclear matter stabilities at high densities due to longitudinal and transversal particle–hole excitation modes are investigated. In the latter parameter set, δ meson and isoscalar as well as isovector tensor contributions are included. The effects in selected finite nuclei and nuclear matter properties predicted by both parameter sets are systematically studied and compared with the ones predicted by well-known RMF parameter sets. The vector isoscalar nonlinear term addition and instability constraints have reasonably good effects in the high-density properties of the isoscalar sector of nuclear matter and certain finite nuclei properties. However, even though the δ meson and isovector tensor are included, the incompatibility with the constraints from some experimental data in certain nuclear properties at saturation point and the excessive stiffness of the isovector nuclear matter equation of state at high densities as well as the incorrect isotonic trend in binding the energies of finite nuclei are still encountered. It is shown that the problem may be remedied if we introduce additional nonlinear terms not only in the isovector but also in the isoscalar vectors. (author)
Uncertainty modelling of atmospheric dispersion by stochastic ...
Indian Academy of Sciences (India)
by stochastic response surface method under aleatory ... 3Health Physics Division, Bhabha Atomic Research Centre, Mumbai 400 085, India e-mail: ...... Brandimarte P 2011 Quantitative methods: An introduction for business management.
Mean fields and self consistent normal ordering of lattice spin and gauge field theories
International Nuclear Information System (INIS)
Ruehl, W.
1986-01-01
Classical Heisenberg spin models on lattices possess mean field theories that are well defined real field theories on finite lattices. These mean field theories can be self consistently normal ordered. This leads to a considerable improvement over standard mean field theory. This concept is carried over to lattice gauge theories. We construct first an appropriate real mean field theory. The equations determining the Gaussian kernel necessary for self-consistent normal ordering of this mean field theory are derived. (orig.)
Stochastic models for predicting environmental impact in aquatic ecosystems
International Nuclear Information System (INIS)
Stewart-Oaten, A.
1986-01-01
The purpose of stochastic predictions are discussed in relation to the environmental impacts of nuclear power plants on aquatic ecosystems. One purpose is to aid in making rational decisions about whether a power plant should be built, where, and how it should be designed. The other purpose is to check on the models themselves in the light of what eventually happens. The author discusses the role or statistical decision theory in the decision-making problem. Various types of stochastic models and their problems are presented. In addition some suggestions are made for generating usable stochastic models, and checking and improving on them. 12 references
Stochastic Watershed Models for Risk Based Decision Making
Vogel, R. M.
2017-12-01
Over half a century ago, the Harvard Water Program introduced the field of operational or synthetic hydrology providing stochastic streamflow models (SSMs), which could generate ensembles of synthetic streamflow traces useful for hydrologic risk management. The application of SSMs, based on streamflow observations alone, revolutionized water resources planning activities, yet has fallen out of favor due, in part, to their inability to account for the now nearly ubiquitous anthropogenic influences on streamflow. This commentary advances the modern equivalent of SSMs, termed `stochastic watershed models' (SWMs) useful as input to nearly all modern risk based water resource decision making approaches. SWMs are deterministic watershed models implemented using stochastic meteorological series, model parameters and model errors, to generate ensembles of streamflow traces that represent the variability in possible future streamflows. SWMs combine deterministic watershed models, which are ideally suited to accounting for anthropogenic influences, with recent developments in uncertainty analysis and principles of stochastic simulation
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.
Modeling stochasticity and robustness in gene regulatory networks.
Garg, Abhishek; Mohanram, Kartik; Di Cara, Alessandro; De Micheli, Giovanni; Xenarios, Ioannis
2009-06-15
Understanding gene regulation in biological processes and modeling the robustness of underlying regulatory networks is an important problem that is currently being addressed by computational systems biologists. Lately, there has been a renewed interest in Boolean modeling techniques for gene regulatory networks (GRNs). However, due to their deterministic nature, it is often difficult to identify whether these modeling approaches are robust to the addition of stochastic noise that is widespread in gene regulatory processes. Stochasticity in Boolean models of GRNs has been addressed relatively sparingly in the past, mainly by flipping the expression of genes between different expression levels with a predefined probability. This stochasticity in nodes (SIN) model leads to over representation of noise in GRNs and hence non-correspondence with biological observations. In this article, we introduce the stochasticity in functions (SIF) model for simulating stochasticity in Boolean models of GRNs. By providing biological motivation behind the use of the SIF model and applying it to the T-helper and T-cell activation networks, we show that the SIF model provides more biologically robust results than the existing SIN model of stochasticity in GRNs. Algorithms are made available under our Boolean modeling toolbox, GenYsis. The software binaries can be downloaded from http://si2.epfl.ch/ approximately garg/genysis.html.
On changes of measure in stochastic volatility models
Directory of Open Access Journals (Sweden)
Bernard Wong
2006-01-01
models. This had led many researchers to “assume the condition away,” even though the condition is not innocuous, and nonsensical results can occur if it is in fact not satisfied. We provide an applicable theorem to check the conditions for a general class of Markovian stochastic volatility models. As an example we will also provide a detailed analysis of the Stein and Stein and Heston stochastic volatility models.
Fitting PAC spectra with stochastic models: PolyPacFit
Energy Technology Data Exchange (ETDEWEB)
Zacate, M. O., E-mail: zacatem1@nku.edu [Northern Kentucky University, Department of Physics and Geology (United States); Evenson, W. E. [Utah Valley University, College of Science and Health (United States); Newhouse, R.; Collins, G. S. [Washington State University, Department of Physics and Astronomy (United States)
2010-04-15
PolyPacFit is an advanced fitting program for time-differential perturbed angular correlation (PAC) spectroscopy. It incorporates stochastic models and provides robust options for customization of fits. Notable features of the program include platform independence and support for (1) fits to stochastic models of hyperfine interactions, (2) user-defined constraints among model parameters, (3) fits to multiple spectra simultaneously, and (4) any spin nuclear probe.
Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
Jiang, G.J.; van der Sluis, P.J.
2000-01-01
This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate the
Markov Chain Models for the Stochastic Modeling of Pitting Corrosion
Directory of Open Access Journals (Sweden)
A. Valor
2013-01-01
Full Text Available The stochastic nature of pitting corrosion of metallic structures has been widely recognized. It is assumed that this kind of deterioration retains no memory of the past, so only the current state of the damage influences its future development. This characteristic allows pitting corrosion to be categorized as a Markov process. In this paper, two different models of pitting corrosion, developed using Markov chains, are presented. Firstly, a continuous-time, nonhomogeneous linear growth (pure birth Markov process is used to model external pitting corrosion in underground pipelines. A closed-form solution of the system of Kolmogorov's forward equations is used to describe the transition probability function in a discrete pit depth space. The transition probability function is identified by correlating the stochastic pit depth mean with the empirical deterministic mean. In the second model, the distribution of maximum pit depths in a pitting experiment is successfully modeled after the combination of two stochastic processes: pit initiation and pit growth. Pit generation is modeled as a nonhomogeneous Poisson process, in which induction time is simulated as the realization of a Weibull process. Pit growth is simulated using a nonhomogeneous Markov process. An analytical solution of Kolmogorov's system of equations is also found for the transition probabilities from the first Markov state. Extreme value statistics is employed to find the distribution of maximum pit depths.
Some Remarks on Stochastic Versions of the Ramsey Growth Model
Czech Academy of Sciences Publication Activity Database
Sladký, Karel
2012-01-01
Roč. 19, č. 29 (2012), s. 139-152 ISSN 1212-074X R&D Projects: GA ČR GAP402/10/1610; GA ČR GAP402/10/0956; GA ČR GAP402/11/0150 Institutional support: RVO:67985556 Keywords : Economic dynamics * Ramsey growth model with disturbance * stochastic dynamic programming * multistage stochastic programs Subject RIV: BB - Applied Statistics, Operational Research http://library.utia.cas.cz/separaty/2013/E/sladky-some remarks on stochastic versions of the ramsey growth model.pdf
Stochastic Modeling and Analysis of Power System with Renewable Generation
DEFF Research Database (Denmark)
Chen, Peiyuan
Unlike traditional fossil-fuel based power generation, renewable generation such as wind power relies on uncontrollable prime sources such as wind speed. Wind speed varies stochastically, which to a large extent determines the stochastic behavior of power generation from wind farms...... that such a stochastic model can be used to simulate the effect of load management on the load duration curve. As CHP units are turned on and off by regulating power, CHP generation has discrete output and thus can be modeled by a transition matrix based discrete Markov chain. As the CHP generation has a strong diurnal...
Mean-field magnetohydrodynamics and dynamo theory
Krause, F
2013-01-01
Mean-Field Magnetohydrodynamics and Dynamo Theory provides a systematic introduction to mean-field magnetohydrodynamics and the dynamo theory, along with the results achieved. Topics covered include turbulence and large-scale structures; general properties of the turbulent electromotive force; homogeneity, isotropy, and mirror symmetry of turbulent fields; and turbulent electromotive force in the case of non-vanishing mean flow. The turbulent electromotive force in the case of rotational mean motion is also considered. This book is comprised of 17 chapters and opens with an overview of the gen
Obstacle mean-field game problem
Gomes, Diogo A.; Patrizi, Stefania
2015-01-01
In this paper, we introduce and study a first-order mean-field game obstacle problem. We examine the case of local dependence on the measure under assumptions that include both the logarithmic case and power-like nonlinearities. Since the obstacle operator is not differentiable, the equations for first-order mean field game problems have to be discussed carefully. Hence, we begin by considering a penalized problem. We prove this problem admits a unique solution satisfying uniform bounds. These bounds serve to pass to the limit in the penalized problem and to characterize the limiting equations. Finally, we prove uniqueness of solutions. © European Mathematical Society 2015.
Stochastic models for predicting pitting corrosion damage of HLRW containers
International Nuclear Information System (INIS)
Henshall, G.A.
