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Sample records for stochastic modelling approach

  1. 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

  2. Markovian approach: From Ising model to stochastic radiative transfer

    International Nuclear Information System (INIS)

    Kassianov, E.; Veron, D.

    2009-01-01

    The origin of the Markovian approach can be traced back to 1906; however, it gained explicit recognition in the last few decades. This overview outlines some important applications of the Markovian approach, which illustrate its immense prestige, respect, and success. These applications include examples in the statistical physics, astronomy, mathematics, computational science and the stochastic transport problem. In particular, the overview highlights important contributions made by Pomraning and Titov to the neutron and radiation transport theory in a stochastic medium with homogeneous statistics. Using simple probabilistic assumptions (Markovian approximation), they have introduced a simplified, but quite realistic, representation of the neutron/radiation transfer through a two-component discrete stochastic mixture. New concepts and methodologies introduced by these two distinguished scientists allow us to generalize the Markovian treatment to the stochastic medium with inhomogeneous statistics and demonstrate its improved predictive performance for the down-welling shortwave fluxes. (authors)

  3. Maximum likelihood approach for several stochastic volatility models

    International Nuclear Information System (INIS)

    Camprodon, Jordi; Perelló, Josep

    2012-01-01

    Volatility measures the amplitude of price fluctuations. Despite it being one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility follow a two-dimensional diffusion process where volatility is the stochastic diffusion coefficient of the log-price dynamics. We apply this method to the simplest versions of the expOU, the OU and the Heston stochastic volatility models and we study their performance in terms of the log-price probability, the volatility probability, and its Mean First-Passage Time. The approach has some predictive power on the future returns amplitude by only knowing the current volatility. The assumed models do not consider long-range volatility autocorrelation and the asymmetric return-volatility cross-correlation but the method still yields very naturally these two important stylized facts. We apply the method to different market indices and with a good performance in all cases. (paper)

  4. Methods and models in mathematical biology deterministic and stochastic approaches

    CERN Document Server

    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.

  5. Alternative Approaches to Technical Efficiency Estimation in the Stochastic Frontier Model

    OpenAIRE

    Acquah, H. de-Graft; Onumah, E. E.

    2014-01-01

    Estimating the stochastic frontier model and calculating technical efficiency of decision making units are of great importance in applied production economic works. This paper estimates technical efficiency from the stochastic frontier model using Jondrow, and Battese and Coelli approaches. In order to compare alternative methods, simulated data with sample sizes of 60 and 200 are generated from stochastic frontier model commonly applied to agricultural firms. Simulated data is employed to co...

  6. Stochastic approach to microphysics

    Energy Technology Data Exchange (ETDEWEB)

    Aron, J.C.

    1987-01-01

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

  7. Modeling collective emotions: a stochastic approach based on Brownian agents

    International Nuclear Information System (INIS)

    Schweitzer, F.

    2010-01-01

    We develop a agent-based framework to model the emergence of collective emotions, which is applied to online communities. Agents individual emotions are described by their valence and arousal. Using the concept of Brownian agents, these variables change according to a stochastic dynamics, which also considers the feedback from online communication. Agents generate emotional information, which is stored and distributed in a field modeling the online medium. This field affects the emotional states of agents in a non-linear manner. We derive conditions for the emergence of collective emotions, observable in a bimodal valence distribution. Dependent on a saturated or a super linear feedback between the information field and the agent's arousal, we further identify scenarios where collective emotions only appear once or in a repeated manner. The analytical results are illustrated by agent-based computer simulations. Our framework provides testable hypotheses about the emergence of collective emotions, which can be verified by data from online communities. (author)

  8. Numerical Approach to Spatial Deterministic-Stochastic Models Arising in Cell Biology.

    Science.gov (United States)

    Schaff, James C; Gao, Fei; Li, Ye; Novak, Igor L; Slepchenko, Boris M

    2016-12-01

    Hybrid deterministic-stochastic methods provide an efficient alternative to a fully stochastic treatment of models which include components with disparate levels of stochasticity. However, general-purpose hybrid solvers for spatially resolved simulations of reaction-diffusion systems are not widely available. Here we describe fundamentals of a general-purpose spatial hybrid method. The method generates realizations of a spatially inhomogeneous hybrid system by appropriately integrating capabilities of a deterministic partial differential equation solver with a popular particle-based stochastic simulator, Smoldyn. Rigorous validation of the algorithm is detailed, using a simple model of calcium 'sparks' as a testbed. The solver is then applied to a deterministic-stochastic model of spontaneous emergence of cell polarity. The approach is general enough to be implemented within biologist-friendly software frameworks such as Virtual Cell.

  9. A Stochastic Approach to Noise Modeling for Barometric Altimeters

    Directory of Open Access Journals (Sweden)

    Angelo Maria Sabatini

    2013-11-01

    Full Text Available The question whether barometric altimeters can be applied to accurately track human motions is still debated, since their measurement performance are rather poor due to either coarse resolution or drifting behavior problems. As a step toward accurate short-time tracking of changes in height (up to few minutes, we develop a stochastic model that attempts to capture some statistical properties of the barometric altimeter noise. The barometric altimeter noise is decomposed in three components with different physical origin and properties: a deterministic time-varying mean, mainly correlated with global environment changes, and a first-order Gauss-Markov (GM random process, mainly accounting for short-term, local environment changes, the effects of which are prominent, respectively, for long-time and short-time motion tracking; an uncorrelated random process, mainly due to wideband electronic noise, including quantization noise. Autoregressive-moving average (ARMA system identification techniques are used to capture the correlation structure of the piecewise stationary GM component, and to estimate its standard deviation, together with the standard deviation of the uncorrelated component. M-point moving average filters used alone or in combination with whitening filters learnt from ARMA model parameters are further tested in few dynamic motion experiments and discussed for their capability of short-time tracking small-amplitude, low-frequency motions.

  10. Stochastic Fractional Programming Approach to a Mean and Variance Model of a Transportation Problem

    Directory of Open Access Journals (Sweden)

    V. Charles

    2011-01-01

    Full Text Available In this paper, we propose a stochastic programming model, which considers a ratio of two nonlinear functions and probabilistic constraints. In the former, only expected model has been proposed without caring variability in the model. On the other hand, in the variance model, the variability played a vital role without concerning its counterpart, namely, the expected model. Further, the expected model optimizes the ratio of two linear cost functions where as variance model optimize the ratio of two non-linear functions, that is, the stochastic nature in the denominator and numerator and considering expectation and variability as well leads to a non-linear fractional program. In this paper, a transportation model with stochastic fractional programming (SFP problem approach is proposed, which strikes the balance between previous models available in the literature.

  11. Stochastic partial differential equations a modeling, white noise functional approach

    CERN Document Server

    Holden, Helge; Ubøe, Jan; Zhang, Tusheng

    1996-01-01

    This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some of us with the support of VISTA, a research coopera­ tion between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap A.S. (Statoil). The purpose of the project was to use stochastic partial differential equations (SPDEs) to describe the flow of fluid in a medium where some of the parameters, e.g., the permeability, were stochastic or "noisy". We soon realized that the theory of SPDEs at the time was insufficient to handle such equations. Therefore it became our aim to develop a new mathematically rigorous theory that satisfied the following conditions. 1) The theory should be physically meaningful and realistic, and the corre­ sponding solutions should make sense physically and should be useful in applications. 2) The theory should be general enough to handle many of the interesting SPDEs that occur in r...

  12. Oriented stochastic data envelopment models: ranking comparison to stochastic frontier approach

    Czech Academy of Sciences Publication Activity Database

    Brázdik, František

    -, č. 271 (2005), s. 1-46 ISSN 1211-3298 Institutional research plan: CEZ:AV0Z70850503 Keywords : stochastic data envelopment analysis * linear programming * rice farm Subject RIV: AH - Economics http://www.cerge-ei.cz/pdf/wp/Wp271.pdf

  13. Modular and Stochastic Approaches to Molecular Pathway Models of ATM, TGF beta, and WNT Signaling

    Science.gov (United States)

    Cucinotta, Francis A.; O'Neill, Peter; Ponomarev, Artem; Carra, Claudio; Whalen, Mary; Pluth, Janice M.

    2009-01-01

    Deterministic pathway models that describe the biochemical interactions of a group of related proteins, their complexes, activation through kinase, etc. are often the basis for many systems biology models. Low dose radiation effects present a unique set of challenges to these models including the importance of stochastic effects due to the nature of radiation tracks and small number of molecules activated, and the search for infrequent events that contribute to cancer risks. We have been studying models of the ATM, TGF -Smad and WNT signaling pathways with the goal of applying pathway models to the investigation of low dose radiation cancer risks. Modeling challenges include introduction of stochastic models of radiation tracks, their relationships to more than one substrate species that perturb pathways, and the identification of a representative set of enzymes that act on the dominant substrates. Because several pathways are activated concurrently by radiation the development of modular pathway approach is of interest.

  14. Stochastic modeling

    CERN Document Server

    Lanchier, Nicolas

    2017-01-01

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

  15. Stochastic Spatial Models in Ecology: A Statistical Physics Approach

    Science.gov (United States)

    Pigolotti, Simone; Cencini, Massimo; Molina, Daniel; Muñoz, Miguel A.

    2017-11-01

    Ecosystems display a complex spatial organization. Ecologists have long tried to characterize them by looking at how different measures of biodiversity change across spatial scales. Ecological neutral theory has provided simple predictions accounting for general empirical patterns in communities of competing species. However, while neutral theory in well-mixed ecosystems is mathematically well understood, spatial models still present several open problems, limiting the quantitative understanding of spatial biodiversity. In this review, we discuss the state of the art in spatial neutral theory. We emphasize the connection between spatial ecological models and the physics of non-equilibrium phase transitions and how concepts developed in statistical physics translate in population dynamics, and vice versa. We focus on non-trivial scaling laws arising at the critical dimension D = 2 of spatial neutral models, and their relevance for biological populations inhabiting two-dimensional environments. We conclude by discussing models incorporating non-neutral effects in the form of spatial and temporal disorder, and analyze how their predictions deviate from those of purely neutral theories.

  16. Uncertainty Aware Structural Topology Optimization Via a Stochastic Reduced Order Model Approach

    Science.gov (United States)

    Aguilo, Miguel A.; Warner, James E.

    2017-01-01

    This work presents a stochastic reduced order modeling strategy for the quantification and propagation of uncertainties in topology optimization. Uncertainty aware optimization problems can be computationally complex due to the substantial number of model evaluations that are necessary to accurately quantify and propagate uncertainties. This computational complexity is greatly magnified if a high-fidelity, physics-based numerical model is used for the topology optimization calculations. Stochastic reduced order model (SROM) methods are applied here to effectively 1) alleviate the prohibitive computational cost associated with an uncertainty aware topology optimization problem; and 2) quantify and propagate the inherent uncertainties due to design imperfections. A generic SROM framework that transforms the uncertainty aware, stochastic topology optimization problem into a deterministic optimization problem that relies only on independent calls to a deterministic numerical model is presented. This approach facilitates the use of existing optimization and modeling tools to accurately solve the uncertainty aware topology optimization problems in a fraction of the computational demand required by Monte Carlo methods. Finally, an example in structural topology optimization is presented to demonstrate the effectiveness of the proposed uncertainty aware structural topology optimization approach.

  17. Revisiting the cape cod bacteria injection experiment using a stochastic modeling approach

    Science.gov (United States)

    Maxwell, R.M.; Welty, C.; Harvey, R.W.

    2007-01-01

    Bromide and resting-cell bacteria tracer tests conducted in a sandy aquifer at the U.S. Geological Survey Cape Cod site in 1987 were reinterpreted using a three-dimensional stochastic approach. Bacteria transport was coupled to colloid filtration theory through functional dependence of local-scale colloid transport parameters upon hydraulic conductivity and seepage velocity in a stochastic advection - dispersion/attachment - detachment model. Geostatistical information on the hydraulic conductivity (K) field that was unavailable at the time of the original test was utilized as input. Using geostatistical parameters, a groundwater flow and particle-tracking model of conservative solute transport was calibrated to the bromide-tracer breakthrough data. An optimization routine was employed over 100 realizations to adjust the mean and variance ofthe natural-logarithm of hydraulic conductivity (InK) field to achieve best fit of a simulated, average bromide breakthrough curve. A stochastic particle-tracking model for the bacteria was run without adjustments to the local-scale colloid transport parameters. Good predictions of mean bacteria breakthrough were achieved using several approaches for modeling components of the system. Simulations incorporating the recent Tufenkji and Elimelech (Environ. Sci. Technol. 2004, 38, 529-536) correlation equation for estimating single collector efficiency were compared to those using the older Rajagopalan and Tien (AIChE J. 1976, 22, 523-533) model. Both appeared to work equally well at predicting mean bacteria breakthrough using a constant mean bacteria diameter for this set of field conditions. Simulations using a distribution of bacterial cell diameters available from original field notes yielded a slight improvement in the model and data agreement compared to simulations using an average bacterial diameter. The stochastic approach based on estimates of local-scale parameters for the bacteria-transport process reasonably captured

  18. Multi-period natural gas market modeling Applications, stochastic extensions and solution approaches

    Science.gov (United States)

    Egging, Rudolf Gerardus

    This dissertation develops deterministic and stochastic multi-period mixed complementarity problems (MCP) for the global natural gas market, as well as solution approaches for large-scale stochastic MCP. The deterministic model is unique in the combination of the level of detail of the actors in the natural gas markets and the transport options, the detailed regional and global coverage, the multi-period approach with endogenous capacity expansions for transportation and storage infrastructure, the seasonal variation in demand and the representation of market power according to Nash-Cournot theory. The model is applied to several scenarios for the natural gas market that cover the formation of a cartel by the members of the Gas Exporting Countries Forum, a low availability of unconventional gas in the United States, and cost reductions in long-distance gas transportation. 1 The results provide insights in how different regions are affected by various developments, in terms of production, consumption, traded volumes, prices and profits of market participants. The stochastic MCP is developed and applied to a global natural gas market problem with four scenarios for a time horizon until 2050 with nineteen regions and containing 78,768 variables. The scenarios vary in the possibility of a gas market cartel formation and varying depletion rates of gas reserves in the major gas importing regions. Outcomes for hedging decisions of market participants show some significant shifts in the timing and location of infrastructure investments, thereby affecting local market situations. A first application of Benders decomposition (BD) is presented to solve a large-scale stochastic MCP for the global gas market with many hundreds of first-stage capacity expansion variables and market players exerting various levels of market power. The largest problem solved successfully using BD contained 47,373 variables of which 763 first-stage variables, however using BD did not result in

  19. Multi-Period Natural Gas Market Modeling. Applications, Stochastic Extensions and Solution Approaches

    International Nuclear Information System (INIS)

    Egging, R.G.

    2010-11-01

    This dissertation develops deterministic and stochastic multi-period mixed complementarity problems (MCP) for the global natural gas market, as well as solution approaches for large-scale stochastic MCP. The deterministic model is unique in the combination of the level of detail of the actors in the natural gas markets and the transport options, the detailed regional and global coverage, the multi-period approach with endogenous capacity expansions for transportation and storage infrastructure, the seasonal variation in demand and the representation of market power according to Nash-Cournot theory. The model is applied to several scenarios for the natural gas market that cover the formation of a cartel by the members of the Gas Exporting Countries Forum, a low availability of unconventional gas in the United States, and cost reductions in long-distance gas transportation. The results provide insights in how different regions are affected by various developments, in terms of production, consumption, traded volumes, prices and profits of market participants. The stochastic MCP is developed and applied to a global natural gas market problem with four scenarios for a time horizon until 2050 with nineteen regions and containing 78,768 variables. The scenarios vary in the possibility of a gas market cartel formation and varying depletion rates of gas reserves in the major gas importing regions. Outcomes for hedging decisions of market participants show some significant shifts in the timing and location of infrastructure investments, thereby affecting local market situations. A first application of Benders decomposition (BD) is presented to solve a large-scale stochastic MCP for the global gas market with many hundreds of first-stage capacity expansion variables and market players exerting various levels of market power. The largest problem solved successfully using BD contained 47,373 variables of which 763 first-stage variables, however using BD did not result in

  20. Stochasticity Modeling in Memristors

    KAUST Repository

    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.

  1. Stochasticity Modeling in Memristors

    KAUST Repository

    Naous, Rawan

    2015-10-26

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

  2. Restructuring of workflows to minimise errors via stochastic model checking: An automated evolutionary approach

    International Nuclear Information System (INIS)

    Herbert, L.T.; Hansen, Z.N.L.

    2016-01-01

    This paper presents a framework for the automated restructuring of stochastic workflows to reduce the impact of faults. The framework allows for the modelling of workflows by means of a formalised subset of the BPMN workflow language. We extend this modelling formalism to describe faults and incorporate an intention preserving stochastic semantics able to model both probabilistic- and non-deterministic behaviour. Stochastic model checking techniques are employed to generate the state-space of a given workflow. Possible improvements obtained by restructuring are measured by employing the framework's capacity for tracking real-valued quantities associated with states and transitions of the workflow. The space of possible restructurings of a workflow is explored by means of an evolutionary algorithm, where the goals for improvement are defined in terms of optimising quantities, typically employed to model resources, associated with a workflow. The approach is fully automated and only the modelling of the production workflows, potential faults and the expression of the goals require manual input. We present the design of a software tool implementing this framework and explore the practical utility of this approach through an industrial case study in which the risk of production failures and their impact are reduced by restructuring the workflow. - Highlights: • We present a framework which allows for the automated restructuring of workflows. • This framework seeks to minimise the impact of errors on the workflow. • We illustrate a scalable software implementation of this framework. • We explore the practical utility of this approach through an industry case. • The impact of errors can be substantially reduced by restructuring the workflow.

  3. Backward-stochastic-differential-equation approach to modeling of gene expression.

    Science.gov (United States)

    Shamarova, Evelina; Chertovskih, Roman; Ramos, Alexandre F; Aguiar, Paulo

    2017-03-01

    In this article, we introduce a backward method to model stochastic gene expression and protein-level dynamics. The protein amount is regarded as a diffusion process and is described by a backward stochastic differential equation (BSDE). Unlike many other SDE techniques proposed in the literature, the BSDE method is backward in time; that is, instead of initial conditions it requires the specification of end-point ("final") conditions, in addition to the model parametrization. To validate our approach we employ Gillespie's stochastic simulation algorithm (SSA) to generate (forward) benchmark data, according to predefined gene network models. Numerical simulations show that the BSDE method is able to correctly infer the protein-level distributions that preceded a known final condition, obtained originally from the forward SSA. This makes the BSDE method a powerful systems biology tool for time-reversed simulations, allowing, for example, the assessment of the biological conditions (e.g., protein concentrations) that preceded an experimentally measured event of interest (e.g., mitosis, apoptosis, etc.).

  4. Modeling flow in fractured medium. Uncertainty analysis with stochastic continuum approach

    International Nuclear Information System (INIS)

    Niemi, A.

    1994-01-01

    For modeling groundwater flow in formation-scale fractured media, no general method exists for scaling the highly heterogeneous hydraulic conductivity data to model parameters. The deterministic approach is limited in representing the heterogeneity of a medium and the application of fracture network models has both conceptual and practical limitations as far as site-scale studies are concerned. The study investigates the applicability of stochastic continuum modeling at the scale of data support. No scaling of the field data is involved, and the original variability is preserved throughout the modeling. Contributions of various aspects to the total uncertainty in the modeling prediction can also be determined with this approach. Data from five crystalline rock sites in Finland are analyzed. (107 refs., 63 figs., 7 tabs.)

  5. Stochastic rainfall modeling in West Africa: Parsimonious approaches for domestic rainwater harvesting assessment

    Science.gov (United States)

    Cowden, Joshua R.; Watkins, David W., Jr.; Mihelcic, James R.

    2008-10-01

    SummarySeveral parsimonious stochastic rainfall models are developed and compared for application to domestic rainwater harvesting (DRWH) assessment in West Africa. Worldwide, improved water access rates are lowest for Sub-Saharan Africa, including the West African region, and these low rates have important implications on the health and economy of the region. Domestic rainwater harvesting (DRWH) is proposed as a potential mechanism for water supply enhancement, especially for the poor urban households in the region, which is essential for development planning and poverty alleviation initiatives. The stochastic rainfall models examined are Markov models and LARS-WG, selected due to availability and ease of use for water planners in the developing world. A first-order Markov occurrence model with a mixed exponential amount model is selected as the best option for unconditioned Markov models. However, there is no clear advantage in selecting Markov models over the LARS-WG model for DRWH in West Africa, with each model having distinct strengths and weaknesses. A multi-model approach is used in assessing DRWH in the region to illustrate the variability associated with the rainfall models. It is clear DRWH can be successfully used as a water enhancement mechanism in West Africa for certain times of the year. A 200 L drum storage capacity could potentially optimize these simple, small roof area systems for many locations in the region.

  6. Stochastic Boolean networks: An efficient approach to modeling gene regulatory networks

    Directory of Open Access Journals (Sweden)

    Liang Jinghang

    2012-08-01

    network inferred from a T cell immune response dataset. An SBN can also implement the function of an asynchronous PBN and is potentially useful in a hybrid approach in combination with a continuous or single-molecule level stochastic model. Conclusions Stochastic Boolean networks (SBNs are proposed as an efficient approach to modelling gene regulatory networks (GRNs. The SBN approach is able to recover biologically-proven regulatory behaviours, such as the oscillatory dynamics of the p53-Mdm2 network and the dynamic attractors in a T cell immune response network. The proposed approach can further predict the network dynamics when the genes are under perturbation, thus providing biologically meaningful insights for a better understanding of the dynamics of GRNs. The algorithms and methods described in this paper have been implemented in Matlab packages, which are attached as Additional files.

  7. Applied stochastic modelling

    CERN Document Server

    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...

  8. Fixation of Cs to marine sediments estimated by a stochastic modelling approach.

    Science.gov (United States)

    Børretzen, Peer; Salbu, Brit

    2002-01-01

    irreversible sediment phase. while about 12.5 years are needed before 99.7% of the Cs ions are fixed. Thus, according to the model estimates the contact time between 137Cs ions leached from dumped waste and the Stepovogo Fjord sediment should be about 3 years before the sediment will act as an efficient permanent sink. Until then a significant fraction of 137Cs should be considered mobile. The stochastic modelling approach provides useful tools when assessing sediment-seawater interactions over time, and should be easily applicable to all sediment-seawater systems including a sink term.

  9. 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

  10. 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.

  11. Modeling Stochastic Complexity in Complex Adaptive Systems: Non-Kolmogorov Probability and the Process Algebra Approach.

    Science.gov (United States)

    Sulis, William H

    2017-10-01

    Walter Freeman III pioneered the application of nonlinear dynamical systems theories and methodologies in his work on mesoscopic brain dynamics.Sadly, mainstream psychology and psychiatry still cling to linear correlation based data analysis techniques, which threaten to subvert the process of experimentation and theory building. In order to progress, it is necessary to develop tools capable of managing the stochastic complexity of complex biopsychosocial systems, which includes multilevel feedback relationships, nonlinear interactions, chaotic dynamics and adaptability. In addition, however, these systems exhibit intrinsic randomness, non-Gaussian probability distributions, non-stationarity, contextuality, and non-Kolmogorov probabilities, as well as the absence of mean and/or variance and conditional probabilities. These properties and their implications for statistical analysis are discussed. An alternative approach, the Process Algebra approach, is described. It is a generative model, capable of generating non-Kolmogorov probabilities. It has proven useful in addressing fundamental problems in quantum mechanics and in the modeling of developing psychosocial systems.

  12. Simulation of the stochastic wave loads using a physical modeling approach

    DEFF Research Database (Denmark)

    Liu, W.F.; Sichani, Mahdi Teimouri; Nielsen, Søren R.K.

    2013-01-01

    In analyzing stochastic dynamic systems, analysis of the system uncertainty due to randomness in the loads plays a crucial role. Typically time series of the stochastic loads are simulated using traditional random phase method. This approach combined with fast Fourier transform algorithm makes...... reliability or its uncertainty. Moreover applicability of the probability density evolution method on engineering problems faces critical difficulties when the system embeds too many random variables. Hence it is useful to devise a method which can make realization of the stochastic load processes with low...

  13. Stochastic neuron models

    CERN Document Server

    Greenwood, Priscilla E

    2016-01-01

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

  14. Stochastic frontier model approach for measuring stock market efficiency with different distributions.

    Science.gov (United States)

    Hasan, Md Zobaer; Kamil, Anton Abdulbasah; Mustafa, Adli; Baten, Md Azizul

    2012-01-01

    The stock market is considered essential for economic growth and expected to contribute to improved productivity. An efficient pricing mechanism of the stock market can be a driving force for channeling savings into profitable investments and thus facilitating optimal allocation of capital. This study investigated the technical efficiency of selected groups of companies of Bangladesh Stock Market that is the Dhaka Stock Exchange (DSE) market, using the stochastic frontier production function approach. For this, the authors considered the Cobb-Douglas Stochastic frontier in which the technical inefficiency effects are defined by a model with two distributional assumptions. Truncated normal and half-normal distributions were used in the model and both time-variant and time-invariant inefficiency effects were estimated. The results reveal that technical efficiency decreased gradually over the reference period and that truncated normal distribution is preferable to half-normal distribution for technical inefficiency effects. The value of technical efficiency was high for the investment group and low for the bank group, as compared with other groups in the DSE market for both distributions in time-varying environment whereas it was high for the investment group but low for the ceramic group as compared with other groups in the DSE market for both distributions in time-invariant situation.

  15. Stochastic frontier model approach for measuring stock market efficiency with different distributions.

    Directory of Open Access Journals (Sweden)

    Md Zobaer Hasan

    Full Text Available The stock market is considered essential for economic growth and expected to contribute to improved productivity. An efficient pricing mechanism of the stock market can be a driving force for channeling savings into profitable investments and thus facilitating optimal allocation of capital. This study investigated the technical efficiency of selected groups of companies of Bangladesh Stock Market that is the Dhaka Stock Exchange (DSE market, using the stochastic frontier production function approach. For this, the authors considered the Cobb-Douglas Stochastic frontier in which the technical inefficiency effects are defined by a model with two distributional assumptions. Truncated normal and half-normal distributions were used in the model and both time-variant and time-invariant inefficiency effects were estimated. The results reveal that technical efficiency decreased gradually over the reference period and that truncated normal distribution is preferable to half-normal distribution for technical inefficiency effects. The value of technical efficiency was high for the investment group and low for the bank group, as compared with other groups in the DSE market for both distributions in time-varying environment whereas it was high for the investment group but low for the ceramic group as compared with other groups in the DSE market for both distributions in time-invariant situation.

  16. NLP model and stochastic multi-start optimization approach for heat exchanger networks

    International Nuclear Information System (INIS)

    Núñez-Serna, Rosa I.; Zamora, Juan M.

    2016-01-01

    Highlights: • An NLP model for the optimal design of heat exchanger networks is proposed. • The NLP model is developed from a stage-wise grid diagram representation. • A two-phase stochastic multi-start optimization methodology is utilized. • Improved network designs are obtained with different heat load distributions. • Structural changes and reductions in the number of heat exchangers are produced. - Abstract: Heat exchanger network synthesis methodologies frequently identify good network structures, which nevertheless, might be accompanied by suboptimal values of design variables. The objective of this work is to develop a nonlinear programming (NLP) model and an optimization approach that aim at identifying the best values for intermediate temperatures, sub-stream flow rate fractions, heat loads and areas for a given heat exchanger network topology. The NLP model that minimizes the total annual cost of the network is constructed based on a stage-wise grid diagram representation. To improve the possibilities of obtaining global optimal designs, a two-phase stochastic multi-start optimization algorithm is utilized for the solution of the developed model. The effectiveness of the proposed optimization approach is illustrated with the optimization of two network designs proposed in the literature for two well-known benchmark problems. Results show that from the addressed base network topologies it is possible to achieve improved network designs, with redistributions in exchanger heat loads that lead to reductions in total annual costs. The results also show that the optimization of a given network design sometimes leads to structural simplifications and reductions in the total number of heat exchangers of the network, thereby exposing alternative viable network topologies initially not anticipated.

  17. An approach to the drone fleet survivability assessment based on a stochastic continues-time model

    Science.gov (United States)

    Kharchenko, Vyacheslav; Fesenko, Herman; Doukas, Nikos

    2017-09-01

    An approach and the algorithm to the drone fleet survivability assessment based on a stochastic continues-time model are proposed. The input data are the number of the drones, the drone fleet redundancy coefficient, the drone stability and restoration rate, the limit deviation from the norms of the drone fleet recovery, the drone fleet operational availability coefficient, the probability of the drone failure-free operation, time needed for performing the required tasks by the drone fleet. The ways for improving the recoverable drone fleet survivability taking into account amazing factors of system accident are suggested. Dependencies of the drone fleet survivability rate both on the drone stability and the number of the drones are analysed.

  18. Hybrid approaches for multiple-species stochastic reaction-diffusion models

    Science.gov (United States)

    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.

  19. Hybrid approaches for multiple-species stochastic reaction-diffusion models.

    KAUST Repository

    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.

  20. Hybrid approaches for multiple-species stochastic reaction-diffusion models.

    KAUST Repository

    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.

  1. Stochastic approach to pitting-corrosion-extreme modelling in low-carbon steel

    Energy Technology Data Exchange (ETDEWEB)

    Valor, A. [Facultad de Fisica, Universidad de La Habana, San Lazaro y L, Vedado 10400, La Habana (Cuba); Caleyo, F. [Departamento de Ingenieria Metalurgica, IPN-ESIQIE, UPALM Edif. 7, Zacatenco, Mexico DF 07738 (Mexico)], E-mail: fcaleyo@gmail.com; Rivas, D.; Hallen, J.M. [Departamento de Ingenieria Metalurgica, IPN-ESIQIE, UPALM Edif. 7, Zacatenco, Mexico DF 07738 (Mexico)

    2010-03-15

    A stochastic model previously developed by the authors using Markov chains has been improved in the light of new experimental evidence. The new model has been successfully applied to reproduce the time evolution of extreme pitting corrosion depths in low-carbon steel. The model is shown to provide a better physical understanding of the pitting process.

  2. Stochastic approach to pitting-corrosion-extreme modelling in low-carbon steel

    International Nuclear Information System (INIS)

    Valor, A.; Caleyo, F.; Rivas, D.; Hallen, J.M.

    2010-01-01

    A stochastic model previously developed by the authors using Markov chains has been improved in the light of new experimental evidence. The new model has been successfully applied to reproduce the time evolution of extreme pitting corrosion depths in low-carbon steel. The model is shown to provide a better physical understanding of the pitting process.

  3. Stochastic modeling and analysis of telecoms networks

    CERN Document Server

    Decreusefond, Laurent

    2012-01-01

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

  4. Restructuring of workflows to minimise errors via stochastic model checking: An automated evolutionary approach

    DEFF Research Database (Denmark)

    Herbert, Luke Thomas; Hansen, Zaza Nadja Lee

    2016-01-01

    This article presents a framework for the automated restructuring of stochastic workflows to reduce the impact of faults. The framework allows for the modelling of workflows by means of a formalised subset of the BPMN workflow language. We extend this modelling formalism to describe faults...

  5. A DG approach to the numerical solution of the Stein-Stein stochastic volatility option pricing model

    Science.gov (United States)

    Hozman, J.; Tichý, T.

    2017-12-01

    Stochastic volatility models enable to capture the real world features of the options better than the classical Black-Scholes treatment. Here we focus on pricing of European-style options under the Stein-Stein stochastic volatility model when the option value depends on the time, on the price of the underlying asset and on the volatility as a function of a mean reverting Orstein-Uhlenbeck process. A standard mathematical approach to this model leads to the non-stationary second-order degenerate partial differential equation of two spatial variables completed by the system of boundary and terminal conditions. In order to improve the numerical valuation process for a such pricing equation, we propose a numerical technique based on the discontinuous Galerkin method and the Crank-Nicolson scheme. Finally, reference numerical experiments on real market data illustrate comprehensive empirical findings on options with stochastic volatility.

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

    Science.gov (United States)

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

    2016-06-01

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

  7. 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...

  8. 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...

  9. A stochastic approach for model reduction and memory function design in hydrogeophysical inversion

    Science.gov (United States)

    Hou, Z.; Kellogg, A.; Terry, N.

