#### Sample records for underlying stochastic processes

1. Stochastic analysis in production process and ecology under uncertainty

CERN Document Server

Bieda, Bogusław

2014-01-01

The monograph addresses a problem of stochastic analysis based on the uncertainty assessment by simulation and application of this method in ecology and steel industry under uncertainty. The first chapter defines the Monte Carlo (MC) method and random variables in stochastic models. Chapter two deals with the contamination transport in porous media. Stochastic approach for Municipal Solid Waste transit time contaminants modeling using MC simulation has been worked out. The third chapter describes the risk analysis of the waste to energy facility proposal for Konin city, including the financial aspects. Environmental impact assessment of the ArcelorMittal Steel Power Plant, in Kraków - in the chapter four - is given. Thus, four scenarios of the energy mix production processes were studied. Chapter five contains examples of using ecological Life Cycle Assessment (LCA) - a relatively new method of environmental impact assessment - which help in preparing pro-ecological strategy, and which can lead to reducing t...

2. Stochastic processes

CERN Document Server

Parzen, Emanuel

1962-01-01

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

3. Stochastic processes

CERN Document Server

Borodin, Andrei N

2017-01-01

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

4. Learning process mapping heuristics under stochastic sampling overheads

Science.gov (United States)

Ieumwananonthachai, Arthur; Wah, Benjamin W.

1991-01-01

A statistical method was developed previously for improving process mapping heuristics. The method systematically explores the space of possible heuristics under a specified time constraint. Its goal is to get the best possible heuristics while trading between the solution quality of the process mapping heuristics and their execution time. The statistical selection method is extended to take into consideration the variations in the amount of time used to evaluate heuristics on a problem instance. The improvement in performance is presented using the more realistic assumption along with some methods that alleviate the additional complexity.

5. Bi-Objective Flexible Job-Shop Scheduling Problem Considering Energy Consumption under Stochastic Processing Times.

Science.gov (United States)

Yang, Xin; Zeng, Zhenxiang; Wang, Ruidong; Sun, Xueshan

2016-01-01

This paper presents a novel method on the optimization of bi-objective Flexible Job-shop Scheduling Problem (FJSP) under stochastic processing times. The robust counterpart model and the Non-dominated Sorting Genetic Algorithm II (NSGA-II) are used to solve the bi-objective FJSP with consideration of the completion time and the total energy consumption under stochastic processing times. The case study on GM Corporation verifies that the NSGA-II used in this paper is effective and has advantages to solve the proposed model comparing with HPSO and PSO+SA. The idea and method of the paper can be generalized widely in the manufacturing industry, because it can reduce the energy consumption of the energy-intensive manufacturing enterprise with less investment when the new approach is applied in existing systems.

6. Effects of stochastic interest rates in decision making under risk: A Markov decision process model for forest management

Science.gov (United States)

Mo Zhou; Joseph Buongiorno

2011-01-01

Most economic studies of forest decision making under risk assume a fixed interest rate. This paper investigated some implications of this stochastic nature of interest rates. Markov decision process (MDP) models, used previously to integrate stochastic stand growth and prices, can be extended to include variable interest rates as well. This method was applied to...

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

DEFF Research Database (Denmark)

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

2005-01-01

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

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

DEFF Research Database (Denmark)

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

2005-01-01

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

9. Stochastic processes inference theory

CERN Document Server

Rao, Malempati M

2014-01-01

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

10. Composite stochastic processes

NARCIS (Netherlands)

Kampen, N.G. van

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

11. Research in Stochastic Processes.

Science.gov (United States)

1982-10-31

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

12. Essentials of stochastic processes

CERN Document Server

Durrett, Richard

2016-01-01

Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatm...

13. Stochastic conditional intensity processes

DEFF Research Database (Denmark)

Bauwens, Luc; Hautsch, Nikolaus

2006-01-01

model allows for a wide range of (cross-)autocorrelation structures in multivariate point processes. The model is estimated by simulated maximum likelihood (SML) using the efficient importance sampling (EIS) technique. By modeling price intensities based on NYSE trading, we provide significant evidence......In this article, we introduce the so-called stochastic conditional intensity (SCI) model by extending Russell’s (1999) autoregressive conditional intensity (ACI) model by a latent common dynamic factor that jointly drives the individual intensity components. We show by simulations that the proposed...... for a joint latent factor and show that its inclusion allows for an improved and more parsimonious specification of the multivariate intensity process...

14. Stochastic processes in cell biology

CERN Document Server

Bressloff, Paul C

2014-01-01

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

15. Optimal Liquidation under Stochastic Liquidity

OpenAIRE

Becherer, Dirk; Bilarev, Todor; Frentrup, Peter

2016-01-01

We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price impact. Liquidity is stochastic in that the volume effect process, which determines the inter-temporal resilience of the market in spirit of Predoiu, Shaikhet and Shreve (2011), is taken to be stochastic, being driven by own random noise. The optimal contro...

16. Pricing of American Put Option under a Jump Diffusion Process with Stochastic Volatility in an Incomplete Market

Directory of Open Access Journals (Sweden)

Shuang Li

2014-01-01

Full Text Available We study the pricing of American options in an incomplete market in which the dynamics of the underlying risky asset is driven by a jump diffusion process with stochastic volatility. By employing a risk-minimization criterion, we obtain the Radon-Nikodym derivative for the minimal martingale measure and consequently a linear complementarity problem (LCP for American option price. An iterative method is then established to solve the LCP problem for American put option price. Our numerical results show that the model and numerical scheme are robust in capturing the feature of incomplete finance market, particularly the influence of market volatility on the price of American options.

17. American options under stochastic volatility

NARCIS (Netherlands)

Chockalingam, A.; Muthuraman, K.

2011-01-01

The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrate that volatility is not constant, and stochastic volatility models are used to account for dynamic volatility

18. Dynamic analysis and reliability assessment of structures with uncertain-but-bounded parameters under stochastic process excitations

International Nuclear Information System (INIS)

Do, Duy Minh; Gao, Wei; Song, Chongmin; Tangaramvong, Sawekchai

2014-01-01

This paper presents the non-deterministic dynamic analysis and reliability assessment of structures with uncertain-but-bounded parameters under stochastic process excitations. Random ground acceleration from earthquake motion is adopted to illustrate the stochastic process force. The exact change ranges of natural frequencies, random vibration displacement and stress responses of structures are investigated under the interval analysis framework. Formulations for structural reliability are developed considering the safe boundary and structural random vibration responses as interval parameters. An improved particle swarm optimization algorithm, namely randomised lower sequence initialized high-order nonlinear particle swarm optimization algorithm, is employed to capture the better bounds of structural dynamic characteristics, random vibration responses and reliability. Three numerical examples are used to demonstrate the presented method for interval random vibration analysis and reliability assessment of structures. The accuracy of the results obtained by the presented method is verified by the randomised Quasi-Monte Carlo simulation method (QMCSM) and direct Monte Carlo simulation method (MCSM). - Highlights: • Interval uncertainty is introduced into structural random vibration responses. • Interval dynamic reliability assessments of structures are implemented. • Boundaries of structural dynamic response and reliability are achieved

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

DEFF Research Database (Denmark)

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

2005-01-01

A dynamic system under parametric excitation in the form of a non-Erlang renewal jump process is considered. The excitation is a random train of nonoverlapping rectangular pulses with equal, deterministic heights. The time intervals between two consecutive jumps up (or down), are the sum of two...

20. Stochastic processes and quantum theory

International Nuclear Information System (INIS)

Klauder, J.R.

1975-01-01

The author analyses a variety of stochastic processes, namely real time diffusion phenomena, which are analogues of imaginary time quantum theory and convariant imaginary time quantum field theory. He elaborates some standard properties involving probability measures and stochastic variables and considers a simple class of examples. Finally he develops the fact that certain stochastic theories actually exhibit divergences that simulate those of covariant quantum field theory and presents examples of both renormaizable and unrenormalizable behavior. (V.J.C.)

1. Stochastic Games for Continuous-Time Jump Processes Under Finite-Horizon Payoff Criterion

Energy Technology Data Exchange (ETDEWEB)

Wei, Qingda, E-mail: weiqd@hqu.edu.cn [Huaqiao University, School of Economics and Finance (China); Chen, Xian, E-mail: chenxian@amss.ac.cn [Peking University, School of Mathematical Sciences (China)

2016-10-15

In this paper we study two-person nonzero-sum games for continuous-time jump processes with the randomized history-dependent strategies under the finite-horizon payoff criterion. The state space is countable, and the transition rates and payoff functions are allowed to be unbounded from above and from below. Under the suitable conditions, we introduce a new topology for the set of all randomized Markov multi-strategies and establish its compactness and metrizability. Then by constructing the approximating sequences of the transition rates and payoff functions, we show that the optimal value function for each player is a unique solution to the corresponding optimality equation and obtain the existence of a randomized Markov Nash equilibrium. Furthermore, we illustrate the applications of our main results with a controlled birth and death system.

2. Stochastic Games for Continuous-Time Jump Processes Under Finite-Horizon Payoff Criterion

International Nuclear Information System (INIS)

Wei, Qingda; Chen, Xian

2016-01-01

In this paper we study two-person nonzero-sum games for continuous-time jump processes with the randomized history-dependent strategies under the finite-horizon payoff criterion. The state space is countable, and the transition rates and payoff functions are allowed to be unbounded from above and from below. Under the suitable conditions, we introduce a new topology for the set of all randomized Markov multi-strategies and establish its compactness and metrizability. Then by constructing the approximating sequences of the transition rates and payoff functions, we show that the optimal value function for each player is a unique solution to the corresponding optimality equation and obtain the existence of a randomized Markov Nash equilibrium. Furthermore, we illustrate the applications of our main results with a controlled birth and death system.

3. Topology optimization under stochastic stiffness

Science.gov (United States)

Topology optimization is a systematic computational tool for optimizing the layout of materials within a domain for engineering design problems. It allows variation of structural boundaries and connectivities. This freedom in the design space often enables discovery of new, high performance designs. However, solutions obtained by performing the optimization in a deterministic setting may be impractical or suboptimal when considering real-world engineering conditions with inherent variabilities including (for example) variabilities in fabrication processes and operating conditions. The aim of this work is to provide a computational methodology for topology optimization in the presence of uncertainties associated with structural stiffness, such as uncertain material properties and/or structural geometry. Existing methods for topology optimization under deterministic conditions are first reviewed. Modifications are then proposed to improve the numerical performance of the so-called Heaviside Projection Method (HPM) in continuum domains. Next, two approaches, perturbation and Polynomial Chaos Expansion (PCE), are proposed to account for uncertainties in the optimization procedure. These approaches are intrusive, allowing tight and efficient coupling of the uncertainty quantification with the optimization sensitivity analysis. The work herein develops a robust topology optimization framework aimed at reducing the sensitivity of optimized solutions to uncertainties. The perturbation-based approach combines deterministic topology optimization with a perturbation method for the quantification of uncertainties. The use of perturbation transforms the problem of topology optimization under uncertainty to an augmented deterministic topology optimization problem. The PCE approach combines the spectral stochastic approach for the representation and propagation of uncertainties with an existing deterministic topology optimization technique. The resulting compact representations

4. An introduction to probability and stochastic processes

CERN Document Server

Melsa, James L

2013-01-01

Geared toward college seniors and first-year graduate students, this text is designed for a one-semester course in probability and stochastic processes. Topics covered in detail include probability theory, random variables and their functions, stochastic processes, linear system response to stochastic processes, Gaussian and Markov processes, and stochastic differential equations. 1973 edition.

5. Applied probability and stochastic processes

CERN Document Server

Sumita, Ushio

1999-01-01

Applied Probability and Stochastic Processes is an edited work written in honor of Julien Keilson. This volume has attracted a host of scholars in applied probability, who have made major contributions to the field, and have written survey and state-of-the-art papers on a variety of applied probability topics, including, but not limited to: perturbation method, time reversible Markov chains, Poisson processes, Brownian techniques, Bayesian probability, optimal quality control, Markov decision processes, random matrices, queueing theory and a variety of applications of stochastic processes. The book has a mixture of theoretical, algorithmic, and application chapters providing examples of the cutting-edge work that Professor Keilson has done or influenced over the course of his highly-productive and energetic career in applied probability and stochastic processes. The book will be of interest to academic researchers, students, and industrial practitioners who seek to use the mathematics of applied probability i...

6. Probability, Statistics, and Stochastic Processes

CERN Document Server

Olofsson, Peter

2011-01-01

A mathematical and intuitive approach to probability, statistics, and stochastic processes This textbook provides a unique, balanced approach to probability, statistics, and stochastic processes. Readers gain a solid foundation in all three fields that serves as a stepping stone to more advanced investigations into each area. This text combines a rigorous, calculus-based development of theory with a more intuitive approach that appeals to readers' sense of reason and logic, an approach developed through the author's many years of classroom experience. The text begins with three chapters that d

7. The dynamics of stochastic processes

DEFF Research Database (Denmark)

Basse-O'Connor, Andreas

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

8. Distance covariance for stochastic processes

DEFF Research Database (Denmark)

Matsui, Muneya; Mikosch, Thomas Valentin; Samorodnitsky, Gennady

2017-01-01

The distance covariance of two random vectors is a measure of their dependence. The empirical distance covariance and correlation can be used as statistical tools for testing whether two random vectors are independent. We propose an analog of the distance covariance for two stochastic processes...

9. Fourier analysis and stochastic processes

CERN Document Server

Brémaud, Pierre

2014-01-01

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

10. Introduction to stochastic processes

CERN Document Server

Cinlar, Erhan

2013-01-01

Clear presentation employs methods that recognize computer-related aspects of theory. Topics include expectations and independence, Bernoulli processes and sums of independent random variables, Markov chains, renewal theory, more. 1975 edition.

11. Dynamical and hamiltonian dilations of stochastic processes

International Nuclear Information System (INIS)

Baumgartner, B.; Gruemm, H.-R.

1982-01-01

This is a study of the problem, which stochastic processes could arise from dynamical systems by loss of information. The notions of ''dilation'' and ''approximate dilation'' of a stochastic process are introduced to give exact definitions of this particular relationship. It is shown that every generalized stochastic process is approximately dilatable by a sequence of dynamical systems, but for stochastic processes in full generality one needs nets. (Author)

12. Stochastic processes and filtering theory

CERN Document Server

Jazwinski, Andrew H

1970-01-01

This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well.Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probab

13. Verification of Stochastic Process Calculi

DEFF Research Database (Denmark)

Skrypnyuk, Nataliya

algorithms for constructing bisimulation relations, computing (overapproximations of) sets of reachable states and computing the expected time reachability, the last for a linear fragment of IMC. In all the cases we have the complexities of algorithms which are low polynomial in the size of the syntactic....... In support of this claim we have developed analysis methods that belong to a particular type of Static Analysis { Data Flow / Pathway Analysis. These methods have previously been applied to a number of non-stochastic process calculi. In this thesis we are lifting them to the stochastic calculus...... of Interactive Markov Chains (IMC). We have devised the Pathway Analysis of IMC that is not only correct in the sense of overapproximating all possible behaviour scenarios, as is usual for Static Analysis methods, but is also precise. This gives us the possibility to explicitly decide on the trade-o between...

14. Stochastic processes, slaves and supersymmetry

International Nuclear Information System (INIS)

Drummond, I T; Horgan, R R

2012-01-01

We extend the work of Tănase-Nicola and Kurchan on the structure of diffusion processes and the associated supersymmetry algebra by examining the responses of a simple statistical system to external disturbances of various kinds. We consider both the stochastic differential equations (SDEs) for the process and the associated diffusion equation. The influence of the disturbances can be understood by augmenting the original SDE with an equation for slave variables. The evolution of the slave variables describes the behaviour of line elements carried along in the stochastic flow. These line elements, together with the associated surface and volume elements constructed from them, provide the basis of the supersymmetry properties of the theory. For ease of visualization, and in order to emphasize a helpful electromagnetic analogy, we work in three dimensions. The results are all generalizable to higher dimensions and can be specialized to one and two dimensions. The electromagnetic analogy is a useful starting point for calculating asymptotic results at low temperature that can be compared with direct numerical evaluations. We also examine the problems that arise in a direct numerical simulation of the stochastic equation together with the slave equations. We pay special attention to the dependence of the slave variable statistics on temperature. We identify in specific models the critical temperature below which the slave variable distribution ceases to have a variance and consider the effect on estimates of susceptibilities. (paper)

15. Mathematical statistics and stochastic processes

CERN Document Server

Bosq, Denis

2013-01-01

Generally, books on mathematical statistics are restricted to the case of independent identically distributed random variables. In this book however, both this case AND the case of dependent variables, i.e. statistics for discrete and continuous time processes, are studied. This second case is very important for today's practitioners.Mathematical Statistics and Stochastic Processes is based on decision theory and asymptotic statistics and contains up-to-date information on the relevant topics of theory of probability, estimation, confidence intervals, non-parametric statistics and rob

16. Probability, Statistics, and Stochastic Processes

CERN Document Server

Olofsson, Peter

2012-01-01

This book provides a unique and balanced approach to probability, statistics, and stochastic processes.   Readers gain a solid foundation in all three fields that serves as a stepping stone to more advanced investigations into each area.  The Second Edition features new coverage of analysis of variance (ANOVA), consistency and efficiency of estimators, asymptotic theory for maximum likelihood estimators, empirical distribution function and the Kolmogorov-Smirnov test, general linear models, multiple comparisons, Markov chain Monte Carlo (MCMC), Brownian motion, martingales, and

17. Analytical Assessment for Transient Stability Under Stochastic Continuous Disturbances

Energy Technology Data Exchange (ETDEWEB)

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

2017-06-28

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

18. Ambit processes and stochastic partial differential equations

DEFF Research Database (Denmark)

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

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

19. Discrete stochastic processes and applications

CERN Document Server

Collet, Jean-François

2018-01-01

This unique text for beginning graduate students gives a self-contained introduction to the mathematical properties of stochastics and presents their applications to Markov processes, coding theory, population dynamics, and search engine design. The book is ideal for a newly designed course in an introduction to probability and information theory. Prerequisites include working knowledge of linear algebra, calculus, and probability theory. The first part of the text focuses on the rigorous theory of Markov processes on countable spaces (Markov chains) and provides the basis to developing solid probabilistic intuition without the need for a course in measure theory. The approach taken is gradual beginning with the case of discrete time and moving on to that of continuous time. The second part of this text is more applied; its core introduces various uses of convexity in probability and presents a nice treatment of entropy.