1991-10-01
Stochastic models for predicting aqueous pitting corrosion damage of high-level radioactive-waste containers are described. These models could be used to predict the time required for the first pit to penetrate a container and the increase in the number of breaches at later times, both of which would be useful in the repository system performance analysis. Monte Carlo implementations of the stochastic models are described, and predictions of induction time, survival probability and pit depth distributions are presented. These results suggest that the pit nucleation probability decreases with exposure time and that pit growth may be a stochastic process. The advantages and disadvantages of the stochastic approach, methods for modeling the effects of environment, and plans for future work are discussed
Markov Chain Models for the Stochastic Modeling of Pitting Corrosion
Valor, A.; Caleyo, F.; Alfonso, L.; Velázquez, J. C.; Hallen, J. M.
2013-01-01
The stochastic nature of pitting corrosion of metallic structures has been widely recognized. It is assumed that this kind of deterioration retains no memory of the past, so only the current state of the damage influences its future development. This characteristic allows pitting corrosion to be categorized as a Markov process. In this paper, two different models of pitting corrosion, developed using Markov chains, are presented. Firstly, a continuous-time, nonhomogeneous linear growth (pure ...
Stochastic Modelling of Shiroro River Stream flow Process
Musa, J. J
2013-01-01
Economists, social scientists and engineers provide insights into the drivers of anthropogenic climate change and the options for adaptation and mitigation, and yet other scientists, including geographers and biologists, study the impacts of climate change. This project concentrates mainly on the discharge from the Shiroro River. A stochastic approach is presented for modeling a time series by an Autoregressive Moving Average model (ARMA). The development and use of a stochastic stream flow m...
Stochastic higher spin six vertex model and Macdonald measures
Borodin, Alexei
2018-02-01
We prove an identity that relates the q-Laplace transform of the height function of a (higher spin inhomogeneous) stochastic six vertex model in a quadrant on one side and a multiplicative functional of a Macdonald measure on the other. The identity is used to prove the GUE Tracy-Widom asymptotics for two instances of the stochastic six vertex model via asymptotic analysis of the corresponding Schur measures.
Computational stochastic model of ions implantation
Energy Technology Data Exchange (ETDEWEB)
Zmievskaya, Galina I., E-mail: zmi@gmail.ru; Bondareva, Anna L., E-mail: bal310775@yandex.ru [M.V. Keldysh Institute of Applied Mathematics RAS, 4,Miusskaya sq., 125047 Moscow (Russian Federation); Levchenko, Tatiana V., E-mail: tatlevchenko@mail.ru [VNII Geosystem Russian Federal Center, Varshavskoye roadway, 8, Moscow (Russian Federation); Maino, Giuseppe, E-mail: giuseppe.maino@enea.it [Scuola di Lettere e BeniCulturali, University di Bologna, sede di Ravenna, via Mariani 5, 48100 Ravenna (Italy)
2015-03-10
Implantation flux ions into crystal leads to phase transition /PT/ 1-st kind. Damaging lattice is associated with processes clustering vacancies and gaseous bubbles as well their brownian motion. System of stochastic differential equations /SDEs/ Ito for evolution stochastic dynamical variables corresponds to the superposition Wiener processes. The kinetic equations in partial derivatives /KE/, Kolmogorov-Feller and Einstein-Smolukhovskii, were formulated for nucleation into lattice of weakly soluble gases. According theory, coefficients of stochastic and kinetic equations uniquely related. Radiation stimulated phase transition are characterized by kinetic distribution functions /DFs/ of implanted clusters versus their sizes and depth of gas penetration into lattice. Macroscopic parameters of kinetics such as the porosity and stress calculated in thin layers metal/dielectric due to Xe{sup ++} irradiation are attracted as example. Predictions of porosity, important for validation accumulation stresses in surfaces, can be applied at restoring of objects the cultural heritage.
A regularized stationary mean-field game
Yang, Xianjin
2016-01-01
In the thesis, we discuss the existence and numerical approximations of solutions of a regularized mean-field game with a low-order regularization. In the first part, we prove a priori estimates and use the continuation method to obtain the existence of a solution with a positive density. Finally, we introduce the monotone flow method and solve the system numerically.
A regularized stationary mean-field game
Yang, Xianjin
2016-04-19
In the thesis, we discuss the existence and numerical approximations of solutions of a regularized mean-field game with a low-order regularization. In the first part, we prove a priori estimates and use the continuation method to obtain the existence of a solution with a positive density. Finally, we introduce the monotone flow method and solve the system numerically.
Weakly coupled mean-field game systems
Gomes, Diogo A.
2016-07-14
Here, we prove the existence of solutions to first-order mean-field games (MFGs) arising in optimal switching. First, we use the penalization method to construct approximate solutions. Then, we prove uniform estimates for the penalized problem. Finally, by a limiting procedure, we obtain solutions to the MFG problem. © 2016 Elsevier Ltd
International Nuclear Information System (INIS)
Guerra, E.M. de
2001-01-01
In these talks, we review non relativistic selfconsistent mean field theories, their scope and limitations. We first discuss static and time dependent mean field approaches for particles and quasiparticles, together with applications. We then discuss extensions that go beyond the non-relativistic independent particle limit. On the one hand, we consider extensions concerned with restoration of symmetries and with the treatment of collective modes, particularly by means of quantized ATDHF. On the other hand, we consider extensions concerned with the relativistic dynamics of bound nucleons. We present data on nucleon momentum distributions that show the need for relativistic mean field approach and probe the limits of the mean field concept. Illustrative applications of various methods are presented stressing the role that selfconsistency plays in providing a unifying reliable framework to study all sorts of properties and phenomena. From global properties such as size, mass, lifetime,.., to detailed structure in excitation spectra (high spin, RPA modes,..), as well as charge, magnetization and velocity distributions. (orig.)
Mean Field Type Control with Congestion
Energy Technology Data Exchange (ETDEWEB)
Achdou, Yves, E-mail: achdou@ljll.univ-paris-diderot.fr; Laurière, Mathieu [Univ. Paris Diderot, Sorbonne Paris Cité, Laboratoire Jacques-Louis Lions, UMR 7598, UPMC, CNRS (France)
2016-06-15
We analyze some systems of partial differential equations arising in the theory of mean field type control with congestion effects. We look for weak solutions. Our main result is the existence and uniqueness of suitably defined weak solutions, which are characterized as the optima of two optimal control problems in duality.
Composed particle model in stochastic electrodynamics
International Nuclear Information System (INIS)
Brunini, S.A.
1985-01-01
We analyse the statistical properties of the non-relativistic motion of a particle that has two constituents having finite nasses and charges. The main interaction is in contact with thermal and zero point radiation of Stochastic Electrodynamics. (M.W.O.) [pt
Chen, Jiamin; Luo, Xiaofeng; Liu, Feng; Nara, Yasushi
2018-01-01
We perform a systematic study of elliptic flow (v 2) in Au+Au collisions at \\sqrt{{s}NN}}=5 {GeV} by using a microscopic transport model, JAM. The centrality, pseudorapidity, transverse momentum and beam energy dependence of v 2 for charged as well as identified hadrons are studied. We investigate the effects of both the hadronic mean-field and the softening of equation of state (EoS) on elliptic flow. The softening of the EoS is realized by imposing attractive orbits in two body scattering, which can reduce the pressure of the system. We found that the softening of the EoS leads to the enhancement of v 2, while the hadronic mean-field suppresses v 2 relative to the cascade mode. It indicates that elliptic flow at high baryon density regions is highly sensitive to the EoS and the enhancement of v 2 may probe the signature of a first-order phase transition in heavy-ion collisions at beam energies of a strong baryon stopping region. Supported by the MoST of China 973-Project (2015CB856901), NSFC (11575069, 11221504). Y. N. is supported by the Grants-in-Aid for Scientific Research from JSPS (15K05079, 15K05098)
General Relativistic Mean Field Theory for rotating nuclei
Energy Technology Data Exchange (ETDEWEB)
Madokoro, Hideki [Kyushu Univ., Fukuoka (Japan). Dept. of Physics; Matsuzaki, Masayuki
1998-03-01
The {sigma}-{omega} model Lagrangian is generalized to an accelerated frame by using the technique of general relativity which is known as tetrad formalism. We apply this model to the description of rotating nuclei within the mean field approximation, which we call General Relativistic Mean Field Theory (GRMFT) for rotating nuclei. The resulting equations of motion coincide with those of Munich group whose formulation was not based on the general relativistic transformation property of the spinor fields. Some numerical results are shown for the yrast states of the Mg isotopes and the superdeformed rotational bands in the A {approx} 60 mass region. (author)
Directory of Open Access Journals (Sweden)
Elston Timothy C
2004-03-01
Full Text Available Abstract Background Intrinsic fluctuations due to the stochastic nature of biochemical reactions can have large effects on the response of biochemical networks. This is particularly true for pathways that involve transcriptional regulation, where generally there are two copies of each gene and the number of messenger RNA (mRNA molecules can be small. Therefore, there is a need for computational tools for developing and investigating stochastic models of biochemical networks. Results We have developed the software package Biochemical Network Stochastic Simulator (BioNetS for efficientlyand accurately simulating stochastic models of biochemical networks. BioNetS has a graphical user interface that allows models to be entered in a straightforward manner, and allows the user to specify the type of random variable (discrete or continuous for each chemical species in the network. The discrete variables are simulated using an efficient implementation of the Gillespie algorithm. For the continuous random variables, BioNetS constructs and numerically solvesthe appropriate chemical Langevin equations. The software package has been developed to scale efficiently with network size, thereby allowing large systems to be studied. BioNetS runs as a BioSpice agent and can be downloaded from http://www.biospice.org. BioNetS also can be run as a stand alone package. All the required files are accessible from http://x.amath.unc.edu/BioNetS. Conclusions We have developed BioNetS to be a reliable tool for studying the stochastic dynamics of large biochemical networks. Important features of BioNetS are its ability to handle hybrid models that consist of both continuous and discrete random variables and its ability to model cell growth and division. We have verified the accuracy and efficiency of the numerical methods by considering several test systems.