    2009-12-01

    Geophysical (e.g., seismic, electromagnetic, radar) techniques and statistical methods are essential for research related to subsurface characterization, including monitoring subsurface flow and transport processes, oil/gas reservoir identification, etc. For deep subsurface characterization such as reservoir petroleum exploration, seismic methods have been widely used. Recently, electromagnetic (EM) methods have drawn great attention in the area of reservoir characterization. However, considering the enormous computational demand corresponding to seismic and EM forward modeling, it is usually a big problem to have too many unknown parameters in the modeling domain. For shallow subsurface applications, the characterization can be very complicated considering the complexity and nonlinearity of flow and transport processes in the unsaturated zone. It is warranted to reduce the dimension of parameter space to a reasonable level. Another common concern is how to make the best use of time-lapse data with spatial-temporal correlations. This is even more critical when we try to monitor subsurface processes using geophysical data collected at different times. The normal practice is to get the inverse images individually. These images are not necessarily continuous or even reasonably related, because of the non-uniqueness of hydrogeophysical inversion. We propose to use a stochastic framework by integrating minimum-relative-entropy concept, quasi Monto Carlo sampling techniques, and statistical tests. The approach allows efficient and sufficient exploration of all possibilities of model parameters and evaluation of their significances to geophysical responses. The analyses enable us to reduce the parameter space significantly. The approach can be combined with Bayesian updating, allowing us to treat the updated ‘posterior’ pdf as a memory function, which stores all the information up to date about the distributions of soil/field attributes/properties, then consider the

  10. Effects of extrinsic mortality on the evolution of aging: a stochastic modeling approach.

    Directory of Open Access Journals (Sweden)

    Maxim Nikolaievich Shokhirev

    Full Text Available The evolutionary theories of aging are useful for gaining insights into the complex mechanisms underlying senescence. Classical theories argue that high levels of extrinsic mortality should select for the evolution of shorter lifespans and earlier peak fertility. Non-classical theories, in contrast, posit that an increase in extrinsic mortality could select for the evolution of longer lifespans. Although numerous studies support the classical paradigm, recent data challenge classical predictions, finding that high extrinsic mortality can select for the evolution of longer lifespans. To further elucidate the role of extrinsic mortality in the evolution of aging, we implemented a stochastic, agent-based, computational model. We used a simulated annealing optimization approach to predict which model parameters predispose populations to evolve longer or shorter lifespans in response to increased levels of predation. We report that longer lifespans evolved in the presence of rising predation if the cost of mating is relatively high and if energy is available in excess. Conversely, we found that dramatically shorter lifespans evolved when mating costs were relatively low and food was relatively scarce. We also analyzed the effects of increased predation on various parameters related to density dependence and energy allocation. Longer and shorter lifespans were accompanied by increased and decreased investments of energy into somatic maintenance, respectively. Similarly, earlier and later maturation ages were accompanied by increased and decreased energetic investments into early fecundity, respectively. Higher predation significantly decreased the total population size, enlarged the shared resource pool, and redistributed energy reserves for mature individuals. These results both corroborate and refine classical predictions, demonstrating a population-level trade-off between longevity and fecundity and identifying conditions that produce both

  11. Stochastic approach for radionuclides quantification

    Science.gov (United States)

    Clement, A.; Saurel, N.; Perrin, G.

    2018-01-01

    Gamma spectrometry is a passive non-destructive assay used to quantify radionuclides present in more or less complex objects. Basic methods using empirical calibration with a standard in order to quantify the activity of nuclear materials by determining the calibration coefficient are useless on non-reproducible, complex and single nuclear objects such as waste packages. Package specifications as composition or geometry change from one package to another and involve a high variability of objects. Current quantification process uses numerical modelling of the measured scene with few available data such as geometry or composition. These data are density, material, screen, geometric shape, matrix composition, matrix and source distribution. Some of them are strongly dependent on package data knowledge and operator backgrounds. The French Commissariat à l'Energie Atomique (CEA) is developing a new methodology to quantify nuclear materials in waste packages and waste drums without operator adjustment and internal package configuration knowledge. This method suggests combining a global stochastic approach which uses, among others, surrogate models available to simulate the gamma attenuation behaviour, a Bayesian approach which considers conditional probability densities of problem inputs, and Markov Chains Monte Carlo algorithms (MCMC) which solve inverse problems, with gamma ray emission radionuclide spectrum, and outside dimensions of interest objects. The methodology is testing to quantify actinide activity in different kind of matrix, composition, and configuration of sources standard in terms of actinide masses, locations and distributions. Activity uncertainties are taken into account by this adjustment methodology.

  12. Identifiability in stochastic models

    CERN Document Server

    1992-01-01

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

  13. Monitoring and pollution control: A stochastic process approach to model oil spills

    International Nuclear Information System (INIS)

    Viladrich-Grau, M.

    1991-01-01

    The first chapter analyzes the behavior of a firm in an environment with pollution externalities and technological progress. It is assumed that firms may not purposely violate the pollution control regulations but nonetheless, generate some pollution due to negligence. The model allows firms two possible actions: either increase the level of treated waste or pay an expected penalty if illegal pollution is detected. The results of the first chapter show that in a world with pollution externalities, technological progress does not guarantee increases in the welfare level. The second chapter models the occurrence of an oil spill as a stochastic event. The stochastic model developed allows one to see how each step of the spilling process is affected by each policy measure and to compare the relative efficiency of different measures in reducing spills. The third chapter estimates the parameters that govern oil spill frequency and size distribution. The author models how these parameters depend on two pollution prevention measures: monitoring of transfer operations and assessment of penalties. He shows that these measures reduce the frequency of oil spills

  14. Stochastic ontogenetic growth model

    Science.gov (United States)

    West, B. J.; West, D.

    2012-02-01

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

  15. A stochastic logical system approach to model and optimal control of cyclic variation of residual gas fraction in combustion engines

    International Nuclear Information System (INIS)

    Wu, Yuhu; Kumar, Madan; Shen, Tielong

    2016-01-01

    Highlights: • An in-cylinder pressure based measuring method for the RGF is derived. • A stochastic logical dynamical model is proposed to represent the transient behavior of the RGF. • The receding horizon controller is designed to reduce the variance of the RGF. • The effectiveness of the proposed model and control approach is validated by the experimental evidence. - Abstract: In four stroke internal combustion engines, residual gas from the previous cycle is an important factor influencing the combustion quality of the current cycle, and the residual gas fraction (RGF) is a popular index to monitor the influence of residual gas. This paper investigates the cycle-to-cycle transient behavior of the RGF in the view of systems theory and proposes a multi-valued logic-based control strategy for attenuation of RGF fluctuation. First, an in-cylinder pressure sensor-based method for measuring the RGF is provided by following the physics of the in-cylinder transient state of four-stroke internal combustion engines. Then, the stochastic property of the RGF is examined based on statistical data obtained by conducting experiments on a full-scale gasoline engine test bench. Based on the observation of the examination, a stochastic logical transient model is proposed to represent the cycle-to-cycle transient behavior of the RGF, and with the model an optimal feedback control law, which targets on rejection of the RGF fluctuation, is derived in the framework of stochastic logical system theory. Finally, experimental results are demonstrated to show the effectiveness of the proposed model and the control strategy.

  16. Modelling and application of stochastic processes

    CERN Document Server

    1986-01-01

    The subject of modelling and application of stochastic processes is too vast to be exhausted in a single volume. In this book, attention is focused on a small subset of this vast subject. The primary emphasis is on realization and approximation of stochastic systems. Recently there has been considerable interest in the stochastic realization problem, and hence, an attempt has been made here to collect in one place some of the more recent approaches and algorithms for solving the stochastic realiza­ tion problem. Various different approaches for realizing linear minimum-phase systems, linear nonminimum-phase systems, and bilinear systems are presented. These approaches range from time-domain methods to spectral-domain methods. An overview of the chapter contents briefly describes these approaches. Also, in most of these chapters special attention is given to the problem of developing numerically ef­ ficient algorithms for obtaining reduced-order (approximate) stochastic realizations. On the application side,...

  17. Stochastic forward and inverse groundwater flow and solute transport modeling

    NARCIS (Netherlands)

    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

  18. Efficient stochastic approaches for sensitivity studies of an Eulerian large-scale air pollution model

    Science.gov (United States)

    Dimov, I.; Georgieva, R.; Todorov, V.; Ostromsky, Tz.

    2017-10-01

    Reliability of large-scale mathematical models is an important issue when such models are used to support decision makers. Sensitivity analysis of model outputs to variation or natural uncertainties of model inputs is crucial for improving the reliability of mathematical models. A comprehensive experimental study of Monte Carlo algorithms based on Sobol sequences for multidimensional numerical integration has been done. A comparison with Latin hypercube sampling and a particular quasi-Monte Carlo lattice rule based on generalized Fibonacci numbers has been presented. The algorithms have been successfully applied to compute global Sobol sensitivity measures corresponding to the influence of several input parameters (six chemical reactions rates and four different groups of pollutants) on the concentrations of important air pollutants. The concentration values have been generated by the Unified Danish Eulerian Model. The sensitivity study has been done for the areas of several European cities with different geographical locations. The numerical tests show that the stochastic algorithms under consideration are efficient for multidimensional integration and especially for computing small by value sensitivity indices. It is a crucial element since even small indices may be important to be estimated in order to achieve a more accurate distribution of inputs influence and a more reliable interpretation of the mathematical model results.

  19. Alternative Asymmetric Stochastic Volatility Models

    NARCIS (Netherlands)

    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

  20. Models of gas-grain chemistry in interstellar cloud cores with a stochastic approach to surface chemistry

    Science.gov (United States)

    Stantcheva, T.; Herbst, E.

    2004-08-01

    We present a gas-grain model of homogeneous cold cloud cores with time-independent physical conditions. In the model, the gas-phase chemistry is treated via rate equations while the diffusive granular chemistry is treated stochastically. The two phases are coupled through accretion and evaporation. A small network of surface reactions accounts for the surface production of the stable molecules water, formaldehyde, methanol, carbon dioxide, ammonia, and methane. The calculations are run for a time of 107 years at three different temperatures: 10 K, 15 K, and 20 K. The results are compared with those produced in a totally deterministic gas-grain model that utilizes the rate equation method for both the gas-phase and surface chemistry. The results of the different models are in agreement for the abundances of the gaseous species except for later times when the surface chemistry begins to affect the gas. The agreement for the surface species, however, is somewhat mixed. The average abundances of highly reactive surface species can be orders of magnitude larger in the stochastic-deterministic model than in the purely deterministic one. For non-reactive species, the results of the models can disagree strongly at early times, but agree to well within an order of magnitude at later times for most molecules. Strong exceptions occur for CO and H2CO at 10 K, and for CO2 at 20 K. The agreement seems to be best at a temperature of 15 K. As opposed to the use of the normal rate equation method of surface chemistry, the modified rate method is in significantly better agreement with the stochastic-deterministic approach. Comparison with observations of molecular ices in dense clouds shows mixed agreement.

  1. Linear stochastic systems a geometric approach to modeling, estimation and identification

    CERN Document Server

    Lindquist, Anders

    2015-01-01

    This book presents a treatise on the theory and modeling of second-order stationary processes, including an exposition on selected application areas that are important in the engineering and applied sciences. The foundational issues regarding stationary processes dealt with in the beginning of the book have a long history, starting in the 1940s with the work of Kolmogorov, Wiener, Cramér and his students, in particular Wold, and have since been refined and complemented by many others. Problems concerning the filtering and modeling of stationary random signals and systems have also been addressed and studied, fostered by the advent of modern digital computers, since the fundamental work of R.E. Kalman in the early 1960s. The book offers a unified and logically consistent view of the subject based on simple ideas from Hilbert space geometry and coordinate-free thinking. In this framework, the concepts of stochastic state space and state space modeling, based on the notion of the conditional independence of pas...

  2. Population density approach for discrete mRNA distributions in generalized switching models for stochastic gene expression.

    Science.gov (United States)

    Stinchcombe, Adam R; Peskin, Charles S; Tranchina, Daniel

    2012-06-01

    We present a generalization of a population density approach for modeling and analysis of stochastic gene expression. In the model, the gene of interest fluctuates stochastically between an inactive state, in which transcription cannot occur, and an active state, in which discrete transcription events occur; and the individual mRNA molecules are degraded stochastically in an independent manner. This sort of model in simplest form with exponential dwell times has been used to explain experimental estimates of the discrete distribution of random mRNA copy number. In our generalization, the random dwell times in the inactive and active states, T_{0} and T_{1}, respectively, are independent random variables drawn from any specified distributions. Consequently, the probability per unit time of switching out of a state depends on the time since entering that state. Our method exploits a connection between the fully discrete random process and a related continuous process. We present numerical methods for computing steady-state mRNA distributions and an analytical derivation of the mRNA autocovariance function. We find that empirical estimates of the steady-state mRNA probability mass function from Monte Carlo simulations of laboratory data do not allow one to distinguish between underlying models with exponential and nonexponential dwell times in some relevant parameter regimes. However, in these parameter regimes and where the autocovariance function has negative lobes, the autocovariance function disambiguates the two types of models. Our results strongly suggest that temporal data beyond the autocovariance function is required in general to characterize gene switching.

  3. Stochasticity and determinism in models of hematopoiesis.

    Science.gov (United States)

    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.

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

    Science.gov (United States)

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

    2014-05-01

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

  5. 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...

  6. 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

  7. Environmental and Economic Optimization Model for Electric System Planning in Ningxia, China: Inexact Stochastic Risk-Aversion Programming Approach

    Directory of Open Access Journals (Sweden)

    L. Ji

    2015-01-01

    Full Text Available The main goal of this paper is to provide a novel risk aversion model for long-term electric power system planning from the manager’s perspective with the consideration of various uncertainties. In the proposed method, interval parameter programming and two-stage stochastic programming are integrated to deal with the technical, economics, and policy uncertainties. Moreover, downside risk theory is introduced to balance the trade-off between the profit and risk according to the decision-maker’s risk aversion attitude. To verify the effectiveness and practical application of this approach, an inexact stochastic risk aversion model is developed for regional electric system planning and management in Ningxia Hui Autonomous Region, China. The series of solutions provide the decision-maker with the optimal investment strategy and operation management under different future emission reduction scenarios and risk-aversion levels. The results indicated that pollution control devices are still the main measures to achieve the current mitigation goal and the adjustment of generation structure would play an important role in the future cleaner electricity system with the stricter environmental policy. In addition, the model can be used for generating decision alternatives and helping decision-makers identify desired energy structure adjustment and pollutants/carbon mitigation abatement policies under various economic and system-reliability constraints.

  8. A new approach to developing and optimizing organization strategy based on stochastic quantitative model of strategic performance

    Directory of Open Access Journals (Sweden)

    Marko Hell

    2014-03-01

    Full Text Available This paper presents a highly formalized approach to strategy formulation and optimization of strategic performance through proper resource allocation. A stochastic quantitative model of strategic performance (SQMSP is used to evaluate the efficiency of the strategy developed. The SQMSP follows the theoretical notions of the balanced scorecard (BSC and strategy map methodologies, initially developed by Kaplan and Norton. Parameters of the SQMSP are suggested to be random variables and be evaluated by experts who give two-point (optimistic and pessimistic values and three-point (optimistic, most probable and pessimistic values evaluations. The Monte-Carlo method is used to simulate strategic performance. Having been implemented within a computer application and applied to solve the real problem (planning of an IT-strategy at the Faculty of Economics, University of Split the proposed approach demonstrated its high potential as a basis for development of decision support tools related to strategic planning.

  9. Stochastic light-cone CTMRG: a new DMRG approach to stochastic models 02.50.Ey Stochastic processes; 64.60.Ht Dynamic critical phenomena; 02.70.-c Computational techniques; 05.10.Cc Renormalization group methods;

    CERN Document Server

    Kemper, A; Nishino, T; Schadschneider, A; Zittartz, J

    2003-01-01

    We develop a new variant of the recently introduced stochastic transfer matrix DMRG which we call stochastic light-cone corner-transfer-matrix DMRG (LCTMRG). It is a numerical method to compute dynamic properties of one-dimensional stochastic processes. As suggested by its name, the LCTMRG is a modification of the corner-transfer-matrix DMRG, adjusted by an additional causality argument. As an example, two reaction-diffusion models, the diffusion-annihilation process and the branch-fusion process are studied and compared with exact data and Monte Carlo simulations to estimate the capability and accuracy of the new method. The number of possible Trotter steps of more than 10 sup 5 shows a considerable improvement on the old stochastic TMRG algorithm.

  10. 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.

  11. A Comparison of Deterministic and Stochastic Modeling Approaches for Biochemical Reaction Systems: On Fixed Points, Means, and Modes.

    Science.gov (United States)

    Hahl, Sayuri K; Kremling, Andreas

    2016-01-01

    In the mathematical modeling of biochemical reactions, a convenient standard approach is to use ordinary differential equations (ODEs) that follow the law of mass action. However, this deterministic ansatz is based on simplifications; in particular, it neglects noise, which is inherent to biological processes. In contrast, the stochasticity of reactions is captured in detail by the discrete chemical master equation (CME). Therefore, the CME is frequently applied to mesoscopic systems, where copy numbers of involved components are small and random fluctuations are thus significant. Here, we compare those two common modeling approaches, aiming at identifying parallels and discrepancies between deterministic variables and possible stochastic counterparts like the mean or modes of the state space probability distribution. To that end, a mathematically flexible reaction scheme of autoregulatory gene expression is translated into the corresponding ODE and CME formulations. We show that in the thermodynamic limit, deterministic stable fixed points usually correspond well to the modes in the stationary probability distribution. However, this connection might be disrupted in small systems. The discrepancies are characterized and systematically traced back to the magnitude of the stoichiometric coefficients and to the presence of nonlinear reactions. These factors are found to synergistically promote large and highly asymmetric fluctuations. As a consequence, bistable but unimodal, and monostable but bimodal systems can emerge. This clearly challenges the role of ODE modeling in the description of cellular signaling and regulation, where some of the involved components usually occur in low copy numbers. Nevertheless, systems whose bimodality originates from deterministic bistability are found to sustain a more robust separation of the two states compared to bimodal, but monostable systems. In regulatory circuits that require precise coordination, ODE modeling is thus still

  12. Modeling and Analysis of Inter-Vehicle Communication: A Stochastic Geometry Approach

    KAUST Repository

    Farooq, Muhammad Junaid

    2015-05-01

    Vehicular communication is the enabling technology for the development of the intelligent transportation systems (ITS), which aims to improve the efficiency and safety of transportation. It can be used for a variety of useful applications such as adaptive traffic control, coordinated braking, emergency messaging, peer-to-peer networking for infotainment services and automatic toll collection etc... Accurate yet simple models for vehicular networks are required in order to understand and optimize their operation. For reliable communication between vehicles, the spectrum access is coordinated via carrier sense multiple access (CSMA) protocol. Existing models either use a simplified network abstraction and access control scheme for analysis or depend on simulation studies. Therefore it is important to develop an analytical model for CSMA coordinated communication between vehicles. In the first part of the thesis, stochastic geometry is exploited to develop a modeling framework for CSMA coordinated inter-vehicle communication (IVC) in a multi-lane highway scenario. The performance of IVC is studied in multi-lane highways taking into account the inter-lane separations and the number of traffic lanes and it is shown that for wide multi-lane highways, the line abstraction model that is widely used in literature loses accuracy and hence the analysis is not reliable. Since the analysis of CSMA in the vehicular setting makes the analysis intractable, an aggressive interference approximation and a conservative interference approximation is proposed for the probability of transmission success. These approximations are tight in the low traffic and high traffic densities respectively. In the subsequent part of the thesis, the developed model is extended to multi-hop IVC because several vehicular applications require going beyond the local communication and efficiently disseminate information across the roads via multi-hops. Two well-known greedy packet forwarding schemes are

  13. A bottom-up approach of stochastic demand allocation in water quality modelling

    NARCIS (Netherlands)

    Blokker, E.J.M.; Vreeburg, J.H.G.; Beverloo, H.; Klein Arfman, M.; Van Dijk, J.C.

    2010-01-01

    An “all pipes” hydraulic model of a drinking water distribution system was constructed with two types of demand allocations. One is constructed with the conventional top-down approach, i.e. a demand multiplier pattern from the booster station is allocated to all demand nodes with a correction factor

  14. Stochastic modelling of a single ion channel: an alternating renewal approach with application to limited time resolution.

    Science.gov (United States)

    Milne, R K; Yeo, G F; Edeson, R O; Madsen, B W

    1988-04-22

    Stochastic models of ion channels have been based largely on Markov theory where individual states and transition rates must be specified, and sojourn-time densities for each state are constrained to be exponential. This study presents an approach based on random-sum methods and alternating-renewal theory, allowing individual states to be grouped into classes provided the successive sojourn times in a given class are independent and identically distributed. Under these conditions Markov models form a special case. The utility of the approach is illustrated by considering the effects of limited time resolution (modelled by using a discrete detection limit, xi) on the properties of observable events, with emphasis on the observed open-time (xi-open-time). The cumulants and Laplace transform for a xi-open-time are derived for a range of Markov and non-Markov models; several useful approximations to the xi-open-time density function are presented. Numerical studies show that the effects of limited time resolution can be extreme, and also highlight the relative importance of the various model parameters. The theory could form a basis for future inferential studies in which parameter estimation takes account of limited time resolution in single channel records. Appendixes include relevant results concerning random sums and a discussion of the role of exponential distributions in Markov models.

  15. Rainfall Stochastic models

    Science.gov (United States)

    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

  16. Stochastic Models of Polymer Systems

    Science.gov (United States)

    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

  17. Modeling pitting corrosion damage of high-level radioactive-waste containers, with emphasis on the stochastic approach

    Energy Technology Data Exchange (ETDEWEB)

    Henshall, G.A.; Halsey, W.G.; Clarke, W.L.; McCright, R.D.

    1993-01-01

    Recent efforts to identify methods of modeling pitting corrosion damage of high-level radioactive-waste containers are described. The need to develop models that can provide information useful to higher level system performance assessment models is emphasized, and examples of how this could be accomplished are described. Work to date has focused upon physically-based phenomenological stochastic models of pit initiation and growth. These models may provide a way to distill information from mechanistic theories in a way that provides the necessary information to the less detailed performance assessment models. Monte Carlo implementations of the stochastic theory have resulted in simulations that are, at least qualitatively, consistent with a wide variety of experimental data. The effects of environment on pitting corrosion have been included in the model using a set of simple phenomenological equations relating the parameters of the stochastic model to key environmental variables. The results suggest that stochastic models might be useful for extrapolating accelerated test data and for predicting the effects of changes in the environment on pit initiation and growth. Preliminary ideas for integrating pitting models with performance assessment models are discussed. These ideas include improving the concept of container ``failure``, and the use of ``rules-of-thumb`` to take information from the detailed process models and provide it to the higher level system and subsystem models. Finally, directions for future work are described, with emphasis on additional experimental work since it is an integral part of the modeling process.

  18. Modeling pitting corrosion damage of high-level radioactive-waste containers, with emphasis on the stochastic approach

    International Nuclear Information System (INIS)

    Henshall, G.A.; Halsey, W.G.; Clarke, W.L.; McCright, R.D.

    1993-01-01

    Recent efforts to identify methods of modeling pitting corrosion damage of high-level radioactive-waste containers are described. The need to develop models that can provide information useful to higher level system performance assessment models is emphasized, and examples of how this could be accomplished are described. Work to date has focused upon physically-based phenomenological stochastic models of pit initiation and growth. These models may provide a way to distill information from mechanistic theories in a way that provides the necessary information to the less detailed performance assessment models. Monte Carlo implementations of the stochastic theory have resulted in simulations that are, at least qualitatively, consistent with a wide variety of experimental data. The effects of environment on pitting corrosion have been included in the model using a set of simple phenomenological equations relating the parameters of the stochastic model to key environmental variables. The results suggest that stochastic models might be useful for extrapolating accelerated test data and for predicting the effects of changes in the environment on pit initiation and growth. Preliminary ideas for integrating pitting models with performance assessment models are discussed. These ideas include improving the concept of container ''failure'', and the use of ''rules-of-thumb'' to take information from the detailed process models and provide it to the higher level system and subsystem models. Finally, directions for future work are described, with emphasis on additional experimental work since it is an integral part of the modeling process

  19. Modelling and simulating decision processes of linked lives: An approach based on concurrent processes and stochastic race.

    Science.gov (United States)

    Warnke, Tom; Reinhardt, Oliver; Klabunde, Anna; Willekens, Frans; Uhrmacher, Adelinde M

    2017-10-01

    Individuals' decision processes play a central role in understanding modern migration phenomena and other demographic processes. Their integration into agent-based computational demography depends largely on suitable support by a modelling language. We are developing the Modelling Language for Linked Lives (ML3) to describe the diverse decision processes of linked lives succinctly in continuous time. The context of individuals is modelled by networks the individual is part of, such as family ties and other social networks. Central concepts, such as behaviour conditional on agent attributes, age-dependent behaviour, and stochastic waiting times, are tightly integrated in the language. Thereby, alternative decisions are modelled by concurrent processes that compete by stochastic race. Using a migration model, we demonstrate how this allows for compact description of complex decisions, here based on the Theory of Planned Behaviour. We describe the challenges for the simulation algorithm posed by stochastic race between multiple concurrent complex decisions.

  20. A New Approach to Predict Microbial Community Assembly and Function Using a Stochastic, Genome-Enabled Modeling Framework

    Science.gov (United States)

    King, E.; Brodie, E.; Anantharaman, K.; Karaoz, U.; Bouskill, N.; Banfield, J. F.; Steefel, C. I.; Molins, S.

    2016-12-01

    Characterizing and predicting the microbial and chemical compositions of subsurface aquatic systems necessitates an understanding of the metabolism and physiology of organisms that are often uncultured or studied under conditions not relevant for one's environment of interest. Cultivation-independent approaches are therefore important and have greatly enhanced our ability to characterize functional microbial diversity. The capability to reconstruct genomes representing thousands of populations from microbial communities using metagenomic techniques provides a foundation for development of predictive models for community structure and function. Here, we discuss a genome-informed stochastic trait-based model incorporated into a reactive transport framework to represent the activities of coupled guilds of hypothetical microorganisms. Metabolic pathways for each microbe within a functional guild are parameterized from metagenomic data with a unique combination of traits governing organism fitness under dynamic environmental conditions. We simulate the thermodynamics of coupled electron donor and acceptor reactions to predict the energy available for cellular maintenance, respiration, biomass development, and enzyme production. While `omics analyses can now characterize the metabolic potential of microbial communities, it is functionally redundant as well as computationally prohibitive to explicitly include the thousands of recovered organisms into biogeochemical models. However, one can derive potential metabolic pathways from genomes along with trait-linkages to build probability distributions of traits. These distributions are used to assemble groups of microbes that couple one or more of these pathways. From the initial ensemble of microbes, only a subset will persist based on the interaction of their physiological and metabolic traits with environmental conditions, competing organisms, etc. Here, we analyze the predicted niches of these hypothetical microbes and

  1. A stochastic approach to anelastic creep

    International Nuclear Information System (INIS)

    Venkataraman, G.

    1976-01-01

    Anelastic creep or the time-dependent yielding or a material subjected to external stresses has been found to be of great importantance in technology in the recent years, particularly in engineering structures including nuclear reactors wherein structural members may be under stress. The physics aspects underlying this phenomenon is dealt with in detail. The basics of time-dependent elasticity, constitutive relation, network models, constitutive equation in the frequency domain and its mearurements, and stochastic approach to creep are discussed. (K.B.)

  2. 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.

  3. 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)

  4. 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...

  5. 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)

  6. A stochastic approach to chemical evolution

    International Nuclear Information System (INIS)

    Copi, C.J.

    1997-01-01

    Observations of elemental abundances in the Galaxy have repeatedly shown an intrinsic scatter as a function of time and metallicity. The standard approach to chemical evolution does not attempt to address this scatter in abundances since only the mean evolution is followed. In this work, the scatter is addressed via a stochastic approach to solving chemical evolution models. Three simple chemical evolution scenarios are studied using this stochastic approach: a closed box model, an infall model, and an outflow model. These models are solved for the solar neighborhood in a Monte Carlo fashion. The evolutionary history of one particular region is determined randomly based on the star formation rate and the initial mass function. Following the evolution in an ensemble of such regions leads to the predicted spread in abundances expected, based solely on different evolutionary histories of otherwise identical regions. In this work, 13 isotopes are followed, including the light elements, the CNO elements, a few α-elements, and iron. It is found that the predicted spread in abundances for a 10 5 M circle-dot region is in good agreement with observations for the α-elements. For CN, the agreement is not as good, perhaps indicating the need for more physics input for low-mass stellar evolution. Similarly for the light elements, the predicted scatter is quite small, which is in contradiction to the observations of 3 He in HII regions. The models are tuned for the solar neighborhood so that good agreement with HII regions is not expected. This has important implications for low-mass stellar evolution and on using chemical evolution to determine the primordial light-element abundances in order to test big bang nucleosynthesis. copyright 1997 The American Astronomical Society

  7. 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.

  8. Modeling Cellular Networks with Full Duplex D2D Communication: A Stochastic Geometry Approach

    KAUST Repository

    Ali, Konpal S.

    2016-08-24

    Full-duplex (FD) communication is optimistically promoted to double the spectral efficiency if sufficient self-interference cancellation (SIC) is achieved. However, this is not true when deploying FD-communication in a large-scale setup due to the induced mutual interference. Therefore, a large-scale study is necessary to draw legitimate conclusions about gains associated with FD-communication. This paper studies the FD operation for underlay device-to-device (D2D) communication sharing the uplink resources in cellular networks. We propose a disjoint fine-tuned selection criterion for the D2D and FD modes of operation. Then, we develop a tractable analytical paradigm, based on stochastic geometry, to calculate the outage probability and rate for cellular and D2D users. The results reveal that even in the case of perfect SIC, due to the increased interference injected to the network by FD-D2D communication, having all proximity UEs transmit in FD-D2D is not beneficial for the network. However, if the system parameters are carefully tuned, non-trivial network spectral-efficiency gains (64% shown) can be harvested. We also investigate the effects of imperfect SIC and D2D-link distance distribution on the harvested FD gains.

  9. An SDP Approach for Multiperiod Mixed 0–1 Linear Programming Models with Stochastic Dominance Constraints for Risk Management

    DEFF Research Database (Denmark)

    Escudero, Laureano F.; Monge, Juan Francisco; Morales, Dolores Romero

    2015-01-01

    In this paper we consider multiperiod mixed 0–1 linear programming models under uncertainty. We propose a risk averse strategy using stochastic dominance constraints (SDC) induced by mixed-integer linear recourse as the risk measure. The SDC strategy extends the existing literature to the multist...

  10. 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...

  11. Stochastic Modelling of Hydrologic Systems

    DEFF Research Database (Denmark)

    Jonsdottir, Harpa

    2007-01-01

    In this PhD project several stochastic modelling methods are studied and applied on various subjects in hydrology. The research was prepared at Informatics and Mathematical Modelling at the Technical University of Denmark. The thesis is divided into two parts. The first part contains...... an 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....

  12. 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...

  13. 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...

  14. 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....

  15. Stochastic modeling of consumer preferences for health care institutions.

    Science.gov (United States)

    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.

  16. Stochastic Thermodynamics: A Dynamical Systems Approach

    Directory of Open Access Journals (Sweden)

    Tanmay Rajpurohit

    2017-12-01

    Full Text Available In this paper, we develop an energy-based, large-scale dynamical system model driven by Markov diffusion processes to present a unified framework for statistical thermodynamics predicated on a stochastic dynamical systems formalism. Specifically, using a stochastic state space formulation, we develop a nonlinear stochastic compartmental dynamical system model characterized by energy conservation laws that is consistent with statistical thermodynamic principles. In particular, we show that the difference between the average supplied system energy and the average stored system energy for our stochastic thermodynamic model is a martingale with respect to the system filtration. In addition, we show that the average stored system energy is equal to the mean energy that can be extracted from the system and the mean energy that can be delivered to the system in order to transfer it from a zero energy level to an arbitrary nonempty subset in the state space over a finite stopping time.

  17. Error performance analysis in K-tier uplink cellular networks using a stochastic geometric approach

    KAUST Repository

    Afify, Laila H.; Elsawy, Hesham; Al-Naffouri, Tareq Y.; Alouini, Mohamed-Slim

    2015-01-01

    -in-Distribution approach that utilizes stochastic geometric tools to account for the network geometry in the performance characterization. Different from the other stochastic geometry models adopted in the literature, the developed analysis accounts for important

  18. A stochastic programming approach to manufacturing flow control

    OpenAIRE

    Haurie, Alain; Moresino, Francesco

    2012-01-01

    This paper proposes and tests an approximation of the solution of a class of piecewise deterministic control problems, typically used in the modeling of manufacturing flow processes. This approximation uses a stochastic programming approach on a suitably discretized and sampled system. The method proceeds through two stages: (i) the Hamilton-Jacobi-Bellman (HJB) dynamic programming equations for the finite horizon continuous time stochastic control problem are discretized over a set of sample...

  19. 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...

  20. 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

  1. Stochastic-field cavitation model

    Science.gov (United States)

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

    2013-07-01

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

  2. A Fractionally Integrated Wishart Stochastic Volatility Model

    NARCIS (Netherlands)

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

    2013-01-01

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

  3. Transport properties of stochastic Lorentz models

    NARCIS (Netherlands)

    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

  4. An Approach to Stochastic Peridynamic Theory.

    Energy Technology Data Exchange (ETDEWEB)

    Demmie, Paul N.

    2018-04-01

    In many material systems, man-made or natural, we have an incomplete knowledge of geometric or material properties, which leads to uncertainty in predicting their performance under dynamic loading. Given the uncertainty and a high degree of spatial variability in properties of materials subjected to impact, a stochastic theory of continuum mechanics would be useful for modeling dynamic response of such systems. Peridynamic theory is such a theory. It is formulated as an integro- differential equation that does not employ spatial derivatives, and provides for a consistent formulation of both deformation and failure of materials. We discuss an approach to stochastic peridynamic theory and illustrate the formulation with examples of impact loading of geological materials with uncorrelated or correlated material properties. We examine wave propagation and damage to the material. The most salient feature is the absence of spallation, referred to as disorder toughness, which generalizes similar results from earlier quasi-static damage mechanics. Acknowledgements This research was made possible by the support from DTRA grant HDTRA1-08-10-BRCWM. I thank Dr. Martin Ostoja-Starzewski for introducing me to the mechanics of random materials and collaborating with me throughout and after this DTRA project.