20. Stochastic Dominance under the Nonlinear Expected Utilities

Directory of Open Access Journals (Sweden)

Xinling Xiao

2014-01-01

Full Text Available In 1947, von Neumann and Morgenstern introduced the well-known expected utility and the related axiomatic system (see von Neumann and Morgenstern (1953. It is widely used in economics, for example, financial economics. But the well-known Allais paradox (see Allais (1979 shows that the linear expected utility has some limitations sometimes. Because of this, Peng proposed a concept of nonlinear expected utility (see Peng (2005. In this paper we propose a concept of stochastic dominance under the nonlinear expected utilities. We give sufficient conditions on which a random choice X stochastically dominates a random choice Y under the nonlinear expected utilities. We also provide sufficient conditions on which a random choice X strictly stochastically dominates a random choice Y under the sublinear expected utilities.

1. A Time-Variant Reliability Model for Copper Bending Pipe under Seawater-Active Corrosion Based on the Stochastic Degradation Process

Directory of Open Access Journals (Sweden)

Bo Sun

2018-03-01

Full Text Available In the degradation process, the randomness and multiplicity of variables are difficult to describe by mathematical models. However, they are common in engineering and cannot be neglected, so it is necessary to study this issue in depth. In this paper, the copper bending pipe in seawater piping systems is taken as the analysis object, and the time-variant reliability is calculated by solving the interference of limit strength and maximum stress. We did degradation experiments and tensile experiments on copper material, and obtained the limit strength at each time. In addition, degradation experiments on copper bending pipe were done and the thickness at each time has been obtained, then the response of maximum stress was calculated by simulation. Further, with the help of one kind of Monte Carlo method we propose, the time-variant reliability of copper bending pipe was calculated based on the stochastic degradation process and interference theory. Compared with traditional methods and verified by maintenance records, the results show that the time-variant reliability model based on the stochastic degradation process proposed in this paper has better applicability in the reliability analysis, and it can be more convenient and accurate to predict the replacement cycle of copper bending pipe under seawater-active corrosion.

2. Stochastic Dynamics Underlying Cognitive Stability and Flexibility.

Directory of Open Access Journals (Sweden)

Kai Ueltzhöffer

2015-06-01

Full Text Available Cognitive stability and flexibility are core functions in the successful pursuit of behavioral goals. While there is evidence for a common frontoparietal network underlying both functions and for a key role of dopamine in the modulation of flexible versus stable behavior, the exact neurocomputational mechanisms underlying those executive functions and their adaptation to environmental demands are still unclear. In this work we study the neurocomputational mechanisms underlying cue based task switching (flexibility and distractor inhibition (stability in a paradigm specifically designed to probe both functions. We develop a physiologically plausible, explicit model of neural networks that maintain the currently active task rule in working memory and implement the decision process. We simplify the four-choice decision network to a nonlinear drift-diffusion process that we canonically derive from a generic winner-take-all network model. By fitting our model to the behavioral data of individual subjects, we can reproduce their full behavior in terms of decisions and reaction time distributions in baseline as well as distractor inhibition and switch conditions. Furthermore, we predict the individual hemodynamic response timecourse of the rule-representing network and localize it to a frontoparietal network including the inferior frontal junction area and the intraparietal sulcus, using functional magnetic resonance imaging. This refines the understanding of task-switch-related frontoparietal brain activity as reflecting attractor-like working memory representations of task rules. Finally, we estimate the subject-specific stability of the rule-representing attractor states in terms of the minimal action associated with a transition between different rule states in the phase-space of the fitted models. This stability measure correlates with switching-specific thalamocorticostriatal activation, i.e., with a system associated with flexible working memory

3. Statistical inference for stochastic processes

National Research Council Canada - National Science Library

Basawa, Ishwar V; Prakasa Rao, B. L. S

1980-01-01

The aim of this monograph is to attempt to reduce the gap between theory and applications in the area of stochastic modelling, by directing the interest of future researchers to the inference aspects...

4. Space-time-modulated stochastic processes

Science.gov (United States)

Giona, Massimiliano

2017-10-01

Starting from the physical problem associated with the Lorentzian transformation of a Poisson-Kac process in inertial frames, the concept of space-time-modulated stochastic processes is introduced for processes possessing finite propagation velocity. This class of stochastic processes provides a two-way coupling between the stochastic perturbation acting on a physical observable and the evolution of the physical observable itself, which in turn influences the statistical properties of the stochastic perturbation during its evolution. The definition of space-time-modulated processes requires the introduction of two functions: a nonlinear amplitude modulation, controlling the intensity of the stochastic perturbation, and a time-horizon function, which modulates its statistical properties, providing irreducible feedback between the stochastic perturbation and the physical observable influenced by it. The latter property is the peculiar fingerprint of this class of models that makes them suitable for extension to generic curved-space times. Considering Poisson-Kac processes as prototypical examples of stochastic processes possessing finite propagation velocity, the balance equations for the probability density functions associated with their space-time modulations are derived. Several examples highlighting the peculiarities of space-time-modulated processes are thoroughly analyzed.

5. 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.

6. 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

7. 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,...

8. Stochastic Processes in Epidemic Theory

CERN Document Server

Lefèvre, Claude; Picard, Philippe

1990-01-01

This collection of papers gives a representative cross-selectional view of recent developments in the field. After a survey paper by C. Lefèvre, 17 other research papers look at stochastic modeling of epidemics, both from a theoretical and a statistical point of view. Some look more specifically at a particular disease such as AIDS, malaria, schistosomiasis and diabetes.

9. Stochastic processes in mechanical engineering

NARCIS (Netherlands)

Brouwers, J.J.H.

2006-01-01

Stochastic or random vibrations occur in a variety of applications of mechanicalengineering. Examples are: the dynamics of a vehicle on an irregular roadsurface; the variation in time of thermodynamic variables in municipal wasteincinerators due to fluctuations in heating value of the waste; the

10. 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

11. Investment timing under hybrid stochastic and local volatility

International Nuclear Information System (INIS)

Kim, Jeong-Hoon; Lee, Min-Ku; Sohn, So Young

2014-01-01

Highlights: • The effects of hybrid stochastic volatility on real option prices are studied. • The stochastic volatility consists of a fast mean-reverting component and a CEV type one. • A fast mean-reverting factor lowers real option prices and investment thresholds. • The increase of elasticity raises real option prices and investment thresholds. • The effects of the addition of a slowly varying factor depend upon the project value. - Abstract: We consider an investment timing problem under a real option model where the instantaneous volatility of the project value is given by a combination of a hidden stochastic process and the project value itself. The stochastic volatility part is given by a function of a fast mean-reverting process as well as a slowly varying process and the local volatility part is a power (the elasticity parameter) of the project value itself. The elasticity parameter controls directly the correlation between the project value and the volatility. Knowing that the project value represents the market price of a real asset in many applications and the value of the elasticity parameter depends on the asset, the elasticity parameter should be treated with caution for investment decision problems. Based on the hybrid structure of volatility, we investigate the simultaneous impact of the elasticity and the stochastic volatility on the real option value as well as the investment threshold

12. Simulation and inference for stochastic processes with YUIMA a comprehensive R framework for SDEs and other stochastic processes

CERN Document Server

Iacus, Stefano M

2018-01-01

The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Lévy processes or fractional Brownian motion, as well as CARMA processes. The package performs various central statistical analyses such as quasi maximum likelihood estimation, adaptive Bayes estimation, structural change point analysis, hypotheses testing, asynchronous covariance estimation, lead-lag estimation, LASSO model selection, and so on. YUIMA also supports stochastic numerical analysis by fast computation of the expected value of functionals of stochastic processes through automatic asymptotic expansion by means of the Malliavin calculus. All models can be multidimensional, multiparametric or non parametric.The book explains briefly the underlying theory for simulation and inference of several classes of stochastic processes and then presents both simulation experiments and applications to real data. Although these ...

13. American option pricing with stochastic volatility processes

Directory of Open Access Journals (Sweden)

Ping LI

2017-12-01

Full Text Available In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are analyzed and discussed. In view of the fact that there is no analytical American option pricing formula, through the space discretization parameters, the stochastic partial differential equation satisfied by American options with Heston stochastic volatility is transformed into the corresponding differential equations, and then using high order compact finite difference method, numerical solutions are obtained for the option price. The numerical experiments are carried out to verify the theoretical results and simulation. The two kinds of optimal exercise boundaries under the conditions of the constant volatility and the stochastic volatility are compared, and the results show that the optimal exercise boundary also has stochastic volatility. Under the setting of parameters, the behavior and the nature of volatility are analyzed, the volatility curve is simulated, the calculation results of high order compact difference method are compared, and the numerical option solution is obtained, so that the method is verified. The research result provides reference for solving the problems of option pricing under stochastic volatility such as multiple underlying asset option pricing and barrier option pricing.

14. Selected papers on noise and stochastic processes

CERN Document Server

1954-01-01

Six classic papers on stochastic process, selected to meet the needs of physicists, applied mathematicians, and engineers. Contents: 1.Chandrasekhar, S.: Stochastic Problems in Physics and Astronomy. 2. Uhlenbeck, G. E. and Ornstein, L. S.: On the Theory of the Browninan Motion. 3. Ming Chen Wang and Uhlenbeck, G. E.: On the Theory of the Browninan Motion II. 4. Rice, S. O.: Mathematical Analysis of Random Noise. 5. Kac, Mark: Random Walk and the Theory of Brownian Motion. 6. Doob, J. L.: The Brownian Movement and Stochastic Equations. Unabridged republication of the Dover reprint (1954). Pre

15. Is human failure a stochastic process?

International Nuclear Information System (INIS)

Dougherty, Ed M.

1997-01-01

Human performance results in failure events that occur with a risk-significant frequency. System analysts have taken for granted the random (stochastic) nature of these events in engineering assessments such as risk assessment. However, cognitive scientists and error technologists, at least those who have interest in human reliability, have, over the recent years, claimed that human error does not need this stochastic framework. Yet they still use the language appropriate to stochastic processes. This paper examines the potential for the stochastic nature of human failure production as the basis for human reliability analysis. It distinguishes and leaves to others, however, the epistemic uncertainties over the possible probability models for the real variability of human performance

16. Stochastic resonance during a polymer translocation process

International Nuclear Information System (INIS)

Mondal, Debasish; Muthukumar, M.

2016-01-01

We have studied the occurrence of stochastic resonance when a flexible polymer chain undergoes a single-file translocation through a nano-pore separating two spherical cavities, under a time-periodic external driving force. The translocation of the chain is controlled by a free energy barrier determined by chain length, pore length, pore-polymer interaction, and confinement inside the donor and receiver cavities. The external driving force is characterized by a frequency and amplitude. By combining the Fokker-Planck formalism for polymer translocation and a two-state model for stochastic resonance, we have derived analytical formulas for criteria for emergence of stochastic resonance during polymer translocation. We show that no stochastic resonance is possible if the free energy barrier for polymer translocation is purely entropic in nature. The polymer chain exhibits stochastic resonance only in the presence of an energy threshold in terms of polymer-pore interactions. Once stochastic resonance is feasible, the chain entropy controls the optimal synchronization conditions significantly.

17. Forecasting financial asset processes: stochastic dynamics via learning neural networks.

Science.gov (United States)

Giebel, S; Rainer, M

2010-01-01

Models for financial asset dynamics usually take into account their inherent unpredictable nature by including a suitable stochastic component into their process. Unknown (forward) values of financial assets (at a given time in the future) are usually estimated as expectations of the stochastic asset under a suitable risk-neutral measure. This estimation requires the stochastic model to be calibrated to some history of sufficient length in the past. Apart from inherent limitations, due to the stochastic nature of the process, the predictive power is also limited by the simplifying assumptions of the common calibration methods, such as maximum likelihood estimation and regression methods, performed often without weights on the historic time series, or with static weights only. Here we propose a novel method of "intelligent" calibration, using learning neural networks in order to dynamically adapt the parameters of the stochastic model. Hence we have a stochastic process with time dependent parameters, the dynamics of the parameters being themselves learned continuously by a neural network. The back propagation in training the previous weights is limited to a certain memory length (in the examples we consider 10 previous business days), which is similar to the maximal time lag of autoregressive processes. We demonstrate the learning efficiency of the new algorithm by tracking the next-day forecasts for the EURTRY and EUR-HUF exchange rates each.

18. Option Pricing with a Levy-Type Stochastic Dynamic Model for Stock Price Process Under Semi-Markovian Structural Perturbations

Science.gov (United States)

2015-11-30

models ( Beckers 1980, Dupire 1997), the volatility depends on time and stock price through a deterministic func- tional. In both cases, in addition to...T1 ≤ T2 ≤ · · · ≤ Tn−1 are the regime switch- ing times caused by the semi-Markov process prior to t. For notational convenience, we denote θ−1 = θ0...of interest are currently being investigated: (1) an evaluation of the effects of the backward recurrence time, the sojourn time distribution and the

19. Pricing perpetual American options under multiscale stochastic elasticity of variance

International Nuclear Information System (INIS)

Yoon, Ji-Hun

2015-01-01

Highlights: • We study the effects of the stochastic elasticity of variance on perpetual American option. • Our SEV model consists of a fast mean-reverting factor and a slow mean-revering factor. • A slow scale factor has a very significant impact on the option price. • We analyze option price structures through the market prices of elasticity risk. - Abstract: This paper studies pricing the perpetual American options under a constant elasticity of variance type of underlying asset price model where the constant elasticity is replaced by a fast mean-reverting Ornstein–Ulenbeck process and a slowly varying diffusion process. By using a multiscale asymptotic analysis, we find the impact of the stochastic elasticity of variance on the option prices and the optimal exercise prices with respect to model parameters. Our results enhance the existing option price structures in view of flexibility and applicability through the market prices of elasticity risk

20. Lectures on Topics in Spatial Stochastic Processes

CERN Document Server

Capasso, Vincenzo; Ivanoff, B Gail; Dozzi, Marco; Dalang, Robert C; Mountford, Thomas S

2003-01-01

The theory of stochastic processes indexed by a partially ordered set has been the subject of much research over the past twenty years. The objective of this CIME International Summer School was to bring to a large audience of young probabilists the general theory of spatial processes, including the theory of set-indexed martingales and to present the different branches of applications of this theory, including stochastic geometry, spatial statistics, empirical processes, spatial estimators and survival analysis. This theory has a broad variety of applications in environmental sciences, social sciences, structure of material and image analysis. In this volume, the reader will find different approaches which foster the development of tools to modelling the spatial aspects of stochastic problems.

1. 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...

2. Topological superposition of abstractions of stochastic processes

NARCIS (Netherlands)

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

2008-01-01

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

3. Stochastic population dynamics under resource constraints

Energy Technology Data Exchange (ETDEWEB)

Gavane, Ajinkya S., E-mail: ajinkyagavane@gmail.com; Nigam, Rahul, E-mail: rahul.nigam@hyderabad.bits-pilani.ac.in [BITS Pilani Hyderabad Campus, Shameerpet, Hyd - 500078 (India)

2016-06-02

This paper investigates the population growth of a certain species in which every generation reproduces thrice over a period of predefined time, under certain constraints of resources needed for survival of population. We study the survival period of a species by randomizing the reproduction probabilities within a window at same predefined ages and the resources are being produced by the working force of the population at a variable rate. This randomness in the reproduction rate makes the population growth stochastic in nature and one cannot predict the exact form of evolution. Hence we study the growth by running simulations for such a population and taking an ensemble averaged over 500 to 5000 such simulations as per the need. While the population reproduces in a stochastic manner, we have implemented a constraint on the amount of resources available for the population. This is important to make the simulations more realistic. The rate of resource production then is tuned to find the rate which suits the survival of the species. We also compute the mean life time of the species corresponding to different resource production rate. Study for these outcomes in the parameter space defined by the reproduction probabilities and rate of resource production is carried out.

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. 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

6. Stochastic calculus of protein filament formation under spatial confinement

Science.gov (United States)

Michaels, Thomas C. T.; Dear, Alexander J.; Knowles, Tuomas P. J.