Multivariate moment closure techniques for stochastic kinetic models
International Nuclear Information System (INIS)
Lakatos, Eszter; Ale, Angelique; Kirk, Paul D. W.; Stumpf, Michael P. H.
2015-01-01
Stochastic effects dominate many chemical and biochemical processes. Their analysis, however, can be computationally prohibitively expensive and a range of approximation schemes have been proposed to lighten the computational burden. These, notably the increasingly popular linear noise approximation and the more general moment expansion methods, perform well for many dynamical regimes, especially linear systems. At higher levels of nonlinearity, it comes to an interplay between the nonlinearities and the stochastic dynamics, which is much harder to capture correctly by such approximations to the true stochastic processes. Moment-closure approaches promise to address this problem by capturing higher-order terms of the temporally evolving probability distribution. Here, we develop a set of multivariate moment-closures that allows us to describe the stochastic dynamics of nonlinear systems. Multivariate closure captures the way that correlations between different molecular species, induced by the reaction dynamics, interact with stochastic effects. We use multivariate Gaussian, gamma, and lognormal closure and illustrate their use in the context of two models that have proved challenging to the previous attempts at approximating stochastic dynamics: oscillations in p53 and Hes1. In addition, we consider a larger system, Erk-mediated mitogen-activated protein kinases signalling, where conventional stochastic simulation approaches incur unacceptably high computational costs
Multivariate moment closure techniques for stochastic kinetic models
Energy Technology Data Exchange (ETDEWEB)
Lakatos, Eszter, E-mail: e.lakatos13@imperial.ac.uk; Ale, Angelique; Kirk, Paul D. W.; Stumpf, Michael P. H., E-mail: m.stumpf@imperial.ac.uk [Department of Life Sciences, Centre for Integrative Systems Biology and Bioinformatics, Imperial College London, London SW7 2AZ (United Kingdom)
2015-09-07
Stochastic effects dominate many chemical and biochemical processes. Their analysis, however, can be computationally prohibitively expensive and a range of approximation schemes have been proposed to lighten the computational burden. These, notably the increasingly popular linear noise approximation and the more general moment expansion methods, perform well for many dynamical regimes, especially linear systems. At higher levels of nonlinearity, it comes to an interplay between the nonlinearities and the stochastic dynamics, which is much harder to capture correctly by such approximations to the true stochastic processes. Moment-closure approaches promise to address this problem by capturing higher-order terms of the temporally evolving probability distribution. Here, we develop a set of multivariate moment-closures that allows us to describe the stochastic dynamics of nonlinear systems. Multivariate closure captures the way that correlations between different molecular species, induced by the reaction dynamics, interact with stochastic effects. We use multivariate Gaussian, gamma, and lognormal closure and illustrate their use in the context of two models that have proved challenging to the previous attempts at approximating stochastic dynamics: oscillations in p53 and Hes1. In addition, we consider a larger system, Erk-mediated mitogen-activated protein kinases signalling, where conventional stochastic simulation approaches incur unacceptably high computational costs.
Stochastic bifurcation in a model of love with colored noise
Yue, Xiaokui; Dai, Honghua; Yuan, Jianping
2015-07-01
In this paper, we wish to examine the stochastic bifurcation induced by multiplicative Gaussian colored noise in a dynamical model of love where the random factor is used to describe the complexity and unpredictability of psychological systems. First, the dynamics in deterministic love-triangle model are considered briefly including equilibrium points and their stability, chaotic behaviors and chaotic attractors. Then, the influences of Gaussian colored noise with different parameters are explored such as the phase plots, top Lyapunov exponents, stationary probability density function (PDF) and stochastic bifurcation. The stochastic P-bifurcation through a qualitative change of the stationary PDF will be observed and bifurcation diagram on parameter plane of correlation time and noise intensity is presented to find the bifurcation behaviors in detail. Finally, the top Lyapunov exponent is computed to determine the D-bifurcation when the noise intensity achieves to a critical value. By comparison, we find there is no connection between two kinds of stochastic bifurcation.
A complementarity model for solving stochastic natural gas market equilibria
International Nuclear Information System (INIS)
Zhuang Jifang; Gabriel, Steven A.
2008-01-01
This paper presents a stochastic equilibrium model for deregulated natural gas markets. Each market participant (pipeline operators, producers, etc.) solves a stochastic optimization problem whose optimality conditions, when combined with market-clearing conditions give rise to a certain mixed complementarity problem (MiCP). The stochastic aspects are depicted by a recourse problem for each player in which the first-stage decisions relate to long-term contracts and the second-stage decisions relate to spot market activities for three seasons. Besides showing that such a market model is an instance of a MiCP, we provide theoretical results concerning long-term and spot market prices and solve the resulting MiCP for a small yet representative market. We also note an interesting observation for the value of the stochastic solution for non-optimization problems
Tsunamis: stochastic models of occurrence and generation mechanisms
Geist, Eric L.; Oglesby, David D.
2014-01-01
The devastating consequences of the 2004 Indian Ocean and 2011 Japan tsunamis have led to increased research into many different aspects of the tsunami phenomenon. In this entry, we review research related to the observed complexity and uncertainty associated with tsunami generation, propagation, and occurrence described and analyzed using a variety of stochastic methods. In each case, seismogenic tsunamis are primarily considered. Stochastic models are developed from the physical theories that govern tsunami evolution combined with empirical models fitted to seismic and tsunami observations, as well as tsunami catalogs. These stochastic methods are key to providing probabilistic forecasts and hazard assessments for tsunamis. The stochastic methods described here are similar to those described for earthquakes (Vere-Jones 2013) and volcanoes (Bebbington 2013) in this encyclopedia.
A complementarity model for solving stochastic natural gas market equilibria
International Nuclear Information System (INIS)
Jifang Zhuang; Gabriel, S.A.
2008-01-01
This paper presents a stochastic equilibrium model for deregulated natural gas markets. Each market participant (pipeline operators, producers, etc.) solves a stochastic optimization problem whose optimality conditions, when combined with market-clearing conditions give rise to a certain mixed complementarity problem (MiCP). The stochastic aspects are depicted by a recourse problem for each player in which the first-stage decisions relate to long-term contracts and the second-stage decisions relate to spot market activities for three seasons. Besides showing that such a market model is an instance of a MiCP, we provide theoretical results concerning long-term and spot market prices and solve the resulting MiCP for a small yet representative market. We also note an interesting observation for the value of the stochastic solution for non-optimization problems. (author)
Parameter estimation in stochastic rainfall-runoff models
DEFF Research Database (Denmark)
Jonsdottir, Harpa; Madsen, Henrik; Palsson, Olafur Petur
2006-01-01
A parameter estimation method for stochastic rainfall-runoff models is presented. The model considered in the paper is a conceptual stochastic model, formulated in continuous-discrete state space form. The model is small and a fully automatic optimization is, therefore, possible for estimating all...... the parameter values are optimal for simulation or prediction. The data originates from Iceland and the model is designed for Icelandic conditions, including a snow routine for mountainous areas. The model demands only two input data series, precipitation and temperature and one output data series...
Analysis of dynamic regimes in stochastically forced Kaldor model
International Nuclear Information System (INIS)
Bashkirtseva, Irina; Ryazanova, Tatyana; Ryashko, Lev
2015-01-01
We consider the business cycle Kaldor model forced by random noise. Detailed parametric analysis of deterministic system is carried out and zones of coexisting stable equilibrium and stable limit cycle are found. Noise-induced transitions between these attractors are studied using stochastic sensitivity function technique and confidence domains method. Critical values of noise intensity corresponding to noise-induced transitions “equilibrium → cycle” and “cycle → equilibrium” are estimated. Dominants in combined stochastic regimes are discussed.
A stochastic analysis for a phytoplankton-zooplankton model
International Nuclear Information System (INIS)
Ge, G; Wang, H-L; Xu, J
2008-01-01
A simple phytoplankton-zooplankton nonlinear dynamical model was proposed to study the coexistence of all the species and a Hopf bifurcation was observed. In order to study the effect of environmental robustness on this system, we have stochastically perturbed the system with respect to white noise around its positive interior equilibrium. We have observed that the system remains stochastically stable around the positive equilibrium for same parametric values in the deterministic situation
Analysis of stochastic effects in Kaldor-type business cycle discrete model
Bashkirtseva, Irina; Ryashko, Lev; Sysolyatina, Anna
2016-07-01
We study nonlinear stochastic phenomena in the discrete Kaldor model of business cycles. A numerical parametric analysis of stochastically forced attractors (equilibria, closed invariant curves, discrete cycles) of this model is performed using the stochastic sensitivity functions technique. A spatial arrangement of random states in stochastic attractors is modeled by confidence domains. The phenomenon of noise-induced transitions ;chaos-order; is discussed.
The multivariate supOU stochastic volatility model
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole; Stelzer, Robert
Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence effects. The finiteness of moments and the second order...... structure of the volatility, the log returns, as well as their "squares" are discussed in detail. Moreover, we give several examples in which long memory effects occur and study how the model as well as the simple Ornstein-Uhlenbeck type stochastic volatility model behave under linear transformations....... In particular, the models are shown to be preserved under invertible linear transformations. Finally, we discuss how (sup)OU stochastic volatility models can be combined with a factor modelling approach....