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

    DEFF Research Database (Denmark)

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

    2015-01-01

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

  6. Modeling and Analysis of Inter-Vehicle Communication: A Stochastic Geometry Approach

    KAUST Repository

    Farooq, Muhammad Junaid

    2015-01-01

    -hop transmission success probability and the average forward progress for vehicular networks in a multi-lane highway setup. The developed model reveals the interplay between the spectrum sensing threshold of the CSMA protocol and the packet forwarding scheme. A new

  7. Pulse Packet Stochastic Model for Gastric Emptying in the Fasted State: A Physiological Approach.

    Science.gov (United States)

    Talattof, Arjang; Amidon, Gordon L

    2018-03-05

    Fasted-state gastrointestinal (GI) fluid transit is typically represented as a first-order, deterministic process (averaged and viewed as a continuous approximation). It is, however, most likely a discrete process involving fluid packets interrupted by variable time periods of little to no fluid emptying. In this report we present a physiologically based pulsed-packet gastric fluid emptying model and evaluate it with respect to recent gastrointestinal fluid volume emptying results, published gastric emptying of various dosage forms, and gastric fluid emptying as a function of GI motility. We develop the mathematical model for gastric emptying of discrete volumes emptied during intermittent pulse times of variable lengths, defined as a function of gastric motility utilizing a Poisson point process with motility-dependent intensity. We compare the simulations with observed gastric emptying results. The discrete pulse-packet gastric volumetric emptying model is a more physiologically realistic mathematical model for gastric emptying and it accounts well for the average observed emptying rates and, importantly, encompasses the variability of of observed volume and dosage form emptying rates.

  8. A stochastic Markov chain approach for tennis: Monte Carlo simulation and modeling

    Science.gov (United States)

    Aslam, Kamran

    This dissertation describes the computational formulation of probability density functions (pdfs) that facilitate head-to-head match simulations in tennis along with ranking systems developed from their use. A background on the statistical method used to develop the pdfs , the Monte Carlo method, and the resulting rankings are included along with a discussion on ranking methods currently being used both in professional sports and in other applications. Using an analytical theory developed by Newton and Keller in [34] that defines a tennis player's probability of winning a game, set, match and single elimination tournament, a computational simulation has been developed in Matlab that allows further modeling not previously possible with the analytical theory alone. Such experimentation consists of the exploration of non-iid effects, considers the concept the varying importance of points in a match and allows an unlimited number of matches to be simulated between unlikely opponents. The results of these studies have provided pdfs that accurately model an individual tennis player's ability along with a realistic, fair and mathematically sound platform for ranking them.

  9. Polarimetric and angular light-scattering from dense media: Comparison of a vectorial radiative transfer model with analytical, stochastic and experimental approaches

    International Nuclear Information System (INIS)

    Riviere, Nicolas; Ceolato, Romain; Hespel, Laurent

    2013-01-01

    Our work presents computations via a vectorial radiative transfer model of the polarimetric and angular light scattered by a stratified dense medium with small and intermediate optical thickness. We report the validation of this model using analytical results and different computational methods like stochastic algorithms. Moreover, we check the model with experimental data from a specific scatterometer developed at the Onera. The advantages and disadvantages of a radiative approach are discussed. This paper represents a step toward the characterization of particles in dense media involving multiple scattering. -- Highlights: • A vectorial radiative transfer model to simulate the light scattered by stratified layers is developed. • The vectorial radiative transfer equation is solved using an adding–doubling technique. • The results are compared to analytical and stochastic data. • Validation with experimental data from a scatterometer developed at Onera is presented

  10. 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)

  11. Stochastic diffusion models for substitutable technological innovations

    NARCIS (Netherlands)

    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

  12. 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

  13. A Solution Approach from an Analytic Model to Heuristic Algorithm for Special Case of Vehicle Routing Problem with Stochastic Demands

    Directory of Open Access Journals (Sweden)

    2009-03-01

    Full Text Available We define a special case for the vehicle routing problem with stochastic demands (SC-VRPSD where customer demands are normally distributed. We propose a new linear model for computing the expected length of a tour in SC-VRPSD. The proposed model is based on the integration of the “Traveling Salesman Problem” (TSP and the Assignment Problem. For large-scale problems, we also use an Iterated Local Search (ILS algorithm in order to reach an effective solution.

  14. Stochastic models for atmospheric dispersion

    DEFF Research Database (Denmark)

    Ditlevsen, Ove Dalager

    2003-01-01

    Simple stochastic differential equation models have been applied by several researchers to describe the dispersion of tracer particles in the planetary atmospheric boundary layer and to form the basis for computer simulations of particle paths. To obtain the drift coefficient, empirical vertical...... positions close to the boundaries. Different rules have been suggested in the literature with justifications based on simulation studies. Herein the relevant stochastic differential equation model is formulated in a particular way. The formulation is based on the marginal transformation of the position...... 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...

  15. Stochastic approach to equilibrium and nonequilibrium thermodynamics.

    Science.gov (United States)

    Tomé, Tânia; de Oliveira, Mário J

    2015-04-01

    We develop the stochastic approach to thermodynamics based on stochastic dynamics, which can be discrete (master equation) and continuous (Fokker-Planck equation), and on two assumptions concerning entropy. The first is the definition of entropy itself and the second the definition of entropy production rate, which is non-negative and vanishes in thermodynamic equilibrium. Based on these assumptions, we study interacting systems with many degrees of freedom in equilibrium or out of thermodynamic equilibrium and how the macroscopic laws are derived from the stochastic dynamics. These studies include the quasiequilibrium processes; the convexity of the equilibrium surface; the monotonic time behavior of thermodynamic potentials, including entropy; the bilinear form of the entropy production rate; the Onsager coefficients and reciprocal relations; and the nonequilibrium steady states of chemical reactions.

  16. Stochastic Approaches Within a High Resolution Rapid Refresh Ensemble

    Science.gov (United States)

    Jankov, I.

    2017-12-01

    It is well known that global and regional numerical weather prediction (NWP) ensemble systems are under-dispersive, producing unreliable and overconfident ensemble forecasts. Typical approaches to alleviate this problem include the use of multiple dynamic cores, multiple physics suite configurations, or a combination of the two. While these approaches may produce desirable results, they have practical and theoretical deficiencies and are more difficult and costly to maintain. An active area of research that promotes a more unified and sustainable system is the use of stochastic physics. Stochastic approaches include Stochastic Parameter Perturbations (SPP), Stochastic Kinetic Energy Backscatter (SKEB), and Stochastic Perturbation of Physics Tendencies (SPPT). The focus of this study is to assess model performance within a convection-permitting ensemble at 3-km grid spacing across the Contiguous United States (CONUS) using a variety of stochastic approaches. A single physics suite configuration based on the operational High-Resolution Rapid Refresh (HRRR) model was utilized and ensemble members produced by employing stochastic methods. Parameter perturbations (using SPP) for select fields were employed in the Rapid Update Cycle (RUC) land surface model (LSM) and Mellor-Yamada-Nakanishi-Niino (MYNN) Planetary Boundary Layer (PBL) schemes. Within MYNN, SPP was applied to sub-grid cloud fraction, mixing length, roughness length, mass fluxes and Prandtl number. In the RUC LSM, SPP was applied to hydraulic conductivity and tested perturbing soil moisture at initial time. First iterative testing was conducted to assess the initial performance of several configuration settings (e.g. variety of spatial and temporal de-correlation lengths). Upon selection of the most promising candidate configurations using SPP, a 10-day time period was run and more robust statistics were gathered. SKEB and SPPT were included in additional retrospective tests to assess the impact of using

  17. Gas contract portfolio management: a stochastic programming approach

    International Nuclear Information System (INIS)

    Haurie, A.; Smeers, Y.; Zaccour, G.

    1991-01-01

    This paper deals with a stochastic programming model which complements long range market simulation models generating scenarios concerning the evolution of demand and prices for gas in different market segments. Agas company has to negociate contracts with lengths going from one to twenty years. This stochastic model is designed to assess the risk associated with committing the gas production capacity of the company to these market segments. Different approaches are presented to overcome the difficulties associated with the very large size of the resulting optimization problem

  18. 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...

  19. Stochastic modeling analysis and simulation

    CERN Document Server

    Nelson, Barry L

    1995-01-01

    A coherent introduction to the techniques for modeling dynamic stochastic systems, this volume also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Suitable for advanced undergraduates and graduate-level industrial engineers and management science majors, it proposes modeling systems in terms of their simulation, regardless of whether simulation is employed for analysis. Beginning with a view of the conditions that permit a mathematical-numerical analysis, the text explores Poisson and renewal processes, Markov chains in discrete and continuous time, se

  20. 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.

  1. Brain-inspired Stochastic Models and Implementations

    KAUST Repository

    Al-Shedivat, Maruan

    2015-05-12

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

  2. 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...

  3. Stochastic models, estimation, and control

    CERN Document Server

    Maybeck, Peter S

    1982-01-01

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

  4. 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...

  5. 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

  6. Stochastic models for tumoral growth

    Science.gov (United States)

    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.

  7. Comparison of Control Approaches in Genetic Regulatory Networks by Using Stochastic Master Equation Models, Probabilistic Boolean Network Models and Differential Equation Models and Estimated Error Analyzes

    Science.gov (United States)

    Caglar, Mehmet Umut; Pal, Ranadip

    2011-03-01

    Central dogma of molecular biology states that ``information cannot be transferred back from protein to either protein or nucleic acid''. However, this assumption is not exactly correct in most of the cases. There are a lot of feedback loops and interactions between different levels of systems. These types of interactions are hard to analyze due to the lack of cell level data and probabilistic - nonlinear nature of interactions. Several models widely used to analyze and simulate these types of nonlinear interactions. Stochastic Master Equation (SME) models give probabilistic nature of the interactions in a detailed manner, with a high calculation cost. On the other hand Probabilistic Boolean Network (PBN) models give a coarse scale picture of the stochastic processes, with a less calculation cost. Differential Equation (DE) models give the time evolution of mean values of processes in a highly cost effective way. The understanding of the relations between the predictions of these models is important to understand the reliability of the simulations of genetic regulatory networks. In this work the success of the mapping between SME, PBN and DE models is analyzed and the accuracy and affectivity of the control policies generated by using PBN and DE models is compared.

  8. Aggregation, impaired degradation and immunization targeting of amyloid-beta dimers in Alzheimer’s disease: a stochastic modelling approach

    Directory of Open Access Journals (Sweden)

    Proctor Carole J

    2012-07-01

    Full Text Available Abstract Background Alzheimer’s disease (AD is the most frequently diagnosed neurodegenerative disorder affecting humans, with advanced age being the most prominent risk factor for developing AD. Despite intense research efforts aimed at elucidating the precise molecular underpinnings of AD, a definitive answer is still lacking. In recent years, consensus has grown that dimerisation of the polypeptide amyloid-beta (Aß, particularly Aß42, plays a crucial role in the neuropathology that characterise AD-affected post-mortem brains, including the large-scale accumulation of fibrils, also referred to as senile plaques. This has led to the realistic hope that targeting Aß42 immunotherapeutically could drastically reduce plaque burden in the ageing brain, thus delaying AD onset or symptom progression. Stochastic modelling is a useful tool for increasing understanding of the processes underlying complex systems-affecting disorders such as AD, providing a rapid and inexpensive strategy for testing putative new therapies. In light of the tool’s utility, we developed computer simulation models to examine Aß42 turnover and its aggregation in detail and to test the effect of immunization against Aß dimers. Results Our model demonstrates for the first time that even a slight decrease in the clearance rate of Aß42 monomers is sufficient to increase the chance of dimers forming, which could act as instigators of protofibril and fibril formation, resulting in increased plaque levels. As the process is slow and levels of Aβ are normally low, stochastic effects are important. Our model predicts that reducing the rate of dimerisation leads to a significant reduction in plaque levels and delays onset of plaque formation. The model was used to test the effect of an antibody mediated immunological response. Our results showed that plaque levels were reduced compared to conditions where antibodies are not present. Conclusion Our model supports the current

  9. Stochastic hyperfine interactions modeling library

    Science.gov (United States)

    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

  10. 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.

  11. 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...

  12. Stochastic modeling of soil salinity

    Science.gov (United States)

    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.

  13. Valuing a gas-fired power plant: A comparison of ordinary linear models, regime-switching approaches, and models with stochastic volatility

    International Nuclear Information System (INIS)

    Heydari, Somayeh; Siddiqui, Afzal

    2010-01-01

    Energy prices are often highly volatile with unexpected spikes. Capturing these sudden spikes may lead to more informed decision-making in energy investments, such as valuing gas-fired power plants, than ignoring them. In this paper, non-linear regime-switching models and models with mean-reverting stochastic volatility are compared with ordinary linear models. The study is performed using UK electricity and natural gas daily spot prices and suggests that with the aim of valuing a gas-fired power plant with and without operational flexibility, non-linear models with stochastic volatility, specifically for logarithms of electricity prices, provide better out-of-sample forecasts than both linear models and regime-switching models.

  14. Modeling stochastic frontier based on vine copulas

    Science.gov (United States)

    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.

  15. Stochastic Modelling of Shiroro River Stream flow Process

    OpenAIRE

    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...

  16. Stochastic Watershed Models for Risk Based Decision Making

    Science.gov (United States)

    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

  17. 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

  18. 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)

  19. Model selection for integrated pest management with stochasticity.

    Science.gov (United States)

    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.

  20. Modeling stochasticity and robustness in gene regulatory networks.

    Science.gov (United States)

    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.

  1. Stochastic models of intracellular transport

    KAUST Repository

    Bressloff, Paul C.

    2013-01-09

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

  2. 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 ...

  3. Towards Model Checking Stochastic Process Algebra

    NARCIS (Netherlands)

    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

  4. Stochastic biomathematical models with applications to neuronal modeling

    CERN Document Server

    Batzel, Jerry; Ditlevsen, Susanne

    2013-01-01

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

  5. 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

  6. Modelling the stochastic behaviour of primary nucleation.

    Science.gov (United States)

    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.

  7. Modeling and analysis of stochastic systems

    CERN Document Server

    Kulkarni, Vidyadhar G

    2011-01-01

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

  8. Stochastic modeling and control system designs of the NASA/MSFC Ground Facility for large space structures: The maximum entropy/optimal projection approach

    Science.gov (United States)

    Hsia, Wei-Shen

    1986-01-01

    In the Control Systems Division of the Systems Dynamics Laboratory of the NASA/MSFC, a Ground Facility (GF), in which the dynamics and control system concepts being considered for Large Space Structures (LSS) applications can be verified, was designed and built. One of the important aspects of the GF is to design an analytical model which will be as close to experimental data as possible so that a feasible control law can be generated. Using Hyland's Maximum Entropy/Optimal Projection Approach, a procedure was developed in which the maximum entropy principle is used for stochastic modeling and the optimal projection technique is used for a reduced-order dynamic compensator design for a high-order plant.

  9. 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

  10. The stochastic system approach for estimating dynamic treatments effect.

    Science.gov (United States)

    Commenges, Daniel; Gégout-Petit, Anne

    2015-10-01

    The problem of assessing the effect of a treatment on a marker in observational studies raises the difficulty that attribution of the treatment may depend on the observed marker values. As an example, we focus on the analysis of the effect of a HAART on CD4 counts, where attribution of the treatment may depend on the observed marker values. This problem has been treated using marginal structural models relying on the counterfactual/potential response formalism. Another approach to causality is based on dynamical models, and causal influence has been formalized in the framework of the Doob-Meyer decomposition of stochastic processes. Causal inference however needs assumptions that we detail in this paper and we call this approach to causality the "stochastic system" approach. First we treat this problem in discrete time, then in continuous time. This approach allows incorporating biological knowledge naturally. When working in continuous time, the mechanistic approach involves distinguishing the model for the system and the model for the observations. Indeed, biological systems live in continuous time, and mechanisms can be expressed in the form of a system of differential equations, while observations are taken at discrete times. Inference in mechanistic models is challenging, particularly from a numerical point of view, but these models can yield much richer and reliable results.

  11. Scalable inference for stochastic block models

    KAUST Repository

    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.

  12. Intimate Partner Violence: A Stochastic Model.

    Science.gov (United States)

    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.

  13. 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.

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

    International Nuclear Information System (INIS)

    Zhu Wenli; Hu Jin

    2006-01-01

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

  15. 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

  16. 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.

  17. Scalable inference for stochastic block models

    KAUST Repository

    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

  18. 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, ...

  19. 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...

  20. A Bayesian approach for the stochastic modeling error reduction of magnetic material identification of an electromagnetic device

    International Nuclear Information System (INIS)

    Abdallh, A; Crevecoeur, G; Dupré, L

    2012-01-01

    Magnetic material properties of an electromagnetic device can be recovered by solving an inverse problem where measurements are adequately interpreted by a mathematical forward model. The accuracy of these forward models dramatically affects the accuracy of the material properties recovered by the inverse problem. The more accurate the forward model is, the more accurate recovered data are. However, the more accurate ‘fine’ models demand a high computational time and memory storage. Alternatively, less accurate ‘coarse’ models can be used with a demerit of the high expected recovery errors. This paper uses the Bayesian approximation error approach for improving the inverse problem results when coarse models are utilized. The proposed approach adapts the objective function to be minimized with the a priori misfit between fine and coarse forward model responses. In this paper, two different electromagnetic devices, namely a switched reluctance motor and an EI core inductor, are used as case studies. The proposed methodology is validated on both purely numerical and real experimental results. The results show a significant reduction in the recovery error within an acceptable computational time. (paper)

  1. A stochastic model of enzyme kinetics

    Science.gov (United States)

    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.

  2. Stochastic modeling of thermal fatigue crack growth

    CERN Document Server

    Radu, Vasile

    2015-01-01

    The book describes a systematic stochastic modeling approach for assessing thermal-fatigue crack-growth in mixing tees, based on the power spectral density of temperature fluctuation at the inner pipe surface. It shows the development of a frequency-temperature response function in the framework of single-input, single-output (SISO) methodology from random noise/signal theory under sinusoidal input. The frequency response of stress intensity factor (SIF) is obtained by a polynomial fitting procedure of thermal stress profiles at various instants of time. The method, which takes into account the variability of material properties, and has been implemented in a real-world application, estimates the probabilities of failure by considering a limit state function and Monte Carlo analysis, which are based on the proposed stochastic model. Written in a comprehensive and accessible style, this book presents a new and effective method for assessing thermal fatigue crack, and it is intended as a concise and practice-or...

  3. 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...

  4. A stochastic SIS epidemic model with vaccination

    Science.gov (United States)

    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.

  5. Dynamics of a Stochastic Intraguild Predation Model

    Directory of Open Access Journals (Sweden)

    Zejing Xing

    2016-04-01

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

  6. 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....

  7. 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

  8. Stochastic Turing Patterns: Analysis of Compartment-Based Approaches

    KAUST Repository

    Cao, Yang; Erban, Radek

    2014-01-01

    © 2014, Society for Mathematical Biology. Turing patterns can be observed in reaction-diffusion systems where chemical species have different diffusion constants. In recent years, several studies investigated the effects of noise on Turing patterns and showed that the parameter regimes, for which stochastic Turing patterns are observed, can be larger than the parameter regimes predicted by deterministic models, which are written in terms of partial differential equations (PDEs) for species concentrations. A common stochastic reaction-diffusion approach is written in terms of compartment-based (lattice-based) models, where the domain of interest is divided into artificial compartments and the number of molecules in each compartment is simulated. In this paper, the dependence of stochastic Turing patterns on the compartment size is investigated. It has previously been shown (for relatively simpler systems) that a modeler should not choose compartment sizes which are too small or too large, and that the optimal compartment size depends on the diffusion constant. Taking these results into account, we propose and study a compartment-based model of Turing patterns where each chemical species is described using a different set of compartments. It is shown that the parameter regions where spatial patterns form are different from the regions obtained by classical deterministic PDE-based models, but they are also different from the results obtained for the stochastic reaction-diffusion models which use a single set of compartments for all chemical species. In particular, it is argued that some previously reported results on the effect of noise on Turing patterns in biological systems need to be reinterpreted.

  9. Stochastic Turing Patterns: Analysis of Compartment-Based Approaches

    KAUST Repository

    Cao, Yang

    2014-11-25

    © 2014, Society for Mathematical Biology. Turing patterns can be observed in reaction-diffusion systems where chemical species have different diffusion constants. In recent years, several studies investigated the effects of noise on Turing patterns and showed that the parameter regimes, for which stochastic Turing patterns are observed, can be larger than the parameter regimes predicted by deterministic models, which are written in terms of partial differential equations (PDEs) for species concentrations. A common stochastic reaction-diffusion approach is written in terms of compartment-based (lattice-based) models, where the domain of interest is divided into artificial compartments and the number of molecules in each compartment is simulated. In this paper, the dependence of stochastic Turing patterns on the compartment size is investigated. It has previously been shown (for relatively simpler systems) that a modeler should not choose compartment sizes which are too small or too large, and that the optimal compartment size depends on the diffusion constant. Taking these results into account, we propose and study a compartment-based model of Turing patterns where each chemical species is described using a different set of compartments. It is shown that the parameter regions where spatial patterns form are different from the regions obtained by classical deterministic PDE-based models, but they are also different from the results obtained for the stochastic reaction-diffusion models which use a single set of compartments for all chemical species. In particular, it is argued that some previously reported results on the effect of noise on Turing patterns in biological systems need to be reinterpreted.

  10. Stochastic models of the Social Security trust funds.

    Science.gov (United States)

    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.

  11. 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....

  12. A stochastic approach to multi-gene expression dynamics

    International Nuclear Information System (INIS)

    Ochiai, T.; Nacher, J.C.; Akutsu, T.

    2005-01-01

    In the last years, tens of thousands gene expression profiles for cells of several organisms have been monitored. Gene expression is a complex transcriptional process where mRNA molecules are translated into proteins, which control most of the cell functions. In this process, the correlation among genes is crucial to determine the specific functions of genes. Here, we propose a novel multi-dimensional stochastic approach to deal with the gene correlation phenomena. Interestingly, our stochastic framework suggests that the study of the gene correlation requires only one theoretical assumption-Markov property-and the experimental transition probability, which characterizes the gene correlation system. Finally, a gene expression experiment is proposed for future applications of the model

  13. Reflected stochastic differential equation models for constrained animal movement

    Science.gov (United States)

    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.

  14. Symmetries of stochastic differential equations: A geometric approach

    Energy Technology Data Exchange (ETDEWEB)

    De Vecchi, Francesco C., E-mail: francesco.devecchi@unimi.it; Ugolini, Stefania, E-mail: stefania.ugolini@unimi.it [Dipartimento di Matematica, Università degli Studi di Milano, via Saldini 50, Milano (Italy); Morando, Paola, E-mail: paola.morando@unimi.it [DISAA, Università degli Studi di Milano, via Celoria 2, Milano (Italy)

    2016-06-15

    A new notion of stochastic transformation is proposed and applied to the study of both weak and strong symmetries of stochastic differential equations (SDEs). The correspondence between an algebra of weak symmetries for a given SDE and an algebra of strong symmetries for a modified SDE is proved under suitable regularity assumptions. This general approach is applied to a stochastic version of a two dimensional symmetric ordinary differential equation and to the case of two dimensional Brownian motion.

  15. Constraining Stochastic Parametrisation Schemes Using High-Resolution Model Simulations

    Science.gov (United States)

    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.

  16. 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...

  17. Deterministic and stochastic CTMC models from Zika disease transmission

    Science.gov (United States)

    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.

  18. 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...

  19. 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...

  20. 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

  1. 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.

  2. 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

  3. 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

  4. Stochastic modeling of sunshine number data

    Science.gov (United States)

    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

  5. 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

  6. 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.

  7. Lithium-ion battery capacity fading dynamics modelling for formulation optimization: A stochastic approach to accelerate the design process

    International Nuclear Information System (INIS)

    Tao, Laifa; Cheng, Yujie; Lu, Chen; Su, Yuzhuan; Chong, Jin; Jin, Haizu; Lin, Yongshou; Noktehdan, Azadeh

    2017-01-01

    Highlights: •The model is linked to known physicochemical degradation processes and material properties. •Aging dynamics of various battery formulations can be understood by the proposed model. •Large number of experiments will be reduced to accelerate the battery design process. •This approach can describe batteries under various operating conditions. •The proposed model is simple and easily implemented. -- Abstract: A five-state nonhomogeneous Markov chain model, which is an effective and promising way to accelerate the Li-ion battery design process by investigating the capacity fading dynamics of different formulations during the battery design phase, is reported. The parameters of this model are linked to known physicochemical degradation dynamics and material properties. Herein, the states and behaviors of the active materials in Li-ion batteries are modelled. To verify the efficiency of the proposed model, a dataset from approximately 3 years of cycling capacity fading experiments of various formulations using several different materials provided by Contemporary Amperex Technology Limited (CATL), as well as a NASA dataset, are employed. The capabilities of the proposed model for different amounts (50%, 70%, and 90%) of available experimental capacity data are tested and analyzed to assist with the final design determination for manufacturers. The average relative errors of life cycling prediction acquired from these tests are less than 2.4%, 0.8%, and 0.3%, even when only 50%, 70%, and 90% of the data, respectively, is available for different anode materials, electrolyte materials, and individual batteries. Furthermore, the variance is 0.518% when only 50% of the data are available; i.e., one can save at least 50% of the total experimental time and cost with an accuracy greater than 97% in the design phase, which demonstrates an effective and promising way to accelerate the Li-ion battery design process. The qualitative and quantitative analyses

  8. 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...

  9. MEASURING INFLATION THROUGH STOCHASTIC APPROACH TO INDEX NUMBERS FOR PAKISTAN

    Directory of Open Access Journals (Sweden)

    Zahid Asghar

    2010-09-01

    Full Text Available This study attempts to estimate the rate of inflation in Pakistan through stochastic approach to index numbers which provides not only point estimate but also confidence interval for the rate of inflation. There are two types of approaches to index number theory namely: the functional economic approaches and the stochastic approach. The attraction of stochastic approach is that it estimates the rate of inflation in which uncertainty and statistical ideas play a major roll of screening index numbers. We have used extended stochastic approach to index numbers for measuring inflation by allowing for the systematic changes in the relative prices. We use CPI data covering the period July 2001--March 2008 for Pakistan.

  10. 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)

  11. 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.

  12. Stochastic volatility models and Kelvin waves

    Science.gov (United States)

    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.

  13. 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

  14. 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...

  15. 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.

  16. Lifetime distribution in thermal fatigue - a stochastic geometry approach

    International Nuclear Information System (INIS)

    Kullig, E.; Michel, B.

    1996-02-01

    The present report describes the interpretation approach for crack patterns which are generated on the smooth surface of austenitic specimens under thermal fatigue loading. A framework for the fracture mechanics characterization of equibiaxially loaded branched surface cracks is developed which accounts also for crack interaction effects. Advanced methods for the statistical evaluation of crack patterns using suitable characteristic quantities are developed. An efficient simulation procedure allows to identify the impact of different variables of the stochastic crack growth model with respect to the generated crack patterns. (orig.) [de

  17. 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.

  18. 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.

  19. Compositional Modelling of Stochastic Hybrid Systems

    NARCIS (Netherlands)

    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

  20. 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...

  1. 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.

  2. The critical domain size of stochastic population models.

    Science.gov (United States)

    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.

  3. 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.

  4. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates"

    OpenAIRE

    Akihiko Takahashi; Kohta Takehara

    2007-01-01

    This paper proposes an asymptotic expansion scheme of currency options with a libor market model of interest rates and stochastic volatility models of spot exchange rates. In particular, we derive closed-form approximation formulas for the density functions of the underlying assets and for pricing currency options based on the third order asymptotic expansion scheme; we do not model a foreign exchange rate's variance such as in Heston[1993], but its volatility that follows a general time-inho...

  5. Distributed parallel computing in stochastic modeling of groundwater systems.

    Science.gov (United States)

    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.

  6. A Proposed Stochastic Finite Difference Approach Based on Homogenous Chaos Expansion

    Directory of Open Access Journals (Sweden)

    O. H. Galal

    2013-01-01

    Full Text Available This paper proposes a stochastic finite difference approach, based on homogenous chaos expansion (SFDHC. The said approach can handle time dependent nonlinear as well as linear systems with deterministic or stochastic initial and boundary conditions. In this approach, included stochastic parameters are modeled as second-order stochastic processes and are expanded using Karhunen-Loève expansion, while the response function is approximated using homogenous chaos expansion. Galerkin projection is used in converting the original stochastic partial differential equation (PDE into a set of coupled deterministic partial differential equations and then solved using finite difference method. Two well-known equations were used for efficiency validation of the method proposed. First one being the linear diffusion equation with stochastic parameter and the second is the nonlinear Burger's equation with stochastic parameter and stochastic initial and boundary conditions. In both of these examples, the probability distribution function of the response manifested close conformity to the results obtained from Monte Carlo simulation with optimized computational cost.

  7. Deterministic and stochastic models for middle east respiratory syndrome (MERS)

    Science.gov (United States)

    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.

  8. Structural factoring approach for analyzing stochastic networks

    Science.gov (United States)

    Hayhurst, Kelly J.; Shier, Douglas R.

    1991-01-01

    The problem of finding the distribution of the shortest path length through a stochastic network is investigated. A general algorithm for determining the exact distribution of the shortest path length is developed based on the concept of conditional factoring, in which a directed, stochastic network is decomposed into an equivalent set of smaller, generally less complex subnetworks. Several network constructs are identified and exploited to reduce significantly the computational effort required to solve a network problem relative to complete enumeration. This algorithm can be applied to two important classes of stochastic path problems: determining the critical path distribution for acyclic networks and the exact two-terminal reliability for probabilistic networks. Computational experience with the algorithm was encouraging and allowed the exact solution of networks that have been previously analyzed only by approximation techniques.

  9. 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.

  10. 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

  11. Stochastic linear programming models, theory, and computation

    CERN Document Server

    Kall, Peter

    2011-01-01

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

  12. 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....

  13. Modelling and simulating decision processes of linked lives: An approach based on concurrent processes and stochastic race

    NARCIS (Netherlands)

    Warnke, T.; Reinhardt, O.; Klabunde, A.; Willekens, F.J.; Uhrmacher, A.

    2017-01-01

    Individuals’ decision processes play a central role in understanding modern migration phenomena and other demographic processes. Their integration into agent-based computational demography depends largely on suitable support by a modelling language. We are developing the Modelling Language for

  14. Modeling animal movements using stochastic differential equations

    Science.gov (United States)

    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...

  15. 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

  16. Approaching complexity by stochastic methods: From biological systems to turbulence

    Energy Technology Data Exchange (ETDEWEB)

    Friedrich, Rudolf [Institute for Theoretical Physics, University of Muenster, D-48149 Muenster (Germany); Peinke, Joachim [Institute of Physics, Carl von Ossietzky University, D-26111 Oldenburg (Germany); Sahimi, Muhammad [Mork Family Department of Chemical Engineering and Materials Science, University of Southern California, Los Angeles, CA 90089-1211 (United States); Reza Rahimi Tabar, M., E-mail: mohammed.r.rahimi.tabar@uni-oldenburg.de [Department of Physics, Sharif University of Technology, Tehran 11155-9161 (Iran, Islamic Republic of); Institute of Physics, Carl von Ossietzky University, D-26111 Oldenburg (Germany); Fachbereich Physik, Universitaet Osnabrueck, Barbarastrasse 7, 49076 Osnabrueck (Germany)

    2011-09-15

    This review addresses a central question in the field of complex systems: given a fluctuating (in time or space), sequentially measured set of experimental data, how should one analyze the data, assess their underlying trends, and discover the characteristics of the fluctuations that generate the experimental traces? In recent years, significant progress has been made in addressing this question for a class of stochastic processes that can be modeled by Langevin equations, including additive as well as multiplicative fluctuations or noise. Important results have emerged from the analysis of temporal data for such diverse fields as neuroscience, cardiology, finance, economy, surface science, turbulence, seismic time series and epileptic brain dynamics, to name but a few. Furthermore, it has been recognized that a similar approach can be applied to the data that depend on a length scale, such as velocity increments in fully developed turbulent flow, or height increments that characterize rough surfaces. A basic ingredient of the approach to the analysis of fluctuating data is the presence of a Markovian property, which can be detected in real systems above a certain time or length scale. This scale is referred to as the Markov-Einstein (ME) scale, and has turned out to be a useful characteristic of complex systems. We provide a review of the operational methods that have been developed for analyzing stochastic data in time and scale. We address in detail the following issues: (i) reconstruction of stochastic evolution equations from data in terms of the Langevin equations or the corresponding Fokker-Planck equations and (ii) intermittency, cascades, and multiscale correlation functions.