2018-05-01

The growth of filamentous aggregates from precursor proteins is a process of central importance to both normal and aberrant biology, for instance as the driver of devastating human disorders such as Alzheimer's and Parkinson's diseases. The conventional theoretical framework for describing this class of phenomena in bulk is based upon the mean-field limit of the law of mass action, which implicitly assumes deterministic dynamics. However, protein filament formation processes under spatial confinement, such as in microdroplets or in the cellular environment, show intrinsic variability due to the molecular noise associated with small-volume effects. To account for this effect, in this paper we introduce a stochastic differential equation approach for investigating protein filament formation processes under spatial confinement. Using this framework, we study the statistical properties of stochastic aggregation curves, as well as the distribution of reaction lag-times. Moreover, we establish the gradual breakdown of the correlation between lag-time and normalized growth rate under spatial confinement. Our results establish the key role of spatial confinement in determining the onset of stochasticity in protein filament formation and offer a formalism for studying protein aggregation kinetics in small volumes in terms of the kinetic parameters describing the aggregation dynamics in bulk.

7. Quantization by stochastic relaxation processes and supersymmetry

International Nuclear Information System (INIS)

Kirschner, R.

1984-01-01

We show the supersymmetry mechanism resposible for the quantization by stochastic relaxation processes and for the effective cancellation of the additional time dimension against the two Grassmann dimensions. We give a non-perturbative proof of the validity of this quantization procedure. (author)

8. ON REGRESSION REPRESENTATIONS OF STOCHASTIC-PROCESSES

NARCIS (Netherlands)

RUSCHENDORF, L; DEVALK, [No Value

We construct a.s. nonlinear regression representations of general stochastic processes (X(n))n is-an-element-of N. As a consequence we obtain in particular special regression representations of Markov chains and of certain m-dependent sequences. For m-dependent sequences we obtain a constructive

9. Stochastic transport processes in discrete biological systems

CERN Document Server

Frehland, Eckart

1982-01-01

These notes are in part based on a course for advanced students in the applications of stochastic processes held in 1978 at the University of Konstanz. These notes contain the results of re­ cent studies on the stochastic description of ion transport through biological membranes. In particular, they serve as an introduction to an unified theory of fluctuations in complex biological transport systems. We emphasize that the subject of this volume is not to introduce the mathematics of stochastic processes but to present a field of theoretical biophysics in which stochastic methods are important. In the last years the study of membrane noise has become an important method in biophysics. Valuable information on the ion transport mechanisms in membranes can be obtained from noise analysis. A number of different processes such as the opening and closing of ion channels have been shown to be sources of the measured current or voltage fluctuations. Bio­ logical 'transport systems can be complex. For example, the tr...

10. Stationary stochastic processes theory and applications

CERN Document Server

Lindgren, Georg

2012-01-01

Some Probability and Process BackgroundSample space, sample function, and observablesRandom variables and stochastic processesStationary processes and fieldsGaussian processesFour historical landmarksSample Function PropertiesQuadratic mean propertiesSample function continuityDerivatives, tangents, and other characteristicsStochastic integrationAn ergodic resultExercisesSpectral RepresentationsComplex-valued stochastic processesBochner's theorem and the spectral distributionSpectral representation of a stationary processGaussian processesStationary counting processesExercisesLinear Filters - General PropertiesLinear time invariant filtersLinear filters and differential equationsWhite noise in linear systemsLong range dependence, non-integrable spectra, and unstable systemsThe ARMA-familyLinear Filters - Special TopicsThe Hilbert transform and the envelopeThe sampling theoremKarhunen-Loève expansionClassical Ergodic Theory and MixingThe basic ergodic theorem in L2Stationarity and transformationsThe ergodic th...

11. Probability of stochastic processes and spacetime geometry

International Nuclear Information System (INIS)

Canessa, E.

2007-01-01

We made a first attempt to associate a probabilistic description of stochastic processes like birth-death processes with spacetime geometry in the Schwarzschild metrics on distance scales from the macro- to the micro-domains. We idealize an ergodic system in which system states communicate through a curved path composed of transition arrows where each arrow corresponds to a positive, analogous birth or death rate. (author)

12. Stochastic Processes in Finance and Behavioral Finance

OpenAIRE

Steinbacher, Matjaz

2008-01-01

In the paper, we put some foundations for studying asset pricing and finance as a stochastic and behavioral process. In such process, preferences and psychology of agents represent the most important factor in the decision-making of people. Individuals have their own ways of acquiring the information they need, how to deal with them and how to make predictions and decisions. People usually also do not behave consistent in time, but learn. Therefore, in order to understand the behavior on the ...

13. Periodic linear differential stochastic processes

NARCIS (Netherlands)

Kwakernaak, H.

1975-01-01

Periodic linear differential processes are defined and their properties are analyzed. Equivalent representations are discussed, and the solutions of related optimal estimation problems are given. An extension is presented of Kailath and Geesey’s [1] results concerning the innovations representation

14. Irreversible stochastic processes on lattices

International Nuclear Information System (INIS)

Nord, R.S.

1986-01-01

Models for irreversible random or cooperative filling of lattices are required to describe many processes in chemistry and physics. Since the filling is assumed to be irreversible, even the stationary, saturation state is not in equilibrium. The kinetics and statistics of these processes are described by recasting the master equations in infinite hierarchical form. Solutions can be obtained by implementing various techniques: refinements in these solution techniques are presented. Programs considered include random dimer, trimer, and tetramer filling of 2D lattices, random dimer filling of a cubic lattice, competitive filling of two or more species, and the effect of a random distribution of inactive sites on the filling. Also considered is monomer filling of a linear lattice with nearest neighbor cooperative effects and solve for the exact cluster-size distribution for cluster sizes up to the asymptotic regime. Additionally, a technique is developed to directly determine the asymptotic properties of the cluster size distribution. Finally cluster growth is considered via irreversible aggregation involving random walkers. In particular, explicit results are provided for the large-lattice-size asymptotic behavior of trapping probabilities and average walk lengths for a single walker on a lattice with multiple traps. Procedures for exact calculation of these quantities on finite lattices are also developed

15. Stochastic Simulation of Process Calculi for Biology

Directory of Open Access Journals (Sweden)

Andrew Phillips

2010-10-01

Full Text Available Biological systems typically involve large numbers of components with complex, highly parallel interactions and intrinsic stochasticity. To model this complexity, numerous programming languages based on process calculi have been developed, many of which are expressive enough to generate unbounded numbers of molecular species and reactions. As a result of this expressiveness, such calculi cannot rely on standard reaction-based simulation methods, which require fixed numbers of species and reactions. Rather than implementing custom stochastic simulation algorithms for each process calculus, we propose to use a generic abstract machine that can be instantiated to a range of process calculi and a range of reaction-based simulation algorithms. The abstract machine functions as a just-in-time compiler, which dynamically updates the set of possible reactions and chooses the next reaction in an iterative cycle. In this short paper we give a brief summary of the generic abstract machine, and show how it can be instantiated with the stochastic simulation algorithm known as Gillespie's Direct Method. We also discuss the wider implications of such an abstract machine, and outline how it can be used to simulate multiple calculi simultaneously within a common framework.

16. Minimum uncertainty and squeezing in diffusion processes and stochastic quantization

Science.gov (United States)

Demartino, S.; Desiena, S.; Illuminati, Fabrizo; Vitiello, Giuseppe

1994-01-01

We show that uncertainty relations, as well as minimum uncertainty coherent and squeezed states, are structural properties for diffusion processes. Through Nelson stochastic quantization we derive the stochastic image of the quantum mechanical coherent and squeezed states.

17. Doubly stochastic Poisson processes in artificial neural learning.

Science.gov (United States)

Card, H C

1998-01-01

This paper investigates neuron activation statistics in artificial neural networks employing stochastic arithmetic. It is shown that a doubly stochastic Poisson process is an appropriate model for the signals in these circuits.

18. Reserves and cash flows under stochastic retirement

DEFF Research Database (Denmark)

Gad, Kamille Sofie Tågholt; Nielsen, Jeppe Woetmann

2016-01-01

Uncertain time of retirement and uncertain structure of retirement benefits are risk factors for life insurance companies. Nevertheless, classical life insurance models assume these are deterministic. In this paper, we include the risk from stochastic time of retirement and stochastic benefit...... structure in a classical finite-state Markov model for a life insurance contract. We include discontinuities in the distribution of the retirement time. First, we derive formulas for appropriate scaling of the benefits according to the time of retirement and discuss the link between the scaling...... and the guarantees provided. Stochastic retirement creates a need to rethink the construction of disability products for high ages and ways to handle this are discussed. We show how to calculate market reserves and how to use modified transition probabilities to calculate expected cash flows without significantly...

19. Uncertainty Reduction for Stochastic Processes on Complex Networks

Science.gov (United States)

2018-05-01

Many real-world systems are characterized by stochastic dynamical rules where a complex network of interactions among individual elements probabilistically determines their state. Even with full knowledge of the network structure and of the stochastic rules, the ability to predict system configurations is generally characterized by a large uncertainty. Selecting a fraction of the nodes and observing their state may help to reduce the uncertainty about the unobserved nodes. However, choosing these points of observation in an optimal way is a highly nontrivial task, depending on the nature of the stochastic process and on the structure of the underlying interaction pattern. In this paper, we introduce a computationally efficient algorithm to determine quasioptimal solutions to the problem. The method leverages network sparsity to reduce computational complexity from exponential to almost quadratic, thus allowing the straightforward application of the method to mid-to-large-size systems. Although the method is exact only for equilibrium stochastic processes defined on trees, it turns out to be effective also for out-of-equilibrium processes on sparse loopy networks.

20. A first course in stochastic processes

CERN Document Server

Karlin, Samuel

1975-01-01

The purpose, level, and style of this new edition conform to the tenets set forth in the original preface. The authors continue with their tack of developing simultaneously theory and applications, intertwined so that they refurbish and elucidate each other.The authors have made three main kinds of changes. First, they have enlarged on the topics treated in the first edition. Second, they have added many exercises and problems at the end of each chapter. Third, and most important, they have supplied, in new chapters, broad introductory discussions of several classes of stochastic processe

1. Stationary stochastic processes for scientists and engineers

CERN Document Server

Lindgren, Georg; Sandsten, Maria

2013-01-01

""This book is designed for a first course in stationary stochastic processes in science and engineering and does a very good job in introducing many concepts and ideas to students in these fields. … the book has probably been tested in the classroom many times, which also manifests itself in its virtual lack of typos. … Another great feature of the book is that it contains a wealth of worked example from many different fields. These help clarify concepts and theorems and I believe students will appreciate them-I certainly did. … The book is well suited for a one-semester course as it contains

2. Option Pricing with Stochastic Volatility and Jump Diffusion Processes

Directory of Open Access Journals (Sweden)

2006-03-01

Full Text Available Option pricing by the use of Black Scholes Merton (BSM model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns. The objective of this article is to present the methods that developed after the Black Scholes Merton environment and deals with the option pricing model adjustment to the empirical properties of asset returns. The main models that appeared after BSM allowed for special changes of the returns that materialized in jump-diffusion and stochastic volatility processes. The article presents the foundations of risk neutral options evaluation and the empirical evidence that fed the amendment of the lognormal assumption in the first part and shows the evaluation procedure under the assumption of stock prices following the jump-diffusion process and the stochastic volatility process.

3. Continuum modeling of ion-beam eroded surfaces under normal incidence: Impact of stochastic fluctuations

International Nuclear Information System (INIS)

Dreimann, Karsten; Linz, Stefan J.

2010-01-01

Graphical abstract: Deterministic surface pattern (left) and its stochastic counterpart (right) arising in a stochastic damped Kuramoto-Sivashinsky equation that serves as a model equation for ion-beam eroded surfaces and is systematically investigated. - Abstract: Using a recently proposed field equation for the surface evolution of ion-beam eroded semiconductor target materials under normal incidence, we systematically explore the impact of additive stochastic fluctuations that are permanently present during the erosion process. Specifically, we investigate the dependence of the surface roughness, the underlying pattern forming properties and the bifurcation behavior on the strength of the fluctuations.

4. XI Symposium on Probability and Stochastic Processes

CERN Document Server

Pardo, Juan; Rivero, Víctor; Bravo, Gerónimo

2015-01-01

This volume features lecture notes and a collection of contributed articles from the XI Symposium on Probability and Stochastic Processes, held at CIMAT Mexico in September 2013. Since the symposium was part of the activities organized in Mexico to celebrate the International Year of Statistics, the program included topics from the interface between statistics and stochastic processes. The book starts with notes from the mini-course given by Louigi Addario-Berry with an accessible description of some features of the multiplicative coalescent and its connection with random graphs and minimum spanning trees. It includes a number of exercises and a section on unanswered questions. Further contributions provide the reader with a broad perspective on the state-of-the art of active areas of research. Contributions by: Louigi Addario-Berry Octavio Arizmendi Fabrice Baudoin Jochen Blath Loïc Chaumont J. Armando Domínguez-Molina Bjarki Eldon Shui Feng Tulio Gaxiola Adrián González Casanova Evgueni Gordienko Daniel...

5. Stochastic processes from physics to finance

CERN Document Server

Paul, Wolfgang

2013-01-01

This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their mathematical definition to their importance for financial crashes was included. The exposition of basic notions of probability theory and the Brownian motion problem as well as the relation between conservative diffusion processes and quantum mechanics is expanded. The second edition also enlarges the treatment of financial markets. Beyond a presentation of geometric Brownian motion and the Black-Scholes approach to option pricing as well as the econophysics analysis of the stylized facts of financial markets, an introduction to agent based modeling approaches is given.

6. Introduction to Stochastic Simulations for Chemical and Physical Processes: Principles and Applications

Science.gov (United States)

Weiss, Charles J.

2017-01-01

An introduction to digital stochastic simulations for modeling a variety of physical and chemical processes is presented. Despite the importance of stochastic simulations in chemistry, the prevalence of turn-key software solutions can impose a layer of abstraction between the user and the underlying approach obscuring the methodology being…

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. A multiscale extension of the Margrabe formula under stochastic volatility

International Nuclear Information System (INIS)

Kim, Jeong-Hoon; Park, Chang-Rae

2017-01-01

Highlights: • Fast-mean-reverting stochastic volatility model is chosen to extend the classical Margrabe formula. • The resultant formula is explicitly given by the greeks of Margrabe price itself. • We show how the stochastic volatility corrects the Margrabe price behavior. - Abstract: The pricing of financial derivatives based on stochastic volatility models has been a popular subject in computational finance. Although exact or approximate closed form formulas of the prices of many options under stochastic volatility have been obtained so that the option prices can be easily computed, such formulas for exchange options leave much to be desired. In this paper, we consider two different risky assets with two different scales of mean-reversion rate of volatility and use asymptotic analysis to extend the classical Margrabe formula, which corresponds to a geometric Brownian motion model, and obtain a pricing formula under a stochastic volatility. The resultant formula can be computed easily, simply by taking derivatives of the Margrabe price itself. Based on the formula, we show how the stochastic volatility corrects the Margrabe price behavior depending on the moneyness and the correlation coefficient between the two asset prices.

9. Applied probability and stochastic processes. 2. ed.

Energy Technology Data Exchange (ETDEWEB)

Feldman, Richard M. [Texas A and M Univ., College Station, TX (United States). Industrial and Systems Engineering Dept.; Valdez-Flores, Ciriaco [Sielken and Associates Consulting, Inc., Bryan, TX (United States)

2010-07-01

This book presents applied probability and stochastic processes in an elementary but mathematically precise manner, with numerous examples and exercises to illustrate the range of engineering and science applications of the concepts. The book is designed to give the reader an intuitive understanding of probabilistic reasoning, in addition to an understanding of mathematical concepts and principles. The initial chapters present a summary of probability and statistics and then Poisson processes, Markov chains, Markov processes and queuing processes are introduced. Advanced topics include simulation, inventory theory, replacement theory, Markov decision theory, and the use of matrix geometric procedures in the analysis of queues. Included in the second edition are appendices at the end of several chapters giving suggestions for the use of Excel in solving the problems of the chapter. Also new in this edition are an introductory chapter on statistics and a chapter on Poisson processes that includes some techniques used in risk assessment. The old chapter on queues has been expanded and broken into two new chapters: one for simple queuing processes and one for queuing networks. Support is provided through the web site http://apsp.tamu.edu where students will have the answers to odd numbered problems and instructors will have access to full solutions and Excel files for homework. (orig.)