Influence of local carrying capacity restrictions on stochastic predator-prey models
International Nuclear Information System (INIS)
Washenberger, Mark J; Mobilia, Mauro; Taeuber, Uwe C
2007-01-01
We study a stochastic lattice predator-prey system by means of Monte Carlo simulations that do not impose any restrictions on the number of particles per site, and discuss the similarities and differences of our results with those obtained for site-restricted model variants. In accord with the classic Lotka-Volterra mean-field description, both species always coexist in two dimensions. Yet competing activity fronts generate complex, correlated spatio-temporal structures. As a consequence, finite systems display transient erratic population oscillations with characteristic frequencies that are renormalized by fluctuations. For large reaction rates, when the processes are rendered more local, these oscillations are suppressed. In contrast with the site-restricted predator-prey model, we also observe species coexistence in one dimension. In addition, we report results on the steady-state prey age distribution
Stochastic line motion and stochastic flux conservation for nonideal hydromagnetic models
International Nuclear Information System (INIS)
Eyink, Gregory L.
2009-01-01
We prove that smooth solutions of nonideal (viscous and resistive) incompressible magnetohydrodynamic (MHD) equations satisfy a stochastic law of flux conservation. This property implies that the magnetic flux through a surface is equal to the average of the magnetic fluxes through an ensemble of surfaces advected backward in time by the plasma velocity perturbed with a random white noise. Our result is an analog of the well-known Alfven theorem of ideal MHD and is valid for any value of the magnetic Prandtl number. A second stochastic conservation law is shown to hold at unit Prandtl number, a random version of the generalized Kelvin theorem derived by Bekenstein and Oron for ideal MHD. These stochastic conservation laws are not only shown to be consequences of the nonideal MHD equations but are proved in fact to be equivalent to those equations. We derive similar results for two more refined hydromagnetic models, Hall MHD and the two-fluid plasma model, still assuming incompressible velocities and isotropic transport coefficients. Finally, we use these results to discuss briefly the infinite-Reynolds-number limit of hydromagnetic turbulence and to support the conjecture that flux conservation remains stochastic in that limit.
Mean-field learning for satisfactory solutions
Tembine, Hamidou
2013-12-01
One of the fundamental challenges in distributed interactive systems is to design efficient, accurate, and fair solutions. In such systems, a satisfactory solution is an innovative approach that aims to provide all players with a satisfactory payoff anytime and anywhere. In this paper we study fully distributed learning schemes for satisfactory solutions in games with continuous action space. Considering games where the payoff function depends only on own-action and an aggregate term, we show that the complexity of learning systems can be significantly reduced, leading to the so-called mean-field learning. We provide sufficient conditions for convergence to a satisfactory solution and we give explicit convergence time bounds. Then, several acceleration techniques are used in order to improve the convergence rate. We illustrate numerically the proposed mean-field learning schemes for quality-of-service management in communication networks. © 2013 IEEE.
Stochastic models to simulate paratuberculosis in dairy herds
DEFF Research Database (Denmark)
Nielsen, Søren Saxmose; Weber, M.F.; Kudahl, Anne Margrethe Braad
2011-01-01
Stochastic simulation models are widely accepted as a means of assessing the impact of changes in daily management and the control of different diseases, such as paratuberculosis, in dairy herds. This paper summarises and discusses the assumptions of four stochastic simulation models and their use...... the models are somewhat different in their underlying principles and do put slightly different values on the different strategies, their overall findings are similar. Therefore, simulation models may be useful in planning paratuberculosis strategies in dairy herds, although as with all models caution...
Constraining Stochastic Parametrisation Schemes Using High-Resolution Model Simulations
Christensen, H. M.; Dawson, A.; Palmer, T.
2017-12-01
Stochastic parametrisations are used in weather and climate models as a physically motivated way to represent model error due to unresolved processes. Designing new stochastic schemes has been the target of much innovative research over the last decade. While a focus has been on developing physically motivated approaches, many successful stochastic parametrisation schemes are very simple, such as the European Centre for Medium-Range Weather Forecasts (ECMWF) multiplicative scheme `Stochastically Perturbed Parametrisation Tendencies' (SPPT). The SPPT scheme improves the skill of probabilistic weather and seasonal forecasts, and so is widely used. However, little work has focused on assessing the physical basis of the SPPT scheme. We address this matter by using high-resolution model simulations to explicitly measure the `error' in the parametrised tendency that SPPT seeks to represent. The high resolution simulations are first coarse-grained to the desired forecast model resolution before they are used to produce initial conditions and forcing data needed to drive the ECMWF Single Column Model (SCM). By comparing SCM forecast tendencies with the evolution of the high resolution model, we can measure the `error' in the forecast tendencies. In this way, we provide justification for the multiplicative nature of SPPT, and for the temporal and spatial scales of the stochastic perturbations. However, we also identify issues with the SPPT scheme. It is therefore hoped these measurements will improve both holistic and process based approaches to stochastic parametrisation. Figure caption: Instantaneous snapshot of the optimal SPPT stochastic perturbation, derived by comparing high-resolution simulations with a low resolution forecast model.
Deterministic and stochastic CTMC models from Zika disease transmission
Zevika, Mona; Soewono, Edy
2018-03-01
Zika infection is one of the most important mosquito-borne diseases in the world. Zika virus (ZIKV) is transmitted by many Aedes-type mosquitoes including Aedes aegypti. Pregnant women with the Zika virus are at risk of having a fetus or infant with a congenital defect and suffering from microcephaly. Here, we formulate a Zika disease transmission model using two approaches, a deterministic model and a continuous-time Markov chain stochastic model. The basic reproduction ratio is constructed from a deterministic model. Meanwhile, the CTMC stochastic model yields an estimate of the probability of extinction and outbreaks of Zika disease. Dynamical simulations and analysis of the disease transmission are shown for the deterministic and stochastic models.
Regularity theory for mean-field game systems
Gomes, Diogo A; Voskanyan, Vardan
2016-01-01
Beginning with a concise introduction to the theory of mean-field games (MFGs), this book presents the key elements of the regularity theory for MFGs. It then introduces a series of techniques for well-posedness in the context of mean-field problems, including stationary and time-dependent MFGs, subquadratic and superquadratic MFG formulations, and distinct classes of mean-field couplings. It also explores stationary and time-dependent MFGs through a series of a-priori estimates for solutions of the Hamilton-Jacobi and Fokker-Planck equation. It shows sophisticated a-priori systems derived using a range of analytical techniques, and builds on previous results to explain classical solutions. The final chapter discusses the potential applications, models and natural extensions of MFGs. As MFGs connect common problems in pure mathematics, engineering, economics and data management, this book is a valuable resource for researchers and graduate students in these fields.
Regularity Theory for Mean-Field Game Systems
Gomes, Diogo A.
2016-09-14
Beginning with a concise introduction to the theory of mean-field games (MFGs), this book presents the key elements of the regularity theory for MFGs. It then introduces a series of techniques for well-posedness in the context of mean-field problems, including stationary and time-dependent MFGs, subquadratic and superquadratic MFG formulations, and distinct classes of mean-field couplings. It also explores stationary and time-dependent MFGs through a series of a-priori estimates for solutions of the Hamilton-Jacobi and Fokker-Planck equation. It shows sophisticated a-priori systems derived using a range of analytical techniques, and builds on previous results to explain classical solutions. The final chapter discusses the potential applications, models and natural extensions of MFGs. As MFGs connect common problems in pure mathematics, engineering, economics and data management, this book is a valuable resource for researchers and graduate students in these fields.
Momentum and density dependence of the nuclear mean field
International Nuclear Information System (INIS)
Behera, B.; Routray, T.R.
1999-01-01
The purpose of this is to analyse the momentum, density and temperature dependence of the mean field in nuclear matter derived from finite range effective interactions and to examine the influence of the functional form of the interaction on the high momentum behaviour of the mean field. Emphasis will be given to use very simple parametrizations of the effective interaction with a minimum number of adjustable parameters and yet capable of giving a good description of the mean field in nuclear matter over a wide range of momentum, density and temperature. As an application of the calculated equation of state of nuclear matter, phase transitions to quark-gluon plasma is studied where the quark phase is described by a zeroth order bag model equation of state
Regularity Theory for Mean-Field Game Systems
Gomes, Diogo A.; Pimentel, Edgard A.; Voskanyan, Vardan K.
2016-01-01
Beginning with a concise introduction to the theory of mean-field games (MFGs), this book presents the key elements of the regularity theory for MFGs. It then introduces a series of techniques for well-posedness in the context of mean-field problems, including stationary and time-dependent MFGs, subquadratic and superquadratic MFG formulations, and distinct classes of mean-field couplings. It also explores stationary and time-dependent MFGs through a series of a-priori estimates for solutions of the Hamilton-Jacobi and Fokker-Planck equation. It shows sophisticated a-priori systems derived using a range of analytical techniques, and builds on previous results to explain classical solutions. The final chapter discusses the potential applications, models and natural extensions of MFGs. As MFGs connect common problems in pure mathematics, engineering, economics and data management, this book is a valuable resource for researchers and graduate students in these fields.
Stochastic model of forecasting spare parts demand
Directory of Open Access Journals (Sweden)
Ivan S. Milojević
2012-01-01
Full Text Available If demand is known for the whole planning period (complete information, then this type of demand or a supply system is deterministic. In the simplest cases, the demand per time unit is constant. If demand levels change over time following a precisely determined and pre-known principle, this type of demand is also classified as deterministic. This quality of demand is very rare. In most cases demand is the product of a process, for example TMS maintenance, whose progression cannot be predicted due to a number of factors influencing the process and causing random demand changes. In this case, a supply system must function according to the complete information and with a certain degree of uncertainty. In cases when demand may be defined by some of the laws of the probability theory, we are talking about stochastic demand and a stochastic supply system. Demand can be described by mathematical expectation, mathematical expectation and standard deviation, probability distribution or as a random process. However, there is usually a need for the most complex description, i.e. the complex random process because both intensity of demand and the probability distribution change during the observed intervals. The level of temporal (dynamic series is traditionally considered as a complex phenomenon consisting of four components: - basic tendency of phenomenon development - cyclical impact (long-term, 'ancient' - seasonal effects - random fluctuations. The basic tendency of phenomenon development means a long-term evolution of phenomena. A function that expresses the trajectory of changes of the basic tendency of a phenomenon development in the form of the equation is called a trend. Often, the trend involves time regression; i.e. the coefficients of the proposed functions are often determined by the least squares method. To roughly determine the coefficients of the proposed function, the sum of three and three-point methods are also used. After checking the
Shapes and dynamics from the time-dependent mean field
International Nuclear Information System (INIS)
Stevenson, P.D.; Goddard, P.M.; Rios, A.