  17. Approaching complexity by stochastic methods: From biological systems to turbulence

    International Nuclear Information System (INIS)

    Friedrich, Rudolf; Peinke, Joachim; Sahimi, Muhammad; Reza Rahimi Tabar, M.

    2011-01-01

    This review addresses a central question in the field of complex systems: given a fluctuating (in time or space), sequentially measured set of experimental data, how should one analyze the data, assess their underlying trends, and discover the characteristics of the fluctuations that generate the experimental traces? In recent years, significant progress has been made in addressing this question for a class of stochastic processes that can be modeled by Langevin equations, including additive as well as multiplicative fluctuations or noise. Important results have emerged from the analysis of temporal data for such diverse fields as neuroscience, cardiology, finance, economy, surface science, turbulence, seismic time series and epileptic brain dynamics, to name but a few. Furthermore, it has been recognized that a similar approach can be applied to the data that depend on a length scale, such as velocity increments in fully developed turbulent flow, or height increments that characterize rough surfaces. A basic ingredient of the approach to the analysis of fluctuating data is the presence of a Markovian property, which can be detected in real systems above a certain time or length scale. This scale is referred to as the Markov-Einstein (ME) scale, and has turned out to be a useful characteristic of complex systems. We provide a review of the operational methods that have been developed for analyzing stochastic data in time and scale. We address in detail the following issues: (i) reconstruction of stochastic evolution equations from data in terms of the Langevin equations or the corresponding Fokker-Planck equations and (ii) intermittency, cascades, and multiscale correlation functions.

  18. 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.

  19. Stochastic models in reliability and maintenance

    CERN Document Server

    2002-01-01

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

  20. News Impact Curve for Stochastic Volatility Models

    OpenAIRE

    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...

  1. Spreading dynamics on complex networks: a general stochastic approach.

    Science.gov (United States)

    Noël, Pierre-André; Allard, Antoine; Hébert-Dufresne, Laurent; Marceau, Vincent; Dubé, Louis J

    2014-12-01

    Dynamics on networks is considered from the perspective of Markov stochastic processes. We partially describe the state of the system through network motifs and infer any missing data using the available information. This versatile approach is especially well adapted for modelling spreading processes and/or population dynamics. In particular, the generality of our framework and the fact that its assumptions are explicitly stated suggests that it could be used as a common ground for comparing existing epidemics models too complex for direct comparison, such as agent-based computer simulations. We provide many examples for the special cases of susceptible-infectious-susceptible and susceptible-infectious-removed dynamics (e.g., epidemics propagation) and we observe multiple situations where accurate results may be obtained at low computational cost. Our perspective reveals a subtle balance between the complex requirements of a realistic model and its basic assumptions.

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

    DEFF Research Database (Denmark)

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

    of cellulose, co-fermentation of sugars and downstream processes for purification and recovery of most value-added products. The dynamic model involves both the mass and energy balances coupled with constitutive dynamic equations to assess the process yield and energy efficiency of different bioethanol...

  3. A novel approach towards fatigue damage prognostics of composite materials utilizing SHM data and stochastic degradation modeling

    NARCIS (Netherlands)

    Loutas, T.; Eleftheroglou, N.

    2016-01-01

    A prognostic framework is proposed in order to estimate the remaining useful life of composite materials under fatigue loading based on acoustic emission data and a sophisticated Non Homogenous Hidden Semi Markov Model. Bayesian neural networks are also utilized as an alternative machine learning

  4. Stochastic inflation: Quantum phase-space approach

    International Nuclear Information System (INIS)

    Habib, S.

    1992-01-01

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

  5. Model predictive control classical, robust and stochastic

    CERN Document Server

    Kouvaritakis, Basil

    2016-01-01

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

  6. Dynamic optimization deterministic and stochastic models

    CERN Document Server

    Hinderer, Karl; Stieglitz, Michael

    2016-01-01

    This book explores discrete-time dynamic optimization and provides a detailed introduction to both deterministic and stochastic models. Covering problems with finite and infinite horizon, as well as Markov renewal programs, Bayesian control models and partially observable processes, the book focuses on the precise modelling of applications in a variety of areas, including operations research, computer science, mathematics, statistics, engineering, economics and finance. Dynamic Optimization is a carefully presented textbook which starts with discrete-time deterministic dynamic optimization problems, providing readers with the tools for sequential decision-making, before proceeding to the more complicated stochastic models. The authors present complete and simple proofs and illustrate the main results with numerous examples and exercises (without solutions). With relevant material covered in four appendices, this book is completely self-contained.

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

    Science.gov (United States)

    2013-09-30

    statistically extratropical storms and extremes, and link these to LFV modes. Mingfang Ting, Yochanan Kushnir, Andrew W. Robertson, Lei Wang...forecast models, as well as in the understanding they have generated. Adam Sobel, Daehyun Kim and Shuguang Wang. Extratropical variability and...predictability. Determine the extent to which extratropical monthly and seasonal low-frequency variability (LFV, i.e. PNA, NAO, as well as other regional

  8. 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

  9. Approach to stochastic modelling of consumer exposure for any substance from canned foods using simulant migration data.

    Science.gov (United States)

    Castle, L; Hart, A; Holmes, M J; Oldring, P K T

    2006-05-01

    A two-dimensional probabilistic model was constructed to estimate the short-term dietary exposure of UK consumers to any generalized migrant from coated light metal food packaging. Using three UK National Dietary and Nutrition Surveys (NDNS) comprising 4-7-day dietary surveys for different age and gender groups, actual body weights and survey years, a sample representative of the dietary consumption of the UK population was obtained comprising around 4,200 food items. Interrogation of the raw data showed that the per capita consumption of food and beverage for an adult was 2.9 kg per person day(-1), which is comparable with the US FDA value of 3.0 kg. The packaging type of each food item was assigned from the survey descriptions or by sampling from distributions based upon market share information and expert judgement. Each food item was assigned to the relevant food simulant: A (aqueous), B (acidic) or D (fatty), so that simulant migration data could be used. The exposure model was used to evaluate exposure for a given level of migration and, conversely, the level of migration that could be tolerated whilst keeping within a target threshold exposure level. As examples, migration at 10 microg dm(-2) into fatty foods only resulted in an exposure ranging from 0.06 to 0.22 microg kg(-1) body (actual) weight day(-1) depending on the scenario. The model revealed that if migration from metal coatings was only into fatty foods, migration in the range 1.83-4.95 microg dm(2) (97.5th percentile, depending on the scenario) would give an exposure of less than 1.5 microg per person day(-1). This is a toxicological threshold limit used in the USA. If migration into simulants A and B is also considered to be at the same level as that for simulant D, then the level of migration for the threshold to be reached is, not surprisingly, lower (0.64-0.87 microg dm(-2)) than that if migration were only into fatty foods. In this case, clearly the main contributors to the exposure were

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

    CERN Document Server

    Herrmann, Samuel; Pavlyukevich, Ilya; Peithmann, Dierk

    2013-01-01

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

  11. 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...

  12. Solvable stochastic dealer models for financial markets

    Science.gov (United States)

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

    2009-05-01

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

  13. Fuzzy Stochastic Optimization Theory, Models and Applications

    CERN Document Server

    Wang, Shuming

    2012-01-01

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

  14. Stochastic models for time series

    CERN Document Server

    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 ...

  15. 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)

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

    CERN Document Server

    Helbing, Dirk

    2010-01-01

    This new edition of Quantitative Sociodynamics presents a general strategy for interdisciplinary model building and its application to a quantitative description of behavioral changes based on social interaction processes. Originally, the crucial methods for the modeling of complex systems (stochastic methods and nonlinear dynamics) were developed in physics and mathematics, but they have very often proven their explanatory power in chemistry, biology, economics and the social sciences as well. Quantitative Sociodynamics provides a unified and comprehensive overview of the different stochastic methods, their interrelations and properties. In addition, it introduces important concepts from nonlinear dynamics (e.g. synergetics, chaos theory). The applicability of these fascinating concepts to social phenomena is carefully discussed. By incorporating decision-theoretical approaches, a fundamental dynamic model is obtained, which opens new perspectives in the social sciences. It includes many established models a...

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

    CERN Document Server

    Helbing, Dirk

    1995-01-01

    Quantitative Sociodynamics presents a general strategy for interdisciplinary model building and its application to a quantitative description of behavioural changes based on social interaction processes. Originally, the crucial methods for the modeling of complex systems (stochastic methods and nonlinear dynamics) were developed in physics but they have very often proved their explanatory power in chemistry, biology, economics and the social sciences. Quantitative Sociodynamics provides a unified and comprehensive overview of the different stochastic methods, their interrelations and properties. In addition, it introduces the most important concepts from nonlinear dynamics (synergetics, chaos theory). The applicability of these fascinating concepts to social phenomena is carefully discussed. By incorporating decision-theoretical approaches a very fundamental dynamic model is obtained which seems to open new perspectives in the social sciences. It includes many established models as special cases, e.g. the log...

  18. Stochastic Modeling of Past Volcanic Crises

    Science.gov (United States)

    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.

  19. 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.

  20. Application of Stochastic Partial Differential Equations to Reservoir Property Modelling

    KAUST Repository

    Potsepaev, R.

    2010-09-06

    Existing algorithms of geostatistics for stochastic modelling of reservoir parameters require a mapping (the \\'uvt-transform\\') into the parametric space and reconstruction of a stratigraphic co-ordinate system. The parametric space can be considered to represent a pre-deformed and pre-faulted depositional environment. Existing approximations of this mapping in many cases cause significant distortions to the correlation distances. In this work we propose a coordinate free approach for modelling stochastic textures through the application of stochastic partial differential equations. By avoiding the construction of a uvt-transform and stratigraphic coordinates, one can generate realizations directly in the physical space in the presence of deformations and faults. In particular the solution of the modified Helmholtz equation driven by Gaussian white noise is a zero mean Gaussian stationary random field with exponential correlation function (in 3-D). This equation can be used to generate realizations in parametric space. In order to sample in physical space we introduce a stochastic elliptic PDE with tensor coefficients, where the tensor is related to correlation anisotropy and its variation is physical space.

  1. Stochastic identification of temperature effects on the dynamics of a smart composite beam: assessment of multi-model and global model approaches

    International Nuclear Information System (INIS)

    Hios, J D; Fassois, S D

    2009-01-01

    The temperature effects on the dynamics of a smart composite beam are experimentally studied via conventional multi-model and novel global model identification approaches. The multi-model approaches are based on non-parametric and parametric VARX representations, whereas the global model approaches are based on novel constant coefficient pooled (CCP) and functionally pooled (FP) VARX parametric representations. The analysis indicates that the obtained multi-model and global model representations are in rough overall agreement. Nevertheless, the latter simultaneously use all available data records offering more compact descriptions of the dynamics, improved numerical robustness and estimation accuracy, which is reflected in significantly reduced modal parameter uncertainties. Although the CCP-VARX representations provide only 'averaged' descriptions of the structural dynamics over temperature, their FP-VARX counterparts allow for the explicit, analytical modeling of temperature dependence exhibiting a 'smooth' deterministic dependence of the dynamics on temperature which is compatible with the physics of the problem. In accordance with previous studies, the obtained natural frequencies decrease with temperature in a weakly nonlinear or approximately linear fashion. The damping factors are less affected, although their dependence on temperature may be of a potentially more complex nature

  2. Stochastic programming framework for Lithuanian pension payout modelling

    Directory of Open Access Journals (Sweden)

    Audrius Kabašinskas

    2014-12-01

    Full Text Available The paper provides a scientific approach to the problem of selecting a pension fund by taking into account some specific characteristics of the Lithuanian Republic (LR pension accumulation system. The decision making model, which can be used to plan a long-term pension accrual of the Lithuanian Republic (LR citizens, in an optimal way is presented. This model focuses on factors that influence the sustainability of the pension system selection under macroeconomic, social and demographic uncertainty. The model is formalized as a single stage stochastic optimization problem where the long-term optimal strategy can be obtained based on the possible scenarios generated for a particular participant. Stochastic programming methods allow including the pension fund rebalancing moment and direction of investment, and taking into account possible changes of personal income, changes of society and the global financial market. The collection of methods used to generate scenario trees was found useful to solve strategic planning problems.

  3. 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...

  4. Modelling Evolutionary Algorithms with Stochastic Differential Equations.

    Science.gov (United States)

    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.

  5. Models of the stochastic activity of neurones

    CERN Document Server

    Holden, Arun Vivian

    1976-01-01

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

  6. Discrete stochastic analogs of Erlang epidemic models.

    Science.gov (United States)

    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%.

  7. Mathematical models of information and stochastic systems

    CERN Document Server

    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

  8. 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

  9. 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

  10. A Constructive Sharp Approach to Functional Quantization of Stochastic Processes

    OpenAIRE

    Junglen, Stefan; Luschgy, Harald

    2010-01-01

    We present a constructive approach to the functional quantization problem of stochastic processes, with an emphasis on Gaussian processes. The approach is constructive, since we reduce the infinite-dimensional functional quantization problem to a finite-dimensional quantization problem that can be solved numerically. Our approach achieves the sharp rate of the minimal quantization error and can be used to quantize the path space for Gaussian processes and also, for example, Lévy processes.

  11. Selective adsorption resonances: Quantum and stochastic approaches

    International Nuclear Information System (INIS)

    Sanz, A.S.; Miret-Artes, S.

    2007-01-01

    In this review we cover recent advances in the theory of the selective adsorption phenomenon that appears in light atom/molecule scattering off solid surfaces. Due to the universal van der Waals attractive interaction incoming gas particles can get trapped by the surface, this giving rise to the formation of quasi-bound states or resonances. The knowledge of the position and width of these resonances provides relevant direct information about the nature of the gas-surface interaction as well as about the evaporation and desorption mechanisms. This information can be obtained by means of a plethora of theoretical methods developed in both the energy and time domains, which we analyze and discuss here in detail. In particular, special emphasis is given to close-coupling, wave-packet, and trajectory-based formalisms. Furthermore, a novel description of selective adsorption resonances from a stochastic quantum perspective within the density matrix and Langevin formalisms, when correlations and fluctuations of the surface (considered as a thermal bath) are taken into account, is also proposed and discussed

  12. 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...

  13. Stochastic Model Checking of the Stochastic Quality Calculus

    DEFF Research Database (Denmark)

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

    2015-01-01

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

  14. Aspects if stochastic models for short-term hydropower scheduling and bidding

    Energy Technology Data Exchange (ETDEWEB)

    Belsnes, Michael Martin [Sintef Energy, Trondheim (Norway); Follestad, Turid [Sintef Energy, Trondheim (Norway); Wolfgang, Ove [Sintef Energy, Trondheim (Norway); Fosso, Olav B. [Dep. of electric power engineering NTNU, Trondheim (Norway)

    2012-07-01

    This report discusses challenges met when turning from deterministic to stochastic decision support models for short-term hydropower scheduling and bidding. The report describes characteristics of the short-term scheduling and bidding problem, different market and bidding strategies, and how a stochastic optimization model can be formulated. A review of approaches for stochastic short-term modelling and stochastic modelling for the input variables inflow and market prices is given. The report discusses methods for approximating the predictive distribution of uncertain variables by scenario trees. Benefits of using a stochastic over a deterministic model are illustrated by a case study, where increased profit is obtained to a varying degree depending on the reservoir filling and price structure. Finally, an approach for assessing the effect of using a size restricted scenario tree to approximate the predictive distribution for stochastic input variables is described. The report is a summary of the findings of Work package 1 of the research project #Left Double Quotation Mark#Optimal short-term scheduling of wind and hydro resources#Right Double Quotation Mark#. The project aims at developing a prototype for an operational stochastic short-term scheduling model. Based on the investigations summarized in the report, it is concluded that using a deterministic equivalent formulation of the stochastic optimization problem is convenient and sufficient for obtaining a working prototype. (author)

  15. Stochastic modeling of the hypothalamic pulse generator activity.

    Science.gov (United States)

    Camproux, A C; Thalabard, J C; Thomas, G

    1994-11-01

    Luteinizing hormone (LH) is released by the pituitary in discrete pulses. In the monkey, the appearance of LH pulses in the plasma is invariably associated with sharp increases (i.e, volleys) in the frequency of the hypothalamic pulse generator electrical activity, so that continuous monitoring of this activity by telemetry provides a unique means to study the temporal structure of the mechanism generating the pulses. To assess whether the times of occurrence and durations of previous volleys exert significant influence on the timing of the next volley, we used a class of periodic counting process models that specify the stochastic intensity of the process as the product of two factors: 1) a periodic baseline intensity and 2) a stochastic regression function with covariates representing the influence of the past. This approach allows the characterization of circadian modulation and memory range of the process underlying hypothalamic pulse generator activity, as illustrated by fitting the model to experimental data from two ovariectomized rhesus monkeys.

  16. A stochastic approach for automatic generation of urban drainage systems.

    Science.gov (United States)

    Möderl, M; Butler, D; Rauch, W

    2009-01-01

    Typically, performance evaluation of new developed methodologies is based on one or more case studies. The investigation of multiple real world case studies is tedious and time consuming. Moreover extrapolating conclusions from individual investigations to a general basis is arguable and sometimes even wrong. In this article a stochastic approach is presented to evaluate new developed methodologies on a broader basis. For the approach the Matlab-tool "Case Study Generator" is developed which generates a variety of different virtual urban drainage systems automatically using boundary conditions e.g. length of urban drainage system, slope of catchment surface, etc. as input. The layout of the sewer system is based on an adapted Galton-Watson branching process. The sub catchments are allocated considering a digital terrain model. Sewer system components are designed according to standard values. In total, 10,000 different virtual case studies of urban drainage system are generated and simulated. Consequently, simulation results are evaluated using a performance indicator for surface flooding. Comparison between results of the virtual and two real world case studies indicates the promise of the method. The novelty of the approach is that it is possible to get more general conclusions in contrast to traditional evaluations with few case studies.

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

    Science.gov (United States)

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

    2013-04-01

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

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

    CERN Document Server

    Kulasiri, Don

    2002-01-01

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

  19. A random walk approach to stochastic neutron transport

    International Nuclear Information System (INIS)

    Mulatier, Clelia de

    2015-01-01

    One of the key goals of nuclear reactor physics is to determine the distribution of the neutron population within a reactor core. This population indeed fluctuates due to the stochastic nature of the interactions of the neutrons with the nuclei of the surrounding medium: scattering, emission of neutrons from fission events and capture by nuclear absorption. Due to these physical mechanisms, the stochastic process performed by neutrons is a branching random walk. For most applications, the neutron population considered is very large, and all physical observables related to its behaviour, such as the heat production due to fissions, are well characterised by their average values. Generally, these mean quantities are governed by the classical neutron transport equation, called linear Boltzmann equation. During my PhD, using tools from branching random walks and anomalous diffusion, I have tackled two aspects of neutron transport that cannot be approached by the linear Boltzmann equation. First, thanks to the Feynman-Kac backward formalism, I have characterised the phenomenon of 'neutron clustering' that has been highlighted for low-density configuration of neutrons and results from strong fluctuations in space and time of the neutron population. Then, I focused on several properties of anomalous (non-exponential) transport, that can model neutron transport in strongly heterogeneous and disordered media, such as pebble-bed reactors. One of the novel aspects of this work is that problems are treated in the presence of boundaries. Indeed, even though real systems are finite (confined geometries), most of previously existing results were obtained for infinite systems. (author) [fr

  20. Characterizing economic trends by Bayesian stochastic model specifi cation search

    OpenAIRE

    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...

  1. Bayesian inference for hybrid discrete-continuous stochastic kinetic models

    International Nuclear Information System (INIS)

    Sherlock, Chris; Golightly, Andrew; Gillespie, Colin S

    2014-01-01

    We consider the problem of efficiently performing simulation and inference for stochastic kinetic models. Whilst it is possible to work directly with the resulting Markov jump process (MJP), computational cost can be prohibitive for networks of realistic size and complexity. In this paper, we consider an inference scheme based on a novel hybrid simulator that classifies reactions as either ‘fast’ or ‘slow’ with fast reactions evolving as a continuous Markov process whilst the remaining slow reaction occurrences are modelled through a MJP with time-dependent hazards. A linear noise approximation (LNA) of fast reaction dynamics is employed and slow reaction events are captured by exploiting the ability to solve the stochastic differential equation driving the LNA. This simulation procedure is used as a proposal mechanism inside a particle MCMC scheme, thus allowing Bayesian inference for the model parameters. We apply the scheme to a simple application and compare the output with an existing hybrid approach and also a scheme for performing inference for the underlying discrete stochastic model. (paper)

  2. 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

  3. Robust nonlinear autoregressive moving average model parameter estimation using stochastic recurrent artificial neural networks

    DEFF Research Database (Denmark)

    Chon, K H; Hoyer, D; Armoundas, A A

    1999-01-01

    In this study, we introduce a new approach for estimating linear and nonlinear stochastic autoregressive moving average (ARMA) model parameters, given a corrupt signal, using artificial recurrent neural networks. This new approach is a two-step approach in which the parameters of the deterministic...... part of the stochastic ARMA model are first estimated via a three-layer artificial neural network (deterministic estimation step) and then reestimated using the prediction error as one of the inputs to the artificial neural networks in an iterative algorithm (stochastic estimation step). The prediction...... error is obtained by subtracting the corrupt signal of the estimated ARMA model obtained via the deterministic estimation step from the system output response. We present computer simulation examples to show the efficacy of the proposed stochastic recurrent neural network approach in obtaining accurate...

  4. Stochastic quantization of a topological quantum mechanical model

    International Nuclear Information System (INIS)

    Antunes, Sergio; Krein, Gastao; Menezes, Gabriel; Svaiter, Nami Fux

    2011-01-01

    Full text: Stochastic quantization of complex actions has been extensively studied in the literature. In these models, a Markovian Langevin equation is used in order to study the quantization of such systems. In such papers, the advantages of the Markovian stochastic quantization method were explored and exposed. However, many drawbacks of the method were also pointed out, such as instability of the simulations with absence of convergence and sometimes convergence to the wrong limit. Indeed, although several alternative methods have been proposed to deal with interesting physical systems where the action is complex, these approaches do not suggest any general way of solving the particular difficulties that arise in each situation. Here, we wish to make contributions to the program of stochastic quantization of theories with imaginary action by investigating the consequences of a non-Markovian stochastic quantization in a particular situation, namely a quantum mechanical topological action. We analyze the Markovian stochastic quantization for a topological quantum mechanical action which is analog to a Maxwell-Chern-Simons action in the Weyl gauge. Afterwards we consider a Langevin equation with memory kernel and Einstein's relations with colored noise. We show that convergence towards equilibrium is achieved in both regimes. We also sketch a simple numerical analysis to investigate the possible advantages of non-Markovian procedure over the usual Markovian quantization. Both retarded Green's function for the diffusion problem are considered in such analysis. We show that, although the results indicated that the effect of memory kernel, as usually expected, is to delay the convergence to equilibrium, non-Markovian systems imply a faster decay compared to Markovian ones as well as smoother convergence to equilibrium. (author)

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

    African Journals Online (AJOL)

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

  6. 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

  7. Double diffusivity model under stochastic forcing

    Science.gov (United States)

    Chattopadhyay, Amit K.; Aifantis, Elias C.

    2017-05-01

    The "double diffusivity" model was proposed in the late 1970s, and reworked in the early 1980s, as a continuum counterpart to existing discrete models of diffusion corresponding to high diffusivity paths, such as grain boundaries and dislocation lines. It was later rejuvenated in the 1990s to interpret experimental results on diffusion in polycrystalline and nanocrystalline specimens where grain boundaries and triple grain boundary junctions act as high diffusivity paths. Technically, the model pans out as a system of coupled Fick-type diffusion equations to represent "regular" and "high" diffusivity paths with "source terms" accounting for the mass exchange between the two paths. The model remit was extended by analogy to describe flow in porous media with double porosity, as well as to model heat conduction in media with two nonequilibrium local temperature baths, e.g., ion and electron baths. Uncoupling of the two partial differential equations leads to a higher-ordered diffusion equation, solutions of which could be obtained in terms of classical diffusion equation solutions. Similar equations could also be derived within an "internal length" gradient (ILG) mechanics formulation applied to diffusion problems, i.e., by introducing nonlocal effects, together with inertia and viscosity, in a mechanics based formulation of diffusion theory. While being remarkably successful in studies related to various aspects of transport in inhomogeneous media with deterministic microstructures and nanostructures, its implications in the presence of stochasticity have not yet been considered. This issue becomes particularly important in the case of diffusion in nanopolycrystals whose deterministic ILG-based theoretical calculations predict a relaxation time that is only about one-tenth of the actual experimentally verified time scale. This article provides the "missing link" in this estimation by adding a vital element in the ILG structure, that of stochasticity, that takes into

  8. Optimizing ZigBee Security using Stochastic Model Checking

    DEFF Research Database (Denmark)

    Yuksel, Ender; Nielson, Hanne Riis; Nielson, Flemming

    , we identify an important gap in the specification on key updates, and present a methodology for determining optimal key update policies and security parameters. We exploit the stochastic model checking approach using the probabilistic model checker PRISM, and assess the security needs for realistic......ZigBee is a fairly new but promising wireless sensor network standard that offers the advantages of simple and low resource communication. Nevertheless, security is of great concern to ZigBee, and enhancements are prescribed in the latest ZigBee specication: ZigBee-2007. In this technical report...

  9. A stochastic approach to the derivation of exemption and clearance levels

    International Nuclear Information System (INIS)

    Deckert, A.

    1997-01-01

    Deciding what clearance levels are appropriate for a particular waste stream inherently involves a number of uncertainties. Some of these uncertainties can be quantified using stochastic modeling techniques, which can aid the process of decision making. In this presentation the German approach to dealing with the uncertainties involved in setting clearance levels is addressed. (author)

  10. 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

  11. Stochastic model simulation using Kronecker product analysis and Zassenhaus formula approximation.

    Science.gov (United States)

    Caglar, Mehmet Umut; Pal, Ranadip

    2013-01-01

    Probabilistic Models are regularly applied in Genetic Regulatory Network modeling to capture the stochastic behavior observed in the generation of biological entities such as mRNA or proteins. Several approaches including Stochastic Master Equations and Probabilistic Boolean Networks have been proposed to model the stochastic behavior in genetic regulatory networks. It is generally accepted that Stochastic Master Equation is a fundamental model that can describe the system being investigated in fine detail, but the application of this model is computationally enormously expensive. On the other hand, Probabilistic Boolean Network captures only the coarse-scale stochastic properties of the system without modeling the detailed interactions. We propose a new approximation of the stochastic master equation model that is able to capture the finer details of the modeled system including bistabilities and oscillatory behavior, and yet has a significantly lower computational complexity. In this new method, we represent the system using tensors and derive an identity to exploit the sparse connectivity of regulatory targets for complexity reduction. The algorithm involves an approximation based on Zassenhaus formula to represent the exponential of a sum of matrices as product of matrices. We derive upper bounds on the expected error of the proposed model distribution as compared to the stochastic master equation model distribution. Simulation results of the application of the model to four different biological benchmark systems illustrate performance comparable to detailed stochastic master equation models but with considerably lower computational complexity. The results also demonstrate the reduced complexity of the new approach as compared to commonly used Stochastic Simulation Algorithm for equivalent accuracy.

  12. 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

  13. Stochastic inverse problems: Models and metrics

    Science.gov (United States)

    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.

  14. 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.

  15. Modeling nanoparticle uptake and intracellular distribution using stochastic process algebras

    Energy Technology Data Exchange (ETDEWEB)

    Dobay, M. P. D., E-mail: maria.pamela.david@physik.uni-muenchen.de; Alberola, A. Piera; Mendoza, E. R.; Raedler, J. O., E-mail: joachim.raedler@physik.uni-muenchen.de [Ludwig-Maximilians University, Faculty of Physics, Center for NanoScience (Germany)

    2012-03-15

    Computational modeling is increasingly important to help understand the interaction and movement of nanoparticles (NPs) within living cells, and to come to terms with the wealth of data that microscopy imaging yields. A quantitative description of the spatio-temporal distribution of NPs inside cells; however, it is challenging due to the complexity of multiple compartments such as endosomes and nuclei, which themselves are dynamic and can undergo fusion and fission and exchange their content. Here, we show that stochastic pi calculus, a widely-used process algebra, is well suited for mapping surface and intracellular NP interactions and distributions. In stochastic pi calculus, each NP is represented as a process, which can adopt various states such as bound or aggregated, as well as be passed between processes representing location, as a function of predefined stochastic channels. We created a pi calculus model of gold NP uptake and intracellular movement and compared the evolution of surface-bound, cytosolic, endosomal, and nuclear NP densities with electron microscopy data. We demonstrate that the computational approach can be extended to include specific molecular binding and potential interaction with signaling cascades as characteristic for NP-cell interactions in a wide range of applications such as nanotoxicity, viral infection, and drug delivery.

  16. Modeling nanoparticle uptake and intracellular distribution using stochastic process algebras

    International Nuclear Information System (INIS)

    Dobay, M. P. D.; Alberola, A. Piera; Mendoza, E. R.; Rädler, J. O.

    2012-01-01

    Computational modeling is increasingly important to help understand the interaction and movement of nanoparticles (NPs) within living cells, and to come to terms with the wealth of data that microscopy imaging yields. A quantitative description of the spatio-temporal distribution of NPs inside cells; however, it is challenging due to the complexity of multiple compartments such as endosomes and nuclei, which themselves are dynamic and can undergo fusion and fission and exchange their content. Here, we show that stochastic pi calculus, a widely-used process algebra, is well suited for mapping surface and intracellular NP interactions and distributions. In stochastic pi calculus, each NP is represented as a process, which can adopt various states such as bound or aggregated, as well as be passed between processes representing location, as a function of predefined stochastic channels. We created a pi calculus model of gold NP uptake and intracellular movement and compared the evolution of surface-bound, cytosolic, endosomal, and nuclear NP densities with electron microscopy data. We demonstrate that the computational approach can be extended to include specific molecular binding and potential interaction with signaling cascades as characteristic for NP-cell interactions in a wide range of applications such as nanotoxicity, viral infection, and drug delivery.

  17. Modeling nanoparticle uptake and intracellular distribution using stochastic process algebras

    Science.gov (United States)

    Dobay, M. P. D.; Alberola, A. Piera; Mendoza, E. R.; Rädler, J. O.

    2012-03-01

    Computational modeling is increasingly important to help understand the interaction and movement of nanoparticles (NPs) within living cells, and to come to terms with the wealth of data that microscopy imaging yields. A quantitative description of the spatio-temporal distribution of NPs inside cells; however, it is challenging due to the complexity of multiple compartments such as endosomes and nuclei, which themselves are dynamic and can undergo fusion and fission and exchange their content. Here, we show that stochastic pi calculus, a widely-used process algebra, is well suited for mapping surface and intracellular NP interactions and distributions. In stochastic pi calculus, each NP is represented as a process, which can adopt various states such as bound or aggregated, as well as be passed between processes representing location, as a function of predefined stochastic channels. We created a pi calculus model of gold NP uptake and intracellular movement and compared the evolution of surface-bound, cytosolic, endosomal, and nuclear NP densities with electron microscopy data. We demonstrate that the computational approach can be extended to include specific molecular binding and potential interaction with signaling cascades as characteristic for NP-cell interactions in a wide range of applications such as nanotoxicity, viral infection, and drug delivery.

  18. Stochastic approach and fluctuation theorem for charge transport in diodes

    Science.gov (United States)

    Gu, Jiayin; Gaspard, Pierre

    2018-05-01

    A stochastic approach for charge transport in diodes is developed in consistency with the laws of electricity, thermodynamics, and microreversibility. In this approach, the electron and hole densities are ruled by diffusion-reaction stochastic partial differential equations and the electric field generated by the charges is determined with the Poisson equation. These equations are discretized in space for the numerical simulations of the mean density profiles, the mean electric potential, and the current-voltage characteristics. Moreover, the full counting statistics of the carrier current and the measured total current including the contribution of the displacement current are investigated. On the basis of local detailed balance, the fluctuation theorem is shown to hold for both currents.

  19. Stochastic Control of Energy Efficient Buildings: A Semidefinite Programming Approach

    Energy Technology Data Exchange (ETDEWEB)

    Ma, Xiao [ORNL; Dong, Jin [ORNL; Djouadi, Seddik M [ORNL; Nutaro, James J [ORNL; Kuruganti, Teja [ORNL

    2015-01-01

    The key goal in energy efficient buildings is to reduce energy consumption of Heating, Ventilation, and Air- Conditioning (HVAC) systems while maintaining a comfortable temperature and humidity in the building. This paper proposes a novel stochastic control approach for achieving joint performance and power control of HVAC. We employ a constrained Stochastic Linear Quadratic Control (cSLQC) by minimizing a quadratic cost function with a disturbance assumed to be Gaussian. The problem is formulated to minimize the expected cost subject to a linear constraint and a probabilistic constraint. By using cSLQC, the problem is reduced to a semidefinite optimization problem, where the optimal control can be computed efficiently by Semidefinite programming (SDP). Simulation results are provided to demonstrate the effectiveness and power efficiency by utilizing the proposed control approach.