10. An introduction to stochastic processes with applications to biology

CERN Document Server

Allen, Linda J S

2010-01-01

An Introduction to Stochastic Processes with Applications to Biology, Second Edition presents the basic theory of stochastic processes necessary in understanding and applying stochastic methods to biological problems in areas such as population growth and extinction, drug kinetics, two-species competition and predation, the spread of epidemics, and the genetics of inbreeding. Because of their rich structure, the text focuses on discrete and continuous time Markov chains and continuous time and state Markov processes.New to the Second EditionA new chapter on stochastic differential equations th

11. Mapping stochastic processes onto complex networks

International Nuclear Information System (INIS)

Shirazi, A H; Reza Jafari, G; Davoudi, J; Peinke, J; Reza Rahimi Tabar, M; Sahimi, Muhammad

2009-01-01

We introduce a method by which stochastic processes are mapped onto complex networks. As examples, we construct the networks for such time series as those for free-jet and low-temperature helium turbulence, the German stock market index (the DAX), and white noise. The networks are further studied by contrasting their geometrical properties, such as the mean length, diameter, clustering, and average number of connections per node. By comparing the network properties of the original time series investigated with those for the shuffled and surrogate series, we are able to quantify the effect of the long-range correlations and the fatness of the probability distribution functions of the series on the networks constructed. Most importantly, we demonstrate that the time series can be reconstructed with high precision by means of a simple random walk on their corresponding networks

12. Chemical kinetics, stochastic processes, and irreversible thermodynamics

CERN Document Server

Santillán, Moisés

2014-01-01

This book brings theories in nonlinear dynamics, stochastic processes, irreversible thermodynamics, physical chemistry, and biochemistry together in an introductory but formal and comprehensive manner.  Coupled with examples, the theories are developed stepwise, starting with the simplest concepts and building upon them into a more general framework.  Furthermore, each new mathematical derivation is immediately applied to one or more biological systems.  The last chapters focus on applying mathematical and physical techniques to study systems such as: gene regulatory networks and ion channels. The target audience of this book are mainly final year undergraduate and graduate students with a solid mathematical background (physicists, mathematicians, and engineers), as well as with basic notions of biochemistry and cellular biology.  This book can also be useful to students with a biological background who are interested in mathematical modeling, and have a working knowledge of calculus, differential equatio...

13. 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.

14. Stochastic Modelling, Analysis, and Simulations of the Solar Cycle Dynamic Process

Science.gov (United States)

Turner, Douglas C.; Ladde, Gangaram S.

2018-03-01

Analytical solutions, discretization schemes and simulation results are presented for the time delay deterministic differential equation model of the solar dynamo presented by Wilmot-Smith et al. In addition, this model is extended under stochastic Gaussian white noise parametric fluctuations. The introduction of stochastic fluctuations incorporates variables affecting the dynamo process in the solar interior, estimation error of parameters, and uncertainty of the α-effect mechanism. Simulation results are presented and analyzed to exhibit the effects of stochastic parametric volatility-dependent perturbations. The results generalize and extend the work of Hazra et al. In fact, some of these results exhibit the oscillatory dynamic behavior generated by the stochastic parametric additative perturbations in the absence of time delay. In addition, the simulation results of the modified stochastic models influence the change in behavior of the very recently developed stochastic model of Hazra et al.

15. Process theory for supervisory control of stochastic systems with data

NARCIS (Netherlands)

Markovski, J.

2012-01-01

We propose a process theory for supervisory control of stochastic nondeterministic plants with data-based observations. The Markovian process theory with data relies on the notion of Markovian partial bisimulation to capture controllability of stochastic nondeterministic systems. It presents a

16. Stochastic processes and long range dependence

CERN Document Server

2016-01-01

This monograph is a gateway for researchers and graduate students to explore the profound, yet subtle, world of long-range dependence (also known as long memory). The text is organized around the probabilistic properties of stationary processes that are important for determining the presence or absence of long memory. The first few chapters serve as an overview of the general theory of stochastic processes which gives the reader sufficient background, language, and models for the subsequent discussion of long memory. The later chapters devoted to long memory begin with an introduction to the subject along with a brief history of its development, followed by a presentation of what is currently the best known approach, applicable to stationary processes with a finite second moment. The book concludes with a chapter devoted to the author’s own, less standard, point of view of long memory as a phase transition, and even includes some novel results. Most of the material in the book has not previously been publis...

17. Stochastic differential equations and diffusion processes

CERN Document Server

Ikeda, N

1989-01-01

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

18. The stochastic network dynamics underlying perceptual discrimination

Directory of Open Access Journals (Sweden)

Genis Prat-Ortega

2015-04-01

Full Text Available The brain is able to interpret streams of high-dimensional ambiguous information and yield coherent percepts. The mechanisms governing sensory integration have been extensively characterized using time-varying visual stimuli (Britten et al. 1996; Roitman and Shadlen 2002, but some of the basic principles regarding the network dynamics underlying this process remain largely unknown. We captured the basic features of a neural integrator using three canonical one-dimensional models: (1 the Drift Diffusion Model (DDM, (2 the Perfect Integrator (PI which is a particular case of the DDM where the bounds are set to infinity and (3 the double-well potential (DW which captures the dynamics of the attractor networks (Wang 2002; Roxin and Ledberg 2008. Although these models has been widely studied (Bogacz et al. 2006; Roxin and Ledberg 2008; Gold and Shadlen 2002, it has been difficult to experimentally discriminate among them because most of the observables measured are only quantitatively different among these models (e.g. psychometric curves. Here we aim to find experimentally measurable quantities that can yield qualitatively different behaviors depending on the nature of the underlying network dynamics. We examined the categorization dynamics of these models in response to fluctuating stimuli of different duration (T. On each time step, stimuli are drawn from a Gaussian distribution N(μ, σ and the two stimulus categories are defined by μ > 0 and μ < 0. Psychometric curves can therefore be obtained by quantifying the probability of the integrator to yield one category versus μ . We find however that varying σ can reveal more clearly the differences among the different integrators. In the small σ regime, both the DW and the DDM perform transient integration and exhibit a decaying stimulus reverse correlation kernel revealing a primacy effect (Nienborg and Cumming 2009; Wimmer et al. 2015 . In the large σ regime, the integration in the DDM

19. 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

20. Budget allocation for permanent and contingent capacity under stochastic demand

NARCIS (Netherlands)

Dellaert, N.P.; Jeunet, J.; Mincsovics, G.Z.

2009-01-01

We develop a model of budget allocation for permanent and contingent workforce under stochastic demand. The level of permanent capacity is determined at the beginning of the horizon and is kept constant throughout whereas the number of temporary workers to be hired must be decided in each period.

1. Budget allocation for permanent and contingent capacity under stochastic demand

NARCIS (Netherlands)

Dellaert, N.P.; Jeunet, J.; Mincsovics, G.Z.

2011-01-01

We develop a model of budget allocation for permanent and contingent workforce under stochastic demand. The level of permanent capacity is determined at the beginning of the horizon and is kept constant throughout, whereas the number of temporary workers to be hired must be decided in each period.

2. Visualisation for Stochastic Process Algebras: The Graphic Truth

DEFF Research Database (Denmark)

Smith, Michael James Andrew; Gilmore, Stephen

2011-01-01

and stochastic activity networks provide an automaton-based view of the model, which may be easier to visualise, at the expense of portability. In this paper, we argue that we can achieve the benefits of both approaches by generating a graphical view of a stochastic process algebra model, which is synchronised...

3. Soil Erosion as a stochastic process

Science.gov (United States)

Casper, Markus C.

2015-04-01

corrected experimentally. To overcome this disadvantage of our actual models, soil erosion models are needed that are able to use stochastic directly variables and parameter distributions. There are only some minor approaches in this direction. The most advanced is the model "STOSEM" proposed by Sidorchuk in 2005. In this model, only a small part of the soil erosion processes is described, the aggregate detachment and the aggregate transport by flowing water. The concept is highly simplified, for example, many parameters are temporally invariant. Nevertheless, the main problem is that our existing measurements and experiments are not geared to provide stochastic parameters (e.g. as probability density functions); in the best case they deliver a statistical validation of the mean values. Again, we get effective parameters, spatially and temporally averaged. There is an urgent need for laboratory and field experiments on overland flow structure, raindrop effects and erosion rate, which deliver information on spatial and temporal structure of soil and surface properties and processes.

4. 100 years after Smoluchowski: stochastic processes in cell biology

International Nuclear Information System (INIS)

Holcman, D; Schuss, Z

2017-01-01

100 years after Smoluchowski introduced his approach to stochastic processes, they are now at the basis of mathematical and physical modeling in cellular biology: they are used for example to analyse and to extract features from a large number (tens of thousands) of single molecular trajectories or to study the diffusive motion of molecules, proteins or receptors. Stochastic modeling is a new step in large data analysis that serves extracting cell biology concepts. We review here Smoluchowski’s approach to stochastic processes and provide several applications for coarse-graining diffusion, studying polymer models for understanding nuclear organization and finally, we discuss the stochastic jump dynamics of telomeres across cell division and stochastic gene regulation. (topical review)

5. Introduction to probability and stochastic processes with applications

CERN Document Server

Castañ, Blanco; Arunachalam, Viswanathan; Dharmaraja, Selvamuthu

2012-01-01

An easily accessible, real-world approach to probability and stochastic processes Introduction to Probability and Stochastic Processes with Applications presents a clear, easy-to-understand treatment of probability and stochastic processes, providing readers with a solid foundation they can build upon throughout their careers. With an emphasis on applications in engineering, applied sciences, business and finance, statistics, mathematics, and operations research, the book features numerous real-world examples that illustrate how random phenomena occur in nature and how to use probabilistic t

6. Population density equations for stochastic processes with memory kernels

Science.gov (United States)

Lai, Yi Ming; de Kamps, Marc

2017-06-01

We present a method for solving population density equations (PDEs)-a mean-field technique describing homogeneous populations of uncoupled neurons—where the populations can be subject to non-Markov noise for arbitrary distributions of jump sizes. The method combines recent developments in two different disciplines that traditionally have had limited interaction: computational neuroscience and the theory of random networks. The method uses a geometric binning scheme, based on the method of characteristics, to capture the deterministic neurodynamics of the population, separating the deterministic and stochastic process cleanly. We can independently vary the choice of the deterministic model and the model for the stochastic process, leading to a highly modular numerical solution strategy. We demonstrate this by replacing the master equation implicit in many formulations of the PDE formalism by a generalization called the generalized Montroll-Weiss equation—a recent result from random network theory—describing a random walker subject to transitions realized by a non-Markovian process. We demonstrate the method for leaky- and quadratic-integrate and fire neurons subject to spike trains with Poisson and gamma-distributed interspike intervals. We are able to model jump responses for both models accurately to both excitatory and inhibitory input under the assumption that all inputs are generated by one renewal process.

7. Verification and Planning for Stochastic Processes with Asynchronous Events

National Research Council Canada - National Science Library

Younes, Hakan L

2005-01-01

.... The most common assumption is that of history-independence: the Markov assumption. In this thesis, the author considers the problems of verification and planning for stochastic processes with asynchronous events, without relying on the Markov assumption...

8. Bibliography on the stochastic processes in plasma and related problems

International Nuclear Information System (INIS)

Polovin, R.V.

1976-01-01

Stochastic processes in plasma and related matters. The bibliography contains 500 references and was compiled from the open literature only. Some references are annotated or completed with short abstracts. There are subject and authors indexes

9. Time Series, Stochastic Processes and Completeness of Quantum Theory

International Nuclear Information System (INIS)

Kupczynski, Marian

2011-01-01

Most of physical experiments are usually described as repeated measurements of some random variables. Experimental data registered by on-line computers form time series of outcomes. The frequencies of different outcomes are compared with the probabilities provided by the algorithms of quantum theory (QT). In spite of statistical predictions of QT a claim was made that it provided the most complete description of the data and of the underlying physical phenomena. This claim could be easily rejected if some fine structures, averaged out in the standard descriptive statistical analysis, were found in time series of experimental data. To search for these structures one has to use more subtle statistical tools which were developed to study time series produced by various stochastic processes. In this talk we review some of these tools. As an example we show how the standard descriptive statistical analysis of the data is unable to reveal a fine structure in a simulated sample of AR (2) stochastic process. We emphasize once again that the violation of Bell inequalities gives no information on the completeness or the non locality of QT. The appropriate way to test the completeness of quantum theory is to search for fine structures in time series of the experimental data by means of the purity tests or by studying the autocorrelation and partial autocorrelation functions.

10. Stochastic noncooperative and cooperative evolutionary game strategies of a population of biological networks under natural selection.

Science.gov (United States)

Chen, Bor-Sen; Yeh, Chin-Hsun

2017-12-01

We review current static and dynamic evolutionary game strategies of biological networks and discuss the lack of random genetic variations and stochastic environmental disturbances in these models. To include these factors, a population of evolving biological networks is modeled as a nonlinear stochastic biological system with Poisson-driven genetic variations and random environmental fluctuations (stimuli). To gain insight into the evolutionary game theory of stochastic biological networks under natural selection, the phenotypic robustness and network evolvability of noncooperative and cooperative evolutionary game strategies are discussed from a stochastic Nash game perspective. The noncooperative strategy can be transformed into an equivalent multi-objective optimization problem and is shown to display significantly improved network robustness to tolerate genetic variations and buffer environmental disturbances, maintaining phenotypic traits for longer than the cooperative strategy. However, the noncooperative case requires greater effort and more compromises between partly conflicting players. Global linearization is used to simplify the problem of solving nonlinear stochastic evolutionary games. Finally, a simple stochastic evolutionary model of a metabolic pathway is simulated to illustrate the procedure of solving for two evolutionary game strategies and to confirm and compare their respective characteristics in the evolutionary process. Copyright © 2017 Elsevier B.V. All rights reserved.

11. Bidirectional Classical Stochastic Processes with Measurements and Feedback

Science.gov (United States)

Hahne, G. E.

2005-01-01

A measurement on a quantum system is said to cause the "collapse" of the quantum state vector or density matrix. An analogous collapse occurs with measurements on a classical stochastic process. This paper addresses the question of describing the response of a classical stochastic process when there is feedback from the output of a measurement to the input, and is intended to give a model for quantum-mechanical processes that occur along a space-like reaction coordinate. The classical system can be thought of in physical terms as two counterflowing probability streams, which stochastically exchange probability currents in a way that the net probability current, and hence the overall probability, suitably interpreted, is conserved. The proposed formalism extends the . mathematics of those stochastic processes describable with linear, single-step, unidirectional transition probabilities, known as Markov chains and stochastic matrices. It is shown that a certain rearrangement and combination of the input and output of two stochastic matrices of the same order yields another matrix of the same type. Each measurement causes the partial collapse of the probability current distribution in the midst of such a process, giving rise to calculable, but non-Markov, values for the ensuing modification of the system's output probability distribution. The paper concludes with an analysis of a classical probabilistic version of the so-called grandfather paradox.

12. 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.

13. Convergence of trajectories in fractal interpolation of stochastic processes

International Nuclear Information System (INIS)

MaIysz, Robert

2006-01-01

The notion of fractal interpolation functions (FIFs) can be applied to stochastic processes. Such construction is especially useful for the class of α-self-similar processes with stationary increments and for the class of α-fractional Brownian motions. For these classes, convergence of the Minkowski dimension of the graphs in fractal interpolation of the Hausdorff dimension of the graph of original process was studied in [Herburt I, MaIysz R. On convergence of box dimensions of fractal interpolation stochastic processes. Demonstratio Math 2000;4:873-88.], [MaIysz R. A generalization of fractal interpolation stochastic processes to higher dimension. Fractals 2001;9:415-28.], and [Herburt I. Box dimension of interpolations of self-similar processes with stationary increments. Probab Math Statist 2001;21:171-8.]. We prove that trajectories of fractal interpolation stochastic processes converge to the trajectory of the original process. We also show that convergence of the trajectories in fractal interpolation of stochastic processes is equivalent to the convergence of trajectories in linear interpolation

14. Stochastic Analysis of Gaussian Processes via Fredholm Representation

Directory of Open Access Journals (Sweden)

Tommi Sottinen

2016-01-01

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

15. Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas

Directory of Open Access Journals (Sweden)

Patrice Gaillardetz

2010-01-01

Full Text Available We develop a consistent evaluation approach for equity-linked insurance products under stochastic interest rates. This pricing approach requires that the premium information of standard insurance products is given exogenously. In order to evaluate equity-linked products, we derive three martingale probability measures that reproduce the information from standard insurance products, interest rates, and equity index. These risk adjusted martingale probability measures are determined using copula theory and evolve with the stochastic interest rate process. A detailed numerical analysis is performed for existing equity-indexed annuities in the North American market.

16. Fast Quantum Algorithm for Predicting Descriptive Statistics of Stochastic Processes

Science.gov (United States)

Williams Colin P.

1999-01-01

Stochastic processes are used as a modeling tool in several sub-fields of physics, biology, and finance. Analytic understanding of the long term behavior of such processes is only tractable for very simple types of stochastic processes such as Markovian processes. However, in real world applications more complex stochastic processes often arise. In physics, the complicating factor might be nonlinearities; in biology it might be memory effects; and in finance is might be the non-random intentional behavior of participants in a market. In the absence of analytic insight, one is forced to understand these more complex stochastic processes via numerical simulation techniques. In this paper we present a quantum algorithm for performing such simulations. In particular, we show how a quantum algorithm can predict arbitrary descriptive statistics (moments) of N-step stochastic processes in just O(square root of N) time. That is, the quantum complexity is the square root of the classical complexity for performing such simulations. This is a significant speedup in comparison to the current state of the art.

17. Description of quantum-mechanical motion by using the formalism of non-Markov stochastic process

International Nuclear Information System (INIS)

Skorobogatov, G.A.; Svertilov, S.I.

1999-01-01

The principle possibilities of mathematical modeling of quantum mechanical motion by the theory of a real stochastic processes is considered. The set of equations corresponding to the simplest case of a two-level system undergoing transitions under the influence of electromagnetic field are obtained. It is shown that quantum-mechanical processes are purely discrete processes of non-Markovian type. They are continuous processes in the space of probability amplitudes and posses the properties of quantum Markovity. The formulation of quantum mechanics in terms of the theory of stochastic processes is necessary for its generalization on small space-time intervals [ru

18. Kolmogorov's refined similarity hypotheses for turbulence and general stochastic processes

International Nuclear Information System (INIS)

Stolovitzky, G.; Sreenivasan, K.R.