2015-01-01
Explaining observed properties in terms of underlying shape degrees of freedom is a well-established prism with which to understand atomic nuclei. Self-consistent mean-field models provide one tool to understand nuclear shapes, and their link to other nuclear properties and observables. We present examples of how the time-dependent extension of the mean-field approach can be used in particular to shed light on nuclear shape properties, particularly looking at the giant resonances built on deformed nuclear ground states, and at dynamics in highly-deformed fission isomers. Example calculations are shown of 28 Si in the first case, and 240 Pu in the latter case
Socio-economic applications of finite state mean field games
Gomes, Diogo A.
2014-10-06
In this paper, we present different applications of finite state mean field games to socio-economic sciences. Examples include paradigm shifts in the scientific community or consumer choice behaviour in the free market. The corresponding finite state mean field game models are hyperbolic systems of partial differential equations, for which we present and validate different numerical methods. We illustrate the behaviour of solutions with various numerical experiments,which show interesting phenomena such as shock formation. Hence, we conclude with an investigation of the shock structure in the case of two-state problems.
Socio-economic applications of finite state mean field games.
Gomes, Diogo; Velho, Roberto M; Wolfram, Marie-Therese
2014-11-13
In this paper, we present different applications of finite state mean field games to socio-economic sciences. Examples include paradigm shifts in the scientific community or consumer choice behaviour in the free market. The corresponding finite state mean field game models are hyperbolic systems of partial differential equations, for which we present and validate different numerical methods. We illustrate the behaviour of solutions with various numerical experiments, which show interesting phenomena such as shock formation. Hence, we conclude with an investigation of the shock structure in the case of two-state problems. © 2014 The Author(s) Published by the Royal Society. All rights reserved.
Electricity Market Stochastic Dynamic Model and Its Mean Stability Analysis
Directory of Open Access Journals (Sweden)
Zhanhui Lu
2014-01-01
Full Text Available Based on the deterministic dynamic model of electricity market proposed by Alvarado, a stochastic electricity market model, considering the random nature of demand sides, is presented in this paper on the assumption that generator cost function and consumer utility function are quadratic functions. The stochastic electricity market model is a generalization of the deterministic dynamic model. Using the theory of stochastic differential equations, stochastic process theory, and eigenvalue techniques, the determining conditions of the mean stability for this electricity market model under small Gauss type random excitation are provided and testified theoretically. That is, if the demand elasticity of suppliers is nonnegative and the demand elasticity of consumers is negative, then the stochastic electricity market model is mean stable. It implies that the stability can be judged directly by initial data without any computation. Taking deterministic electricity market data combined with small Gauss type random excitation as numerical samples to interpret random phenomena from a statistical perspective, the results indicate the conclusions above are correct, valid, and practical.
Dynamic stochastic accumulation model with application to pension savings management
Directory of Open Access Journals (Sweden)
Melicherčik Igor
2010-01-01
Full Text Available We propose a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. Stock prices are assumed to be driven by the geometric Brownian motion. Interest rates are modeled by means of the Cox-Ingersoll-Ross model. The optimal decision as a solution to the corresponding dynamic stochastic program is a function of the duration of saving, the level of savings and the short rate. Qualitative and quantitative properties of the optimal solution are analyzed. The model is tested on the funded pillar of the Slovak pension system. The results are calculated for various risk preferences of a saver.
Methods and models in mathematical biology deterministic and stochastic approaches
Müller, Johannes
2015-01-01
This book developed from classes in mathematical biology taught by the authors over several years at the Technische Universität München. The main themes are modeling principles, mathematical principles for the analysis of these models, and model-based analysis of data. The key topics of modern biomathematics are covered: ecology, epidemiology, biochemistry, regulatory networks, neuronal networks, and population genetics. A variety of mathematical methods are introduced, ranging from ordinary and partial differential equations to stochastic graph theory and branching processes. A special emphasis is placed on the interplay between stochastic and deterministic models.
INFERENCE AND SENSITIVITY IN STOCHASTIC WIND POWER FORECAST MODELS.
Elkantassi, Soumaya
2017-10-03
Reliable forecasting of wind power generation is crucial to optimal control of costs in generation of electricity with respect to the electricity demand. Here, we propose and analyze stochastic wind power forecast models described by parametrized stochastic differential equations, which introduce appropriate fluctuations in numerical forecast outputs. We use an approximate maximum likelihood method to infer the model parameters taking into account the time correlated sets of data. Furthermore, we study the validity and sensitivity of the parameters for each model. We applied our models to Uruguayan wind power production as determined by historical data and corresponding numerical forecasts for the period of March 1 to May 31, 2016.
Stochastic description of heterogeneities of permeability within groundwater flow models
International Nuclear Information System (INIS)
Cacas, M.C.; Lachassagne, P.; Ledoux, E.; Marsily, G. de
1991-01-01
In order to model radionuclide migration in the geosphere realistically at the field scale, the hydrogeologist needs to be able to simulate groundwater flow in heterogeneous media. Heterogeneity of the medium can be described using a stochastic approach, that affects the way in which a flow model is formulated. In this paper, we discuss the problems that we have encountered in modelling both continuous and fractured media. The stochastic approach leads to a methodology that enables local measurements of permeability to be integrated into a model which gives a good prediction of groundwater flow on a regional scale. 5 Figs.; 8 Refs
INFERENCE AND SENSITIVITY IN STOCHASTIC WIND POWER FORECAST MODELS.
Elkantassi, Soumaya; Kalligiannaki, Evangelia; Tempone, Raul
2017-01-01
Reliable forecasting of wind power generation is crucial to optimal control of costs in generation of electricity with respect to the electricity demand. Here, we propose and analyze stochastic wind power forecast models described by parametrized stochastic differential equations, which introduce appropriate fluctuations in numerical forecast outputs. We use an approximate maximum likelihood method to infer the model parameters taking into account the time correlated sets of data. Furthermore, we study the validity and sensitivity of the parameters for each model. We applied our models to Uruguayan wind power production as determined by historical data and corresponding numerical forecasts for the period of March 1 to May 31, 2016.
Applying Mean-Field Approximation to Continuous Time Markov Chains
Kolesnichenko, A.V.; Senni, Valerio; Pourranjabar, Alireza; Remke, A.K.I.; Stoelinga, M.I.A.
2014-01-01
The mean-field analysis technique is used to perform analysis of a system with a large number of components to determine the emergent deterministic behaviour and how this behaviour modifies when its parameters are perturbed. The computer science performance modelling and analysis community has found
Two numerical methods for mean-field games
Gomes, Diogo A.
2016-01-09
Here, we consider numerical methods for stationary mean-field games (MFG) and investigate two classes of algorithms. The first one is a gradient flow method based on the variational characterization of certain MFG. The second one uses monotonicity properties of MFG. We illustrate our methods with various examples, including one-dimensional periodic MFG, congestion problems, and higher-dimensional models.
Two numerical methods for mean-field games
Gomes, Diogo A.
2016-01-01
Here, we consider numerical methods for stationary mean-field games (MFG) and investigate two classes of algorithms. The first one is a gradient flow method based on the variational characterization of certain MFG. The second one uses monotonicity properties of MFG. We illustrate our methods with various examples, including one-dimensional periodic MFG, congestion problems, and higher-dimensional models.
Two Numerical Approaches to Stationary Mean-Field Games
Almulla, Noha; Ferreira, Rita; Gomes, Diogo A.
2016-01-01
Here, we consider numerical methods for stationary mean-field games (MFG) and investigate two classes of algorithms. The first one is a gradient-flow method based on the variational characterization of certain MFG. The second one uses monotonicity properties of MFG. We illustrate our methods with various examples, including one-dimensional periodic MFG, congestion problems, and higher-dimensional models.
Two Numerical Approaches to Stationary Mean-Field Games
Almulla, Noha
2016-10-04
Here, we consider numerical methods for stationary mean-field games (MFG) and investigate two classes of algorithms. The first one is a gradient-flow method based on the variational characterization of certain MFG. The second one uses monotonicity properties of MFG. We illustrate our methods with various examples, including one-dimensional periodic MFG, congestion problems, and higher-dimensional models.
Stochastic models of the Social Security trust funds.
Burdick, Clark; Manchester, Joyce
Each year in March, the Board of Trustees of the Social Security trust funds reports on the current and projected financial condition of the Social Security programs. Those programs, which pay monthly benefits to retired workers and their families, to the survivors of deceased workers, and to disabled workers and their families, are financed through the Old-Age, Survivors, and Disability Insurance (OASDI) Trust Funds. In their 2003 report, the Trustees present, for the first time, results from a stochastic model of the combined OASDI trust funds. Stochastic modeling is an important new tool for Social Security policy analysis and offers the promise of valuable new insights into the financial status of the OASDI trust funds and the effects of policy changes. The results presented in this article demonstrate that several stochastic models deliver broadly consistent results even though they use very different approaches and assumptions. However, they also show that the variation in trust fund outcomes differs as the approach and assumptions are varied. Which approach and assumptions are best suited for Social Security policy analysis remains an open question. Further research is needed before the promise of stochastic modeling is fully realized. For example, neither parameter uncertainty nor variability in ultimate assumption values is recognized explicitly in the analyses. Despite this caveat, stochastic modeling results are already shedding new light on the range and distribution of trust fund outcomes that might occur in the future.