  20. Stochastic Modeling and Performance Analysis of Multimedia SoCs

    DEFF Research Database (Denmark)

    Raman, Balaji; Nouri, Ayoub; Gangadharan, Deepak

    2013-01-01

    solutions where each modeling technique has both the above mentioned characteristics. We present a probabilistic analytical framework and a statistical model checking approach to design system-on-chips for low-cost multimedia systems. We apply the modeling techniques to size the output buffer in a video......Reliability and flexibility are among the key required features of a framework used to model a system. Existing approaches to design resource-constrained, soft-real time systems either provide guarantees for output quality or account for loss in the system, but not both. We propose two independent...... decoder. The results shows that, for our stochastic design metric, the analytical framework upper bounds (and relatively accurate) compare to the statistical model checking technique. Also, we observed significant reduction in resource usage (such as output buffer size) with tolerable loss in output...

  1. 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 ...

  2. 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.

  3. Aggregation patterns from nonlocal interactions: Discrete stochastic and continuum modeling

    KAUST Repository

    Hackett-Jones, Emily J.

    2012-04-17

    Conservation equations governed by a nonlocal interaction potential generate aggregates from an initial uniform distribution of particles. We address the evolution and formation of these aggregating steady states when the interaction potential has both attractive and repulsive singularities. Currently, no existence theory for such potentials is available. We develop and compare two complementary solution methods, a continuous pseudoinverse method and a discrete stochastic lattice approach, and formally show a connection between the two. Interesting aggregation patterns involving multiple peaks for a simple doubly singular attractive-repulsive potential are determined. For a swarming Morse potential, characteristic slow-fast dynamics in the scaled inverse energy is observed in the evolution to steady state in both the continuous and discrete approaches. The discrete approach is found to be remarkably robust to modifications in movement rules, related to the potential function. The comparable evolution dynamics and steady states of the discrete model with the continuum model suggest that the discrete stochastic approach is a promising way of probing aggregation patterns arising from two- and three-dimensional nonlocal interaction conservation equations. © 2012 American Physical Society.

  4. 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

  5. Modelling biochemical reaction systems by stochastic differential equations with reflection.

    Science.gov (United States)

    Niu, Yuanling; Burrage, Kevin; Chen, Luonan

    2016-05-07

    In this paper, we gave a new framework for modelling and simulating biochemical reaction systems by stochastic differential equations with reflection not in a heuristic way but in a mathematical way. The model is computationally efficient compared with the discrete-state Markov chain approach, and it ensures that both analytic and numerical solutions remain in a biologically plausible region. Specifically, our model mathematically ensures that species numbers lie in the domain D, which is a physical constraint for biochemical reactions, in contrast to the previous models. The domain D is actually obtained according to the structure of the corresponding chemical Langevin equations, i.e., the boundary is inherent in the biochemical reaction system. A variant of projection method was employed to solve the reflected stochastic differential equation model, and it includes three simple steps, i.e., Euler-Maruyama method was applied to the equations first, and then check whether or not the point lies within the domain D, and if not perform an orthogonal projection. It is found that the projection onto the closure D¯ is the solution to a convex quadratic programming problem. Thus, existing methods for the convex quadratic programming problem can be employed for the orthogonal projection map. Numerical tests on several important problems in biological systems confirmed the efficiency and accuracy of this approach. Copyright © 2016 Elsevier Ltd. All rights reserved.

  6. Deterministic modelling and stochastic simulation of biochemical pathways using MATLAB.

    Science.gov (United States)

    Ullah, M; Schmidt, H; Cho, K H; Wolkenhauer, O

    2006-03-01

    The analysis of complex biochemical networks is conducted in two popular conceptual frameworks for modelling. The deterministic approach requires the solution of ordinary differential equations (ODEs, reaction rate equations) with concentrations as continuous state variables. The stochastic approach involves the simulation of differential-difference equations (chemical master equations, CMEs) with probabilities as variables. This is to generate counts of molecules for chemical species as realisations of random variables drawn from the probability distribution described by the CMEs. Although there are numerous tools available, many of them free, the modelling and simulation environment MATLAB is widely used in the physical and engineering sciences. We describe a collection of MATLAB functions to construct and solve ODEs for deterministic simulation and to implement realisations of CMEs for stochastic simulation using advanced MATLAB coding (Release 14). The program was successfully applied to pathway models from the literature for both cases. The results were compared to implementations using alternative tools for dynamic modelling and simulation of biochemical networks. The aim is to provide a concise set of MATLAB functions that encourage the experimentation with systems biology models. All the script files are available from www.sbi.uni-rostock.de/ publications_matlab-paper.html.

  7. SR 97. Alternative models project. Stochastic continuum modelling of Aberg

    International Nuclear Information System (INIS)

    Widen, H.; Walker, D.

    1999-08-01

    As part of studies into the siting of a deep repository for nuclear waste, Swedish Nuclear Fuel and Waste Management Company (SKB) has commissioned the Alternative Models Project (AMP). The AMP is a comparison of three alternative modelling approaches to bedrock performance assessment for a single hypothetical repository, arbitrarily named Aberg. The Aberg repository will adopt input parameters from the Aespoe Hard Rock Laboratory in southern Sweden. The models are restricted to an explicit domain, boundary conditions and canister location to facilitate the comparison. The boundary conditions are based on the regional groundwater model provided in digital format. This study is the application of HYDRASTAR, a stochastic continuum groundwater flow and transport-modelling program. The study uses 34 realisations of 945 canister locations in the hypothetical repository to evaluate the uncertainty of the advective travel time, canister flux (Darcy velocity at a canister) and F-ratio. Several comparisons of variability are constructed between individual canister locations and individual realisations. For the ensemble of all realisations with all canister locations, the study found a median travel time of 27 years, a median canister flux of 7.1 x 10 -4 m/yr and a median F-ratio of 3.3 x 10 5 yr/m. The overall pattern of regional flow is preserved in the site-scale model, as is reflected in flow paths and exit locations. The site-scale model slightly over-predicts the boundary fluxes from the single realisation of the regional model. The explicitly prescribed domain was seen to be slightly restrictive, with 6% of the stream tubes failing to exit the upper surface of the model. Sensitivity analysis and calibration are suggested as possible extensions of the modelling study

  8. 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.

  9. A polynomial-chaos-expansion-based building block approach for stochastic analysis of photonic circuits

    Science.gov (United States)

    Waqas, Abi; Melati, Daniele; Manfredi, Paolo; Grassi, Flavia; Melloni, Andrea

    2018-02-01

    The Building Block (BB) approach has recently emerged in photonic as a suitable strategy for the analysis and design of complex circuits. Each BB can be foundry related and contains a mathematical macro-model of its functionality. As well known, statistical variations in fabrication processes can have a strong effect on their functionality and ultimately affect the yield. In order to predict the statistical behavior of the circuit, proper analysis of the uncertainties effects is crucial. This paper presents a method to build a novel class of Stochastic Process Design Kits for the analysis of photonic circuits. The proposed design kits directly store the information on the stochastic behavior of each building block in the form of a generalized-polynomial-chaos-based augmented macro-model obtained by properly exploiting stochastic collocation and Galerkin methods. Using this approach, we demonstrate that the augmented macro-models of the BBs can be calculated once and stored in a BB (foundry dependent) library and then used for the analysis of any desired circuit. The main advantage of this approach, shown here for the first time in photonics, is that the stochastic moments of an arbitrary photonic circuit can be evaluated by a single simulation only, without the need for repeated simulations. The accuracy and the significant speed-up with respect to the classical Monte Carlo analysis are verified by means of classical photonic circuit example with multiple uncertain variables.

  10. 12th Workshop on Stochastic Models, Statistics and Their Applications

    CERN Document Server

    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.

  11. Simple Planar Truss (Linear, Nonlinear and Stochastic Approach

    Directory of Open Access Journals (Sweden)

    Frydrýšek Karel

    2016-11-01

    Full Text Available This article deals with a simple planar and statically determinate pin-connected truss. It demonstrates the processes and methods of derivations and solutions according to 1st and 2nd order theories. The article applies linear and nonlinear approaches and their simplifications via a Maclaurin series. Programming connected with the stochastic Simulation-Based Reliability Method (i.e. the direct Monte Carlo approach is used to conduct a probabilistic reliability assessment (i.e. a calculation of the probability that plastic deformation will occur in members of the truss.

  12. 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.

  13. 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

  14. 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.

  15. Stochastic growth logistic model with aftereffect for batch fermentation process

    Science.gov (United States)

    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.

  16. 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

  17. 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.

  18. Simultaneous perturbation stochastic approximation for tidal models

    KAUST Repository

    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.

  19. Simultaneous perturbation stochastic approximation for tidal models

    KAUST Repository

    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.

  20. A stochastic model for early placental development.

    KAUST Repository

    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.

  1. 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)

  2. Demand side management scheme in smart grid with cloud computing approach using stochastic dynamic programming

    Directory of Open Access Journals (Sweden)

    S. Sofana Reka

    2016-09-01

    Full Text Available This paper proposes a cloud computing framework in smart grid environment by creating small integrated energy hub supporting real time computing for handling huge storage of data. A stochastic programming approach model is developed with cloud computing scheme for effective demand side management (DSM in smart grid. Simulation results are obtained using GUI interface and Gurobi optimizer in Matlab in order to reduce the electricity demand by creating energy networks in a smart hub approach.

  3. STOCHASTIC MODELING OF INFLATION IN NIGERIA

    African Journals Online (AJOL)

    2006-04-04

    Apr 4, 2006 ... In this paper, we adopt a time series approach in modeling inflation in ... KEYWORDS: Buys-Ballot table; Quadratic trend; Seasonal multiplicative model, ..... Basic Statistics for Business and Economics, 2nd ed, Irwin, USA.

  4. Bayesian inference method for stochastic damage accumulation modeling

    International Nuclear Information System (INIS)

    Jiang, Xiaomo; Yuan, Yong; Liu, Xian

    2013-01-01

    Damage accumulation based reliability model plays an increasingly important role in successful realization of condition based maintenance for complicated engineering systems. This paper developed a Bayesian framework to establish stochastic damage accumulation model from historical inspection data, considering data uncertainty. Proportional hazards modeling technique is developed to model the nonlinear effect of multiple influencing factors on system reliability. Different from other hazard modeling techniques such as normal linear regression model, the approach does not require any distribution assumption for the hazard model, and can be applied for a wide variety of distribution models. A Bayesian network is created to represent the nonlinear proportional hazards models and to estimate model parameters by Bayesian inference with Markov Chain Monte Carlo simulation. Both qualitative and quantitative approaches are developed to assess the validity of the established damage accumulation model. Anderson–Darling goodness-of-fit test is employed to perform the normality test, and Box–Cox transformation approach is utilized to convert the non-normality data into normal distribution for hypothesis testing in quantitative model validation. The methodology is illustrated with the seepage data collected from real-world subway tunnels.

  5. 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.

  6. 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.

  7. 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

  8. Aggregation patterns from nonlocal interactions: Discrete stochastic and continuum modeling

    KAUST Repository

    Hackett-Jones, Emily J.; Landman, Kerry A.; Fellner, Klemens

    2012-01-01

    both attractive and repulsive singularities. Currently, no existence theory for such potentials is available. We develop and compare two complementary solution methods, a continuous pseudoinverse method and a discrete stochastic lattice approach

  9. Stochastic radiative transfer model for mixture of discontinuous vegetation canopies

    International Nuclear Information System (INIS)

    Shabanov, Nikolay V.; Huang, D.; Knjazikhin, Y.; Dickinson, R.E.; Myneni, Ranga B.

    2007-01-01

    Modeling of the radiation regime of a mixture of vegetation species is a fundamental problem of the Earth's land remote sensing and climate applications. The major existing approaches, including the linear mixture model and the turbid medium (TM) mixture radiative transfer model, provide only an approximate solution to this problem. In this study, we developed the stochastic mixture radiative transfer (SMRT) model, a mathematically exact tool to evaluate radiation regime in a natural canopy with spatially varying optical properties, that is, canopy, which exhibits a structured mixture of vegetation species and gaps. The model solves for the radiation quantities, direct input to the remote sensing/climate applications: mean radiation fluxes over whole mixture and over individual species. The canopy structure is parameterized in the SMRT model in terms of two stochastic moments: the probability of finding species and the conditional pair-correlation of species. The second moment is responsible for the 3D radiation effects, namely, radiation streaming through gaps without interaction with vegetation and variation of the radiation fluxes between different species. We performed analytical and numerical analysis of the radiation effects, simulated with the SMRT model for the three cases of canopy structure: (a) non-ordered mixture of species and gaps (TM); (b) ordered mixture of species without gaps; and (c) ordered mixture of species with gaps. The analysis indicates that the variation of radiation fluxes between different species is proportional to the variation of species optical properties (leaf albedo, density of foliage, etc.) Gaps introduce significant disturbance to the radiation regime in the canopy as their optical properties constitute major contrast to those of any vegetation species. The SMRT model resolves deficiencies of the major existing mixture models: ignorance of species radiation coupling via multiple scattering of photons (the linear mixture model

  10. STOCHASTIC MODELING OF COMPRESSIVE STRENGTH OF PHOSPHORUS SLAG CONTENT CEMENT

    Directory of Open Access Journals (Sweden)

    Ali Allahverdi

    2016-07-01

    Full Text Available One of the common methods for quick determination of compressive strength as one of the most important properties for assessment of cement quality is to apply various modeling approaches. This study is aimed at finding a model for estimating the compressive strength of phosphorus slag content cements. For this purpose, the compressive strengths of chemically activated high phosphorus slag content cement prepared from phosphorus slag (80 wt.%, Portland cement (14 wt.% and a compound chemical activator containing sodium sulfate and anhydrite (6 wt.% were measured at various Blaine finenesses and curing times. Based on the obtained results, a primary stochastic model in terms of curing time and Blaine fineness has been developed. Then, another different dataset was used to incorporate composition variable including weight fractions of phosphorus slag, cement, and activator in the model. This model can be effectively used to predict the compressive strength of phosphorus slag content cements at various Blaine finenesses, curing times, and compositions.

  11. A Simple, Realistic Stochastic Model of Gastric Emptying.

    Directory of Open Access Journals (Sweden)

    Jiraphat Yokrattanasak

    Full Text Available Several models of Gastric Emptying (GE have been employed in the past to represent the rate of delivery of stomach contents to the duodenum and jejunum. These models have all used a deterministic form (algebraic equations or ordinary differential equations, considering GE as a continuous, smooth process in time. However, GE is known to occur as a sequence of spurts, irregular both in size and in timing. Hence, we formulate a simple stochastic process model, able to represent the irregular decrements of gastric contents after a meal. The model is calibrated on existing literature data and provides consistent predictions of the observed variability in the emptying trajectories. This approach may be useful in metabolic modeling, since it describes well and explains the apparently heterogeneous GE experimental results in situations where common gastric mechanics across subjects would be expected.

  12. Stochastic modeling of virus capsid assembly pathways

    Science.gov (United States)

    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).

  13. Two new algorithms to combine kriging with stochastic modelling

    Science.gov (United States)

    Venema, Victor; Lindau, Ralf; Varnai, Tamas; Simmer, Clemens

    2010-05-01

    Two main groups of statistical methods used in the Earth sciences are geostatistics and stochastic modelling. Geostatistical methods, such as various kriging algorithms, aim at estimating the mean value for every point as well as possible. In case of sparse measurements, such fields have less variability at small scales and a narrower distribution as the true field. This can lead to biases if a nonlinear process is simulated driven by such a kriged field. Stochastic modelling aims at reproducing the statistical structure of the data in space and time. One of the stochastic modelling methods, the so-called surrogate data approach, replicates the value distribution and power spectrum of a certain data set. While stochastic methods reproduce the statistical properties of the data, the location of the measurement is not considered. This requires the use of so-called constrained stochastic models. Because radiative transfer through clouds is a highly nonlinear process, it is essential to model the distribution (e.g. of optical depth, extinction, liquid water content or liquid water path) accurately. In addition, the correlations within the cloud field are important, especially because of horizontal photon transport. This explains the success of surrogate cloud fields for use in 3D radiative transfer studies. Up to now, however, we could only achieve good results for the radiative properties averaged over the field, but not for a radiation measurement located at a certain position. Therefore we have developed a new algorithm that combines the accuracy of stochastic (surrogate) modelling with the positioning capabilities of kriging. In this way, we can automatically profit from the large geostatistical literature and software. This algorithm is similar to the standard iterative amplitude adjusted Fourier transform (IAAFT) algorithm, but has an additional iterative step in which the surrogate field is nudged towards the kriged field. The nudging strength is gradually

  14. Earthquake occurrence as stochastic event: (1) theoretical models

    Energy Technology Data Exchange (ETDEWEB)

    Basili, A.; Basili, M.; Cagnetti, V.; Colombino, A.; Jorio, V.M.; Mosiello, R.; Norelli, F.; Pacilio, N.; Polinari, D.

    1977-01-01

    The present article intends liaisoning the stochastic approach in the description of earthquake processes suggested by Lomnitz with the experimental evidence reached by Schenkova that the time distribution of some earthquake occurrence is better described by a Negative Bionomial distribution than by a Poisson distribution. The final purpose of the stochastic approach might be a kind of new way for labeling a given area in terms of seismic risk.

  15. 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

  16. A hierarchical stochastic model for bistable perception.

    Science.gov (United States)

    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

  17. Stochastic modeling of wetland-groundwater systems

    Science.gov (United States)

    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.

  18. Reversibility in Quantum Models of Stochastic Processes

    Science.gov (United States)

    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.

  19. 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.

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

    Energy Technology Data Exchange (ETDEWEB)

    El Hachem, S

    1995-11-01

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

  1. 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

  2. Robust synthetic biology design: stochastic game theory approach.

    Science.gov (United States)

    Chen, Bor-Sen; Chang, Chia-Hung; Lee, Hsiao-Ching

    2009-07-15

    Synthetic biology is to engineer artificial biological systems to investigate natural biological phenomena and for a variety of applications. However, the development of synthetic gene networks is still difficult and most newly created gene networks are non-functioning due to uncertain initial conditions and disturbances of extra-cellular environments on the host cell. At present, how to design a robust synthetic gene network to work properly under these uncertain factors is the most important topic of synthetic biology. A robust regulation design is proposed for a stochastic synthetic gene network to achieve the prescribed steady states under these uncertain factors from the minimax regulation perspective. This minimax regulation design problem can be transformed to an equivalent stochastic game problem. Since it is not easy to solve the robust regulation design problem of synthetic gene networks by non-linear stochastic game method directly, the Takagi-Sugeno (T-S) fuzzy model is proposed to approximate the non-linear synthetic gene network via the linear matrix inequality (LMI) technique through the Robust Control Toolbox in Matlab. Finally, an in silico example is given to illustrate the design procedure and to confirm the efficiency and efficacy of the proposed robust gene design method. http://www.ee.nthu.edu.tw/bschen/SyntheticBioDesign_supplement.pdf.

  3. Perturbative approach to non-Markovian stochastic Schroedinger equations

    International Nuclear Information System (INIS)

    Gambetta, Jay; Wiseman, H.M.

    2002-01-01

    In this paper we present a perturbative procedure that allows one to numerically solve diffusive non-Markovian stochastic Schroedinger equations, for a wide range of memory functions. To illustrate this procedure numerical results are presented for a classically driven two-level atom immersed in an environment with a simple memory function. It is observed that as the order of the perturbation is increased the numerical results for the ensemble average state ρ red (t) approach the exact reduced state found via Imamog-barlu ' s enlarged system method [Phys. Rev. A 50, 3650 (1994)

  4. A one-dimensional stochastic approach to the study of cyclic voltammetry with adsorption effects

    Energy Technology Data Exchange (ETDEWEB)

    Samin, Adib J. [The Department of Mechanical and Aerospace Engineering, The Ohio State University, 201 W 19" t" h Avenue, Columbus, Ohio 43210 (United States)

    2016-05-15

    In this study, a one-dimensional stochastic model based on the random walk approach is used to simulate cyclic voltammetry. The model takes into account mass transport, kinetics of the redox reactions, adsorption effects and changes in the morphology of the electrode. The model is shown to display the expected behavior. Furthermore, the model shows consistent qualitative agreement with a finite difference solution. This approach allows for an understanding of phenomena on a microscopic level and may be useful for analyzing qualitative features observed in experimentally recorded signals.

  5. A one-dimensional stochastic approach to the study of cyclic voltammetry with adsorption effects

    International Nuclear Information System (INIS)

    Samin, Adib J.

    2016-01-01

    In this study, a one-dimensional stochastic model based on the random walk approach is used to simulate cyclic voltammetry. The model takes into account mass transport, kinetics of the redox reactions, adsorption effects and changes in the morphology of the electrode. The model is shown to display the expected behavior. Furthermore, the model shows consistent qualitative agreement with a finite difference solution. This approach allows for an understanding of phenomena on a microscopic level and may be useful for analyzing qualitative features observed in experimentally recorded signals.

  6. 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.

  7. 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.

  8. Quasi-continuous stochastic simulation framework for flood modelling

    Science.gov (United States)

    Moustakis, Yiannis; Kossieris, Panagiotis; Tsoukalas, Ioannis; Efstratiadis, Andreas

    2017-04-01

    Typically, flood modelling in the context of everyday engineering practices is addressed through event-based deterministic tools, e.g., the well-known SCS-CN method. A major shortcoming of such approaches is the ignorance of uncertainty, which is associated with the variability of soil moisture conditions and the variability of rainfall during the storm event.In event-based modeling, the sole expression of uncertainty is the return period of the design storm, which is assumed to represent the acceptable risk of all output quantities (flood volume, peak discharge, etc.). On the other hand, the varying antecedent soil moisture conditions across the basin are represented by means of scenarios (e.g., the three AMC types by SCS),while the temporal distribution of rainfall is represented through standard deterministic patterns (e.g., the alternative blocks method). In order to address these major inconsistencies,simultaneously preserving the simplicity and parsimony of the SCS-CN method, we have developed a quasi-continuous stochastic simulation approach, comprising the following steps: (1) generation of synthetic daily rainfall time series; (2) update of potential maximum soil moisture retention, on the basis of accumulated five-day rainfall; (3) estimation of daily runoff through the SCS-CN formula, using as inputs the daily rainfall and the updated value of soil moisture retention;(4) selection of extreme events and application of the standard SCS-CN procedure for each specific event, on the basis of synthetic rainfall.This scheme requires the use of two stochastic modelling components, namely the CastaliaR model, for the generation of synthetic daily data, and the HyetosMinute model, for the disaggregation of daily rainfall to finer temporal scales. Outcomes of this approach are a large number of synthetic flood events, allowing for expressing the design variables in statistical terms and thus properly evaluating the flood risk.

  9. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

    NARCIS (Netherlands)

    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

  10. 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.

  11. Efficient Stochastic Inversion Using Adjoint Models and Kernel-PCA

    Energy Technology Data Exchange (ETDEWEB)

    Thimmisetty, Charanraj A. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States). Center for Applied Scientific Computing; Zhao, Wenju [Florida State Univ., Tallahassee, FL (United States). Dept. of Scientific Computing; Chen, Xiao [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States). Center for Applied Scientific Computing; Tong, Charles H. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States). Center for Applied Scientific Computing; White, Joshua A. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States). Atmospheric, Earth and Energy Division

    2017-10-18

    Performing stochastic inversion on a computationally expensive forward simulation model with a high-dimensional uncertain parameter space (e.g. a spatial random field) is computationally prohibitive even when gradient information can be computed efficiently. Moreover, the ‘nonlinear’ mapping from parameters to observables generally gives rise to non-Gaussian posteriors even with Gaussian priors, thus hampering the use of efficient inversion algorithms designed for models with Gaussian assumptions. In this paper, we propose a novel Bayesian stochastic inversion methodology, which is characterized by a tight coupling between the gradient-based Langevin Markov Chain Monte Carlo (LMCMC) method and a kernel principal component analysis (KPCA). This approach addresses the ‘curse-of-dimensionality’ via KPCA to identify a low-dimensional feature space within the high-dimensional and nonlinearly correlated parameter space. In addition, non-Gaussian posterior distributions are estimated via an efficient LMCMC method on the projected low-dimensional feature space. We will demonstrate this computational framework by integrating and adapting our recent data-driven statistics-on-manifolds constructions and reduction-through-projection techniques to a linear elasticity model.

  12. Stochastic failure modelling of unidirectional composite ply failure

    International Nuclear Information System (INIS)

    Whiteside, M.B.; Pinho, S.T.; Robinson, P.

    2012-01-01

    Stochastic failure envelopes are generated through parallelised Monte Carlo Simulation of a physically based failure criteria for unidirectional carbon fibre/epoxy matrix composite plies. Two examples are presented to demonstrate the consequence on failure prediction of both statistical interaction of failure modes and uncertainty in global misalignment. Global variance-based Sobol sensitivity indices are computed to decompose the observed variance within the stochastic failure envelopes into contributions from physical input parameters. The paper highlights a selection of the potential advantages stochastic methodologies offer over the traditional deterministic approach.

  13. Field Trial Measurements to Validate a Stochastic Aircraft Boarding Model

    Directory of Open Access Journals (Sweden)

    Michael Schultz

    2018-03-01

    Full Text Available Efficient boarding procedures have to consider both operational constraints and the individual passenger behavior. In contrast to the aircraft handling processes of fueling, catering and cleaning, the boarding process is more driven by passengers than by airport or airline operators. This paper delivers a comprehensive set of operational data including classification of boarding times, passenger arrival times, times to store hand luggage, and passenger interactions in the aircraft cabin as a reliable basis for calibrating models for aircraft boarding. In this paper, a microscopic approach is used to model the passenger behavior, where the passenger movement is defined as a one-dimensional, stochastic, and time/space discrete transition process. This model is used to compare measurements from field trials of boarding procedures with simulation results and demonstrates a deviation smaller than 5%.

  14. Performance modeling, stochastic networks, and statistical multiplexing

    CERN Document Server

    Mazumdar, Ravi R

    2013-01-01

    This monograph presents a concise mathematical approach for modeling and analyzing the performance of communication networks with the aim of introducing an appropriate mathematical framework for modeling and analysis as well as understanding the phenomenon of statistical multiplexing. The models, techniques, and results presented form the core of traffic engineering methods used to design, control and allocate resources in communication networks.The novelty of the monograph is the fresh approach and insights provided by a sample-path methodology for queueing models that highlights the importan

  15. 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

  16. 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...

  17. A comparison of the stochastic and machine learning approaches in hydrologic time series forecasting

    Science.gov (United States)

    Kim, T.; Joo, K.; Seo, J.; Heo, J. H.

    2016-12-01

    Hydrologic time series forecasting is an essential task in water resources management and it becomes more difficult due to the complexity of runoff process. Traditional stochastic models such as ARIMA family has been used as a standard approach in time series modeling and forecasting of hydrological variables. Due to the nonlinearity in hydrologic time series data, machine learning approaches has been studied with the advantage of discovering relevant features in a nonlinear relation among variables. This study aims to compare the predictability between the traditional stochastic model and the machine learning approach. Seasonal ARIMA model was used as the traditional time series model, and Random Forest model which consists of decision tree and ensemble method using multiple predictor approach was applied as the machine learning approach. In the application, monthly inflow data from 1986 to 2015 of Chungju dam in South Korea were used for modeling and forecasting. In order to evaluate the performances of the used models, one step ahead and multi-step ahead forecasting was applied. Root mean squared error and mean absolute error of two models were compared.

  18. Markov Chain Models for the Stochastic Modeling of Pitting Corrosion

    OpenAIRE

    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 ...

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

    Directory of Open Access Journals (Sweden)

    Carlo Lucheroni

    2018-03-01

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

  20. Computing Optimal Stochastic Portfolio Execution Strategies: A Parametric Approach Using Simulations

    Science.gov (United States)

    Moazeni, Somayeh; Coleman, Thomas F.; Li, Yuying

    2010-09-01

    Computing optimal stochastic portfolio execution strategies under appropriate risk consideration presents great computational challenge. We investigate a parametric approach for computing optimal stochastic strategies using Monte Carlo simulations. This approach allows reduction in computational complexity by computing coefficients for a parametric representation of a stochastic dynamic strategy based on static optimization. Using this technique, constraints can be similarly handled using appropriate penalty functions. We illustrate the proposed approach to minimize the expected execution cost and Conditional Value-at-Risk (CVaR).

  1. Stochastic higher spin six vertex model and Macdonald measures

    Science.gov (United States)

    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.

  2. Outbreak and Extinction Dynamics in a Stochastic Ebola Model

    Science.gov (United States)

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

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

  3. 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.

  4. A stochastic MILP energy planning model incorporating power market dynamics

    International Nuclear Information System (INIS)

    Koltsaklis, Nikolaos E.; Nazos, Konstantinos

    2017-01-01

    Highlights: •Stochastic MILP model for the optimal energy planning of a power system. •Power market dynamics (offers/bids) are incorporated in the proposed model. •Monte Carlo method for capturing the uncertainty of some key parameters. •Analytical supply cost composition per power producer and activity. •Clean dark and spark spreads are calculated for each power unit. -- Abstract: This paper presents an optimization-based methodological approach to address the problem of the optimal planning of a power system at an annual level in competitive and uncertain power markets. More specifically, a stochastic mixed integer linear programming model (MILP) has been developed, combining advanced optimization techniques with Monte Carlo method in order to deal with uncertainty issues. The main focus of the proposed framework is the dynamic formulation of the strategy followed by all market participants in volatile market conditions, as well as detailed economic assessment of the power system’s operation. The applicability of the proposed approach has been tested on a real case study of the interconnected Greek power system, quantifying in detail all the relevant technical and economic aspects of the system’s operation. The proposed work identifies in the form of probability distributions the optimal power generation mix, electricity trade at a regional level, carbon footprint, as well as detailed total supply cost composition, according to the assumed market structure. The paper demonstrates that the proposed optimization approach is able to provide important insights into the appropriate energy strategies designed by market participants, as well as on the strategic long-term decisions to be made by investors and/or policy makers at a national and/or regional level, underscoring potential risks and providing appropriate price signals on critical energy projects under real market operating conditions.

  5. Setting development goals using stochastic dynamical system models.

    Science.gov (United States)

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

    2017-01-01

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

  6. Stochastic modeling of mode interactions via linear parabolized stability equations

    Science.gov (United States)

    Ran, Wei; Zare, Armin; Hack, M. J. Philipp; Jovanovic, Mihailo

    2017-11-01

    Low-complexity approximations of the Navier-Stokes equations have been widely used in the analysis of wall-bounded shear flows. In particular, the parabolized stability equations (PSE) and Floquet theory have been employed to capture the evolution of primary and secondary instabilities in spatially-evolving flows. We augment linear PSE with Floquet analysis to formally treat modal interactions and the evolution of secondary instabilities in the transitional boundary layer via a linear progression. To this end, we leverage Floquet theory by incorporating the primary instability into the base flow and accounting for different harmonics in the flow state. A stochastic forcing is introduced into the resulting linear dynamics to model the effect of nonlinear interactions on the evolution of modes. We examine the H-type transition scenario to demonstrate how our approach can be used to model nonlinear effects and capture the growth of the fundamental and subharmonic modes observed in direct numerical simulations and experiments.

  7. Epigenetics and Evolution: Transposons and the Stochastic Epigenetic Modification Model

    Directory of Open Access Journals (Sweden)

    Sergio Branciamore

    2015-04-01

    Full Text Available In addition to genetic variation, epigenetic variation and transposons can greatly affect the evolutionary fitnesses landscape and gene expression. Previously we proposed a mathematical treatment of a general epigenetic variation model that we called Stochastic Epigenetic Modification (SEM model. In this study we follow up with a special case, the Transposon Silencing Model (TSM, with, once again, emphasis on quantitative treatment. We have investigated the evolutionary effects of epigenetic changes due to transposon (T insertions; in particular, we have considered a typical gene locus A and postulated that (i the expression level of gene A depends on the epigenetic state (active or inactive of a cis- located transposon element T, (ii stochastic variability in the epigenetic silencing of T occurs only in a short window of opportunity during development, (iii the epigenetic state is then stable during further development, and (iv the epigenetic memory is fully reset at each generation. We develop the model using two complementary approaches: a standard analytical population genetics framework (di usion equations and Monte-Carlo simulations. Both approaches led to similar estimates for the probability of fixation and time of fixation of locus TA with initial frequency P in a randomly mating diploid population of effective size Ne. We have ascertained the e ect that ρ, the probability of transposon Modification during the developmental window, has on the population (species. One of our principal conclusions is that as ρ increases, the pattern of fixation of the combined TA locus goes from "neutral" to "dominant" to "over-dominant". We observe that, under realistic values of ρ, epigenetic Modifications can provide an e cient mechanism for more rapid fixation of transposons and cis-located gene alleles. The results obtained suggest that epigenetic silencing, even if strictly transient (being reset at each generation, can still have signi cant

  8. Error performance analysis in K-tier uplink cellular networks using a stochastic geometric approach

    KAUST Repository

    Afify, Laila H.

    2015-09-14

    In this work, we develop an analytical paradigm to analyze the average symbol error probability (ASEP) performance of uplink traffic in a multi-tier cellular network. The analysis is based on the recently developed Equivalent-in-Distribution approach that utilizes stochastic geometric tools to account for the network geometry in the performance characterization. Different from the other stochastic geometry models adopted in the literature, the developed analysis accounts for important communication system parameters and goes beyond signal-to-interference-plus-noise ratio characterization. That is, the presented model accounts for the modulation scheme, constellation type, and signal recovery techniques to model the ASEP. To this end, we derive single integral expressions for the ASEP for different modulation schemes due to aggregate network interference. Finally, all theoretical findings of the paper are verified via Monte Carlo simulations.