1994-01-01

Kolmogorov's refined similarity hypotheses are shown to hold true for a variety of stochastic processes besides high-Reynolds-number turbulent flows, for which they were originally proposed. In particular, just as hypothesized for turbulence, there exists a variable V whose probability density function attains a universal form. Analytical expressions for the probability density function of V are obtained for Brownian motion as well as for the general case of fractional Brownian motion---the latter under some mild assumptions justified a posteriori. The properties of V for the case of antipersistent fractional Brownian motion with the Hurst exponent of 1/3 are similar in many details to those of high-Reynolds-number turbulence in atmospheric boundary layers a few meters above the ground. The one conspicuous difference between turbulence and the antipersistent fractional Brownian motion is that the latter does not possess the required skewness. Broad implications of these results are discussed

19. Time-variant reliability assessment through equivalent stochastic process transformation

International Nuclear Information System (INIS)

Wang, Zequn; Chen, Wei

2016-01-01

Time-variant reliability measures the probability that an engineering system successfully performs intended functions over a certain period of time under various sources of uncertainty. In practice, it is computationally prohibitive to propagate uncertainty in time-variant reliability assessment based on expensive or complex numerical models. This paper presents an equivalent stochastic process transformation approach for cost-effective prediction of reliability deterioration over the life cycle of an engineering system. To reduce the high dimensionality, a time-independent reliability model is developed by translating random processes and time parameters into random parameters in order to equivalently cover all potential failures that may occur during the time interval of interest. With the time-independent reliability model, an instantaneous failure surface is attained by using a Kriging-based surrogate model to identify all potential failure events. To enhance the efficacy of failure surface identification, a maximum confidence enhancement method is utilized to update the Kriging model sequentially. Then, the time-variant reliability is approximated using Monte Carlo simulations of the Kriging model where system failures over a time interval are predicted by the instantaneous failure surface. The results of two case studies demonstrate that the proposed approach is able to accurately predict the time evolution of system reliability while requiring much less computational efforts compared with the existing analytical approach. - Highlights: • Developed a new approach for time-variant reliability analysis. • Proposed a novel stochastic process transformation procedure to reduce the dimensionality. • Employed Kriging models with confidence-based adaptive sampling scheme to enhance computational efficiency. • The approach is effective for handling random process in time-variant reliability analysis. • Two case studies are used to demonstrate the efficacy

20. Diffusive processes in a stochastic magnetic field

International Nuclear Information System (INIS)

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

1995-01-01

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

1. Evolution and mass extinctions as lognormal stochastic processes

Science.gov (United States)

Maccone, Claudio

2014-10-01

-terrestrial civilizations existing in the Galaxy (as a consequence of the central limit theorem of statistics). (5) But the most striking new result is that the well-known Molecular Clock of Evolution', namely the constant rate of Evolution at the molecular level' as shown by Kimura's Neutral Theory of Molecular Evolution, identifies with growth rate of the entropy of our Evo-SETI model, because they both grew linearly in time since the origin of life. (6) Furthermore, we apply our Evo-SETI model to lognormal stochastic processes other than GBMs. For instance, we provide two models for the mass extinctions that occurred in the past: (a) one based on GBMs and (b) the other based on a parabolic mean value capable of covering both the extinction and the subsequent recovery of life forms. (7) Finally, we show that the Markov & Korotayev (2007, 2008) model for Darwinian Evolution identifies with an Evo-SETI model for which the mean value of the underlying lognormal stochastic process is a cubic function of the time. In conclusion: we have provided a new mathematical model capable of embracing molecular evolution, SETI and entropy into a simple set of statistical equations based upon b-lognormals and lognormal stochastic processes with arbitrary mean, of which the GBMs are the particular case of exponential growth.

2. Stochastic Optimal Control for Online Seller under Reputational Mechanisms

Directory of Open Access Journals (Sweden)

2015-12-01

Full Text Available In this work we propose and analyze a model which addresses the pulsing behavior of sellers in an online auction (store. This pulsing behavior is observed when sellers switch between advertising and processing states. We assert that a seller switches her state in order to maximize her profit, and further that this switch can be identified through the seller’s reputation. We show that for each seller there is an optimal reputation, i.e., the reputation at which the seller should switch her state in order to maximize her total profit. We design a stochastic behavioral model for an online seller, which incorporates the dynamics of resource allocation and reputation. The design of the model is optimized by using a stochastic advertising model from [1] and used effectively in the Stochastic Optimal Control of Advertising [2]. This model of reputation is combined with the effect of online reputation on sales price empirically verified in [3]. We derive the Hamilton-Jacobi-Bellman (HJB differential equation, whose solution relates optimal wealth level to a seller’s reputation. We formulate both a full model, as well as a reduced model with fewer parameters, both of which have the same qualitative description of the optimal seller behavior. Coincidentally, the reduced model has a closed form analytical solution that we construct.

3. Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process

Science.gov (United States)

Yan, Wei; Chang, Yuwen

2016-12-01

Considering the stochastic exchange rate, this paper is concerned with the dynamic portfolio selection in financial market. The optimal investment problem is formulated as a continuous-time mathematical model under mean-variance criterion. These processes follow jump-diffusion processes (Weiner process and Poisson process). Then the corresponding Hamilton-Jacobi-Bellman(HJB) equation of the problem is presented and its efferent frontier is obtained. Moreover, the optimal strategy is also derived under safety-first criterion.

4. Classical and spatial stochastic processes with applications to biology

CERN Document Server

Schinazi, Rinaldo B

2014-01-01

The revised and expanded edition of this textbook presents the concepts and applications of random processes with the same illuminating simplicity as its first edition, but with the notable addition of substantial modern material on biological modeling. While still treating many important problems in fields such as engineering and mathematical physics, the book also focuses on the highly relevant topics of cancerous mutations, influenza evolution, drug resistance, and immune response. The models used elegantly apply various classical stochastic models presented earlier in the text, and exercises are included throughout to reinforce essential concepts. The second edition of Classical and Spatial Stochastic Processes is suitable as a textbook for courses in stochastic processes at the advanced-undergraduate and graduate levels, or as a self-study resource for researchers and practitioners in mathematics, engineering, physics, and mathematical biology. Reviews of the first edition: An appetizing textbook for a f...

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. ? filtering for stochastic systems driven by Poisson processes

Science.gov (United States)

Song, Bo; Wu, Zheng-Guang; Park, Ju H.; Shi, Guodong; Zhang, Ya

2015-01-01

This paper investigates the ? filtering problem for stochastic systems driven by Poisson processes. By utilising the martingale theory such as the predictable projection operator and the dual predictable projection operator, this paper transforms the expectation of stochastic integral with respect to the Poisson process into the expectation of Lebesgue integral. Then, based on this, this paper designs an ? filter such that the filtering error system is mean-square asymptotically stable and satisfies a prescribed ? performance level. Finally, a simulation example is given to illustrate the effectiveness of the proposed filtering scheme.

7. Anomalous scaling of stochastic processes and the Moses effect.

Science.gov (United States)

Chen, Lijian; Bassler, Kevin E; McCauley, Joseph L; Gunaratne, Gemunu H

2017-04-01

The state of a stochastic process evolving over a time t is typically assumed to lie on a normal distribution whose width scales like t^{1/2}. However, processes in which the probability distribution is not normal and the scaling exponent differs from 1/2 are known. The search for possible origins of such "anomalous" scaling and approaches to quantify them are the motivations for the work reported here. In processes with stationary increments, where the stochastic process is time-independent, autocorrelations between increments and infinite variance of increments can cause anomalous scaling. These sources have been referred to as the Joseph effect and the Noah effect, respectively. If the increments are nonstationary, then scaling of increments with t can also lead to anomalous scaling, a mechanism we refer to as the Moses effect. Scaling exponents quantifying the three effects are defined and related to the Hurst exponent that characterizes the overall scaling of the stochastic process. Methods of time series analysis that enable accurate independent measurement of each exponent are presented. Simple stochastic processes are used to illustrate each effect. Intraday financial time series data are analyzed, revealing that their anomalous scaling is due only to the Moses effect. In the context of financial market data, we reiterate that the Joseph exponent, not the Hurst exponent, is the appropriate measure to test the efficient market hypothesis.

8. Anomalous scaling of stochastic processes and the Moses effect

Science.gov (United States)

Chen, Lijian; Bassler, Kevin E.; McCauley, Joseph L.; Gunaratne, Gemunu H.

2017-04-01

The state of a stochastic process evolving over a time t is typically assumed to lie on a normal distribution whose width scales like t1/2. However, processes in which the probability distribution is not normal and the scaling exponent differs from 1/2 are known. The search for possible origins of such "anomalous" scaling and approaches to quantify them are the motivations for the work reported here. In processes with stationary increments, where the stochastic process is time-independent, autocorrelations between increments and infinite variance of increments can cause anomalous scaling. These sources have been referred to as the Joseph effect and the Noah effect, respectively. If the increments are nonstationary, then scaling of increments with t can also lead to anomalous scaling, a mechanism we refer to as the Moses effect. Scaling exponents quantifying the three effects are defined and related to the Hurst exponent that characterizes the overall scaling of the stochastic process. Methods of time series analysis that enable accurate independent measurement of each exponent are presented. Simple stochastic processes are used to illustrate each effect. Intraday financial time series data are analyzed, revealing that their anomalous scaling is due only to the Moses effect. In the context of financial market data, we reiterate that the Joseph exponent, not the Hurst exponent, is the appropriate measure to test the efficient market hypothesis.

9. 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.

10. Absolute continuity under time shift of trajectories and related stochastic calculus

CERN Document Server

Löbus, Jörg-Uwe

2017-01-01

The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A\\equiv A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when A is a jump process. Absolute continuity of (X,P) under time shift of trajectories is investigated. For example under various conditions on the initial density with respect to the Lebesgue measure, m, and on A with A_0=0 we verify \\frac{P(dX_{\\cdot -t})}{P(dX_\\cdot)}=\\frac{m(X_{-t})}{m(X_0)}\\cdot \\prod_i\\left|\

11. Learning Theory Estimates with Observations from General Stationary Stochastic Processes.

Science.gov (United States)

Hang, Hanyuan; Feng, Yunlong; Steinwart, Ingo; Suykens, Johan A K

2016-12-01

This letter investigates the supervised learning problem with observations drawn from certain general stationary stochastic processes. Here by general, we mean that many stationary stochastic processes can be included. We show that when the stochastic processes satisfy a generalized Bernstein-type inequality, a unified treatment on analyzing the learning schemes with various mixing processes can be conducted and a sharp oracle inequality for generic regularized empirical risk minimization schemes can be established. The obtained oracle inequality is then applied to derive convergence rates for several learning schemes such as empirical risk minimization (ERM), least squares support vector machines (LS-SVMs) using given generic kernels, and SVMs using gaussian kernels for both least squares and quantile regression. It turns out that for independent and identically distributed (i.i.d.) processes, our learning rates for ERM recover the optimal rates. For non-i.i.d. processes, including geometrically [Formula: see text]-mixing Markov processes, geometrically [Formula: see text]-mixing processes with restricted decay, [Formula: see text]-mixing processes, and (time-reversed) geometrically [Formula: see text]-mixing processes, our learning rates for SVMs with gaussian kernels match, up to some arbitrarily small extra term in the exponent, the optimal rates. For the remaining cases, our rates are at least close to the optimal rates. As a by-product, the assumed generalized Bernstein-type inequality also provides an interpretation of the so-called effective number of observations for various mixing processes.

12. Stochastic reservoir operation under drought with fuzzy objectives

International Nuclear Information System (INIS)

Parent, E.; Duckstein, L.

1993-01-01

Biojective reservoir operation under drought conditions is investigated using stochastic dynamic programming. As both objectives (irrigation water supply, water quality) can only be defined imprecisely, a fuzzy set approach is used to encode the decision maker (DM)'s preferences. The nature driven components are modeled by means of classical stage-state system analysis. The state is three dimensional (inflow memory, drought irrigation index, reservoir level); the decision vector elements are release and irrigation allocation. Stochasticity stems from the random nature of inflows and irrigation demands. The transition function includes a lag one inflow Markov model and mass balance equations. The human driven component is designed as a confluence of fuzzy objectives and constraints after Bellman and Zadeh. Fuzzy numbers are assessed to represent the DM's objectives by two different techniques, the direct one and indirect pairwise comparison. The real case study of the Neste river system in southwestern France is used to illustrate the approach; the result are compared to a classical sequential decision theoretical model derived earlier from the viewpoints of ease of modeling, computational efforts, plausibility and robustness of results

13. Counting statistics of non-markovian quantum stochastic processes

DEFF Research Database (Denmark)

Flindt, Christian; Novotny, T.; Braggio, A.

2008-01-01

We derive a general expression for the cumulant generating function (CGF) of non-Markovian quantum stochastic transport processes. The long-time limit of the CGF is determined by a single dominating pole of the resolvent of the memory kernel from which we extract the zero-frequency cumulants...

14. Gene regulation and noise reduction by coupling of stochastic processes

Science.gov (United States)

Ramos, Alexandre F.; Hornos, José Eduardo M.; Reinitz, John

2015-02-01

Here we characterize the low-noise regime of a stochastic model for a negative self-regulating binary gene. The model has two stochastic variables, the protein number and the state of the gene. Each state of the gene behaves as a protein source governed by a Poisson process. The coupling between the two gene states depends on protein number. This fact has a very important implication: There exist protein production regimes characterized by sub-Poissonian noise because of negative covariance between the two stochastic variables of the model. Hence the protein numbers obey a probability distribution that has a peak that is sharper than those of the two coupled Poisson processes that are combined to produce it. Biochemically, the noise reduction in protein number occurs when the switching of the genetic state is more rapid than protein synthesis or degradation. We consider the chemical reaction rates necessary for Poisson and sub-Poisson processes in prokaryotes and eucaryotes. Our results suggest that the coupling of multiple stochastic processes in a negative covariance regime might be a widespread mechanism for noise reduction.

15. Gene regulation and noise reduction by coupling of stochastic processes.

Science.gov (United States)

Ramos, Alexandre F; Hornos, José Eduardo M; Reinitz, John

2015-02-01

Here we characterize the low-noise regime of a stochastic model for a negative self-regulating binary gene. The model has two stochastic variables, the protein number and the state of the gene. Each state of the gene behaves as a protein source governed by a Poisson process. The coupling between the two gene states depends on protein number. This fact has a very important implication: There exist protein production regimes characterized by sub-Poissonian noise because of negative covariance between the two stochastic variables of the model. Hence the protein numbers obey a probability distribution that has a peak that is sharper than those of the two coupled Poisson processes that are combined to produce it. Biochemically, the noise reduction in protein number occurs when the switching of the genetic state is more rapid than protein synthesis or degradation. We consider the chemical reaction rates necessary for Poisson and sub-Poisson processes in prokaryotes and eucaryotes. Our results suggest that the coupling of multiple stochastic processes in a negative covariance regime might be a widespread mechanism for noise reduction.

16. Conditional Stochastic Processes Applied to Wave Load Predictions

DEFF Research Database (Denmark)

Jensen, Jørgen Juncher

2015-01-01

The concept of conditional stochastic processes provides a powerful tool for evaluation and estimation of wave loads on ships and offshore structures. This article first considers conditional waves with a focus on critical wave episodes. Then the inherent uncertainty in the results is illustrated...

17. Stochastic evolution of the Universe: A possible dynamical process ...

C Sivakumar

2017-12-11

Dec 11, 2017 ... https://doi.org/10.1007/s12043-017-1491-z. Stochastic evolution of the Universe: A possible dynamical process leading to fractal structures. C SIVAKUMAR. Department of Physics, Maharaja's College, Ernakulam 682 011, India. E-mail: thrisivc@yahoo.com. MS received 6 July 2016; revised 26 June 2017; ...

18. Stochastic processes and applications diffusion processes, the Fokker-Planck and Langevin equations

CERN Document Server

Pavliotis, Grigorios A

2014-01-01

This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated.                 The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to eq...

19. Neural network connectivity and response latency modelled by stochastic processes

DEFF Research Database (Denmark)

Tamborrino, Massimiliano

is connected to thousands of other neurons. The rst question is: how to model neural networks through stochastic processes? A multivariate Ornstein-Uhlenbeck process, obtained as a diffusion approximation of a jump process, is the proposed answer. Obviously, dependencies between neurons imply dependencies......Stochastic processes and their rst passage times have been widely used to describe the membrane potential dynamics of single neurons and to reproduce neuronal spikes, respectively.However, cerebral cortex in human brains is estimated to contain 10-20 billions of neurons and each of them...... between their spike times. Therefore, the second question is: how to detect neural network connectivity from simultaneously recorded spike trains? Answering this question corresponds to investigate the joint distribution of sequences of rst passage times. A non-parametric method based on copulas...