Characterizing economic trends by Bayesian stochastic model specification search
DEFF Research Database (Denmark)
Grassi, Stefano; Proietti, Tommaso
We extend a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. In particular, we focus on autoregressive models with possibly time-varying intercept and slope and decide on ...
Mean field instabilities in dissipative heavy ion collisions
International Nuclear Information System (INIS)
Colonna, M.; Guarnera, A.; Istituto Nazionale di Fisica Nucleare, Bologna; Catania Univ.; Di Torro, M.; Catania Univ.
1995-01-01
We discuss new reaction mechanisms that may occur in semi-peripheral heavy ion collisions at intermediate energies. In particular we focus on the dynamics of the overlapping zone, showing the development of neck instabilities, coupled with the possibility of an increasing amount amount of dynamical fluctuations. In a very selected beam energy range between 40 and 70 MeV/u we observe an important interplay between stochastic nucleon exchange and the random nature of nucleon-nucleon collisions. Expected consequences are intermediate mass fragment emissions from the neck region and large variances in the projectile-like and target-like observables. The crucial importance of a time matching between the growth of mean field instabilities and the separation of the interacting system is stressed. Some hints towards the observation of relatively large instability effects in deep inelastic collisions at lower energy are finally suggested. (authors). 29 refs., 5 figs., 2 tabs
Introduction to modeling and analysis of stochastic systems
Kulkarni, V G
2011-01-01
This is an introductory-level text on stochastic modeling. It is suited for undergraduate students in engineering, operations research, statistics, mathematics, actuarial science, business management, computer science, and public policy. It employs a large number of examples to teach the students to use stochastic models of real-life systems to predict their performance, and use this analysis to design better systems. The book is devoted to the study of important classes of stochastic processes: discrete and continuous time Markov processes, Poisson processes, renewal and regenerative processes, semi-Markov processes, queueing models, and diffusion processes. The book systematically studies the short-term and the long-term behavior, cost/reward models, and first passage times. All the material is illustrated with many examples, and case studies. The book provides a concise review of probability in the appendix. The book emphasizes numerical answers to the problems. A collection of MATLAB programs to accompany...
Stochastic dynamic modeling of regular and slow earthquakes
Aso, N.; Ando, R.; Ide, S.
2017-12-01
Both regular and slow earthquakes are slip phenomena on plate boundaries and are simulated by a (quasi-)dynamic modeling [Liu and Rice, 2005]. In these numerical simulations, spatial heterogeneity is usually considered not only for explaining real physical properties but also for evaluating the stability of the calculations or the sensitivity of the results on the condition. However, even though we discretize the model space with small grids, heterogeneity at smaller scales than the grid size is not considered in the models with deterministic governing equations. To evaluate the effect of heterogeneity at the smaller scales we need to consider stochastic interactions between slip and stress in a dynamic modeling. Tidal stress is known to trigger or affect both regular and slow earthquakes [Yabe et al., 2015; Ide et al., 2016], and such an external force with fluctuation can also be considered as a stochastic external force. A healing process of faults may also be stochastic, so we introduce stochastic friction law. In the present study, we propose a stochastic dynamic model to explain both regular and slow earthquakes. We solve mode III problem, which corresponds to the rupture propagation along the strike direction. We use BIEM (boundary integral equation method) scheme to simulate slip evolution, but we add stochastic perturbations in the governing equations, which is usually written in a deterministic manner. As the simplest type of perturbations, we adopt Gaussian deviations in the formulation of the slip-stress kernel, external force, and friction. By increasing the amplitude of perturbations of the slip-stress kernel, we reproduce complicated rupture process of regular earthquakes including unilateral and bilateral ruptures. By perturbing external force, we reproduce slow rupture propagation at a scale of km/day. The slow propagation generated by a combination of fast interaction at S-wave velocity is analogous to the kinetic theory of gasses: thermal
Qualitative and Quantitative Integrated Modeling for Stochastic Simulation and Optimization
Directory of Open Access Journals (Sweden)
Xuefeng Yan
2013-01-01
Full Text Available The simulation and optimization of an actual physics system are usually constructed based on the stochastic models, which have both qualitative and quantitative characteristics inherently. Most modeling specifications and frameworks find it difficult to describe the qualitative model directly. In order to deal with the expert knowledge, uncertain reasoning, and other qualitative information, a qualitative and quantitative combined modeling specification was proposed based on a hierarchical model structure framework. The new modeling approach is based on a hierarchical model structure which includes the meta-meta model, the meta-model and the high-level model. A description logic system is defined for formal definition and verification of the new modeling specification. A stochastic defense simulation was developed to illustrate how to model the system and optimize the result. The result shows that the proposed method can describe the complex system more comprehensively, and the survival probability of the target is higher by introducing qualitative models into quantitative simulation.
Distributed parallel computing in stochastic modeling of groundwater systems.
Dong, Yanhui; Li, Guomin; Xu, Haizhen
2013-03-01
Stochastic modeling is a rapidly evolving, popular approach to the study of the uncertainty and heterogeneity of groundwater systems. However, the use of Monte Carlo-type simulations to solve practical groundwater problems often encounters computational bottlenecks that hinder the acquisition of meaningful results. To improve the computational efficiency, a system that combines stochastic model generation with MODFLOW-related programs and distributed parallel processing is investigated. The distributed computing framework, called the Java Parallel Processing Framework, is integrated into the system to allow the batch processing of stochastic models in distributed and parallel systems. As an example, the system is applied to the stochastic delineation of well capture zones in the Pinggu Basin in Beijing. Through the use of 50 processing threads on a cluster with 10 multicore nodes, the execution times of 500 realizations are reduced to 3% compared with those of a serial execution. Through this application, the system demonstrates its potential in solving difficult computational problems in practical stochastic modeling. © 2012, The Author(s). Groundwater © 2012, National Ground Water Association.
A stochastic model for intermittent search strategies
International Nuclear Information System (INIS)
Benichou, O; Coppey, M; Moreau, M; Suet, P H; Voituriez, R
2005-01-01
It is often necessary, in scientific or everyday life problems, to find a randomly hidden target. What is then the optimal strategy to reach it as rapidly as possible? In this article, we develop a stochastic theory for intermittent search behaviours, which are often observed: the searcher alternates phases of intensive search and slow motion with fast displacements. The first results of this theory have already been announced recently. Here we provide a detailed presentation of the theory, as well as the full derivation of the results. Furthermore, we explicitly discuss the minimization of the time needed to find the target
Deterministic and stochastic models for middle east respiratory syndrome (MERS)
Suryani, Dessy Rizki; Zevika, Mona; Nuraini, Nuning
2018-03-01
World Health Organization (WHO) data stated that since September 2012, there were 1,733 cases of Middle East Respiratory Syndrome (MERS) with 628 death cases that occurred in 27 countries. MERS was first identified in Saudi Arabia in 2012 and the largest cases of MERS outside Saudi Arabia occurred in South Korea in 2015. MERS is a disease that attacks the respiratory system caused by infection of MERS-CoV. MERS-CoV transmission occurs directly through direct contact between infected individual with non-infected individual or indirectly through contaminated object by the free virus. Suspected, MERS can spread quickly because of the free virus in environment. Mathematical modeling is used to illustrate the transmission of MERS disease using deterministic model and stochastic model. Deterministic model is used to investigate the temporal dynamic from the system to analyze the steady state condition. Stochastic model approach using Continuous Time Markov Chain (CTMC) is used to predict the future states by using random variables. From the models that were built, the threshold value for deterministic models and stochastic models obtained in the same form and the probability of disease extinction can be computed by stochastic model. Simulations for both models using several of different parameters are shown, and the probability of disease extinction will be compared with several initial conditions.
The critical domain size of stochastic population models.
Reimer, Jody R; Bonsall, Michael B; Maini, Philip K
2017-02-01
Identifying the critical domain size necessary for a population to persist is an important question in ecology. Both demographic and environmental stochasticity impact a population's ability to persist. Here we explore ways of including this variability. We study populations with distinct dispersal and sedentary stages, which have traditionally been modelled using a deterministic integrodifference equation (IDE) framework. Individual-based models (IBMs) are the most intuitive stochastic analogues to IDEs but yield few analytic insights. We explore two alternate approaches; one is a scaling up to the population level using the Central Limit Theorem, and the other a variation on both Galton-Watson branching processes and branching processes in random environments. These branching process models closely approximate the IBM and yield insight into the factors determining the critical domain size for a given population subject to stochasticity.
Stochastic fractional differential equations: Modeling, method and analysis
International Nuclear Information System (INIS)
Pedjeu, Jean-C.; Ladde, Gangaram S.
2012-01-01
By introducing a concept of dynamic process operating under multi-time scales in sciences and engineering, a mathematical model described by a system of multi-time scale stochastic differential equations is formulated. The classical Picard–Lindelöf successive approximations scheme is applied to the model validation problem, namely, existence and uniqueness of solution process. Naturally, this leads to the problem of finding closed form solutions of both linear and nonlinear multi-time scale stochastic differential equations of Itô–Doob type. Finally, to illustrate the scope of ideas and presented results, multi-time scale stochastic models for ecological and epidemiological processes in population dynamic are outlined.
Stochastic processes analysis in nuclear reactor using ARMA models
International Nuclear Information System (INIS)
Zavaljevski, N.