  9. 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

  10. Biochemical Network Stochastic Simulator (BioNetS: software for stochastic modeling of biochemical networks

    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.

  11. Stochastic bifurcation in a model of love with colored noise

    Science.gov (United States)

    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.

  12. 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

  13. Tsunamis: stochastic models of occurrence and generation mechanisms

    Science.gov (United States)

    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.

  14. 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)

  15. A stochastic aerodynamic model for stationary blades in unsteady 3D wind fields

    International Nuclear Information System (INIS)

    Fluck, Manuel; Crawford, Curran

    2016-01-01

    Dynamic loads play an important roll in the design of wind turbines, but establishing the life-time aerodynamic loads (e.g. extreme and fatigue loads) is a computationally expensive task. Conventional (deterministic) methods to analyze long term loads, which rely on the repeated analysis of multiple different wind samples, are usually too expensive to be included in optimization routines. We present a new stochastic approach, which solves the aerodynamic system equations (Lagrangian vortex model) in the stochastic space, and thus arrive directly at a stochastic description of the coupled loads along a turbine blade. This new approach removes the requirement of analyzing multiple different realizations. Instead, long term loads can be extracted from a single stochastic solution, a procedure that is obviously significantly faster. Despite the reduced analysis time, results obtained from the stochastic approach match deterministic result well for a simple test-case (a stationary blade). In future work, the stochastic method will be extended to rotating blades, thus opening up new avenues to include long term loads into turbine optimization. (paper)

  16. 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...

  17. Stochastic modeling for the expression of a gene regulated by competing transcription factors.

    Directory of Open Access Journals (Sweden)

    Hsih-Te Yang

    Full Text Available It is widely accepted that gene expression regulation is a stochastic event. The common approach for its computer simulation requires detailed information on the interactions of individual molecules, which is often not available for the analyses of biological experiments. As an alternative approach, we employed a more intuitive model to simulate the experimental result, the Markov-chain model, in which a gene is regulated by activators and repressors, which bind the same site in a mutually exclusive manner. Our stochastic simulation in the presence of both activators and repressors predicted a Hill-coefficient of the dose-response curve closer to the experimentally observed value than the calculated value based on the simple additive effects of activators alone and repressors alone. The simulation also reproduced the heterogeneity of gene expression levels among individual cells observed by Fluorescence Activated Cell Sorting analysis. Therefore, our approach may help to apply stochastic simulations to broader experimental data.

  18. 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.

  19. 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

  20. Analysis of stochastic effects in Kaldor-type business cycle discrete model

    Science.gov (United States)

    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.

  1. The Role of Stochastic Models in Interpreting the Origins of Biological Chirality

    Directory of Open Access Journals (Sweden)

    Gábor Lente

    2010-04-01

    Full Text Available This review summarizes recent stochastic modeling efforts in the theoretical research aimed at interpreting the origins of biological chirality. Stochastic kinetic models, especially those based on the continuous time discrete state approach, have great potential in modeling absolute asymmetric reactions, experimental examples of which have been reported in the past decade. An overview of the relevant mathematical background is given and several examples are presented to show how the significant numerical problems characteristic of the use of stochastic models can be overcome by non-trivial, but elementary algebra. In these stochastic models, a particulate view of matter is used rather than the concentration-based view of traditional chemical kinetics using continuous functions to describe the properties system. This has the advantage of giving adequate description of single-molecule events, which were probably important in the origin of biological chirality. The presented models can interpret and predict the random distribution of enantiomeric excess among repetitive experiments, which is the most striking feature of absolute asymmetric reactions. It is argued that the use of the stochastic kinetic approach should be much more widespread in the relevant literature.

  2. 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.

  3. 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...

  4. 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

  5. Stochastic models with heteroskedasticity: a Bayesian approach for Ibovespa returns - doi: 10.4025/actascitechnol.v35i2.13547

    Directory of Open Access Journals (Sweden)

    Sandra Cristina de Oliveira

    2013-04-01

    Full Text Available Current research compares the Bayesian estimates obtained for the parameters of processes of ARCH family with normal and Student’s t distributions for the conditional distribution of the return series. A non-informative prior distribution was adopted and a reparameterization of models under analysis was taken into account to map parameters’ space into real space. The procedure adopts a normal prior distribution for the transformed parameters. The posterior summaries were obtained by Monte Carlo Markov Chain (MCMC simulation methods. The methodology was evaluated by a series of Bovespa Index returns and the predictive ordinate criterion was employed to select the best adjustment model to the data. Results show that, as a rule, the proposed Bayesian approach provides satisfactory estimates and that the GARCH process with Student’s t distribution adjusted better to the data.  

  6. 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.

  7. Stochastic Optimization Model to STudy the Operational Impacts of High Wind Penetrations in Ireland

    DEFF Research Database (Denmark)

    Meibom, Peter; Barth, R.; Hasche, B.

    2011-01-01

    A stochastic mixed integer linear optimization scheduling model minimizing system operation costs and treating load and wind power production as stochastic inputs is presented. The schedules are updated in a rolling manner as more up-to-date information becomes available. This is a fundamental...... change relative to day-ahead unit commitment approaches. The need for reserves dependent on forecast horizon and share of wind power has been estimated with a statistical model combining load and wind power forecast errors with scenarios of forced outages. The model is used to study operational impacts...

  8. 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.

  9. INFERENCE AND SENSITIVITY IN STOCHASTIC WIND POWER FORECAST MODELS.

    KAUST Repository

    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.

  10. INFERENCE AND SENSITIVITY IN STOCHASTIC WIND POWER FORECAST MODELS.

    KAUST Repository

    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.

  11. Deterministic geologic processes and stochastic modeling

    International Nuclear Information System (INIS)

    Rautman, C.A.; Flint, A.L.

    1992-01-01

    This paper reports that recent outcrop sampling at Yucca Mountain, Nevada, has produced significant new information regarding the distribution of physical properties at the site of a potential high-level nuclear waste repository. consideration of the spatial variability indicates that her are a number of widespread deterministic geologic features at the site that have important implications for numerical modeling of such performance aspects as ground water flow and radionuclide transport. Because the geologic processes responsible for formation of Yucca Mountain are relatively well understood and operate on a more-or-less regional scale, understanding of these processes can be used in modeling the physical properties and performance of the site. Information reflecting these deterministic geologic processes may be incorporated into the modeling program explicitly using geostatistical concepts such as soft information, or implicitly, through the adoption of a particular approach to modeling

  12. A stochastic differential equation model of diurnal cortisol patterns

    Science.gov (United States)

    Brown, E. N.; Meehan, P. M.; Dempster, A. P.

    2001-01-01

    Circadian modulation of episodic bursts is recognized as the normal physiological pattern of diurnal variation in plasma cortisol levels. The primary physiological factors underlying these diurnal patterns are the ultradian timing of secretory events, circadian modulation of the amplitude of secretory events, infusion of the hormone from the adrenal gland into the plasma, and clearance of the hormone from the plasma by the liver. Each measured plasma cortisol level has an error arising from the cortisol immunoassay. We demonstrate that all of these three physiological principles can be succinctly summarized in a single stochastic differential equation plus measurement error model and show that physiologically consistent ranges of the model parameters can be determined from published reports. We summarize the model parameters in terms of the multivariate Gaussian probability density and establish the plausibility of the model with a series of simulation studies. Our framework makes possible a sensitivity analysis in which all model parameters are allowed to vary simultaneously. The model offers an approach for simultaneously representing cortisol's ultradian, circadian, and kinetic properties. Our modeling paradigm provides a framework for simulation studies and data analysis that should be readily adaptable to the analysis of other endocrine hormone systems.

  13. Microgrid Reliability Modeling and Battery Scheduling Using Stochastic Linear Programming

    Energy Technology Data Exchange (ETDEWEB)

    Cardoso, Goncalo; Stadler, Michael; Siddiqui, Afzal; Marnay, Chris; DeForest, Nicholas; Barbosa-Povoa, Ana; Ferrao, Paulo

    2013-05-23

    This paper describes the introduction of stochastic linear programming into Operations DER-CAM, a tool used to obtain optimal operating schedules for a given microgrid under local economic and environmental conditions. This application follows previous work on optimal scheduling of a lithium-iron-phosphate battery given the output uncertainty of a 1 MW molten carbonate fuel cell. Both are in the Santa Rita Jail microgrid, located in Dublin, California. This fuel cell has proven unreliable, partially justifying the consideration of storage options. Several stochastic DER-CAM runs are executed to compare different scenarios to values obtained by a deterministic approach. Results indicate that using a stochastic approach provides a conservative yet more lucrative battery schedule. Lower expected energy bills result, given fuel cell outages, in potential savings exceeding 6percent.

  14. 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 ...

  15. Modelling of diesel spray flames under engine-like conditions using an accelerated Eulerian Stochastic Field method

    DEFF Research Database (Denmark)

    Pang, Kar Mun; Jangi, Mehdi; Bai, Xue-Song

    2018-01-01

    This paper aims to simulate diesel spray flames across a wide range of engine-like conditions using the Eulerian Stochastic Field probability density function (ESF-PDF) model. The ESF model is coupled with the Chemistry Coordinate Mapping approach to expedite the calculation. A convergence study...... is carried out for a number of stochastic fields at five different conditions, covering both conventional diesel combustion and low-temperature combustion regimes. Ignition delay time, flame lift-off length as well as distributions of temperature and various combustion products are used to evaluate...... the performance of the model. The peak values of these properties generated using thirty-two stochastic fields are found to converge, with a maximum relative difference of 27% as compared to those from a greater number of stochastic fields. The ESF-PDF model with thirty-two stochastic fields performs reasonably...

  16. Introduction to modeling and analysis of stochastic systems

    CERN Document Server

    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...

  17. Dynamic-Programming Approaches to Single- and Multi-Stage Stochastic Knapsack Problems for Portfolio Optimization

    National Research Council Canada - National Science Library

    Khoo, Wai

    1999-01-01

    .... These problems model stochastic portfolio optimization problems (SPOPs) which assume deterministic unit weight, and normally distributed unit return with known mean and variance for each item type...

  18. Stochastic processes, multiscale modeling, and numerical methods for computational cellular biology

    CERN Document Server

    2017-01-01

    This book focuses on the modeling and mathematical analysis of stochastic dynamical systems along with their simulations. The collected chapters will review fundamental and current topics and approaches to dynamical systems in cellular biology. This text aims to develop improved mathematical and computational methods with which to study biological processes. At the scale of a single cell, stochasticity becomes important due to low copy numbers of biological molecules, such as mRNA and proteins that take part in biochemical reactions driving cellular processes. When trying to describe such biological processes, the traditional deterministic models are often inadequate, precisely because of these low copy numbers. This book presents stochastic models, which are necessary to account for small particle numbers and extrinsic noise sources. The complexity of these models depend upon whether the biochemical reactions are diffusion-limited or reaction-limited. In the former case, one needs to adopt the framework of s...

  19. Stochastic dynamic modeling of regular and slow earthquakes

    Science.gov (United States)

    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

  20. 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

  1. Stochastic approaches for time series forecasting of boron: a case study of Western Turkey.

    Science.gov (United States)

    Durdu, Omer Faruk

    2010-10-01

    In the present study, a seasonal and non-seasonal prediction of boron concentrations time series data for the period of 1996-2004 from Büyük Menderes river in western Turkey are addressed by means of linear stochastic models. The methodology presented here is to develop adequate linear stochastic models known as autoregressive integrated moving average (ARIMA) and multiplicative seasonal autoregressive integrated moving average (SARIMA) to predict boron content in the Büyük Menderes catchment. Initially, the Box-Whisker plots and Kendall's tau test are used to identify the trends during the study period. The measurements locations do not show significant overall trend in boron concentrations, though marginal increasing and decreasing trends are observed for certain periods at some locations. ARIMA modeling approach involves the following three steps: model identification, parameter estimation, and diagnostic checking. In the model identification step, considering the autocorrelation function (ACF) and partial autocorrelation function (PACF) results of boron data series, different ARIMA models are identified. The model gives the minimum Akaike information criterion (AIC) is selected as the best-fit model. The parameter estimation step indicates that the estimated model parameters are significantly different from zero. The diagnostic check step is applied to the residuals of the selected ARIMA models and the results indicate that the residuals are independent, normally distributed, and homoscadastic. For the model validation purposes, the predicted results using the best ARIMA models are compared to the observed data. The predicted data show reasonably good agreement with the actual data. The comparison of the mean and variance of 3-year (2002-2004) observed data vs predicted data from the selected best models show that the boron model from ARIMA modeling approaches could be used in a safe manner since the predicted values from these models preserve the basic

  2. 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.

  3. A stochastic programming approach towards optimization of biofuel supply chain

    International Nuclear Information System (INIS)

    Azadeh, Ali; Vafa Arani, Hamed; Dashti, Hossein

    2014-01-01

    Bioenergy has been recognized as an important source of energy that will reduce dependency on petroleum. It would have a positive impact on the economy, environment, and society. Production of bioenergy is expected to increase. As a result, we foresee an increase in the number of biorefineries in the near future. This paper analyzes challenges with supplying biomass to a biorefinery and shipping biofuel to demand centers. A stochastic linear programming model is proposed within a multi-period planning framework to maximize the expected profit. The model deals with a time-staged, multi-commodity, production/distribution system, facility locations and capacities, technologies, and material flows. We illustrate the model outputs and discuss the results through numerical examples considering disruptions in biofuel supply chain. Finally, sensitivity analyses are performed to gain managerial insights on how profit changes due to existing uncertainties. - Highlights: • A robust model of biofuel SC is proposed and a sensitivity analysis implemented. • Demand of products is a function of price and GBM (Geometric Brownian Motion) is used for prices of biofuels. • Uncertainties in SC network are captured through defining probabilistic scenarios. • Both traditional feedstock and lignocellulosic biomass are considered for biofuel production. • Developed model is applicable to any related biofuel supply chain regardless of region

  4. Linking agent-based models and stochastic models of financial markets.

    Science.gov (United States)

    Feng, Ling; Li, Baowen; Podobnik, Boris; Preis, Tobias; Stanley, H Eugene

    2012-05-29

    It is well-known that financial asset returns exhibit fat-tailed distributions and long-term memory. These empirical features are the main objectives of modeling efforts using (i) stochastic processes to quantitatively reproduce these features and (ii) agent-based simulations to understand the underlying microscopic interactions. After reviewing selected empirical and theoretical evidence documenting the behavior of traders, we construct an agent-based model to quantitatively demonstrate that "fat" tails in return distributions arise when traders share similar technical trading strategies and decisions. Extending our behavioral model to a stochastic model, we derive and explain a set of quantitative scaling relations of long-term memory from the empirical behavior of individual market participants. Our analysis provides a behavioral interpretation of the long-term memory of absolute and squared price returns: They are directly linked to the way investors evaluate their investments by applying technical strategies at different investment horizons, and this quantitative relationship is in agreement with empirical findings. Our approach provides a possible behavioral explanation for stochastic models for financial systems in general and provides a method to parameterize such models from market data rather than from statistical fitting.

  5. Analyzing Properties of Stochastic Business Processes By Model Checking

    DEFF Research Database (Denmark)

    Herbert, Luke Thomas; Sharp, Robin

    2013-01-01

    This chapter presents an approach to precise formal analysis of business processes with stochastic properties. The method presented here allows for both qualitative and quantitative properties to be individually analyzed at design time without requiring a full specification. This provides...... an effective means to explore possible designs for a business process and to debug any flaws....

  6. Toward Development of a Stochastic Wake Model: Validation Using LES and Turbine Loads

    Directory of Open Access Journals (Sweden)

    Jae Sang Moon

    2017-12-01

    Full Text Available Wind turbines within an array do not experience free-stream undisturbed flow fields. Rather, the flow fields on internal turbines are influenced by wakes generated by upwind unit and exhibit different dynamic characteristics relative to the free stream. The International Electrotechnical Commission (IEC standard 61400-1 for the design of wind turbines only considers a deterministic wake model for the design of a wind plant. This study is focused on the development of a stochastic model for waked wind fields. First, high-fidelity physics-based waked wind velocity fields are generated using Large-Eddy Simulation (LES. Stochastic characteristics of these LES waked wind velocity field, including mean and turbulence components, are analyzed. Wake-related mean and turbulence field-related parameters are then estimated for use with a stochastic model, using Multivariate Multiple Linear Regression (MMLR with the LES data. To validate the simulated wind fields based on the stochastic model, wind turbine tower and blade loads are generated using aeroelastic simulation for utility-scale wind turbine models and compared with those based directly on the LES inflow. The study’s overall objective is to offer efficient and validated stochastic approaches that are computationally tractable for assessing the performance and loads of turbines operating in wakes.

  7. Uncertainty quantification and stochastic modeling with Matlab

    CERN Document Server

    Souza de Cursi, Eduardo

    2015-01-01

    Uncertainty Quantification (UQ) is a relatively new research area which describes the methods and approaches used to supply quantitative descriptions of the effects of uncertainty, variability and errors in simulation problems and models. It is rapidly becoming a field of increasing importance, with many real-world applications within statistics, mathematics, probability and engineering, but also within the natural sciences. Literature on the topic has up until now been largely based on polynomial chaos, which raises difficulties when considering different types of approximation and does no

  8. Stochastic quantization of fermionic theories: renormalization of the massive Thirring model

    Energy Technology Data Exchange (ETDEWEB)

    Brunelli, J C

    1992-10-01

    Using the Langevin approach for stochastic processes we study the renormalizability of the massive Thirring model. At finite fictitious time, we prove the absence of induced quadrilinear counterterms by verifying the cancellation of the divergencies of graphs with four external lines. This implies that the vanishing of the renormalization group beta function already occurs at finite times. (author). 12 refs., 3 figs.

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

    NARCIS (Netherlands)

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

    2016-01-01

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

  10. 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)

  11. 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...

  12. 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....

  13. Stochastic models for transport in a fluidized bed

    NARCIS (Netherlands)

    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

  14. 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.

  15. AUTOMATIC CALIBRATION OF A STOCHASTIC-LAGRANGIAN TRANSPORT MODEL (SLAM)

    Science.gov (United States)

    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...

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

    Directory of Open Access Journals (Sweden)

    Wen Xu

    2016-10-01

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

  17. Elitism and Stochastic Dominance

    OpenAIRE

    Bazen, Stephen; Moyes, Patrick

    2011-01-01

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

  18. 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...

  19. Longitudinal functional principal component modelling via Stochastic Approximation Monte Carlo

    KAUST Repository

    Martinez, Josue G.

    2010-06-01

    The authors consider the analysis of hierarchical longitudinal functional data based upon a functional principal components approach. In contrast to standard frequentist approaches to selecting the number of principal components, the authors do model averaging using a Bayesian formulation. A relatively straightforward reversible jump Markov Chain Monte Carlo formulation has poor mixing properties and in simulated data often becomes trapped at the wrong number of principal components. In order to overcome this, the authors show how to apply Stochastic Approximation Monte Carlo (SAMC) to this problem, a method that has the potential to explore the entire space and does not become trapped in local extrema. The combination of reversible jump methods and SAMC in hierarchical longitudinal functional data is simplified by a polar coordinate representation of the principal components. The approach is easy to implement and does well in simulated data in determining the distribution of the number of principal components, and in terms of its frequentist estimation properties. Empirical applications are also presented.

  20. A model for energy pricing with stochastic emission costs

    International Nuclear Information System (INIS)

    Elliott, Robert J.; Lyle, Matthew R.; Miao, Hong

    2010-01-01

    We use a supply-demand approach to value energy products exposed to emission cost uncertainty. We find closed form solutions for a number of popularly traded energy derivatives such as: forwards, European call options written on spot prices and European Call options written on forward contracts. Our modeling approach is to first construct noisy supply and demand processes and then equate them to find an equilibrium price. This approach is very general while still allowing for sensitivity analysis within a valuation setting. Our assumption is that, in the presence of emission costs, traditional supply growth will slow down causing output prices of energy products to become more costly over time. However, emission costs do not immediately cause output price appreciation, but instead expose individual projects, particularly those with high emission outputs, to much more extreme risks through the cost side of their profit stream. Our results have implications for hedging and pricing for producers operating in areas facing a stochastic emission cost environment. (author)

  1. Complex accident scenarios modelled and analysed by Stochastic Petri Nets

    International Nuclear Information System (INIS)

    Nývlt, Ondřej; Haugen, Stein; Ferkl, Lukáš

    2015-01-01

    This paper is focused on the usage of Petri nets for an effective modelling and simulation of complicated accident scenarios, where an order of events can vary and some events may occur anywhere in an event chain. These cases are hardly manageable by traditional methods as event trees – e.g. one pivotal event must be often inserted several times into one branch of the tree. Our approach is based on Stochastic Petri Nets with Predicates and Assertions and on an idea, which comes from the area of Programmable Logic Controllers: an accidental scenario is described as a net of interconnected blocks, which represent parts of the scenario. So the scenario is firstly divided into parts, which are then modelled by Petri nets. Every block can be easily interconnected with other blocks by input/output variables to create complex ones. In the presented approach, every event or a part of a scenario is modelled only once, independently on a number of its occurrences in the scenario. The final model is much more transparent then the corresponding event tree. The method is shown in two case studies, where the advanced one contains a dynamic behavior. - Highlights: • Event & Fault trees have problems with scenarios where an order of events can vary. • Paper presents a method for modelling and analysis of dynamic accident scenarios. • The presented method is based on Petri nets. • The proposed method solves mentioned problems of traditional approaches. • The method is shown in two case studies: simple and advanced (with dynamic behavior)

  2. Comparison of two stochastic techniques for reliable urban runoff prediction by modeling systematic errors

    DEFF Research Database (Denmark)

    Del Giudice, Dario; Löwe, Roland; Madsen, Henrik

    2015-01-01

    from different fields and have not yet been compared in environmental modeling. To compare the two approaches, we develop a unifying terminology, evaluate them theoretically, and apply them to conceptual rainfall-runoff modeling in the same drainage system. Our results show that both approaches can......In urban rainfall-runoff, commonly applied statistical techniques for uncertainty quantification mostly ignore systematic output errors originating from simplified models and erroneous inputs. Consequently, the resulting predictive uncertainty is often unreliable. Our objective is to present two...... approaches which use stochastic processes to describe systematic deviations and to discuss their advantages and drawbacks for urban drainage modeling. The two methodologies are an external bias description (EBD) and an internal noise description (IND, also known as stochastic gray-box modeling). They emerge...

  3. 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

  4. A computer model of the biosphere, to estimate stochastic and non-stochastic effects of radionuclides on humans

    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 )

  5. Finite approximations in discrete-time stochastic control quantized models and asymptotic optimality

    CERN Document Server

    Saldi, Naci; Yüksel, Serdar

    2018-01-01

    In a unified form, this monograph presents fundamental results on the approximation of centralized and decentralized stochastic control problems, with uncountable state, measurement, and action spaces. It demonstrates how quantization provides a system-independent and constructive method for the reduction of a system with Borel spaces to one with finite state, measurement, and action spaces. In addition to this constructive view, the book considers both the information transmission approach for discretization of actions, and the computational approach for discretization of states and actions. Part I of the text discusses Markov decision processes and their finite-state or finite-action approximations, while Part II builds from there to finite approximations in decentralized stochastic control problems. This volume is perfect for researchers and graduate students interested in stochastic controls. With the tools presented, readers will be able to establish the convergence of approximation models to original mo...

  6. A Q-Learning Approach to Flocking With UAVs in a Stochastic Environment.

    Science.gov (United States)

    Hung, Shao-Ming; Givigi, Sidney N

    2017-01-01

    In the past two decades, unmanned aerial vehicles (UAVs) have demonstrated their efficacy in supporting both military and civilian applications, where tasks can be dull, dirty, dangerous, or simply too costly with conventional methods. Many of the applications contain tasks that can be executed in parallel, hence the natural progression is to deploy multiple UAVs working together as a force multiplier. However, to do so requires autonomous coordination among the UAVs, similar to swarming behaviors seen in animals and insects. This paper looks at flocking with small fixed-wing UAVs in the context of a model-free reinforcement learning problem. In particular, Peng's Q(λ) with a variable learning rate is employed by the followers to learn a control policy that facilitates flocking in a leader-follower topology. The problem is structured as a Markov decision process, where the agents are modeled as small fixed-wing UAVs that experience stochasticity due to disturbances such as winds and control noises, as well as weight and balance issues. Learned policies are compared to ones solved using stochastic optimal control (i.e., dynamic programming) by evaluating the average cost incurred during flight according to a cost function. Simulation results demonstrate the feasibility of the proposed learning approach at enabling agents to learn how to flock in a leader-follower topology, while operating in a nonstationary stochastic environment.

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

    DEFF Research Database (Denmark)

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

    2009-01-01

    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...

  8. Stochastic lattice model of synaptic membrane protein domains.

    Science.gov (United States)

    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.

  9. 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

  10. 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

  11. Modelling and Analysis of Smart Grid: A Stochastic Model Checking Case Study

    DEFF Research Database (Denmark)

    Yuksel, Ender; Zhu, Huibiao; Nielson, Hanne Riis

    2012-01-01

    that require novel methods and applications. In this context, an important issue is the verification of certain quantitative properties of the system. In this paper, we consider a specific Chinese Smart Grid implementation as a case study and address the verification problem for performance and energy......Cyber-physical systems integrate information and communication technology functions to the physical elements of a system for monitoring and controlling purposes. The conversion of traditional power grid into a smart grid, a fundamental example of a cyber-physical system, raises a number of issues...... consumption. We employ stochastic model checking approach and present our modelling and analysis study using PRISM model checker....

  12. Quantitative modelling and analysis of a Chinese smart grid: a stochastic model checking case study

    DEFF Research Database (Denmark)

    Yuksel, Ender; Nielson, Hanne Riis; Nielson, Flemming

    2014-01-01

    Cyber-physical systems integrate information and communication technology with the physical elements of a system, mainly for monitoring and controlling purposes. The conversion of traditional power grid into a smart grid, a fundamental example of a cyber-physical system, raises a number of issues...... that require novel methods and applications. One of the important issues in this context is the verification of certain quantitative properties of the system. In this paper, we consider a specific Chinese smart grid implementation as a case study and address the verification problem for performance and energy...... consumption.We employ stochastic model checking approach and present our modelling and analysis study using PRISM model checker....

  13. 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.

  14. An Improved Asymptotic Sampling Approach For Stochastic Finite Element Stiffness of a Laterally Loaded Monopile

    DEFF Research Database (Denmark)

    Vahdatirad, Mohammadjavad; Bayat, Mehdi; Andersen, Lars Vabbersgaard

    2012-01-01

    In this study a stochastic approach is conducted to obtain the horizontal and rotational stiffness of an offshore monopile foundation. A nonlinear stochastic p-y curve is integrated into a finite element scheme for calculation of the monopile response in over-consolidated clay having spatial...

  15. Drift Scale Modeling: Study of Unsaturated Flow into a Drift Using a Stochastic Continuum Model

    International Nuclear Information System (INIS)

    Birkholzer, J.T.; Tsang, C.F.; Tsang, Y.W.; Wang, J.S

    1996-01-01

    Unsaturated flow in heterogeneous fractured porous rock was simulated using a stochastic continuum model (SCM). In this model, both the more conductive fractures and the less permeable matrix are generated within the framework of a single continuum stochastic approach, based on non-parametric indicator statistics. High-permeable fracture zones are distinguished from low-permeable matrix zones in that they have assigned a long range correlation structure in prescribed directions. The SCM was applied to study small-scale flow in the vicinity of an access tunnel, which is currently being drilled in the unsaturated fractured tuff formations at Yucca Mountain, Nevada. Extensive underground testing is underway in this tunnel to investigate the suitability of Yucca Mountain as an underground nuclear waste repository. Different flow scenarios were studied in the present paper, considering the flow conditions before and after the tunnel emplacement, and assuming steady-state net infiltration as well as episodic pulse infiltration. Although the capability of the stochastic continuum model has not yet been fully explored, it has been demonstrated that the SCM is a good alternative model feasible of describing heterogeneous flow processes in unsaturated fractured tuff at Yucca Mountain

  16. Stochastic approach to municipal solid waste landfill life based on the contaminant transit time modeling using the Monte Carlo (MC) simulation

    International Nuclear Information System (INIS)

    Bieda, Bogusław

    2013-01-01

    The paper is concerned with application and benefits of MC simulation proposed for estimating the life of a modern municipal solid waste (MSW) landfill. The software Crystal Ball® (CB), simulation program that helps analyze the uncertainties associated with Microsoft® Excel models by MC simulation, was proposed to calculate the transit time contaminants in porous media. The transport of contaminants in soil is represented by the one-dimensional (1D) form of the advection–dispersion equation (ADE). The computer program CONTRANS written in MATLAB language is foundation to simulate and estimate the thickness of landfill compacted clay liner. In order to simplify the task of determining the uncertainty of parameters by the MC simulation, the parameters corresponding to the expression Z2 taken from this program were used for the study. The tested parameters are: hydraulic gradient (HG), hydraulic conductivity (HC), porosity (POROS), linear thickness (TH) and diffusion coefficient (EDC). The principal output report provided by CB and presented in the study consists of the frequency chart, percentiles summary and statistics summary. Additional CB options provide a sensitivity analysis with tornado diagrams. The data that was used include available published figures as well as data concerning the Mittal Steel Poland (MSP) S.A. in Kraków, Poland. This paper discusses the results and show that the presented approach is applicable for any MSW landfill compacted clay liner thickness design. -- Highlights: ► Numerical simulation of waste in porous media is proposed. ► Statistic outputs based on correct assumptions about probability distribution are presented. ► The benefits of a MC simulation are examined. ► The uniform probability distribution is studied. ► I report a useful tool applied to determine the life of a modern MSW landfill.

  17. Stochastic approach to municipal solid waste landfill life based on the contaminant transit time modeling using the Monte Carlo (MC) simulation

    Energy Technology Data Exchange (ETDEWEB)

    Bieda, Boguslaw, E-mail: bbieda@zarz.agh.edu.pl

    2013-01-01

    The paper is concerned with application and benefits of MC simulation proposed for estimating the life of a modern municipal solid waste (MSW) landfill. The software Crystal Ball Registered-Sign (CB), simulation program that helps analyze the uncertainties associated with Microsoft Registered-Sign Excel models by MC simulation, was proposed to calculate the transit time contaminants in porous media. The transport of contaminants in soil is represented by the one-dimensional (1D) form of the advection-dispersion equation (ADE). The computer program CONTRANS written in MATLAB language is foundation to simulate and estimate the thickness of landfill compacted clay liner. In order to simplify the task of determining the uncertainty of parameters by the MC simulation, the parameters corresponding to the expression Z2 taken from this program were used for the study. The tested parameters are: hydraulic gradient (HG), hydraulic conductivity (HC), porosity (POROS), linear thickness (TH) and diffusion coefficient (EDC). The principal output report provided by CB and presented in the study consists of the frequency chart, percentiles summary and statistics summary. Additional CB options provide a sensitivity analysis with tornado diagrams. The data that was used include available published figures as well as data concerning the Mittal Steel Poland (MSP) S.A. in Krakow, Poland. This paper discusses the results and show that the presented approach is applicable for any MSW landfill compacted clay liner thickness design. -- Highlights: Black-Right-Pointing-Pointer Numerical simulation of waste in porous media is proposed. Black-Right-Pointing-Pointer Statistic outputs based on correct assumptions about probability distribution are presented. Black-Right-Pointing-Pointer The benefits of a MC simulation are examined. Black-Right-Pointing-Pointer The uniform probability distribution is studied. Black-Right-Pointing-Pointer I report a useful tool applied to determine the life of a

  18. Exact protein distributions for stochastic models of gene expression using partitioning of Poisson processes.

    Science.gov (United States)

    Pendar, Hodjat; Platini, Thierry; Kulkarni, Rahul V

    2013-04-01

    Stochasticity in gene expression gives rise to fluctuations in protein levels across a population of genetically identical cells. Such fluctuations can lead to phenotypic variation in clonal populations; hence, there is considerable interest in quantifying noise in gene expression using stochastic models. However, obtaining exact analytical results for protein distributions has been an intractable task for all but the simplest models. Here, we invoke the partitioning property of Poisson processes to develop a mapping that significantly simplifies the analysis of stochastic models of gene expression. The mapping leads to exact protein distributions using results for mRNA distributions in models with promoter-based regulation. Using this approach, we derive exact analytical results for steady-state and time-dependent distributions for the basic two-stage model of gene expression. Furthermore, we show how the mapping leads to exact protein distributions for extensions of the basic model that include the effects of posttranscriptional and posttranslational regulation. The approach developed in this work is widely applicable and can contribute to a quantitative understanding of stochasticity in gene expression and its regulation.

  19. Exact protein distributions for stochastic models of gene expression using partitioning of Poisson processes

    Science.gov (United States)

    Pendar, Hodjat; Platini, Thierry; Kulkarni, Rahul V.