20. Planning under uncertainty solving large-scale stochastic linear programs

Energy Technology Data Exchange (ETDEWEB)

Infanger, G. [Stanford Univ., CA (United States). Dept. of Operations Research]|[Technische Univ., Vienna (Austria). Inst. fuer Energiewirtschaft

1992-12-01

For many practical problems, solutions obtained from deterministic models are unsatisfactory because they fail to hedge against certain contingencies that may occur in the future. Stochastic models address this shortcoming, but up to recently seemed to be intractable due to their size. Recent advances both in solution algorithms and in computer technology now allow us to solve important and general classes of practical stochastic problems. We show how large-scale stochastic linear programs can be efficiently solved by combining classical decomposition and Monte Carlo (importance) sampling techniques. We discuss the methodology for solving two-stage stochastic linear programs with recourse, present numerical results of large problems with numerous stochastic parameters, show how to efficiently implement the methodology on a parallel multi-computer and derive the theory for solving a general class of multi-stage problems with dependency of the stochastic parameters within a stage and between different stages.

1. Expectation propagation for continuous time stochastic processes

International Nuclear Information System (INIS)

Cseke, Botond; Schnoerr, David; Sanguinetti, Guido; Opper, Manfred

2016-01-01

We consider the inverse problem of reconstructing the posterior measure over the trajectories of a diffusion process from discrete time observations and continuous time constraints. We cast the problem in a Bayesian framework and derive approximations to the posterior distributions of single time marginals using variational approximate inference, giving rise to an expectation propagation type algorithm. For non-linear diffusion processes, this is achieved by leveraging moment closure approximations. We then show how the approximation can be extended to a wide class of discrete-state Markov jump processes by making use of the chemical Langevin equation. Our empirical results show that the proposed method is computationally efficient and provides good approximations for these classes of inverse problems. (paper)

2. 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

3. Changing contributions of stochastic and deterministic processes in community assembly over a successional gradient.

Science.gov (United States)

Måren, Inger Elisabeth; Kapfer, Jutta; Aarrestad, Per Arild; Grytnes, John-Arvid; Vandvik, Vigdis

2018-01-01

Successional dynamics in plant community assembly may result from both deterministic and stochastic ecological processes. The relative importance of different ecological processes is expected to vary over the successional sequence, between different plant functional groups, and with the disturbance levels and land-use management regimes of the successional systems. We evaluate the relative importance of stochastic and deterministic processes in bryophyte and vascular plant community assembly after fire in grazed and ungrazed anthropogenic coastal heathlands in Northern Europe. A replicated series of post-fire successions (n = 12) were initiated under grazed and ungrazed conditions, and vegetation data were recorded in permanent plots over 13 years. We used redundancy analysis (RDA) to test for deterministic successional patterns in species composition repeated across the replicate successional series and analyses of co-occurrence to evaluate to what extent species respond synchronously along the successional gradient. Change in species co-occurrences over succession indicates stochastic successional dynamics at the species level (i.e., species equivalence), whereas constancy in co-occurrence indicates deterministic dynamics (successional niche differentiation). The RDA shows high and deterministic vascular plant community compositional change, especially early in succession. Co-occurrence analyses indicate stochastic species-level dynamics the first two years, which then give way to more deterministic replacements. Grazed and ungrazed successions are similar, but the early stage stochasticity is higher in ungrazed areas. Bryophyte communities in ungrazed successions resemble vascular plant communities. In contrast, bryophytes in grazed successions showed consistently high stochasticity and low determinism in both community composition and species co-occurrence. In conclusion, stochastic and individualistic species responses early in succession give way to more

4. Stochasticity in processes fundamentals and applications to chemistry and biology

CERN Document Server

Schuster, Peter

2016-01-01

This book has developed over the past fifteen years from a modern course on stochastic chemical kinetics for graduate students in physics, chemistry and biology. The first part presents a systematic collection of the mathematical background material needed to understand probability, statistics, and stochastic processes as a prerequisite for the increasingly challenging practical applications in chemistry and the life sciences examined in the second part. Recent advances in the development of new techniques and in the resolution of conventional experiments at nano-scales have been tremendous: today molecular spectroscopy can provide insights into processes down to scales at which current theories at the interface of physics, chemistry and the life sciences cannot be successful without a firm grasp of randomness and its sources. Routinely measured data is now sufficiently accurate to allow the direct recording of fluctuations. As a result, the sampling of data and the modeling of relevant processes are doomed t...

5. Stochastic Models in the Identification Process

Czech Academy of Sciences Publication Activity Database

Slovák, Dalibor; Zvárová, Jana

2011-01-01

Roč. 7, č. 1 (2011), s. 44-50 ISSN 1801-5603 R&D Projects: GA MŠk(CZ) 1M06014 Institutional research plan: CEZ:AV0Z10300504 Keywords : identification process * weight-of evidence formula * coancestry coefficient * beta-binomial sampling formula * DNA mixtures Subject RIV: IN - Informatics, Computer Science http://www.ejbi.eu/images/2011-1/Slovak_en.pdf

6. 5th Seminar on Stochastic Processes, Random Fields and Applications

CERN Document Server

Russo, Francesco; Dozzi, Marco

2008-01-01

This volume contains twenty-eight refereed research or review papers presented at the 5th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from May 30 to June 3, 2005. The seminar focused mainly on stochastic partial differential equations, random dynamical systems, infinite-dimensional analysis, approximation problems, and financial engineering. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance. Contributors: Y. Asai, J.-P. Aubin, C. Becker, M. Benaïm, H. Bessaih, S. Biagini, S. Bonaccorsi, N. Bouleau, N. Champagnat, G. Da Prato, R. Ferrière, F. Flandoli, P. Guasoni, V.B. Hallulli, D. Khoshnevisan, T. Komorowski, R. Léandre, P. Lescot, H. Lisei, J.A. López-Mimbela, V. Mandrekar, S. Méléard, A. Millet, H. Nagai, A.D. Neate, V. Orlovius, M. Pratelli, N. Privault, O. Raimond, M. Röckner, B. Rüdiger, W.J. Runggaldi...

7. Stochastic processes dominate during boreal bryophyte community assembly.

Science.gov (United States)

Fenton, Nicole J; Bergeron, Yves

2013-09-01

Why are plant species found in certain locations and not in others? The study of community assembly rules has attempted to answer this question, and many studies articulate the historic dichotomy of deterministic (predictable niches) vs. stochastic (random or semi-random processes). The study of successional sequences to determine whether they converge, as would be expected by deterministic theory, or diverge, as stochastic theory would suggest, has been one method used to investigate this question. In this article we ask the question: Do similar boreal bryophyte communities develop in the similar habitat created by convergent succession after fires of different severities? Or do the stochastic processes generated by fires of different severity lead to different communities? Specifically we predict that deterministic structure will be more important for large forest-floor species than stochastic processes, and that the inverse will be true for small bryophyte species. We used multivariate regression trees and model selection to determine the relative weight of structure (forest structure, substrates, soil structure) and processes (fire severity) for two groups of bryophyte species sampled in 12 sites (seven high-severity and five low-severity fires). Contrary to our first hypothesis, processes were as important for large forest-floor bryophytes as for small pocket species. Fire severity, its interaction with the quality of available habitat, and its impact on the creation of biological legacies played dominant roles in determining community structure. In this study, sites with nearly identical forest structure, generated via convergent succession after high- and low-severity fire, were compared to see whether these sites supported similar bryophyte communities. While similar to some degree, both the large forest-floor species and the pocket species differed after high-severity fire compared to low-severity fire. This result suggests that the "how," or process of

8. Discrete stochastic processes and optimal filtering

CERN Document Server

Bertein, Jean-Claude

2012-01-01

Optimal filtering applied to stationary and non-stationary signals provides the most efficient means of dealing with problems arising from the extraction of noise signals. Moreover, it is a fundamental feature in a range of applications, such as in navigation in aerospace and aeronautics, filter processing in the telecommunications industry, etc. This book provides a comprehensive overview of this area, discussing random and Gaussian vectors, outlining the results necessary for the creation of Wiener and adaptive filters used for stationary signals, as well as examining Kalman filters which ar

9. A stochastic version of the Price equation reveals the interplay of deterministic and stochastic processes in evolution

Directory of Open Access Journals (Sweden)

Rice Sean H

2008-09-01

Full Text Available Abstract Background Evolution involves both deterministic and random processes, both of which are known to contribute to directional evolutionary change. A number of studies have shown that when fitness is treated as a random variable, meaning that each individual has a distribution of possible fitness values, then both the mean and variance of individual fitness distributions contribute to directional evolution. Unfortunately the most general mathematical description of evolution that we have, the Price equation, is derived under the assumption that both fitness and offspring phenotype are fixed values that are known exactly. The Price equation is thus poorly equipped to study an important class of evolutionary processes. Results I present a general equation for directional evolutionary change that incorporates both deterministic and stochastic processes and applies to any evolving system. This is essentially a stochastic version of the Price equation, but it is derived independently and contains terms with no analog in Price's formulation. This equation shows that the effects of selection are actually amplified by random variation in fitness. It also generalizes the known tendency of populations to be pulled towards phenotypes with minimum variance in fitness, and shows that this is matched by a tendency to be pulled towards phenotypes with maximum positive asymmetry in fitness. This equation also contains a term, having no analog in the Price equation, that captures cases in which the fitness of parents has a direct effect on the phenotype of their offspring. Conclusion Directional evolution is influenced by the entire distribution of individual fitness, not just the mean and variance. Though all moments of individuals' fitness distributions contribute to evolutionary change, the ways that they do so follow some general rules. These rules are invisible to the Price equation because it describes evolution retrospectively. An equally general

10. Hermite-Hadamard type inequality for φ{sub h}-convex stochastic processes

Energy Technology Data Exchange (ETDEWEB)

Sarıkaya, Mehmet Zeki, E-mail: sarikayamz@gmail.com [Department of Mathematics, Faculty of Science and Arts, Düzce University, Düzce (Turkey); Kiriş, Mehmet Eyüp, E-mail: kiris@aku.edu.tr [Department of Mathematics, Institute of Science and Arts, Afyon Kocatepe University, Afyonkarahisar (Turkey); Çelik, Nuri, E-mail: ncelik@bartin.edu.tr [Department of Statistics, Faculty of Science, Bartın University, Bartın-Turkey (Turkey)

2016-04-18

The main aim of the present paper is to introduce φ{sub h}-convex stochastic processes and we investigate main properties of these mappings. Moreover, we prove the Hadamard-type inequalities for φ{sub h}-convex stochastic processes. We also give some new general inequalities for φ{sub h}-convex stochastic processes.

11. Simulation of anaerobic digestion processes using stochastic algorithm.

Science.gov (United States)

Palanichamy, Jegathambal; Palani, Sundarambal

2014-01-01

The Anaerobic Digestion (AD) processes involve numerous complex biological and chemical reactions occurring simultaneously. Appropriate and efficient models are to be developed for simulation of anaerobic digestion systems. Although several models have been developed, mostly they suffer from lack of knowledge on constants, complexity and weak generalization. The basis of the deterministic approach for modelling the physico and bio-chemical reactions occurring in the AD system is the law of mass action, which gives the simple relationship between the reaction rates and the species concentrations. The assumptions made in the deterministic models are not hold true for the reactions involving chemical species of low concentration. The stochastic behaviour of the physicochemical processes can be modeled at mesoscopic level by application of the stochastic algorithms. In this paper a stochastic algorithm (Gillespie Tau Leap Method) developed in MATLAB was applied to predict the concentration of glucose, acids and methane formation at different time intervals. By this the performance of the digester system can be controlled. The processes given by ADM1 (Anaerobic Digestion Model 1) were taken for verification of the model. The proposed model was verified by comparing the results of Gillespie's algorithms with the deterministic solution for conversion of glucose into methane through degraders. At higher value of 'τ' (timestep), the computational time required for reaching the steady state is more since the number of chosen reactions is less. When the simulation time step is reduced, the results are similar to ODE solver. It was concluded that the stochastic algorithm is a suitable approach for the simulation of complex anaerobic digestion processes. The accuracy of the results depends on the optimum selection of tau value.

12. A discontinuous Galerkin method for numerical pricing of European options under Heston stochastic volatility

Science.gov (United States)

Hozman, J.; Tichý, T.

2016-12-01

The paper is based on the results from our recent research on multidimensional option pricing problems. We focus on European option valuation when the price movement of the underlying asset is driven by a stochastic volatility following a square root process proposed by Heston. The stochastic approach incorporates a new additional spatial variable into this model and makes it very robust, i.e. it provides a framework to price a variety of options that is closer to reality. The main topic is to present the numerical scheme arising from the concept of discontinuous Galerkin methods and applicable to the Heston option pricing model. The numerical results are presented on artificial benchmarks as well as on reference market data.

13. 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.

14. 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.

15. 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.

16. Random migration processes between two stochastic epidemic centers.

Science.gov (United States)

Sazonov, Igor; Kelbert, Mark; Gravenor, Michael B

2016-04-01

We consider the epidemic dynamics in stochastic interacting population centers coupled by random migration. Both the epidemic and the migration processes are modeled by Markov chains. We derive explicit formulae for the probability distribution of the migration process, and explore the dependence of outbreak patterns on initial parameters, population sizes and coupling parameters, using analytical and numerical methods. We show the importance of considering the movement of resident and visitor individuals separately. The mean field approximation for a general migration process is derived and an approximate method that allows the computation of statistical moments for networks with highly populated centers is proposed and tested numerically. Copyright © 2016 Elsevier Inc. All rights reserved.

17. Stochastic goal programming based groundwater remediation management under human-health-risk uncertainty

International Nuclear Information System (INIS)

Li, Jing; He, Li; Lu, Hongwei; Fan, Xing

2014-01-01

Highlights: • We propose an integrated optimal groundwater remediation design approach. • The approach can address stochasticity in carcinogenic risks. • Goal programming is used to make the system approaching to ideal operation and remediation effects. • The uncertainty in slope factor is evaluated under different confidence levels. • Optimal strategies are obtained to support remediation design under uncertainty. - Abstract: An optimal design approach for groundwater remediation is developed through incorporating numerical simulation, health risk assessment, uncertainty analysis and nonlinear optimization within a general framework. Stochastic analysis and goal programming are introduced into the framework to handle uncertainties in real-world groundwater remediation systems. Carcinogenic risks associated with remediation actions are further evaluated at four confidence levels. The differences between ideal and predicted constraints are minimized by goal programming. The approach is then applied to a contaminated site in western Canada for creating a set of optimal remediation strategies. Results from the case study indicate that factors including environmental standards, health risks and technical requirements mutually affected and restricted themselves. Stochastic uncertainty existed in the entire process of remediation optimization, which should to be taken into consideration in groundwater remediation design

18. 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...

19. 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...

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

Directory of Open Access Journals (Sweden)

Malinowski Marek T.

2015-01-01

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

1. A stochastic model of multiple scattering of charged particles: process, transport equation and solutions

International Nuclear Information System (INIS)

Papiez, L.; Moskvin, V.; Tulovsky, V.

2001-01-01

The process of angular-spatial evolution of multiple scattering of charged particles can be described by a special case of Boltzmann integro-differential equation called Lewis equation. The underlying stochastic process for this evolution is the compound Poisson process on the surface of the unit sphere. The significant portion of events that constitute compound Poisson process that describes multiple scattering have diffusional character. This property allows to analyze the process of angular-spatial evolution of multiple scattering of charged particles as combination of soft and hard collision processes and compute appropriately its transition densities. These computations provide a method of the approximate solution to the Lewis equation. (orig.)

2. Multiple-scale stochastic processes: Decimation, averaging and beyond

Energy Technology Data Exchange (ETDEWEB)

Bo, Stefano, E-mail: stefano.bo@nordita.org [Nordita, KTH Royal Institute of Technology and Stockholm University, Roslagstullsbacken 23, SE-106 91 Stockholm (Sweden); Celani, Antonio [Quantitative Life Sciences, The Abdus Salam International Centre for Theoretical Physics (ICTP), Strada Costiera 11, I-34151 - Trieste (Italy)

2017-02-07

The recent experimental progresses in handling microscopic systems have allowed to probe them at levels where fluctuations are prominent, calling for stochastic modeling in a large number of physical, chemical and biological phenomena. This has provided fruitful applications for established stochastic methods and motivated further developments. These systems often involve processes taking place on widely separated time scales. For an efficient modeling one usually focuses on the slower degrees of freedom and it is of great importance to accurately eliminate the fast variables in a controlled fashion, carefully accounting for their net effect on the slower dynamics. This procedure in general requires to perform two different operations: decimation and coarse-graining. We introduce the asymptotic methods that form the basis of this procedure and discuss their application to a series of physical, biological and chemical examples. We then turn our attention to functionals of the stochastic trajectories such as residence times, counting statistics, fluxes, entropy production, etc. which have been increasingly studied in recent years. For such functionals, the elimination of the fast degrees of freedom can present additional difficulties and naive procedures can lead to blatantly inconsistent results. Homogenization techniques for functionals are less covered in the literature and we will pedagogically present them here, as natural extensions of the ones employed for the trajectories. We will also discuss recent applications of these techniques to the thermodynamics of small systems and their interpretation in terms of information-theoretic concepts.

3. Stochastic Modeling and Deterministic Limit of Catalytic Surface Processes

DEFF Research Database (Denmark)

Starke, Jens; Reichert, Christian; Eiswirth, Markus

2007-01-01

Three levels of modeling, microscopic, mesoscopic and macroscopic are discussed for the CO oxidation on low-index platinum single crystal surfaces. The introduced models on the microscopic and mesoscopic level are stochastic while the model on the macroscopic level is deterministic. It can......, such that in contrast to the microscopic model the spatial resolution is reduced. The derivation of deterministic limit equations is in correspondence with the successful description of experiments under low-pressure conditions by deterministic reaction-diffusion equations while for intermediate pressures phenomena...