1990-01-01
The analysis of ARMA model derived from general stochastic state equations of nuclear reactor is given. The dependence of ARMA model parameters on the main physical characteristics of RB nuclear reactor in Vinca is presented. Preliminary identification results are presented, observed discrepancies between theory and experiment are explained and the possibilities of identification improvement are anticipated. (author)
Stochastic Modeling and Deterministic Limit of Catalytic Surface Processes
DEFF Research Database (Denmark)
Starke, Jens; Reichert, Christian; Eiswirth, Markus
2007-01-01
of stochastic origin can be observed in experiments. The models include a new approach to the platinum phase transition, which allows for a unification of existing models for Pt(100) and Pt(110). The rich nonlinear dynamical behavior of the macroscopic reaction kinetics is investigated and shows good agreement...
Powering stochastic reliability models by discrete event simulation
DEFF Research Database (Denmark)
Kozine, Igor; Wang, Xiaoyun
2012-01-01
it difficult to find a solution to the problem. The power of modern computers and recent developments in discrete-event simulation (DES) software enable to diminish some of the drawbacks of stochastic models. In this paper we describe the insights we have gained based on using both Markov and DES models...
Stochastic Modelling of the Diffusion Coefficient for Concrete
DEFF Research Database (Denmark)
Thoft-Christensen, Palle
In the paper, a new stochastic modelling of the diffusion coefficient D is presented. The modelling is based on physical understanding of the diffusion process and on some recent experimental results. The diffusion coefficients D is strongly dependent on the w/c ratio and the temperature....
Stochastic models for transport in a fluidized bed
Dehling, H.G; Hoffmann, A.C; Stuut, H.W.
1999-01-01
In this paper we study stochastic models for the transport of particles in a fluidized bed reactor and compute the associated residence time distribution (RTD). Our main model is basically a diffusion process in [0;A] with reflecting/absorbing boundary conditions, modified by allowing jumps to the
Stochastic Robust Mathematical Programming Model for Power System Optimization
Energy Technology Data Exchange (ETDEWEB)
Liu, Cong; Changhyeok, Lee; Haoyong, Chen; Mehrotra, Sanjay
2016-01-01
This paper presents a stochastic robust framework for two-stage power system optimization problems with uncertainty. The model optimizes the probabilistic expectation of different worst-case scenarios with ifferent uncertainty sets. A case study of unit commitment shows the effectiveness of the proposed model and algorithms.
AUTOMATIC CALIBRATION OF A STOCHASTIC-LAGRANGIAN TRANSPORT MODEL (SLAM)
Numerical models are a useful tool in evaluating and designing NAPL remediation systems. Traditional constitutive finite difference and finite element models are complex and expensive to apply. For this reason, this paper presents the application of a simplified stochastic-Lagran...
Reflected stochastic differential equation models for constrained animal movement
Hanks, Ephraim M.; Johnson, Devin S.; Hooten, Mevin B.
2017-01-01
Movement for many animal species is constrained in space by barriers such as rivers, shorelines, or impassable cliffs. We develop an approach for modeling animal movement constrained in space by considering a class of constrained stochastic processes, reflected stochastic differential equations. Our approach generalizes existing methods for modeling unconstrained animal movement. We present methods for simulation and inference based on augmenting the constrained movement path with a latent unconstrained path and illustrate this augmentation with a simulation example and an analysis of telemetry data from a Steller sea lion (Eumatopias jubatus) in southeast Alaska.
Estimation of Stochastic Volatility Models by Nonparametric Filtering
DEFF Research Database (Denmark)
Kanaya, Shin; Kristensen, Dennis
2016-01-01
/estimated volatility process replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps and market microstructure noise. The resulting estimators of the stochastic volatility model will carry additional biases...... and variances due to the first-step estimation, but under regularity conditions we show that these vanish asymptotically and our estimators inherit the asymptotic properties of the infeasible estimators based on observations of the volatility process. A simulation study examines the finite-sample properties...
Multi-scenario modelling of uncertainty in stochastic chemical systems
International Nuclear Information System (INIS)
Evans, R. David; Ricardez-Sandoval, Luis A.
2014-01-01
Uncertainty analysis has not been well studied at the molecular scale, despite extensive knowledge of uncertainty in macroscale systems. The ability to predict the effect of uncertainty allows for robust control of small scale systems such as nanoreactors, surface reactions, and gene toggle switches. However, it is difficult to model uncertainty in such chemical systems as they are stochastic in nature, and require a large computational cost. To address this issue, a new model of uncertainty propagation in stochastic chemical systems, based on the Chemical Master Equation, is proposed in the present study. The uncertain solution is approximated by a composite state comprised of the averaged effect of samples from the uncertain parameter distributions. This model is then used to study the effect of uncertainty on an isomerization system and a two gene regulation network called a repressilator. The results of this model show that uncertainty in stochastic systems is dependent on both the uncertain distribution, and the system under investigation. -- Highlights: •A method to model uncertainty on stochastic systems was developed. •The method is based on the Chemical Master Equation. •Uncertainty in an isomerization reaction and a gene regulation network was modelled. •Effects were significant and dependent on the uncertain input and reaction system. •The model was computationally more efficient than Kinetic Monte Carlo
International Nuclear Information System (INIS)
Laurens, J.M.
1985-01-01
A computer code was written to model food chains in order to estimate the internal and external doses, for stochastic and non-stochastic effects, on humans (adults and infants). Results are given for 67 radionuclides, for unit concentration in water (1 Bq/L) and in atmosphere (1 Bq/m 3 )
Condition monitoring with Mean field independent components analysis
DEFF Research Database (Denmark)
Pontoppidan, Niels Henrik; Sigurdsson, Sigurdur; Larsen, Jan
2005-01-01
We discuss condition monitoring based on mean field independent components analysis of acoustic emission energy signals. Within this framework it is possible to formulate a generative model that explains the sources, their mixing and also the noise statistics of the observed signals. By using...... a novelty approach we may detect unseen faulty signals as indeed faulty with high precision, even though the model learns only from normal signals. This is done by evaluating the likelihood that the model generated the signals and adapting a simple threshold for decision. Acoustic emission energy signals...... from a large diesel engine is used to demonstrate this approach. The results show that mean field independent components analysis gives a better detection of fault compared to principal components analysis, while at the same time selecting a more compact model...
DEFF Research Database (Denmark)
Klim, Søren; Mortensen, Stig Bousgaard; Kristensen, Niels Rode
2009-01-01
are often partly ignored in PK/PD modelling although violating the hypothesis for many standard statistical tests. This article presents a package for the statistical program R that is able to handle SDEs in a mixed-effects setting. The estimation method implemented is the FOCE1 approximation......The extension from ordinary to stochastic differential equations (SDEs) in pharmacokinetic and pharmacodynamic (PK/PD) modelling is an emerging field and has been motivated in a number of articles [N.R. Kristensen, H. Madsen, S.H. Ingwersen, Using stochastic differential equations for PK/PD model...... development, J. Pharmacokinet. Pharmacodyn. 32 (February(l)) (2005) 109-141; C.W. Tornoe, R.V Overgaard, H. Agerso, H.A. Nielsen, H. Madsen, E.N. Jonsson, Stochastic differential equations in NONMEM: implementation, application, and comparison with ordinary differential equations, Pharm. Res. 22 (August(8...
International Nuclear Information System (INIS)
Graefe, E. M.; Korsch, H. J.; Witthaut, D.
2006-01-01
We investigate the dynamics of a Bose-Einstein condensate in a triple-well trap in a three-level approximation. The interatomic interactions are taken into account in a mean-field approximation (Gross-Pitaevskii equation), leading to a nonlinear three-level model. Additional eigenstates emerge due to the nonlinearity, depending on the system parameters. Adiabaticity breaks down if such a nonlinear eigenstate disappears when the parameters are varied. The dynamical implications of this loss of adiabaticity are analyzed for two important special cases: A three-level Landau-Zener model and the stimulated Raman adiabatic passage (STIRAP) scheme. We discuss the emergence of looped levels for an equal-slope Landau-Zener model. The Zener tunneling probability does not tend to zero in the adiabatic limit and shows pronounced oscillations as a function of the velocity of the parameter variation. Furthermore we generalize the STIRAP scheme for adiabatic coherent population transfer between atomic states to the nonlinear case. It is shown that STIRAP breaks down if the nonlinearity exceeds the detuning
Stochastic Modeling of Radioactive Material Releases
Energy Technology Data Exchange (ETDEWEB)
Andrus, Jason [Idaho National Lab. (INL), Idaho Falls, ID (United States); Pope, Chad [Idaho National Lab. (INL), Idaho Falls, ID (United States)
2015-09-01
Nonreactor nuclear facilities operated under the approval authority of the U.S. Department of Energy use unmitigated hazard evaluations to determine if potential radiological doses associated with design basis events challenge or exceed dose evaluation guidelines. Unmitigated design basis events that sufficiently challenge dose evaluation guidelines or exceed the guidelines for members of the public or workers, merit selection of safety structures, systems, or components or other controls to prevent or mitigate the hazard. Idaho State University, in collaboration with Idaho National Laboratory, has developed a portable and simple to use software application called SODA (Stochastic Objective Decision-Aide) that stochastically calculates the radiation dose associated with hypothetical radiological material release scenarios. Rather than producing a point estimate of the dose, SODA produces a dose distribution result to allow a deeper understanding of the dose potential. SODA allows users to select the distribution type and parameter values for all of the input variables used to perform the dose calculation. SODA then randomly samples each distribution input variable and calculates the overall resulting dose distribution. In cases where an input variable distribution is unknown, a traditional single point value can be used. SODA was developed using the MATLAB coding framework. The software application has a graphical user input. SODA can be installed on both Windows and Mac computers and does not require MATLAB to function. SODA provides improved risk understanding leading to better informed decision making associated with establishing nuclear facility material-at-risk limits and safety structure, system, or component selection. It is important to note that SODA does not replace or compete with codes such as MACCS or RSAC, rather it is viewed as an easy to use supplemental tool to help improve risk understanding and support better informed decisions. The work was
Stochastic Modeling of Radioactive Material Releases
International Nuclear Information System (INIS)
Andrus, Jason; Pope, Chad
2015-01-01
Nonreactor nuclear facilities operated under the approval authority of the U.S. Department of Energy use unmitigated hazard evaluations to determine if potential radiological doses associated with design basis events challenge or exceed dose evaluation guidelines. Unmitigated design basis events that sufficiently challenge dose evaluation guidelines or exceed the guidelines for members of the public or workers, merit selection of safety structures, systems, or components or other controls to prevent or mitigate the hazard. Idaho State University, in collaboration with Idaho National Laboratory, has developed a portable and simple to use software application called SODA (Stochastic Objective Decision-Aide) that stochastically calculates the radiation dose associated with hypothetical radiological material release scenarios. Rather than producing a point estimate of the dose, SODA produces a dose distribution result to allow a deeper understanding of the dose potential. SODA allows users to select the distribution type and parameter values for all of the input variables used to perform the dose calculation. SODA then randomly samples each distribution input variable and calculates the overall resulting dose distribution. In cases where an input variable distribution is unknown, a traditional single point value can be used. SODA was developed using the MATLAB coding framework. The software application has a graphical user input. SODA can be installed on both Windows and Mac computers and does not require MATLAB to function. SODA provides improved risk understanding leading to better informed decision making associated with establishing nuclear facility material-at-risk limits and safety structure, system, or component selection. It is important to note that SODA does not replace or compete with codes such as MACCS or RSAC, rather it is viewed as an easy to use supplemental tool to help improve risk understanding and support better informed decisions. The work was
Superheavy nuclei: a relativistic mean field outlook
International Nuclear Information System (INIS)
Afanasjev, A.V.