    2013-04-01

    Stochasticity in gene expression gives rise to fluctuations in protein levels across a population of genetically identical cells. Such fluctuations can lead to phenotypic variation in clonal populations; hence, there is considerable interest in quantifying noise in gene expression using stochastic models. However, obtaining exact analytical results for protein distributions has been an intractable task for all but the simplest models. Here, we invoke the partitioning property of Poisson processes to develop a mapping that significantly simplifies the analysis of stochastic models of gene expression. The mapping leads to exact protein distributions using results for mRNA distributions in models with promoter-based regulation. Using this approach, we derive exact analytical results for steady-state and time-dependent distributions for the basic two-stage model of gene expression. Furthermore, we show how the mapping leads to exact protein distributions for extensions of the basic model that include the effects of posttranscriptional and posttranslational regulation. The approach developed in this work is widely applicable and can contribute to a quantitative understanding of stochasticity in gene expression and its regulation.

  20. On the stochastic approach to marine population dynamics

    Directory of Open Access Journals (Sweden)

    Eduardo Ferrandis

    2007-03-01

    Full Text Available The purpose of this article is to deepen and structure the statistical basis of marine population dynamics. The starting point is the correspondence between the concepts of mortality, survival and lifetime distribution. This is the kernel of the possibilities that survival analysis techniques offer to marine population dynamics. A rigorous definition of survival and mortality based on their properties and their probabilistic versions is briefly presented. Some well established models for lifetime distribution, which generalise the usual simple exponential distribution, might be used with their corresponding survivals and mortalities. A critical review of some published models is also made, including original models proposed in the way opened by Caddy (1991 and Sparholt (1990, which allow for a continuously decreasing natural mortality. Considering these elements, the pure death process dealt with in the literature is used as a theoretical basis for the evolution of a marine cohort. The elaboration of this process is based on Chiang´s study of the probability distribution of the life table (Chiang, 1960 and provides specific structured models for stock evolution as a Markovian process. These models may introduce new ideas in the line of thinking developed by Gudmundsson (1987 and Sampson (1990 in order to model the evolution of a marine cohort by stochastic processes. The suitable approximation of these processes by means of Gaussian processes may allow theoretical and computational multivariate Gaussian analysis to be applied to the probabilistic treatment of fisheries issues. As a consequence, the necessary catch equation appears as a stochastic integral with respect to the mentioned Markovian process of the stock. The solution of this equation is available when the mortalities are proportional, hence the use of the proportional hazards model (Cox, 1959. The assumption of these proportional mortalities leads naturally to the construction of a

  1. Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

    International Nuclear Information System (INIS)

    Pham, H.

    2002-01-01

    This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation. This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate our results with several examples of stochastic volatility models popular in the financial literature

  2. Stochastic modelling of conjugate heat transfer in near-wall turbulence

    International Nuclear Information System (INIS)

    Pozorski, Jacek; Minier, Jean-Pierre

    2006-01-01

    The paper addresses the conjugate heat transfer in turbulent flows with temperature assumed to be a passive scalar. The Lagrangian approach is applied and the heat transfer is modelled with the use of stochastic particles. The intensity of thermal fluctuations in near-wall turbulence is determined from the scalar probability density function (PDF) with externally provided dynamical statistics. A stochastic model for the temperature field in the wall material is proposed and boundary conditions for stochastic particles at the solid-fluid interface are formulated. The heated channel flow with finite-thickness walls is considered as a validation case. Computation results for the mean temperature profiles and the variance of thermal fluctuations are presented and compared with available DNS data

  3. Stochastic modelling of conjugate heat transfer in near-wall turbulence

    Energy Technology Data Exchange (ETDEWEB)

    Pozorski, Jacek [Institute of Fluid-Flow Machinery, Polish Academy of Sciences, Fiszera 14, 80952 Gdansk (Poland)]. E-mail: jp@imp.gda.pl; Minier, Jean-Pierre [Research and Development Division, Electricite de France, 6 quai Watier, 78400 Chatou (France)

    2006-10-15

    The paper addresses the conjugate heat transfer in turbulent flows with temperature assumed to be a passive scalar. The Lagrangian approach is applied and the heat transfer is modelled with the use of stochastic particles. The intensity of thermal fluctuations in near-wall turbulence is determined from the scalar probability density function (PDF) with externally provided dynamical statistics. A stochastic model for the temperature field in the wall material is proposed and boundary conditions for stochastic particles at the solid-fluid interface are formulated. The heated channel flow with finite-thickness walls is considered as a validation case. Computation results for the mean temperature profiles and the variance of thermal fluctuations are presented and compared with available DNS data.

  4. Digital hardware implementation of a stochastic two-dimensional neuron model.

    Science.gov (United States)

    Grassia, F; Kohno, T; Levi, T

    2016-11-01

    This study explores the feasibility of stochastic neuron simulation in digital systems (FPGA), which realizes an implementation of a two-dimensional neuron model. The stochasticity is added by a source of current noise in the silicon neuron using an Ornstein-Uhlenbeck process. This approach uses digital computation to emulate individual neuron behavior using fixed point arithmetic operation. The neuron model's computations are performed in arithmetic pipelines. It was designed in VHDL language and simulated prior to mapping in the FPGA. The experimental results confirmed the validity of the developed stochastic FPGA implementation, which makes the implementation of the silicon neuron more biologically plausible for future hybrid experiments. Copyright © 2017 Elsevier Ltd. All rights reserved.

  5. Modelling stochastic chances in curve shape, with an application to cancer diagnostics

    DEFF Research Database (Denmark)

    Hobolth, A; Jensen, Eva B. Vedel

    2000-01-01

    Often, the statistical analysis of the shape of a random planar curve is based on a model for a polygonal approximation to the curve. In the present paper, we instead describe the curve as a continuous stochastic deformation of a template curve. The advantage of this continuous approach is that t......Often, the statistical analysis of the shape of a random planar curve is based on a model for a polygonal approximation to the curve. In the present paper, we instead describe the curve as a continuous stochastic deformation of a template curve. The advantage of this continuous approach...... is that the parameters in the model do not relate to a particular polygonal approximation. A somewhat similar approach has been used by Kent et al. (1996), who describe the limiting behaviour of a model with a first-order Markov property as the landmarks on the curve become closely spaced; see also Grenander(1993...

  6. A Stochastic Programming Approach for a Multi-Site Supply Chain Planning in Textile and Apparel Industry under Demand Uncertainty

    Directory of Open Access Journals (Sweden)

    Houssem Felfel

    2015-11-01

    Full Text Available In this study, a new stochastic model is proposed to deal with a multi-product, multi-period, multi-stage, multi-site production and transportation supply chain planning problem under demand uncertainty. A two-stage stochastic linear programming approach is used to maximize the expected profit. Decisions such as the production amount, the inventory level of finished and semi-finished product, the amount of backorder and the quantity of products to be transported between upstream and downstream plants in each period are considered. The robustness of production supply chain plan is then evaluated using statistical and risk measures. A case study from a real textile and apparel industry is shown in order to compare the performances of the proposed stochastic programming model and the deterministic model.

  7. Stochastic Coloured Petrinet Based Healthcare Infrastructure Interdependency Model

    Science.gov (United States)

    Nukavarapu, Nivedita; Durbha, Surya

    2016-06-01

    The Healthcare Critical Infrastructure (HCI) protects all sectors of the society from hazards such as terrorism, infectious disease outbreaks, and natural disasters. HCI plays a significant role in response and recovery across all other sectors in the event of a natural or manmade disaster. However, for its continuity of operations and service delivery HCI is dependent on other interdependent Critical Infrastructures (CI) such as Communications, Electric Supply, Emergency Services, Transportation Systems, and Water Supply System. During a mass casualty due to disasters such as floods, a major challenge that arises for the HCI is to respond to the crisis in a timely manner in an uncertain and variable environment. To address this issue the HCI should be disaster prepared, by fully understanding the complexities and interdependencies that exist in a hospital, emergency department or emergency response event. Modelling and simulation of a disaster scenario with these complexities would help in training and providing an opportunity for all the stakeholders to work together in a coordinated response to a disaster. The paper would present interdependencies related to HCI based on Stochastic Coloured Petri Nets (SCPN) modelling and simulation approach, given a flood scenario as the disaster which would disrupt the infrastructure nodes. The entire model would be integrated with Geographic information based decision support system to visualize the dynamic behaviour of the interdependency of the Healthcare and related CI network in a geographically based environment.

  8. STOCHASTIC COLOURED PETRINET BASED HEALTHCARE INFRASTRUCTURE INTERDEPENDENCY MODEL

    Directory of Open Access Journals (Sweden)

    N. Nukavarapu

    2016-06-01

    Full Text Available The Healthcare Critical Infrastructure (HCI protects all sectors of the society from hazards such as terrorism, infectious disease outbreaks, and natural disasters. HCI plays a significant role in response and recovery across all other sectors in the event of a natural or manmade disaster. However, for its continuity of operations and service delivery HCI is dependent on other interdependent Critical Infrastructures (CI such as Communications, Electric Supply, Emergency Services, Transportation Systems, and Water Supply System. During a mass casualty due to disasters such as floods, a major challenge that arises for the HCI is to respond to the crisis in a timely manner in an uncertain and variable environment. To address this issue the HCI should be disaster prepared, by fully understanding the complexities and interdependencies that exist in a hospital, emergency department or emergency response event. Modelling and simulation of a disaster scenario with these complexities would help in training and providing an opportunity for all the stakeholders to work together in a coordinated response to a disaster. The paper would present interdependencies related to HCI based on Stochastic Coloured Petri Nets (SCPN modelling and simulation approach, given a flood scenario as the disaster which would disrupt the infrastructure nodes. The entire model would be integrated with Geographic information based decision support system to visualize the dynamic behaviour of the interdependency of the Healthcare and related CI network in a geographically based environment.

  9. Bayesian parameter estimation for stochastic models of biological cell migration

    Science.gov (United States)

    Dieterich, Peter; Preuss, Roland

    2013-08-01

    Cell migration plays an essential role under many physiological and patho-physiological conditions. It is of major importance during embryonic development and wound healing. In contrast, it also generates negative effects during inflammation processes, the transmigration of tumors or the formation of metastases. Thus, a reliable quantification and characterization of cell paths could give insight into the dynamics of these processes. Typically stochastic models are applied where parameters are extracted by fitting models to the so-called mean square displacement of the observed cell group. We show that this approach has several disadvantages and problems. Therefore, we propose a simple procedure directly relying on the positions of the cell's trajectory and the covariance matrix of the positions. It is shown that the covariance is identical with the spatial aging correlation function for the supposed linear Gaussian models of Brownian motion with drift and fractional Brownian motion. The technique is applied and illustrated with simulated data showing a reliable parameter estimation from single cell paths.

  10. Stochastic geometry, spatial statistics and random fields models and algorithms

    CERN Document Server

    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.

  11. Productive efficiency of tea industry: A stochastic frontier approach

    African Journals Online (AJOL)

    USER

    2010-06-21

    Jun 21, 2010 ... Key words: Technical efficiency, stochastic frontier, translog ... present low performance of the tea industry in Bangladesh. ... The Technical inefficiency effect .... administrative, technical, clerical, sales and purchase staff.

  12. A decoupled approach to filter design for stochastic systems

    Science.gov (United States)

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

    2016-08-01

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

  13. Path probability of stochastic motion: A functional approach

    Science.gov (United States)

    Hattori, Masayuki; Abe, Sumiyoshi

    2016-06-01

    The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The probability of finding paths inside a tube/band, the center of which is stipulated by a given path, is analytically evaluated in a way analogous to continuous measurements in quantum mechanics. Then, the formalism developed here is applied to the stochastic dynamics of stock price in finance.

  14. Structured Modeling and Analysis of Stochastic Epidemics with Immigration and Demographic Effects.

    Science.gov (United States)

    Baumann, Hendrik; Sandmann, Werner

    2016-01-01

    Stochastic epidemics with open populations of variable population sizes are considered where due to immigration and demographic effects the epidemic does not eventually die out forever. The underlying stochastic processes are ergodic multi-dimensional continuous-time Markov chains that possess unique equilibrium probability distributions. Modeling these epidemics as level-dependent quasi-birth-and-death processes enables efficient computations of the equilibrium distributions by matrix-analytic methods. Numerical examples for specific parameter sets are provided, which demonstrates that this approach is particularly well-suited for studying the impact of varying rates for immigration, births, deaths, infection, recovery from infection, and loss of immunity.

  15. Structured Modeling and Analysis of Stochastic Epidemics with Immigration and Demographic Effects.

    Directory of Open Access Journals (Sweden)

    Hendrik Baumann

    Full Text Available Stochastic epidemics with open populations of variable population sizes are considered where due to immigration and demographic effects the epidemic does not eventually die out forever. The underlying stochastic processes are ergodic multi-dimensional continuous-time Markov chains that possess unique equilibrium probability distributions. Modeling these epidemics as level-dependent quasi-birth-and-death processes enables efficient computations of the equilibrium distributions by matrix-analytic methods. Numerical examples for specific parameter sets are provided, which demonstrates that this approach is particularly well-suited for studying the impact of varying rates for immigration, births, deaths, infection, recovery from infection, and loss of immunity.

  16. A continuous stochastic model for non-equilibrium dense gases

    Science.gov (United States)

    Sadr, M.; Gorji, M. H.

    2017-12-01

    While accurate simulations of dense gas flows far from the equilibrium can be achieved by direct simulation adapted to the Enskog equation, the significant computational demand required for collisions appears as a major constraint. In order to cope with that, an efficient yet accurate solution algorithm based on the Fokker-Planck approximation of the Enskog equation is devised in this paper; the approximation is very much associated with the Fokker-Planck model derived from the Boltzmann equation by Jenny et al. ["A solution algorithm for the fluid dynamic equations based on a stochastic model for molecular motion," J. Comput. Phys. 229, 1077-1098 (2010)] and Gorji et al. ["Fokker-Planck model for computational studies of monatomic rarefied gas flows," J. Fluid Mech. 680, 574-601 (2011)]. The idea behind these Fokker-Planck descriptions is to project the dynamics of discrete collisions implied by the molecular encounters into a set of continuous Markovian processes subject to the drift and diffusion. Thereby, the evolution of particles representing the governing stochastic process becomes independent from each other and thus very efficient numerical schemes can be constructed. By close inspection of the Enskog operator, it is observed that the dense gas effects contribute further to the advection of molecular quantities. That motivates a modelling approach where the dense gas corrections can be cast in the extra advection of particles. Therefore, the corresponding Fokker-Planck approximation is derived such that the evolution in the physical space accounts for the dense effects present in the pressure, stress tensor, and heat fluxes. Hence the consistency between the devised Fokker-Planck approximation and the Enskog operator is shown for the velocity moments up to the heat fluxes. For validation studies, a homogeneous gas inside a box besides Fourier, Couette, and lid-driven cavity flow setups is considered. The results based on the Fokker-Planck model are

  17. The threshold of a stochastic SIQS epidemic model

    Science.gov (United States)

    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.

  18. 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)

  19. 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...

  20. 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.

  1. Stochastic Online Learning in Dynamic Networks under Unknown Models

    Science.gov (United States)

    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

  2. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

    NARCIS (Netherlands)

    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

  3. CSL model checking of deterministic and stochastic Petri nets

    NARCIS (Netherlands)

    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

  4. 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

  5. Hydrological modeling using a multi-site stochastic weather generator

    Science.gov (United States)

    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...

  6. Optimal Tax Reduction by Depreciation : A Stochastic Model

    NARCIS (Netherlands)

    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

  7. A cavitation model based on Eulerian stochastic fields

    Science.gov (United States)

    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.

  8. Stochastic models in risk theory and management accounting

    NARCIS (Netherlands)

    Brekelmans, R.C.M.

    2000-01-01

    This thesis deals with stochastic models in two fields: risk theory and management accounting. Firstly, two extensions of the classical risk process are analyzed. A method is developed that computes bounds of the probability of ruin for the classical risk rocess extended with a constant interest

  9. A stochastic model for forecast consumption in master scheduling

    NARCIS (Netherlands)

    Weeda, P.J.; Weeda, P.J.

    1994-01-01

    This paper describes a stochastic model for the reduction of the initial forecast in the Master Schedule (MS) of an MRP system during progress of time by the acceptance of customer orders. Results are given for the expectation and variance of the number of yet unknown deliveries as a function of

  10. Conservative diffusions: a constructive approach to Nelson's stochastic mechanics

    International Nuclear Information System (INIS)

    Carlen, E.A.

    1984-01-01

    In Nelson's stochastic mechanics, quantum phenomena are described in terms of diffusions instead of wave functions; this thesis is a study of that description. Concern here is with the possibility of describing, as opposed to explaining, quantum phenomena in terms of diffusions. In this direction, the following questions arise: ''Do the diffusion of stochastic mechanics - which are formally given by stochastic differential equations with extremely singular coefficients - really exist.'' Given that they exist, one can ask, ''Do these diffusions have physically reasonable paths to study the behavior of physical systems.'' These are the questions treated in this thesis. In Chapter 1, stochastic mechanics and diffusion theory are reviewed, using the Guerra-Morato variational principle to establish the connection with the Schroedinger equation. Chapter II settles the first of the questions raised above. Using PDE methods, the diffusions of stochastic mechanics are constructed. The result is sufficiently general to be of independent mathematical interest. In Chapter III, potential scattering in stochastic mechanics is treated and direct probabilistic methods of studying quantum scattering problems are discussed. The results provide a solid YES in answer to the second question raised above

  11. Challenges in conditioning a stochastic geological model of a heterogeneous glacial aquifer to a comprehensive soft data set

    DEFF Research Database (Denmark)

    Koch, Julian; He, Xin; Jensen, Karsten Høgh

    2014-01-01

    In traditional hydrogeological investigations, one geological model is often used based on subjective interpretations and sparse data availability. This deterministic approach usually does not account for any uncertainties. Stochastic simulation methods address this problem and can capture......TEM data set are derived from a histogram probability matching method, where resistivity is paired with the corresponding lithology from the categorized borehole data. This study integrates two distinct data sources into the stochastic modeling process that represent two extremes of the conditioning...

  12. Stochastic population oscillations in spatial predator-prey models

    International Nuclear Information System (INIS)

    Taeuber, Uwe C

    2011-01-01

    It is well-established that including spatial structure and stochastic noise in models for predator-prey interactions invalidates the classical deterministic Lotka-Volterra picture of neutral population cycles. In contrast, stochastic models yield long-lived, but ultimately decaying erratic population oscillations, which can be understood through a resonant amplification mechanism for density fluctuations. In Monte Carlo simulations of spatial stochastic predator-prey systems, one observes striking complex spatio-temporal structures. These spreading activity fronts induce persistent correlations between predators and prey. In the presence of local particle density restrictions (finite prey carrying capacity), there exists an extinction threshold for the predator population. The accompanying continuous non-equilibrium phase transition is governed by the directed-percolation universality class. We employ field-theoretic methods based on the Doi-Peliti representation of the master equation for stochastic particle interaction models to (i) map the ensuing action in the vicinity of the absorbing state phase transition to Reggeon field theory, and (ii) to quantitatively address fluctuation-induced renormalizations of the population oscillation frequency, damping, and diffusion coefficients in the species coexistence phase.

  13. Stochastic volatility and stochastic leverage

    DEFF Research Database (Denmark)

    Veraart, Almut; Veraart, Luitgard A. M.

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

  14. A stochastic differential equations approach for the description of helium bubble size distributions in irradiated metals

    Science.gov (United States)

    Seif, Dariush; Ghoniem, Nasr M.

    2014-12-01

    A rate theory model based on the theory of nonlinear stochastic differential equations (SDEs) is developed to estimate the time-dependent size distribution of helium bubbles in metals under irradiation. Using approaches derived from Itô's calculus, rate equations for the first five moments of the size distribution in helium-vacancy space are derived, accounting for the stochastic nature of the atomic processes involved. In the first iteration of the model, the distribution is represented as a bivariate Gaussian distribution. The spread of the distribution about the mean is obtained by white-noise terms in the second-order moments, driven by fluctuations in the general absorption and emission of point defects by bubbles, and fluctuations stemming from collision cascades. This statistical model for the reconstruction of the distribution by its moments is coupled to a previously developed reduced-set, mean-field, rate theory model. As an illustrative case study, the model is applied to a tungsten plasma facing component under irradiation. Our findings highlight the important role of stochastic atomic fluctuations on the evolution of helium-vacancy cluster size distributions. It is found that when the average bubble size is small (at low dpa levels), the relative spread of the distribution is large and average bubble pressures may be very large. As bubbles begin to grow in size, average bubble pressures decrease, and stochastic fluctuations have a lessened effect. The distribution becomes tighter as it evolves in time, corresponding to a more uniform bubble population. The model is formulated in a general way, capable of including point defect drift due to internal temperature and/or stress gradients. These arise during pulsed irradiation, and also during steady irradiation as a result of externally applied or internally generated non-homogeneous stress fields. Discussion is given into how the model can be extended to include full spatial resolution and how the

  15. A stochastic differential equations approach for the description of helium bubble size distributions in irradiated metals

    International Nuclear Information System (INIS)

    Seif, Dariush; Ghoniem, Nasr M.

    2014-01-01

    A rate theory model based on the theory of nonlinear stochastic differential equations (SDEs) is developed to estimate the time-dependent size distribution of helium bubbles in metals under irradiation. Using approaches derived from Itô’s calculus, rate equations for the first five moments of the size distribution in helium–vacancy space are derived, accounting for the stochastic nature of the atomic processes involved. In the first iteration of the model, the distribution is represented as a bivariate Gaussian distribution. The spread of the distribution about the mean is obtained by white-noise terms in the second-order moments, driven by fluctuations in the general absorption and emission of point defects by bubbles, and fluctuations stemming from collision cascades. This statistical model for the reconstruction of the distribution by its moments is coupled to a previously developed reduced-set, mean-field, rate theory model. As an illustrative case study, the model is applied to a tungsten plasma facing component under irradiation. Our findings highlight the important role of stochastic atomic fluctuations on the evolution of helium–vacancy cluster size distributions. It is found that when the average bubble size is small (at low dpa levels), the relative spread of the distribution is large and average bubble pressures may be very large. As bubbles begin to grow in size, average bubble pressures decrease, and stochastic fluctuations have a lessened effect. The distribution becomes tighter as it evolves in time, corresponding to a more uniform bubble population. The model is formulated in a general way, capable of including point defect drift due to internal temperature and/or stress gradients. These arise during pulsed irradiation, and also during steady irradiation as a result of externally applied or internally generated non-homogeneous stress fields. Discussion is given into how the model can be extended to include full spatial resolution and how the

  16. A stochastic differential equations approach for the description of helium bubble size distributions in irradiated metals

    Energy Technology Data Exchange (ETDEWEB)

    Seif, Dariush, E-mail: dariush.seif@iwm-extern.fraunhofer.de [Fraunhofer Institut für Werkstoffmechanik, Freiburg 79108 (Germany); Department of Mechanical and Aerospace Engineering, University of California, Los Angeles, CA 90095-1597 (United States); Ghoniem, Nasr M. [Department of Mechanical and Aerospace Engineering, University of California, Los Angeles, CA 90095-1597 (United States)

    2014-12-15

    A rate theory model based on the theory of nonlinear stochastic differential equations (SDEs) is developed to estimate the time-dependent size distribution of helium bubbles in metals under irradiation. Using approaches derived from Itô’s calculus, rate equations for the first five moments of the size distribution in helium–vacancy space are derived, accounting for the stochastic nature of the atomic processes involved. In the first iteration of the model, the distribution is represented as a bivariate Gaussian distribution. The spread of the distribution about the mean is obtained by white-noise terms in the second-order moments, driven by fluctuations in the general absorption and emission of point defects by bubbles, and fluctuations stemming from collision cascades. This statistical model for the reconstruction of the distribution by its moments is coupled to a previously developed reduced-set, mean-field, rate theory model. As an illustrative case study, the model is applied to a tungsten plasma facing component under irradiation. Our findings highlight the important role of stochastic atomic fluctuations on the evolution of helium–vacancy cluster size distributions. It is found that when the average bubble size is small (at low dpa levels), the relative spread of the distribution is large and average bubble pressures may be very large. As bubbles begin to grow in size, average bubble pressures decrease, and stochastic fluctuations have a lessened effect. The distribution becomes tighter as it evolves in time, corresponding to a more uniform bubble population. The model is formulated in a general way, capable of including point defect drift due to internal temperature and/or stress gradients. These arise during pulsed irradiation, and also during steady irradiation as a result of externally applied or internally generated non-homogeneous stress fields. Discussion is given into how the model can be extended to include full spatial resolution and how the

  17. Stochastic and simulation models of maritime intercept operations capabilities

    OpenAIRE

    Sato, Hiroyuki

    2005-01-01

    The research formulates and exercises stochastic and simulation models to assess the Maritime Intercept Operations (MIO) capabilities. The models focus on the surveillance operations of the Maritime Patrol Aircraft (MPA). The analysis using the models estimates the probability with which a terrorist vessel (Red) is detected, correctly classified, and escorted for intensive investigation and neutralization before it leaves an area of interest (AOI). The difficulty of obtaining adequate int...

  18. Extinction threshold of a population in spatial and stochastic model

    OpenAIRE

    Soroka, Yevheniia; Rublyov, Bogdan

    2016-01-01

    In this study, spatial stochastic and logistic model (SSLM) describing dynamics of a population of a certain species was analysed. The behaviour of the extinction threshold as a function of model parameters was studied. More specifically, we studied how the critical values for the model parameters that separate the cases of extinction and persistence depend on the spatial scales of the competition and dispersal kernels. We compared the simulations and analytical results to examine if and how ...

  19. Hierarchic stochastic modelling applied to intracellular Ca(2+ signals.

    Directory of Open Access Journals (Sweden)

    Gregor Moenke

    Full Text Available Important biological processes like cell signalling and gene expression have noisy components and are very complex at the same time. Mathematical analysis of such systems has often been limited to the study of isolated subsystems, or approximations are used that are difficult to justify. Here we extend a recently published method (Thurley and Falcke, PNAS 2011 which is formulated in observable system configurations instead of molecular transitions. This reduces the number of system states by several orders of magnitude and avoids fitting of kinetic parameters. The method is applied to Ca(2+ signalling. Ca(2+ is a ubiquitous second messenger transmitting information by stochastic sequences of concentration spikes, which arise by coupling of subcellular Ca(2+ release events (puffs. We derive analytical expressions for a mechanistic Ca(2+ model, based on recent data from live cell imaging, and calculate Ca(2+ spike statistics in dependence on cellular parameters like stimulus strength or number of Ca(2+ channels. The new approach substantiates a generic Ca(2+ model, which is a very convenient way to simulate Ca(2+ spike sequences with correct spiking statistics.

  20. Stochastic approach to the derivation of emission limits for wastewater treatment plants.

    Science.gov (United States)

    Stransky, D; Kabelkova, I; Bares, V

    2009-01-01

    Stochastic approach to the derivation of WWTP emission limits meeting probabilistically defined environmental quality standards (EQS) is presented. The stochastic model is based on the mixing equation with input data defined by probability density distributions and solved by Monte Carlo simulations. The approach was tested on a study catchment for total phosphorus (P(tot)). The model assumes input variables independency which was proved for the dry-weather situation. Discharges and P(tot) concentrations both in the study creek and WWTP effluent follow log-normal probability distribution. Variation coefficients of P(tot) concentrations differ considerably along the stream (c(v)=0.415-0.884). The selected value of the variation coefficient (c(v)=0.420) affects the derived mean value (C(mean)=0.13 mg/l) of the P(tot) EQS (C(90)=0.2 mg/l). Even after supposed improvement of water quality upstream of the WWTP to the level of the P(tot) EQS, the WWTP emission limits calculated would be lower than the values of the best available technology (BAT). Thus, minimum dilution ratios for the meaningful application of the combined approach to the derivation of P(tot) emission limits for Czech streams are discussed.

  1. A stochastic security approach to energy and spinning reserve scheduling considering demand response program

    International Nuclear Information System (INIS)

    Partovi, Farzad; Nikzad, Mehdi; Mozafari, Babak; Ranjbar, Ali Mohamad

    2011-01-01

    In this paper a new algorithm for allocating energy and determining the optimum amount of network active power reserve capacity and the share of generating units and demand side contribution in providing reserve capacity requirements for day-ahead market is presented. In the proposed method, the optimum amount of reserve requirement is determined based on network security set by operator. In this regard, Expected Load Not Supplied (ELNS) is used to evaluate system security in each hour. The proposed method has been implemented over the IEEE 24-bus test system and the results are compared with a deterministic security approach, which considers certain and fixed amount of reserve capacity in each hour. This comparison is done from economic and technical points of view. The promising results show the effectiveness of the proposed model which is formulated as mixed integer linear programming (MILP) and solved by GAMS software. -- Highlights: → Determination of optimal spinning reserve capacity requirement in order to satisfy desired security level set by system operator based on stochastic approach. → Scheduling energy and spinning reserve markets simultaneously. → Comparing the stochastic approach with deterministic approach to determine the advantages and disadvantages of each. → Examine the effect of demand response participation in reserve market to provide spinning reserve.

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

    Science.gov (United States)

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

    2009-06-01

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

  3. US residential energy demand and energy efficiency: A stochastic demand frontier approach

    International Nuclear Information System (INIS)

    Filippini, Massimo; Hunt, Lester C.

    2012-01-01

    This paper estimates a US frontier residential aggregate energy demand function using panel data for 48 ‘states’ over the period 1995 to 2007 using stochastic frontier analysis (SFA). Utilizing an econometric energy demand model, the (in)efficiency of each state is modeled and it is argued that this represents a measure of the inefficient use of residential energy in each state (i.e. ‘waste energy’). This underlying efficiency for the US is therefore observed for each state as well as the relative efficiency across the states. Moreover, the analysis suggests that energy intensity is not necessarily a good indicator of energy efficiency, whereas by controlling for a range of economic and other factors, the measure of energy efficiency obtained via this approach is. This is a novel approach to model residential energy demand and efficiency and it is arguably particularly relevant given current US energy policy discussions related to energy efficiency.

  4. Fluctuations induced extinction and stochastic resonance effect in a model of tumor growth with periodic treatment

    Energy Technology Data Exchange (ETDEWEB)

    Li Dongxi, E-mail: lidongxi@mail.nwpu.edu.c [Department of Applied Mathematics, Northwestern Polytechnical University, Xi' an 710072 (China); Xu Wei; Guo, Yongfeng; Xu Yong [Department of Applied Mathematics, Northwestern Polytechnical University, Xi' an 710072 (China)

    2011-01-31

    We investigate a stochastic model of tumor growth derived from the catalytic Michaelis-Menten reaction with positional and environmental fluctuations under subthreshold periodic treatment. Firstly, the influences of environmental fluctuations on the treatable stage are analyzed numerically. Applying the standard theory of stochastic resonance derived from the two-state approach, we derive the signal-to-noise ratio (SNR) analytically, which is used to measure the stochastic resonance phenomenon. It is found that the weak environmental fluctuations could induce the extinction of tumor cells in the subthreshold periodic treatment. The positional stability is better in favor of the treatment of the tumor cells. Besides, the appropriate and feasible treatment intensity and the treatment cycle should be highlighted considered in the treatment of tumor cells.

  5. Fluctuations induced extinction and stochastic resonance effect in a model of tumor growth with periodic treatment

    International Nuclear Information System (INIS)

    Li Dongxi; Xu Wei; Guo, Yongfeng; Xu Yong

    2011-01-01

    We investigate a stochastic model of tumor growth derived from the catalytic Michaelis-Menten reaction with positional and environmental fluctuations under subthreshold periodic treatment. Firstly, the influences of environmental fluctuations on the treatable stage are analyzed numerically. Applying the standard theory of stochastic resonance derived from the two-state approach, we derive the signal-to-noise ratio (SNR) analytically, which is used to measure the stochastic resonance phenomenon. It is found that the weak environmental fluctuations could induce the extinction of tumor cells in the subthreshold periodic treatment. The positional stability is better in favor of the treatment of the tumor cells. Besides, the appropriate and feasible treatment intensity and the treatment cycle should be highlighted considered in the treatment of tumor cells.

  6. Exercise effects in a virtual type 1 diabetes patient: Using stochastic differential equations for model extension

    DEFF Research Database (Denmark)

    Duun-Henriksen, Anne Katrine; Schmidt, S.; Nørgaard, K.

    2013-01-01

    extension incorporating exercise effects on insulin and glucose dynamics. Our model is constructed as a stochastic state space model consisting of a set of stochastic differential equations (SDEs). In a stochastic state space model, the residual error is split into random measurement error...

  7. Stochastic congestion management in power markets using efficient scenario approaches

    International Nuclear Information System (INIS)

    Esmaili, Masoud; Amjady, Nima; Shayanfar, Heidar Ali

    2010-01-01

    Congestion management in electricity markets is traditionally performed using deterministic values of system parameters assuming a fixed network configuration. In this paper, a stochastic programming framework is proposed for congestion management considering the power system uncertainties comprising outage of generating units and transmission branches. The Forced Outage Rate of equipment is employed in the stochastic programming. Using the Monte Carlo simulation, possible scenarios of power system operating states are generated and a probability is assigned to each scenario. The performance of the ordinary as well as Lattice rank-1 and rank-2 Monte Carlo simulations is evaluated in the proposed congestion management framework. As a tradeoff between computation time and accuracy, scenario reduction based on the standard deviation of accepted scenarios is adopted. The stochastic congestion management solution is obtained by aggregating individual solutions of accepted scenarios. Congestion management using the proposed stochastic framework provides a more realistic solution compared with traditional deterministic solutions. Results of testing the proposed stochastic congestion management on the 24-bus reliability test system indicate the efficiency of the proposed framework.