4. Simulation of Stochastic Processes by Coupled ODE-PDE

Science.gov (United States)

Zak, Michail

2008-01-01

A document discusses the emergence of randomness in solutions of coupled, fully deterministic ODE-PDE (ordinary differential equations-partial differential equations) due to failure of the Lipschitz condition as a new phenomenon. It is possible to exploit the special properties of ordinary differential equations (represented by an arbitrarily chosen, dynamical system) coupled with the corresponding Liouville equations (used to describe the evolution of initial uncertainties in terms of joint probability distribution) in order to simulate stochastic processes with the proscribed probability distributions. The important advantage of the proposed approach is that the simulation does not require a random-number generator.

5. An extension of clarke's model with stochastic amplitude flip processes

KAUST Repository

Hoel, Hakon

2014-07-01

Stochastic modeling is an essential tool for studying statistical properties of wireless channels. In multipath fading channel (MFC) models, the signal reception is modeled by a sum of wave path contributions, and Clarke\\'s model is an important example of such which has been widely accepted in many wireless applications. However, since Clarke\\'s model is temporally deterministic, Feng and Field noted that it does not model real wireless channels with time-varying randomness well. Here, we extend Clarke\\'s model to a novel time-varying stochastic MFC model with scatterers randomly flipping on and off. Statistical properties of the MFC model are analyzed and shown to fit well with real signal measurements, and a limit Gaussian process is derived from the model when the number of active wave paths tends to infinity. A second focus of this work is a comparison study of the error and computational cost of generating signal realizations from the MFC model and from its limit Gaussian process. By rigorous analysis and numerical studies, we show that in many settings, signal realizations are generated more efficiently by Gaussian process algorithms than by the MFC model\\'s algorithm. Numerical examples that strengthen these observations are also presented. © 2014 IEEE.

6. Coarse-grained stochastic processes and kinetic Monte Carlo simulators for the diffusion of interacting particles

Science.gov (United States)

Katsoulakis, Markos A.; Vlachos, Dionisios G.

2003-11-01

We derive a hierarchy of successively coarse-grained stochastic processes and associated coarse-grained Monte Carlo (CGMC) algorithms directly from the microscopic processes as approximations in larger length scales for the case of diffusion of interacting particles on a lattice. This hierarchy of models spans length scales between microscopic and mesoscopic, satisfies a detailed balance, and gives self-consistent fluctuation mechanisms whose noise is asymptotically identical to the microscopic MC. Rigorous, detailed asymptotics justify and clarify these connections. Gradient continuous time microscopic MC and CGMC simulations are compared under far from equilibrium conditions to illustrate the validity of our theory and delineate the errors obtained by rigorous asymptotics. Information theory estimates are employed for the first time to provide rigorous error estimates between the solutions of microscopic MC and CGMC, describing the loss of information during the coarse-graining process. Simulations under periodic boundary conditions are used to verify the information theory error estimates. It is shown that coarse-graining in space leads also to coarse-graining in time by q2, where q is the level of coarse-graining, and overcomes in part the hydrodynamic slowdown. Operation counting and CGMC simulations demonstrate significant CPU savings in continuous time MC simulations that vary from q3 for short potentials to q4 for long potentials. Finally, connections of the new coarse-grained stochastic processes to stochastic mesoscopic and Cahn-Hilliard-Cook models are made.

7. A stochastic multi-agent optimization model for energy infrastructure planning under uncertainty and competition.

Science.gov (United States)

2017-07-04

This paper presents a stochastic multi-agent optimization model that supports energy infrastruc- : ture planning under uncertainty. The interdependence between dierent decision entities in the : system is captured in an energy supply chain network, w...

8. Nonparametric estimation of stochastic differential equations with sparse Gaussian processes.

Science.gov (United States)

García, Constantino A; Otero, Abraham; Félix, Paulo; Presedo, Jesús; Márquez, David G

2017-08-01

The application of stochastic differential equations (SDEs) to the analysis of temporal data has attracted increasing attention, due to their ability to describe complex dynamics with physically interpretable equations. In this paper, we introduce a nonparametric method for estimating the drift and diffusion terms of SDEs from a densely observed discrete time series. The use of Gaussian processes as priors permits working directly in a function-space view and thus the inference takes place directly in this space. To cope with the computational complexity that requires the use of Gaussian processes, a sparse Gaussian process approximation is provided. This approximation permits the efficient computation of predictions for the drift and diffusion terms by using a distribution over a small subset of pseudosamples. The proposed method has been validated using both simulated data and real data from economy and paleoclimatology. The application of the method to real data demonstrates its ability to capture the behavior of complex systems.

9. Persistence and extinction of a stochastic single-species model under regime switching in a polluted environment II.

Science.gov (United States)

Liu, Meng; Wang, Ke

2010-12-07

This is a continuation of our paper [Liu, M., Wang, K., 2010. Persistence and extinction of a stochastic single-species model under regime switching in a polluted environment, J. Theor. Biol. 264, 934-944]. Taking both white noise and colored noise into account, a stochastic single-species model under regime switching in a polluted environment is studied. Sufficient conditions for extinction, stochastic nonpersistence in the mean, stochastic weak persistence and stochastic permanence are established. The threshold between stochastic weak persistence and extinction is obtained. The results show that a different type of noise has a different effect on the survival results. Copyright © 2010 Elsevier Ltd. All rights reserved.

10. Dynamic asset allocation for bank under stochastic interest rates.

OpenAIRE

Chakroun, Fatma; Abid, Fathi

2014-01-01

This paper considers the optimal asset allocation strategy for bank with stochastic interest rates when there are three types of asset: Bank account, loans and securities. The asset allocation problem is to maximize the expected utility from terminal wealth of a bank's shareholders over a finite time horizon. As a consequence, we apply a dynamic programming principle to solve the Hamilton-Jacobi-Bellman (HJB) equation explicitly in the case of the CRRA utility function. A case study is given ...

11. Pricing real estate index options under stochastic interest rates

Science.gov (United States)

Gong, Pu; Dai, Jun

2017-08-01

Real estate derivatives as new financial instruments are not merely risk management tools but also provide a novel way to gain exposure to real estate assets without buying or selling the physical assets. Although real estate derivatives market has exhibited a rapid development in recent years, the valuation challenge of real estate derivatives remains a great obstacle for further development in this market. In this paper, we derive a partial differential equation contingent on a real estate index in a stochastic interest rate environment and propose a modified finite difference method that adopts the non-uniform grids to solve this problem. Numerical results confirm the efficiency of the method and indicate that constant interest rate models lead to the mispricing of options and the effects of stochastic interest rates on option prices depend on whether the term structure of interest rates is rising or falling. Finally, we have investigated and compared the different effects of stochastic interest rates on European and American option prices.

12. Suprathreshold stochastic resonance in neural processing tuned by correlation.

Science.gov (United States)

Durrant, Simon; Kang, Yanmei; Stocks, Nigel; Feng, Jianfeng

2011-07-01

Suprathreshold stochastic resonance (SSR) is examined in the context of integrate-and-fire neurons, with an emphasis on the role of correlation in the neuronal firing. We employed a model based on a network of spiking neurons which received synaptic inputs modeled by Poisson processes stimulated by a stepped input signal. The smoothed ensemble firing rate provided an output signal, and the mutual information between this signal and the input was calculated for networks with different noise levels and different numbers of neurons. It was found that an SSR effect was present in this context. We then examined a more biophysically plausible scenario where the noise was not controlled directly, but instead was tuned by the correlation between the inputs. The SSR effect remained present in this scenario with nonzero noise providing improved information transmission, and it was found that negative correlation between the inputs was optimal. Finally, an examination of SSR in the context of this model revealed its connection with more traditional stochastic resonance and showed a trade-off between supratheshold and subthreshold components. We discuss these results in the context of existing empirical evidence concerning correlations in neuronal firing.

13. Stochastic investigation of precipitation process for climatic variability identification

Science.gov (United States)

Sotiriadou, Alexia; Petsiou, Amalia; Feloni, Elisavet; Kastis, Paris; Iliopoulou, Theano; Markonis, Yannis; Tyralis, Hristos; Dimitriadis, Panayiotis; Koutsoyiannis, Demetris

2016-04-01

The precipitation process is important not only to hydrometeorology but also to renewable energy resources management. We use a dataset consisting of daily and hourly records around the globe to identify statistical variability with emphasis on the last period. Specifically, we investigate the occurrence of mean, maximum and minimum values and we estimate statistical properties such as marginal probability distribution function and the type of decay of the climacogram (i.e., mean process variance vs. scale). Acknowledgement: This research is conducted within the frame of the undergraduate course "Stochastic Methods in Water Resources" of the National Technical University of Athens (NTUA). The School of Civil Engineering of NTUA provided moral support for the participation of the students in the Assembly.

14. Analysis of RLC Elements under Stochastic Conditions Using the First and the Second Moments

Directory of Open Access Journals (Sweden)

WALCZAK, J.

2015-11-01

Full Text Available This paper describes a method of determining the first two moments of the response for basic components of electrical circuits, i.e. resistors, inductors and capacitors. The paper goal was to obtain closed form formulae for the moments describing voltage or current stochastic processes. It has been assumed that the element parameters R (resistance, L (inductance and C (capacitance could be random variables, deterministic functions or stochastic processes and excitations are second order stochastic processes. Moreover, two cases of dependence between the random parameters and the excitation stochastic processes have been considered. The obtained results enable determination of exact solutions for the first two moments without application of numerical algorithms.

15. Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk

Directory of Open Access Journals (Sweden)

Tina Engler

2014-12-01

Full Text Available We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash. On a given time horizon [0; T], we then maximize the investor’s expected utility of terminal wealth in the worst-case crash scenario. Our main result is an explicit characterization of the worst-case optimal portfolio strategy for the class of HARA (hyperbolic absolute risk aversion utility functions.

16. Inexact Multistage Stochastic Chance Constrained Programming Model for Water Resources Management under Uncertainties

Directory of Open Access Journals (Sweden)

Hong Zhang

2017-01-01

Full Text Available In order to formulate water allocation schemes under uncertainties in the water resources management systems, an inexact multistage stochastic chance constrained programming (IMSCCP model is proposed. The model integrates stochastic chance constrained programming, multistage stochastic programming, and inexact stochastic programming within a general optimization framework to handle the uncertainties occurring in both constraints and objective. These uncertainties are expressed as probability distributions, interval with multiply distributed stochastic boundaries, dynamic features of the long-term water allocation plans, and so on. Compared with the existing inexact multistage stochastic programming, the IMSCCP can be used to assess more system risks and handle more complicated uncertainties in water resources management systems. The IMSCCP model is applied to a hypothetical case study of water resources management. In order to construct an approximate solution for the model, a hybrid algorithm, which incorporates stochastic simulation, back propagation neural network, and genetic algorithm, is proposed. The results show that the optimal value represents the maximal net system benefit achieved with a given confidence level under chance constraints, and the solutions provide optimal water allocation schemes to multiple users over a multiperiod planning horizon.

17. A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework

Directory of Open Access Journals (Sweden)

Pavel V. Shevchenko

2016-07-01

Full Text Available In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control framework and review the existing numerical methods. We also discuss pricing under the complete/incomplete financial market models, stochastic mortality and optimal/sub-optimal policyholder behavior, and in the presence of taxes. For numerical valuation of these contracts in the case of simple risky asset process, we develop a direct integration method based on the Gauss-Hermite quadratures with a one-dimensional cubic spline for calculation of the expected contract value, and a bi-cubic spline interpolation for applying the jump conditions across the contract cashflow event times. This method is easier to implement and faster when compared to the partial differential equation methods if the transition density (or its moments of the risky asset underlying the contract is known in closed form between the event times. We present accurate numerical results for pricing of a Guaranteed Minimum Accumulation Benefit (GMAB guarantee available on the market that can serve as a numerical benchmark for practitioners and researchers developing pricing of variable annuity guarantees to assess the accuracy of their numerical implementation.

18. Stochastic Response of an Inclined Shallow Cable with Linear Viscous Dampers under Stochastic Excitation

DEFF Research Database (Denmark)

Zhou, Qiang; Nielsen, Søren R.K.; Qu, Weilian

2010-01-01

Considering the coupling between the in-plane and out-of-plane vibration, the stochastic response of an inclined shallow cable with linear viscous dampers subjected to Gaussian white noise excitation is investigated in this paper. Selecting the static deflection shape due to a concentrated force...... together with the C-type Gram-Charlier expansion with a fourth-order closure are applied to obtain statistical moments, power spectral density and probabilistic density function of the cable response, whose availability is verified by Monte Carlo method. Taking a typical cable as an example, the influence...... of several factors, which include excitation level and direction as well as damper size, on the dynamic response of the cable is extensively investigated. It is found that the sum of mean square in-plane and out-of-plane displacement is primarily independent of the load direction when the excitation level...

19. A coupled stochastic inverse-management framework for dealing with nonpoint agriculture pollution under groundwater parameter uncertainty

Science.gov (United States)

Llopis-Albert, Carlos; Palacios-Marqués, Daniel; Merigó, José M.

2014-04-01

In this paper a methodology for the stochastic management of groundwater quality problems is presented, which can be used to provide agricultural advisory services. A stochastic algorithm to solve the coupled flow and mass transport inverse problem is combined with a stochastic management approach to develop methods for integrating uncertainty; thus obtaining more reliable policies on groundwater nitrate pollution control from agriculture. The stochastic inverse model allows identifying non-Gaussian parameters and reducing uncertainty in heterogeneous aquifers by constraining stochastic simulations to data. The management model determines the spatial and temporal distribution of fertilizer application rates that maximizes net benefits in agriculture constrained by quality requirements in groundwater at various control sites. The quality constraints can be taken, for instance, by those given by water laws such as the EU Water Framework Directive (WFD). Furthermore, the methodology allows providing the trade-off between higher economic returns and reliability in meeting the environmental standards. Therefore, this new technology can help stakeholders in the decision-making process under an uncertainty environment. The methodology has been successfully applied to a 2D synthetic aquifer, where an uncertainty assessment has been carried out by means of Monte Carlo simulation techniques.

20. Simplified reactive power management strategy for complex power grids under stochastic operation and incomplete information

DEFF Research Database (Denmark)

Vlachogiannis, Ioannis (John)

2009-01-01

grids is a major issue for system operators. Under these circumstances an online reactive power management strategy with minimum risk concerning all uncertain and stochastic parameters is proposed. Therefore, new concepts such as reactive power-weighted node-to-node linking and reactive power control......In the current released energy market, the large-scale complex transmission networks and the distribution ones with dispersed energy sources and "intelligent" components operate under uncertainties, stochastic and prior incomplete information. A safe and reliable operation of such complex power...... capability are introduced. A distributed and interconnected stochastic learning automata system is implemented to manage, in a unified and unique way, the reactive power in complex power grids with stochastic reactive power demand and detect the vulnerable part. The proposed simplified strategy can also...

1. QUANTUM STOCHASTIC PROCESSES: BOSON AND FERMION BROWNIAN MOTION

Directory of Open Access Journals (Sweden)

A.E.Kobryn

2003-01-01

Full Text Available Dynamics of quantum systems which are stochastically perturbed by linear coupling to the reservoir can be studied in terms of quantum stochastic differential equations (for example, quantum stochastic Liouville equation and quantum Langevin equation. In order to work it out one needs to define the quantum Brownian motion. As far as only its boson version has been known until recently, in the present paper we present the definition which makes it possible to consider the fermion Brownian motion as well.

2. A measure theoretical approach to quantum stochastic processes

Energy Technology Data Exchange (ETDEWEB)

Waldenfels, Wilhelm von

2014-04-01

Authored by a leading researcher in the field. Self-contained presentation of the subject matter. Examines a number of worked examples in detail. This monograph takes as starting point that abstract quantum stochastic processes can be understood as a quantum field theory in one space and in one time coordinate. As a result it is appropriate to represent operators as power series of creation and annihilation operators in normal-ordered form, which can be achieved using classical measure theory. Considering in detail four basic examples (e.g. a two-level atom coupled to a heat bath of oscillators), in each case the Hamiltonian of the associated one-parameter strongly continuous group is determined and the spectral decomposition is explicitly calculated in the form of generalized eigen-vectors. Advanced topics include the theory of the Hudson-Parthasarathy equation and the amplified oscillator problem. To that end, a chapter on white noise calculus has also been included.

3. Stochastic calculus for fractional Brownian motion and related processes

CERN Document Server

Mishura, Yuliya S

2008-01-01

The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. Among these are results about Levy characterization of fractional Brownian motion, maximal moment inequalities for Wiener integrals including the values 0

4. A measure theoretical approach to quantum stochastic processes

CERN Document Server

Von Waldenfels, Wilhelm

2014-01-01

This monograph takes as starting point that abstract quantum stochastic processes can be understood as a quantum field theory in one space and in one time coordinate. As a result it is appropriate to represent operators as power series of creation and annihilation operators in normal-ordered form, which can be achieved using classical measure theory. Considering in detail four basic examples (e.g. a two-level atom coupled to a heat bath of oscillators), in each case the Hamiltonian of the associated one-parameter strongly continuous group is determined and the spectral decomposition is explicitly calculated in the form of generalized eigen-vectors. Advanced topics include the theory of the Hudson-Parthasarathy equation and the amplified oscillator problem. To that end, a chapter on white noise calculus has also been included.