2006-01-01
The analysis of quasi-particle spectra in the heaviest A∼250 nuclei with spectroscopic data provides an additional constraint for the choice of effective interaction for the description of superheavy nuclei. It strongly suggests that only the parametrizations which predict Z = 120 and N = 172 as shell closures are reliable for superheavy nuclei within the relativistic mean field theory. The influence of the central depression in the density distribution of spherical superheavy nuclei on the shell structure is studied. A large central depression produces large shell gaps at Z = 120 and N = 172. The shell gaps at Z = 126 and N = 184 are favoured by a flat density distribution in the central part of the nucleus. It is shown that approximate particle number projection (PNP) by means of the Lipkin-Nogami (LN) method removes pairing collapse seen at these gaps in the calculations without PNP
Threshold Dynamics of a Stochastic Chemostat Model with Two Nutrients and One Microorganism
Directory of Open Access Journals (Sweden)
Jian Zhang
2017-01-01
Full Text Available A new stochastic chemostat model with two substitutable nutrients and one microorganism is proposed and investigated. Firstly, for the corresponding deterministic model, the threshold for extinction and permanence of the microorganism is obtained by analyzing the stability of the equilibria. Then, for the stochastic model, the threshold of the stochastic chemostat for extinction and permanence of the microorganism is explored. Difference of the threshold of the deterministic model and the stochastic model shows that a large stochastic disturbance can affect the persistence of the microorganism and is harmful to the cultivation of the microorganism. To illustrate this phenomenon, we give some computer simulations with different intensity of stochastic noise disturbance.
Response spectrum analysis of a stochastic seismic model
International Nuclear Information System (INIS)
Kimura, Koji; Sakata, Masaru; Takemoto, Shinichiro.
1990-01-01
The stochastic response spectrum approach is presented for predicting the dynamic behavior of structures to earthquake excitation expressed by a random process, one of whose sample functions can be regarded as a recorded strong-motion earthquake accelerogram. The approach consists of modeling recorded ground motion by a random process and the root-mean-square response (rms) analysis of a single-degree-of-freedom system by using the moment equations method. The stochastic response spectrum is obtained as a plot of the maximum rms response versus the natural period of the system and is compared with the conventional response spectrum. (author)
Stochastic geometry, spatial statistics and random fields models and algorithms
2015-01-01
Providing a graduate level introduction to various aspects of stochastic geometry, spatial statistics and random fields, this volume places a special emphasis on fundamental classes of models and algorithms as well as on their applications, for example in materials science, biology and genetics. This book has a strong focus on simulations and includes extensive codes in Matlab and R, which are widely used in the mathematical community. It can be regarded as a continuation of the recent volume 2068 of Lecture Notes in Mathematics, where other issues of stochastic geometry, spatial statistics and random fields were considered, with a focus on asymptotic methods.
Stochastic 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.
The threshold of a stochastic SIQS epidemic model
Zhang, Xiao-Bing; Huo, Hai-Feng; Xiang, Hong; Shi, Qihong; Li, Dungang
2017-09-01
In this paper, we present the threshold of a stochastic SIQS epidemic model which determines the extinction and persistence of the disease. Furthermore, we find that noise can suppress the disease outbreak. Numerical simulations are also carried out to confirm the analytical results.
Stochasticity thresholds in the Fermi-Pasta-Ulam model
International Nuclear Information System (INIS)
Callegari, B.; Galgani, L.; Milan Univ.
1979-01-01
The authors consider the celebrated model of Fermi, Pasta and Ulam and give a numerical estimate for its thresholds of stochasticity, thus determining a critical energy as a function of the frequency of the corresponding oscillators. The results turn out to be qualitatively similar to those already obtained for a chain of particles with nearest-neighbour Lennard-Jones interaction potential. (author)
A stochastic large deformation model for computational anatomy
DEFF Research Database (Denmark)
Arnaudon, Alexis; Holm, Darryl D.; Pai, Akshay Sadananda Uppinakudru
2017-01-01
In the study of shapes of human organs using computational anatomy, variations are found to arise from inter-subject anatomical differences, disease-specific effects, and measurement noise. This paper introduces a stochastic model for incorporating random variations into the Large Deformation...
Stochasticity thresholds in the Fermi-Pasta-Ulam model
Energy Technology Data Exchange (ETDEWEB)
Callegari, B [Ferrara Univ. (Italy). Ist. di Matematica; Carotta, M C; Ferrario, C [Ferrara Univ. (Italy). Ist. di Fisica; Lo Vecchio, G [Ferrara Univ. (Italy). Ist. di Fisica; Gruppo Nazionale di Struttura della Materia, Ferrara (Italy)); Galgani, L [Milan Univ. (Italy). Ist. di Fisica; Milan Univ. (Italy). Ist. di Matematica)
1979-12-11
The authors consider the celebrated model of Fermi, Pasta and Ulam and give a numerical estimate for its thresholds of stochasticity, thus determining a critical energy as a function of the frequency of the corresponding oscillators. The results turn out to be qualitatively similar to those already obtained for a chain of particles with nearest-neighbour Lennard-Jones interaction potential.
Stochastic Online Learning in Dynamic Networks under Unknown Models
2016-08-02
The key is to develop online learning strategies at each individual node. Specifically, through local information exchange with its neighbors, each...infinitely repeated game with incomplete information and developed a dynamic pricing strategy referred to as Competitive and Cooperative Demand Learning...Stochastic Online Learning in Dynamic Networks under Unknown Models This research aims to develop fundamental theories and practical algorithms for
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
S. Peiris (Shelton); M. Asai (Manabu); M.J. McAleer (Michael)
2016-01-01
textabstractIn recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility
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
Model tracking dual stochastic controller design under irregular internal noises
International Nuclear Information System (INIS)
Lee, Jong Bok; Heo, Hoon; Cho, Yun Hyun; Ji, Tae Young
2006-01-01
Although many methods about the control of irregular external noise have been introduced and implemented, it is still necessary to design a controller that will be more effective and efficient methods to exclude for various noises. Accumulation of errors due to model tracking, internal noises (thermal noise, shot noise and l/f noise) that come from elements such as resistor, diode and transistor etc. in the circuit system and numerical errors due to digital process often destabilize the system and reduce the system performance. New stochastic controller is adopted to remove those noises using conventional controller simultaneously. Design method of a model tracking dual controller is proposed to improve the stability of system while removing external and internal noises. In the study, design process of the model tracking dual stochastic controller is introduced that improves system performance and guarantees robustness under irregular internal noises which can be created internally. The model tracking dual stochastic controller utilizing F-P-K stochastic control technique developed earlier is implemented to reveal its performance via simulation
Hydrological modeling using a multi-site stochastic weather generator
Weather data is usually required at several locations over a large watershed, especially when using distributed models for hydrological simulations. In many applications, spatially correlated weather data can be provided by a multi-site stochastic weather generator which considers the spatial correl...
Optimal Tax Reduction by Depreciation : A Stochastic Model
Berg, M.; De Waegenaere, A.M.B.; Wielhouwer, J.L.
1996-01-01
This paper focuses on the choice of a depreciation method, when trying to minimize the expected value of the present value of future tax payments.In a quite general model that allows for stochastic future cash- ows and a tax structure with tax brackets, we determine the optimal choice between the
A cavitation model based on Eulerian stochastic fields
Magagnato, F.; Dumond, J.
2013-12-01
Non-linear phenomena can often be described using probability density functions (pdf) and pdf transport models. Traditionally the simulation of pdf transport requires Monte-Carlo codes based on Lagrangian "particles" or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic-field method solving pdf transport based on Eulerian fields has been proposed which eliminates the necessity to mix Eulerian and Lagrangian techniques or prescribed pdf assumptions. In the present work, for the first time the stochastic-field method is applied to multi-phase flow and in particular to cavitating flow. To validate the proposed stochastic-field cavitation model, two applications are considered. Firstly, sheet cavitation is simulated in a Venturi-type nozzle. The second application is an innovative fluidic diode which exhibits coolant flashing. Agreement with experimental results is obtained for both applications with a fixed set of model constants. The stochastic-field cavitation model captures the wide range of pdf shapes present at different locations.