  8. Dissection of a Complex Disease Susceptibility Region Using a Bayesian Stochastic Search Approach to Fine Mapping.

    Directory of Open Access Journals (Sweden)

    Chris Wallace

    2015-06-01

    Full Text Available Identification of candidate causal variants in regions associated with risk of common diseases is complicated by linkage disequilibrium (LD and multiple association signals. Nonetheless, accurate maps of these variants are needed, both to fully exploit detailed cell specific chromatin annotation data to highlight disease causal mechanisms and cells, and for design of the functional studies that will ultimately be required to confirm causal mechanisms. We adapted a Bayesian evolutionary stochastic search algorithm to the fine mapping problem, and demonstrated its improved performance over conventional stepwise and regularised regression through simulation studies. We then applied it to fine map the established multiple sclerosis (MS and type 1 diabetes (T1D associations in the IL-2RA (CD25 gene region. For T1D, both stepwise and stochastic search approaches identified four T1D association signals, with the major effect tagged by the single nucleotide polymorphism, rs12722496. In contrast, for MS, the stochastic search found two distinct competing models: a single candidate causal variant, tagged by rs2104286 and reported previously using stepwise analysis; and a more complex model with two association signals, one of which was tagged by the major T1D associated rs12722496 and the other by rs56382813. There is low to moderate LD between rs2104286 and both rs12722496 and rs56382813 (r2 ≃ 0:3 and our two SNP model could not be recovered through a forward stepwise search after conditioning on rs2104286. Both signals in the two variant model for MS affect CD25 expression on distinct subpopulations of CD4+ T cells, which are key cells in the autoimmune process. The results support a shared causal variant for T1D and MS. Our study illustrates the benefit of using a purposely designed model search strategy for fine mapping and the advantage of combining disease and protein expression data.

  9. Predicting population extinction or disease outbreaks with stochastic models

    Directory of Open Access Journals (Sweden)

    Linda J. S. Allen

    2017-01-01

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

  10. Reconstructing the hidden states in time course data of stochastic models.

    Science.gov (United States)

    Zimmer, Christoph

    2015-11-01

    Parameter estimation is central for analyzing models in Systems Biology. The relevance of stochastic modeling in the field is increasing. Therefore, the need for tailored parameter estimation techniques is increasing as well. Challenges for parameter estimation are partial observability, measurement noise, and the computational complexity arising from the dimension of the parameter space. This article extends the multiple shooting for stochastic systems' method, developed for inference in intrinsic stochastic systems. The treatment of extrinsic noise and the estimation of the unobserved states is improved, by taking into account the correlation between unobserved and observed species. This article demonstrates the power of the method on different scenarios of a Lotka-Volterra model, including cases in which the prey population dies out or explodes, and a Calcium oscillation system. Besides showing how the new extension improves the accuracy of the parameter estimates, this article analyzes the accuracy of the state estimates. In contrast to previous approaches, the new approach is well able to estimate states and parameters for all the scenarios. As it does not need stochastic simulations, it is of the same order of speed as conventional least squares parameter estimation methods with respect to computational time. Copyright © 2015 The Authors. Published by Elsevier Inc. All rights reserved.

  11. Stochastic Differential Equation-Based Flexible Software Reliability Growth Model

    Directory of Open Access Journals (Sweden)

    P. K. Kapur

    2009-01-01

    Full Text Available Several software reliability growth models (SRGMs have been developed by software developers in tracking and measuring the growth of reliability. As the size of software system is large and the number of faults detected during the testing phase becomes large, so the change of the number of faults that are detected and removed through each debugging becomes sufficiently small compared with the initial fault content at the beginning of the testing phase. In such a situation, we can model the software fault detection process as a stochastic process with continuous state space. In this paper, we propose a new software reliability growth model based on Itô type of stochastic differential equation. We consider an SDE-based generalized Erlang model with logistic error detection function. The model is estimated and validated on real-life data sets cited in literature to show its flexibility. The proposed model integrated with the concept of stochastic differential equation performs comparatively better than the existing NHPP-based models.

  12. Development of stochastic indicator models of lithology, Yucca Mountain, Nevada

    International Nuclear Information System (INIS)

    Rautman, C.A.; Robey, T.H.

    1994-01-01

    Indicator geostatistical techniques have been used to produce a number of fully three-dimensional stochastic simulations of large-scale lithologic categories at the Yucca Mountain site. Each realization reproduces the available drill hole data used to condition the simulation. Information is propagated away from each point of observation in accordance with a mathematical model of spatial continuity inferred through soft data taken from published geologic cross sections. Variations among the simulated models collectively represent uncertainty in the lithology at unsampled locations. These stochastic models succeed in capturing many major features of welded-nonwelded lithologic framework of Yucca Mountain. However, contacts between welded and nonwelded rock types for individual simulations appear more complex than suggested by field observation, and a number of probable numerical artifacts exist in these models. Many of the apparent discrepancies between the simulated models and the general geology of Yucca Mountain represent characterization uncertainty, and can be traced to the sparse site data used to condition the simulations. Several vertical stratigraphic columns have been extracted from the three-dimensional stochastic models for use in simplified total-system performance assessment exercises. Simple, manual adjustments are required to eliminate the more obvious simulation artifacts and to impose a secondary set of deterministic geologic features on the overall stratigraphic framework provided by the indictor models

  13. Brain-inspired Stochastic Models and Implementations

    KAUST Repository

    Al-Shedivat, Maruan

    2015-01-01

    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

  14. Predicting the Stochastic Properties of the Shallow Subsurface for Improved Geophysical Modeling

    Science.gov (United States)

    Stroujkova, A.; Vynne, J.; Bonner, J.; Lewkowicz, J.

    2005-12-01

    Strong ground motion data from numerous explosive field experiments and from moderate to large earthquakes show significant variations in amplitude and waveform shape with respect to both azimuth and range. Attempts to model these variations using deterministic models have often been unsuccessful. It has been hypothesized that a stochastic description of the geological medium is a more realistic approach. To estimate the stochastic properties of the shallow subsurface, we use Measurement While Drilling (MWD) data, which are routinely collected by mines in order to facilitate design of blast patterns. The parameters, such as rotation speed of the drill, torque, and penetration rate, are used to compute the rock's Specific Energy (SE), which is then related to a blastability index. We use values of SE measured at two different mines and calibrated to laboratory measurements of rock properties to determine correlation lengths of the subsurface rocks in 2D, needed to obtain 2D and 3D stochastic models. The stochastic models are then combined with the deterministic models and used to compute synthetic seismic waveforms.

  15. Neural dynamics as sampling: a model for stochastic computation in recurrent networks of spiking neurons.

    Science.gov (United States)

    Buesing, Lars; Bill, Johannes; Nessler, Bernhard; Maass, Wolfgang

    2011-11-01

    The organization of computations in networks of spiking neurons in the brain is still largely unknown, in particular in view of the inherently stochastic features of their firing activity and the experimentally observed trial-to-trial variability of neural systems in the brain. In principle there exists a powerful computational framework for stochastic computations, probabilistic inference by sampling, which can explain a large number of macroscopic experimental data in neuroscience and cognitive science. But it has turned out to be surprisingly difficult to create a link between these abstract models for stochastic computations and more detailed models of the dynamics of networks of spiking neurons. Here we create such a link and show that under some conditions the stochastic firing activity of networks of spiking neurons can be interpreted as probabilistic inference via Markov chain Monte Carlo (MCMC) sampling. Since common methods for MCMC sampling in distributed systems, such as Gibbs sampling, are inconsistent with the dynamics of spiking neurons, we introduce a different approach based on non-reversible Markov chains that is able to reflect inherent temporal processes of spiking neuronal activity through a suitable choice of random variables. We propose a neural network model and show by a rigorous theoretical analysis that its neural activity implements MCMC sampling of a given distribution, both for the case of discrete and continuous time. This provides a step towards closing the gap between abstract functional models of cortical computation and more detailed models of networks of spiking neurons.

  16. Development of a Stochastically-driven, Forward Predictive Performance Model for PEMFCs

    Science.gov (United States)

    Harvey, David Benjamin Paul

    A one-dimensional multi-scale coupled, transient, and mechanistic performance model for a PEMFC membrane electrode assembly has been developed. The model explicitly includes each of the 5 layers within a membrane electrode assembly and solves for the transport of charge, heat, mass, species, dissolved water, and liquid water. Key features of the model include the use of a multi-step implementation of the HOR reaction on the anode, agglomerate catalyst sub-models for both the anode and cathode catalyst layers, a unique approach that links the composition of the catalyst layer to key properties within the agglomerate model and the implementation of a stochastic input-based approach for component material properties. The model employs a new methodology for validation using statistically varying input parameters and statistically-based experimental performance data; this model represents the first stochastic input driven unit cell performance model. The stochastic input driven performance model was used to identify optimal ionomer content within the cathode catalyst layer, demonstrate the role of material variation in potential low performing MEA materials, provide explanation for the performance of low-Pt loaded MEAs, and investigate the validity of transient-sweep experimental diagnostic methods.

  17. Modeling reliability of power systems substations by using stochastic automata networks

    International Nuclear Information System (INIS)

    Šnipas, Mindaugas; Radziukynas, Virginijus; Valakevičius, Eimutis

    2017-01-01

    In this paper, stochastic automata networks (SANs) formalism to model reliability of power systems substations is applied. The proposed strategy allows reducing the size of state space of Markov chain model and simplifying system specification. Two case studies of standard configurations of substations are considered in detail. SAN models with different assumptions were created. SAN approach is compared with exact reliability calculation by using a minimal path set method. Modeling results showed that total independence of automata can be assumed for relatively small power systems substations with reliable equipment. In this case, the implementation of Markov chain model by a using SAN method is a relatively easy task. - Highlights: • We present the methodology to apply stochastic automata network formalism to create Markov chain models of power systems. • The stochastic automata network approach is combined with minimal path sets and structural functions. • Two models of substation configurations with different model assumptions are presented to illustrate the proposed methodology. • Modeling results of system with independent automata and functional transition rates are similar. • The conditions when total independence of automata can be assumed are addressed.

  18. Stochastic Modeling of Overtime Occupancy and Its Application in Building Energy Simulation and Calibration

    Energy Technology Data Exchange (ETDEWEB)

    Sun, Kaiyu; Yan, Da; Hong, Tianzhen; Guo, Siyue

    2014-02-28

    Overtime is a common phenomenon around the world. Overtime drives both internal heat gains from occupants, lighting and plug-loads, and HVAC operation during overtime periods. Overtime leads to longer occupancy hours and extended operation of building services systems beyond normal working hours, thus overtime impacts total building energy use. Current literature lacks methods to model overtime occupancy because overtime is stochastic in nature and varies by individual occupants and by time. To address this gap in the literature, this study aims to develop a new stochastic model based on the statistical analysis of measured overtime occupancy data from an office building. A binomial distribution is used to represent the total number of occupants working overtime, while an exponential distribution is used to represent the duration of overtime periods. The overtime model is used to generate overtime occupancy schedules as an input to the energy model of a second office building. The measured and simulated cooling energy use during the overtime period is compared in order to validate the overtime model. A hybrid approach to energy model calibration is proposed and tested, which combines ASHRAE Guideline 14 for the calibration of the energy model during normal working hours, and a proposed KS test for the calibration of the energy model during overtime. The developed stochastic overtime model and the hybrid calibration approach can be used in building energy simulations to improve the accuracy of results, and better understand the characteristics of overtime in office buildings.

  19. Bond-based linear indices of the non-stochastic and stochastic edge-adjacency matrix. 1. Theory and modeling of ChemPhys properties of organic molecules.

    Science.gov (United States)

    Marrero-Ponce, Yovani; Martínez-Albelo, Eugenio R; Casañola-Martín, Gerardo M; Castillo-Garit, Juan A; Echevería-Díaz, Yunaimy; Zaldivar, Vicente Romero; Tygat, Jan; Borges, José E Rodriguez; García-Domenech, Ramón; Torrens, Francisco; Pérez-Giménez, Facundo

    2010-11-01

    Novel bond-level molecular descriptors are proposed, based on linear maps similar to the ones defined in algebra theory. The kth edge-adjacency matrix (E(k)) denotes the matrix of bond linear indices (non-stochastic) with regard to canonical basis set. The kth stochastic edge-adjacency matrix, ES(k), is here proposed as a new molecular representation easily calculated from E(k). Then, the kth stochastic bond linear indices are calculated using ES(k) as operators of linear transformations. In both cases, the bond-type formalism is developed. The kth non-stochastic and stochastic total linear indices are calculated by adding the kth non-stochastic and stochastic bond linear indices, respectively, of all bonds in molecule. First, the new bond-based molecular descriptors (MDs) are tested for suitability, for the QSPRs, by analyzing regressions of novel indices for selected physicochemical properties of octane isomers (first round). General performance of the new descriptors in this QSPR studies is evaluated with regard to the well-known sets of 2D/3D MDs. From the analysis, we can conclude that the non-stochastic and stochastic bond-based linear indices have an overall good modeling capability proving their usefulness in QSPR studies. Later, the novel bond-level MDs are also used for the description and prediction of the boiling point of 28 alkyl-alcohols (second round), and to the modeling of the specific rate constant (log k), partition coefficient (log P), as well as the antibacterial activity of 34 derivatives of 2-furylethylenes (third round). The comparison with other approaches (edge- and vertices-based connectivity indices, total and local spectral moments, and quantum chemical descriptors as well as E-state/biomolecular encounter parameters) exposes a good behavior of our method in this QSPR studies. Finally, the approach described in this study appears to be a very promising structural invariant, useful not only for QSPR studies but also for similarity

  20. Stochastic population dynamic models as probability networks

    Science.gov (United States)

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

    2009-01-01

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

  1. Stochastic resonance in a generalized Von Foerster population growth model

    Energy Technology Data Exchange (ETDEWEB)

    Lumi, N.; Mankin, R. [Institute of Mathematics and Natural Sciences, Tallinn University, 25 Narva Road, 10120 Tallinn (Estonia)

    2014-11-12

    The stochastic dynamics of a population growth model, similar to the Von Foerster model for human population, is studied. The influence of fluctuating environment on the carrying capacity is modeled as a multiplicative dichotomous noise. It is established that an interplay between nonlinearity and environmental fluctuations can cause single unidirectional discontinuous transitions of the mean population size versus the noise amplitude, i.e., an increase of noise amplitude can induce a jump from a state with a moderate number of individuals to that with a very large number, while by decreasing the noise amplitude an opposite transition cannot be effected. An analytical expression of the mean escape time for such transitions is found. Particularly, it is shown that the mean transition time exhibits a strong minimum at intermediate values of noise correlation time, i.e., the phenomenon of stochastic resonance occurs. Applications of the results in ecology are also discussed.

  2. Boosting Bayesian parameter inference of nonlinear stochastic differential equation models by Hamiltonian scale separation.

    Science.gov (United States)

    Albert, Carlo; Ulzega, Simone; Stoop, Ruedi

    2016-04-01

    Parameter inference is a fundamental problem in data-driven modeling. Given observed data that is believed to be a realization of some parameterized model, the aim is to find parameter values that are able to explain the observed data. In many situations, the dominant sources of uncertainty must be included into the model for making reliable predictions. This naturally leads to stochastic models. Stochastic models render parameter inference much harder, as the aim then is to find a distribution of likely parameter values. In Bayesian statistics, which is a consistent framework for data-driven learning, this so-called posterior distribution can be used to make probabilistic predictions. We propose a novel, exact, and very efficient approach for generating posterior parameter distributions for stochastic differential equation models calibrated to measured time series. The algorithm is inspired by reinterpreting the posterior distribution as a statistical mechanics partition function of an object akin to a polymer, where the measurements are mapped on heavier beads compared to those of the simulated data. To arrive at distribution samples, we employ a Hamiltonian Monte Carlo approach combined with a multiple time-scale integration. A separation of time scales naturally arises if either the number of measurement points or the number of simulation points becomes large. Furthermore, at least for one-dimensional problems, we can decouple the harmonic modes between measurement points and solve the fastest part of their dynamics analytically. Our approach is applicable to a wide range of inference problems and is highly parallelizable.

  3. Stochastic modeling of central apnea events in preterm infants

    International Nuclear Information System (INIS)

    Clark, Matthew T; Lake, Douglas E; Randall Moorman, J; Delos, John B; Lee, Hoshik; Fairchild, Karen D; Kattwinkel, John

    2016-01-01

    A near-ubiquitous pathology in very low birth weight infants is neonatal apnea, breathing pauses with slowing of the heart and falling blood oxygen. Events of substantial duration occasionally occur after an infant is discharged from the neonatal intensive care unit (NICU). It is not known whether apneas result from a predictable process or from a stochastic process, but the observation that they occur in seemingly random clusters justifies the use of stochastic models. We use a hidden-Markov model to analyze the distribution of durations of apneas and the distribution of times between apneas. The model suggests the presence of four breathing states, ranging from very stable (with an average lifetime of 12 h) to very unstable (with an average lifetime of 10 s). Although the states themselves are not visible, the mathematical analysis gives estimates of the transition rates among these states. We have obtained these transition rates, and shown how they change with post-menstrual age; as expected, the residence time in the more stable breathing states increases with age. We also extrapolated the model to predict the frequency of very prolonged apnea during the first year of life. This paradigm—stochastic modeling of cardiorespiratory control in neonatal infants to estimate risk for severe clinical events—may be a first step toward personalized risk assessment for life threatening apnea events after NICU discharge. (paper)

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

    Science.gov (United States)

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

    2016-03-01

    The development of adequate mathematical models for blood glucose dynamics may improve early diagnosis and control of diabetes mellitus (DM). We have developed a stochastic nonlinear second order differential equation to describe the response of blood glucose concentration to food intake using continuous glucose monitoring (CGM) data. A variational Bayesian learning scheme was applied to define the number and values of the system's parameters by iterative optimisation of free energy. The model has the minimal order and number of parameters to successfully describe blood glucose dynamics in people with and without DM. The model accounts for the nonlinearity and stochasticity of the underlying glucose-insulin dynamic process. Being data-driven, it takes full advantage of available CGM data and, at the same time, reflects the intrinsic characteristics of the glucose-insulin system without detailed knowledge of the physiological mechanisms. We have shown that the dynamics of some postprandial blood glucose excursions can be described by a reduced (linear) model, previously seen in the literature. A comprehensive analysis demonstrates that deterministic system parameters belong to different ranges for diabetes and controls. Implications for clinical practice are discussed. This is the first study introducing a continuous data-driven nonlinear stochastic model capable of describing both DM and non-DM profiles. Copyright © 2015 The Authors. Published by Elsevier Ireland Ltd.. All rights reserved.

  5. Spatial stochastic regression modelling of urban land use

    International Nuclear Information System (INIS)

    Arshad, S H M; Jaafar, J; Abiden, M Z Z; Latif, Z A; Rasam, A R A

    2014-01-01

    Urbanization is very closely linked to industrialization, commercialization or overall economic growth and development. This results in innumerable benefits of the quantity and quality of the urban environment and lifestyle but on the other hand contributes to unbounded development, urban sprawl, overcrowding and decreasing standard of living. Regulation and observation of urban development activities is crucial. The understanding of urban systems that promotes urban growth are also essential for the purpose of policy making, formulating development strategies as well as development plan preparation. This study aims to compare two different stochastic regression modeling techniques for spatial structure models of urban growth in the same specific study area. Both techniques will utilize the same datasets and their results will be analyzed. The work starts by producing an urban growth model by using stochastic regression modeling techniques namely the Ordinary Least Square (OLS) and Geographically Weighted Regression (GWR). The two techniques are compared to and it is found that, GWR seems to be a more significant stochastic regression model compared to OLS, it gives a smaller AICc (Akaike's Information Corrected Criterion) value and its output is more spatially explainable

  6. Stochastic modeling of central apnea events in preterm infants.

    Science.gov (United States)

    Clark, Matthew T; Delos, John B; Lake, Douglas E; Lee, Hoshik; Fairchild, Karen D; Kattwinkel, John; Moorman, J Randall

    2016-04-01

    A near-ubiquitous pathology in very low birth weight infants is neonatal apnea, breathing pauses with slowing of the heart and falling blood oxygen. Events of substantial duration occasionally occur after an infant is discharged from the neonatal intensive care unit (NICU). It is not known whether apneas result from a predictable process or from a stochastic process, but the observation that they occur in seemingly random clusters justifies the use of stochastic models. We use a hidden-Markov model to analyze the distribution of durations of apneas and the distribution of times between apneas. The model suggests the presence of four breathing states, ranging from very stable (with an average lifetime of 12 h) to very unstable (with an average lifetime of 10 s). Although the states themselves are not visible, the mathematical analysis gives estimates of the transition rates among these states. We have obtained these transition rates, and shown how they change with post-menstrual age; as expected, the residence time in the more stable breathing states increases with age. We also extrapolated the model to predict the frequency of very prolonged apnea during the first year of life. This paradigm-stochastic modeling of cardiorespiratory control in neonatal infants to estimate risk for severe clinical events-may be a first step toward personalized risk assessment for life threatening apnea events after NICU discharge.

  7. Stochastic Change Detection based on an Active Fault Diagnosis Approach

    DEFF Research Database (Denmark)

    Poulsen, Niels Kjølstad; Niemann, Hans Henrik

    2007-01-01

    The focus in this paper is on stochastic change detection applied in connection with active fault diagnosis (AFD). An auxiliary input signal is applied in AFD. This signal injection in the system will in general allow to obtain a fast change detection/isolation by considering the output or an err...

  8. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

    Directory of Open Access Journals (Sweden)

    Shelton Peiris

    2017-12-01

    Full Text Available This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV components in order to develop the General Long Memory SV (GLMSV model. We examine the corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample properties via Monte Carlo experiments. We provide empirical evidence by applying the GLMSV model to three exchange rate return series and conjecture that the results of out-of-sample forecasts adequately confirm the use of GLMSV model in certain financial applications.

  9. Fat versus Thin Threading Approach on GPUs: Application to Stochastic Simulation of Chemical Reactions

    KAUST Repository

    Klingbeil, Guido; Erban, Radek; Giles, Mike; Maini, Philip K.

    2012-01-01

    We explore two different threading approaches on a graphics processing unit (GPU) exploiting two different characteristics of the current GPU architecture. The fat thread approach tries to minimize data access time by relying on shared memory and registers potentially sacrificing parallelism. The thin thread approach maximizes parallelism and tries to hide access latencies. We apply these two approaches to the parallel stochastic simulation of chemical reaction systems using the stochastic simulation algorithm (SSA) by Gillespie [14]. In these cases, the proposed thin thread approach shows comparable performance while eliminating the limitation of the reaction system's size. © 2006 IEEE.

  10. Fat versus Thin Threading Approach on GPUs: Application to Stochastic Simulation of Chemical Reactions

    KAUST Repository

    Klingbeil, Guido

    2012-02-01

    We explore two different threading approaches on a graphics processing unit (GPU) exploiting two different characteristics of the current GPU architecture. The fat thread approach tries to minimize data access time by relying on shared memory and registers potentially sacrificing parallelism. The thin thread approach maximizes parallelism and tries to hide access latencies. We apply these two approaches to the parallel stochastic simulation of chemical reaction systems using the stochastic simulation algorithm (SSA) by Gillespie [14]. In these cases, the proposed thin thread approach shows comparable performance while eliminating the limitation of the reaction system\\'s size. © 2006 IEEE.

  11. Introduction to stochastic models in biology

    DEFF Research Database (Denmark)

    Ditlevsen, Susanne; Samson, Adeline

    2013-01-01

    This chapter is concerned with continuous time processes, which are often modeled as a system of ordinary differential equations (ODEs). These models assume that the observed dynamics are driven exclusively by internal, deterministic mechanisms. However, real biological systems will always be exp...

  12. Time-Weighted Balanced Stochastic Model Reduction

    DEFF Research Database (Denmark)

    Tahavori, Maryamsadat; Shaker, Hamid Reza

    2011-01-01

    A new relative error model reduction technique for linear time invariant (LTI) systems is proposed in this paper. Both continuous and discrete time systems can be reduced within this framework. The proposed model reduction method is mainly based upon time-weighted balanced truncation and a recently...

  13. Stochastic sensitivity analysis of the variability of dynamics and transition to chaos in the business cycles model

    Science.gov (United States)

    Bashkirtseva, Irina; Ryashko, Lev; Ryazanova, Tatyana

    2018-01-01

    A problem of mathematical modeling of complex stochastic processes in macroeconomics is discussed. For the description of dynamics of income and capital stock, the well-known Kaldor model of business cycles is used as a basic example. The aim of the paper is to give an overview of the variety of stochastic phenomena which occur in Kaldor model forced by additive and parametric random noise. We study a generation of small- and large-amplitude stochastic oscillations, and their mixed-mode intermittency. To analyze these phenomena, we suggest a constructive approach combining the study of the peculiarities of deterministic phase portrait, and stochastic sensitivity of attractors. We show how parametric noise can stabilize the unstable equilibrium and transform dynamics of Kaldor system from order to chaos.

  14. Stochastic modelling in design of mechanical properties of nanometals

    International Nuclear Information System (INIS)

    Tengen, T.B.; Wejrzanowski, T.; Iwankiewicz, R.; Kurzydlowski, K.J.

    2010-01-01

    Polycrystalline nanometals are being fabricated through different processing routes and conditions. The consequence is that nanometals having the same mean grain size may have different grain size dispersion and, hence, may have different material properties. This has often led to conflicting reports from both theoretical and experimental findings about the evolutions of the mechanical properties of nanomaterials. The present paper employs stochastic model to study the impact of microstructure evolution during grain growth on the mechanical properties of polycrystalline nanometals. The stochastic model for grain growth and the stochastic model for changes in mechanical properties of nanomaterials are proposed. The model for the mechanical properties developed is tested on aluminium samples.Many salient features of the mechanical properties of the aluminium samples are revealed. The results show that the different mechanisms of grain growth impart different nature of response to the material mechanical properties. The conventional, homologous and anomalous temperature dependences of the yield stress have also been revealed to be due to different nature of interactions of the microstructures during evolution.

  15. TIME-DEPENDENT STOCHASTIC ACCELERATION MODEL FOR FERMI BUBBLES

    Energy Technology Data Exchange (ETDEWEB)

    Sasaki, Kento; Asano, Katsuaki; Terasawa, Toshio, E-mail: kentos@icrr.u-tokyo.ac.jp, E-mail: asanok@icrr.u-tokyo.ac.jp, E-mail: terasawa@icrr.u-tokyo.ac.jp [Institute for Cosmic Ray Research, The University of Tokyo, 5-1-5 Kashiwanoha, Kashiwa, Chiba 277-8582 (Japan)

    2015-12-01

    We study stochastic acceleration models for the Fermi bubbles. Turbulence is excited just behind the shock front via Kelvin–Helmholtz, Rayleigh–Taylor, or Richtmyer–Meshkov instabilities, and plasma particles are continuously accelerated by the interaction with the turbulence. The turbulence gradually decays as it goes away from the shock fronts. Adopting a phenomenological model for the stochastic acceleration, we explicitly solve the temporal evolution of the particle energy distribution in the turbulence. Our results show that the spatial distribution of high-energy particles is different from those for a steady solution. We also show that the contribution of electrons that escaped from the acceleration regions significantly softens the photon spectrum. The photon spectrum and surface brightness profile are reproduced by our models. If the escape efficiency is very high, the radio flux from the escaped low-energy electrons can be comparable to that of the WMAP haze. We also demonstrate hadronic models with the stochastic acceleration, but they are unlikely in the viewpoint of the energy budget.

  16. Stochastic models of solute transport in highly heterogeneous geologic media

    Energy Technology Data Exchange (ETDEWEB)

    Semenov, V.N.; Korotkin, I.A.; Pruess, K.; Goloviznin, V.M.; Sorokovikova, O.S.

    2009-09-15

    A stochastic model of anomalous diffusion was developed in which transport occurs by random motion of Brownian particles, described by distribution functions of random displacements with heavy (power-law) tails. One variant of an effective algorithm for random function generation with a power-law asymptotic and arbitrary factor of asymmetry is proposed that is based on the Gnedenko-Levy limit theorem and makes it possible to reproduce all known Levy {alpha}-stable fractal processes. A two-dimensional stochastic random walk algorithm has been developed that approximates anomalous diffusion with streamline-dependent and space-dependent parameters. The motivation for introducing such a type of dispersion model is the observed fact that tracers in natural aquifers spread at different super-Fickian rates in different directions. For this and other important cases, stochastic random walk models are the only known way to solve the so-called multiscaling fractional order diffusion equation with space-dependent parameters. Some comparisons of model results and field experiments are presented.

  17. A Stochastic Operational Planning Model for Smart Power Systems

    Directory of Open Access Journals (Sweden)

    Sh. Jadid

    2014-12-01

    Full Text Available Smart Grids are result of utilizing novel technologies such as distributed energy resources, and communication technologies in power system to compensate some of its defects. Various power resources provide some benefits for operation domain however, power system operator should use a powerful methodology to manage them. Renewable resources and load add uncertainty to the problem. So, independent system operator should use a stochastic method to manage them. A Stochastic unit commitment is presented in this paper to schedule various power resources such as distributed generation units, conventional thermal generation units, wind and PV farms, and demand response resources. Demand response resources, interruptible loads, distributed generation units, and conventional thermal generation units are used to provide required reserve for compensating stochastic nature of various resources and loads. In the presented model, resources connected to distribution network can participate in wholesale market through aggregators. Moreover, a novel three-program model which can be used by aggregators is presented in this article. Loads and distributed generation can contract with aggregators by these programs. A three-bus test system and the IEEE RTS are used to illustrate usefulness of the presented model. The results show that ISO can manage the system effectively by using this model

  18. (Non-) homomorphic approaches to denoise intensity SAR images with non-local means and stochastic distances

    Science.gov (United States)

    Penna, Pedro A. A.; Mascarenhas, Nelson D. A.

    2018-02-01

    The development of new methods to denoise images still attract researchers, who seek to combat the noise with the minimal loss of resolution and details, like edges and fine structures. Many algorithms have the goal to remove additive white Gaussian noise (AWGN). However, it is not the only type of noise which interferes in the analysis and interpretation of images. Therefore, it is extremely important to expand the filters capacity to different noise models present in li-terature, for example the multiplicative noise called speckle that is present in synthetic aperture radar (SAR) images. The state-of-the-art algorithms in remote sensing area work with similarity between patches. This paper aims to develop two approaches using the non local means (NLM), developed for AWGN. In our research, we expanded its capacity for intensity SAR ima-ges speckle. The first approach is grounded on the use of stochastic distances based on the G0 distribution without transforming the data to the logarithm domain, like homomorphic transformation. It takes into account the speckle and backscatter to estimate the parameters necessary to compute the stochastic distances on NLM. The second method uses a priori NLM denoising with a homomorphic transformation and applies the inverse Gamma distribution to estimate the parameters that were used into NLM with stochastic distances. The latter method also presents a new alternative to compute the parameters for the G0 distribution. Finally, this work compares and analyzes the synthetic and real results of the proposed methods with some recent filters of the literature.

  19. Stochastic population and epidemic models persistence and extinction

    CERN Document Server

    Allen, Linda J S

    2015-01-01

    This monograph provides a summary of the basic theory of branching processes for single-type and multi-type processes. Classic examples of population and epidemic models illustrate the probability of population or epidemic extinction obtained from the theory of branching processes. The first chapter develops the branching process theory, while in the second chapter two applications to population and epidemic processes of single-type branching process theory are explored. The last two chapters present multi-type branching process applications to epidemic models, and then continuous-time and continuous-state branching processes with applications. In addition, several MATLAB programs for simulating stochastic sample paths  are provided in an Appendix. These notes originated as part of a lecture series on Stochastics in Biological Systems at the Mathematical Biosciences Institute in Ohio, USA. Professor Linda Allen is a Paul Whitfield Horn Professor of Mathematics in the Department of Mathematics and Statistics ...

  20. Modeling and stochastic analysis of dynamic mechanisms of the perception

    Science.gov (United States)

    Pisarchik, A.; Bashkirtseva, I.; Ryashko, L.

    2017-10-01

    Modern studies in physiology and cognitive neuroscience consider a noise as an important constructive factor of the brain functionality. Under the adequate noise, the brain can rapidly access different ordered states, and provide decision-making by preventing deadlocks. Bistable dynamic models are often used for the study of the underlying mechanisms of the visual perception. In the present paper, we consider a bistable energy model subject to both additive and parametric noise. Using the catastrophe theory formalism and stochastic sensitivity functions technique, we analyze a response of the equilibria to noise, and study noise-induced transitions between equilibria. We demonstrate and analyse the effect of hysteresis squeezing when the intensity of noise is increased. Stochastic bifurcations connected with the suppression of oscillations by parametric noises are discussed.