5. Stochastic optimization under risk constraint and utility functions

International Nuclear Information System (INIS)

Seck, B.

2008-09-01

In a context of concurrence and emergence of energy markets, the production of electricity is affected by the new sources of risks which are the price variations on the energy markets. These new sources of risks generate a new risk: the market risk. In this research, the author explores the possibility of introducing constraints, expressed by measurements of risk, into the process of optimization of electricity production when financial contracts are signed on the energy market. The author makes the distinction between the engineering approach (taking the risk into account by risk measurements) and the economist approach (taking the risk into account by utility functions). After an overview of these both approaches in a static framework, he gives an economical formulation (a Maccheroni type one) for a static optimization problem under a risk constraint when the risk measurement is written under the form of an expected infimum like the variance, the 'conditional value at risk', and so on. The obtained results are then extended to a dynamic optimization framework under risk constraints. A numerical application of this approach is presented to solve a problem of electricity production management under a constraint of 'conditional value at risk' on a middle term

6. Disentangling mechanisms that mediate the balance between stochastic and deterministic processes in microbial succession.

Science.gov (United States)

Dini-Andreote, Francisco; Stegen, James C; van Elsas, Jan Dirk; Salles, Joana Falcão

2015-03-17

Ecological succession and the balance between stochastic and deterministic processes are two major themes within microbial ecology, but these conceptual domains have mostly developed independent of each other. Here we provide a framework that integrates shifts in community assembly processes with microbial primary succession to better understand mechanisms governing the stochastic/deterministic balance. Synthesizing previous work, we devised a conceptual model that links ecosystem development to alternative hypotheses related to shifts in ecological assembly processes. Conceptual model hypotheses were tested by coupling spatiotemporal data on soil bacterial communities with environmental conditions in a salt marsh chronosequence spanning 105 years of succession. Analyses within successional stages showed community composition to be initially governed by stochasticity, but as succession proceeded, there was a progressive increase in deterministic selection correlated with increasing sodium concentration. Analyses of community turnover among successional stages--which provide a larger spatiotemporal scale relative to within stage analyses--revealed that changes in the concentration of soil organic matter were the main predictor of the type and relative influence of determinism. Taken together, these results suggest scale-dependency in the mechanisms underlying selection. To better understand mechanisms governing these patterns, we developed an ecological simulation model that revealed how changes in selective environments cause shifts in the stochastic/deterministic balance. Finally, we propose an extended--and experimentally testable--conceptual model integrating ecological assembly processes with primary and secondary succession. This framework provides a priori hypotheses for future experiments, thereby facilitating a systematic approach to understand assembly and succession in microbial communities across ecosystems.

7. Robust Path Planning and Feedback Design Under Stochastic Uncertainty

Science.gov (United States)

Blackmore, Lars

2008-01-01

Autonomous vehicles require optimal path planning algorithms to achieve mission goals while avoiding obstacles and being robust to uncertainties. The uncertainties arise from exogenous disturbances, modeling errors, and sensor noise, which can be characterized via stochastic models. Previous work defined a notion of robustness in a stochastic setting by using the concept of chance constraints. This requires that mission constraint violation can occur with a probability less than a prescribed value.In this paper we describe a novel method for optimal chance constrained path planning with feedback design. The approach optimizes both the reference trajectory to be followed and the feedback controller used to reject uncertainty. Our method extends recent results in constrained control synthesis based on convex optimization to solve control problems with nonconvex constraints. This extension is essential for path planning problems, which inherently have nonconvex obstacle avoidance constraints. Unlike previous approaches to chance constrained path planning, the new approach optimizes the feedback gain as wellas the reference trajectory.The key idea is to couple a fast, nonconvex solver that does not take into account uncertainty, with existing robust approaches that apply only to convex feasible regions. By alternating between robust and nonrobust solutions, the new algorithm guarantees convergence to a global optimum. We apply the new method to an unmanned aircraft and show simulation results that demonstrate the efficacy of the approach.

8. Stochastic optimization of a multi-feedstock lignocellulosic-based bioethanol supply chain under multiple uncertainties

International Nuclear Information System (INIS)

Osmani, Atif; Zhang, Jun

2013-01-01

An integrated multi-feedstock (i.e. switchgrass and crop residue) lignocellulosic-based bioethanol supply chain is studied under jointly occurring uncertainties in switchgrass yield, crop residue purchase price, bioethanol demand and sales price. A two-stage stochastic mathematical model is proposed to maximize expected profit by optimizing the strategic and tactical decisions. A case study based on ND (North Dakota) state in the U.S. demonstrates that in a stochastic environment it is cost effective to meet 100% of ND's annual gasoline demand from bioethanol by using switchgrass as a primary and crop residue as a secondary biomass feedstock. Although results show that the financial performance is degraded as variability of the uncertain parameters increases, the proposed stochastic model increasingly outperforms the deterministic model under uncertainties. The locations of biorefineries (i.e. first-stage integer variables) are insensitive to the uncertainties. Sensitivity analysis shows that “mean” value of stochastic parameters has a significant impact on the expected profit and optimal values of first-stage continuous variables. Increase in level of mean ethanol demand and mean sale price results in higher bioethanol production. When mean switchgrass yield is at low level and mean crop residue price is at high level, all the available marginal land is used for switchgrass cultivation. - Highlights: • Two-stage stochastic MILP model for maximizing profit of a multi-feedstock lignocellulosic-based bioethanol supply chain. • Multiple uncertainties in switchgrass yield, crop residue purchase price, bioethanol demand, and bioethanol sale price. • Proposed stochastic model outperforms the traditional deterministic model under uncertainties. • Stochastic parameters significantly affect marginal land allocation for switchgrass cultivation and bioethanol production. • Location of biorefineries is found to be insensitive to the stochastic environment

9. SUPERPOSITION OF STOCHASTIC PROCESSES AND THE RESULTING PARTICLE DISTRIBUTIONS

International Nuclear Information System (INIS)

Schwadron, N. A.; Dayeh, M. A.; Desai, M.; Fahr, H.; Jokipii, J. R.; Lee, M. A.

2010-01-01

Many observations of suprathermal and energetic particles in the solar wind and the inner heliosheath show that distribution functions scale approximately with the inverse of particle speed (v) to the fifth power. Although there are exceptions to this behavior, there is a growing need to understand why this type of distribution function appears so frequently. This paper develops the concept that a superposition of exponential and Gaussian distributions with different characteristic speeds and temperatures show power-law tails. The particular type of distribution function, f ∝ v -5 , appears in a number of different ways: (1) a series of Poisson-like processes where entropy is maximized with the rates of individual processes inversely proportional to the characteristic exponential speed, (2) a series of Gaussian distributions where the entropy is maximized with the rates of individual processes inversely proportional to temperature and the density of individual Gaussian distributions proportional to temperature, and (3) a series of different diffusively accelerated energetic particle spectra with individual spectra derived from observations (1997-2002) of a multiplicity of different shocks. Thus, we develop a proof-of-concept for the superposition of stochastic processes that give rise to power-law distribution functions.

10. Stochastic process corrosion growth models for pipeline reliability

International Nuclear Information System (INIS)

Bazán, Felipe Alexander Vargas; Beck, André Teófilo

2013-01-01

Highlights: •Novel non-linear stochastic process corrosion growth model is proposed. •Corrosion rate modeled as random Poisson pulses. •Time to corrosion initiation and inherent time-variability properly represented. •Continuous corrosion growth histories obtained. •Model is shown to precisely fit actual corrosion data at two time points. -- Abstract: Linear random variable corrosion models are extensively employed in reliability analysis of pipelines. However, linear models grossly neglect well-known characteristics of the corrosion process. Herein, a non-linear model is proposed, where corrosion rate is represented as a Poisson square wave process. The resulting model represents inherent time-variability of corrosion growth, produces continuous growth and leads to mean growth at less-than-one power of time. Different corrosion models are adjusted to the same set of actual corrosion data for two inspections. The proposed non-linear random process corrosion growth model leads to the best fit to the data, while better representing problem physics

11. A genetic-algorithm-aided stochastic optimization model for regional air quality management under uncertainty.

Science.gov (United States)

Qin, Xiaosheng; Huang, Guohe; Liu, Lei

2010-01-01

A genetic-algorithm-aided stochastic optimization (GASO) model was developed in this study for supporting regional air quality management under uncertainty. The model incorporated genetic algorithm (GA) and Monte Carlo simulation techniques into a general stochastic chance-constrained programming (CCP) framework and allowed uncertainties in simulation and optimization model parameters to be considered explicitly in the design of least-cost strategies. GA was used to seek the optimal solution of the management model by progressively evaluating the performances of individual solutions. Monte Carlo simulation was used to check the feasibility of each solution. A management problem in terms of regional air pollution control was studied to demonstrate the applicability of the proposed method. Results of the case study indicated the proposed model could effectively communicate uncertainties into the optimization process and generate solutions that contained a spectrum of potential air pollutant treatment options with risk and cost information. Decision alternatives could be obtained by analyzing tradeoffs between the overall pollutant treatment cost and the system-failure risk due to inherent uncertainties.

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

Science.gov (United States)

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

2016-08-01

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

13. Profiles of the stochastic star formation process in spiral galaxies

International Nuclear Information System (INIS)

Comins, N.

1981-01-01

The formation of spiral arms in disc galaxies is generally attributed to the effects of spiral density waves. These relatively small (i.e. 5 per cent) non-axisymmetric perturbations of the interstellar medium cause spiral arms highlighted by O and B type stars to be created. In this paper another mechanism for spiral arm formation, the stochastic self-propagating star formation (SSPSF) process is examined. The SSPSF process combines the theory that shock waves from supernovae will compress the interstellar medium to create new stars, some of which will be massive enough to also supernova, with a disc galaxy's differential rotation to create spiral arms. The present work extends this process to the case where the probability of star formation from supernova shocks decreases with galactic radius. Where this work and previous investigations overlap (namely the uniform probability case), the agreement is very good, pretty spirals with various numbers of arms are generated. The decreasing probability cases, taken to vary as rsup(-j), still form spiral arms for 0 1.5 the spiral structure is essentially non-existent. (author)

14. Heterogeneous recurrence monitoring and control of nonlinear stochastic processes

Energy Technology Data Exchange (ETDEWEB)

Yang, Hui, E-mail: huiyang@usf.edu; Chen, Yun [Complex Systems Monitoring, Modeling and Analysis Laboratory, University of South Florida, Tampa, Florida 33620 (United States)

2014-03-15

Recurrence is one of the most common phenomena in natural and engineering systems. Process monitoring of dynamic transitions in nonlinear and nonstationary systems is more concerned with aperiodic recurrences and recurrence variations. However, little has been done to investigate the heterogeneous recurrence variations and link with the objectives of process monitoring and anomaly detection. Notably, nonlinear recurrence methodologies are based on homogeneous recurrences, which treat all recurrence states in the same way as black dots, and non-recurrence is white in recurrence plots. Heterogeneous recurrences are more concerned about the variations of recurrence states in terms of state properties (e.g., values and relative locations) and the evolving dynamics (e.g., sequential state transitions). This paper presents a novel approach of heterogeneous recurrence analysis that utilizes a new fractal representation to delineate heterogeneous recurrence states in multiple scales, including the recurrences of both single states and multi-state sequences. Further, we developed a new set of heterogeneous recurrence quantifiers that are extracted from fractal representation in the transformed space. To that end, we integrated multivariate statistical control charts with heterogeneous recurrence analysis to simultaneously monitor two or more related quantifiers. Experimental results on nonlinear stochastic processes show that the proposed approach not only captures heterogeneous recurrence patterns in the fractal representation but also effectively monitors the changes in the dynamics of a complex system.

15. Stochastic simulation of destruction processes in self-irradiated materials

Directory of Open Access Journals (Sweden)

T. Patsahan

2017-09-01

Full Text Available Self-irradiation damages resulting from fission processes are common phenomena observed in nuclear fuel containing (NFC materials. Numerous α-decays lead to local structure transformations in NFC materials. The damages appearing due to the impacts of heavy nuclear recoils in the subsurface layer can cause detachments of material particles. Such a behaviour is similar to sputtering processes observed during a bombardment of the material surface by a flux of energetic particles. However, in the NFC material, the impacts are initiated from the bulk. In this work we propose a two-dimensional mesoscopic model to perform a stochastic simulation of the destruction processes occurring in a subsurface region of NFC material. We describe the erosion of the material surface, the evolution of its roughness and predict the detachment of the material particles. Size distributions of the emitted particles are obtained in this study. The simulation results of the model are in a qualitative agreement with the size histogram of particles produced from the material containing lava-like fuel formed during the Chernobyl nuclear power plant disaster.

16. A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models

Directory of Open Access Journals (Sweden)

Raúl Merino

2015-01-01

Full Text Available We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model, extending a previous decomposition formula for the Heston model. We realize that a new term arises when the stock price does not follow an exponential model. The techniques used for this purpose are nonanticipative. In particular, we also see that equivalent results can be obtained by using Functional Itô Calculus. Using the same generalizing ideas, we also extend to nonexponential models the alternative call option price decomposition formula written in terms of the Malliavin derivative of the volatility process. Finally, we give a general expression for the derivative of the implied volatility under both the anticipative and the nonanticipative cases.

17. Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information

NARCIS (Netherlands)

Postek, Krzysztof; Ben-Tal, A.; den Hertog, Dick; Melenberg, Bertrand

2015-01-01

In this paper we consider ambiguous stochastic constraints under partial information consisting of means and dispersion measures of the underlying random parameters. Whereas the past literature used the variance as the dispersion measure, here we use the mean absolute deviation from the mean (MAD).

18. Stochastic model of template-directed elongation processes in biology.

Science.gov (United States)

Schilstra, Maria J; Nehaniv, Chrystopher L

2010-10-01

We present a novel modular, stochastic model for biological template-based linear chain elongation processes. In this model, elongation complexes (ECs; DNA polymerase, RNA polymerase, or ribosomes associated with nascent chains) that span a finite number of template units step along the template, one after another, with semaphore constructs preventing overtaking. The central elongation module is readily extended with modules that represent initiation and termination processes. The model was used to explore the effect of EC span on motor velocity and dispersion, and the effect of initiation activator and repressor binding kinetics on the overall elongation dynamics. The results demonstrate that (1) motors that move smoothly are able to travel at a greater velocity and closer together than motors that move more erratically, and (2) the rate at which completed chains are released is proportional to the occupancy or vacancy of activator or repressor binding sites only when initiation or activator/repressor dissociation is slow in comparison with elongation. Copyright © 2010 Elsevier Ireland Ltd. All rights reserved.

19. 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.

20. 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

1. 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.

2. Stochastic chaos induced by diffusion processes with identical spectral density but different probability density functions.

Science.gov (United States)

Lei, Youming; Zheng, Fan

2016-12-01

Stochastic chaos induced by diffusion processes, with identical spectral density but different probability density functions (PDFs), is investigated in selected lightly damped Hamiltonian systems. The threshold amplitude of diffusion processes for the onset of chaos is derived by using the stochastic Melnikov method together with a mean-square criterion. Two quasi-Hamiltonian systems, namely, a damped single pendulum and damped Duffing oscillator perturbed by stochastic excitations, are used as illustrative examples. Four different cases of stochastic processes are taking as the driving excitations. It is shown that in such two systems the spectral density of diffusion processes completely determines the threshold amplitude for chaos, regardless of the shape of their PDFs, Gaussian or otherwise. Furthermore, the mean top Lyapunov exponent is employed to verify analytical results. The results obtained by numerical simulations are in accordance with the analytical results. This demonstrates that the stochastic Melnikov method is effective in predicting the onset of chaos in the quasi-Hamiltonian systems.

3. 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...

4. Stochastic approach for round-off error analysis in computing application to signal processing algorithms

International Nuclear Information System (INIS)

Vignes, J.

1986-01-01

Any result of algorithms provided by a computer always contains an error resulting from floating-point arithmetic round-off error propagation. Furthermore signal processing algorithms are also generally performed with data containing errors. The permutation-perturbation method, also known under the name CESTAC (controle et estimation stochastique d'arrondi de calcul) is a very efficient practical method for evaluating these errors and consequently for estimating the exact significant decimal figures of any result of algorithms performed on a computer. The stochastic approach of this method, its probabilistic proof, and the perfect agreement between the theoretical and practical aspects are described in this paper [fr

5. 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...

6. Simulating biological processes: stochastic physics from whole cells to colonies

Science.gov (United States)

Earnest, Tyler M.; Cole, John A.; Luthey-Schulten, Zaida

2018-05-01

The last few decades have revealed the living cell to be a crowded spatially heterogeneous space teeming with biomolecules whose concentrations and activities are governed by intrinsically random forces. It is from this randomness, however, that a vast array of precisely timed and intricately coordinated biological functions emerge that give rise to the complex forms and behaviors we see in the biosphere around us. This seemingly paradoxical nature of life has drawn the interest of an increasing number of physicists, and recent years have seen stochastic modeling grow into a major subdiscipline within biological physics. Here we review some of the major advances that have shaped our understanding of stochasticity in biology. We begin with some historical context, outlining a string of important experimental results that motivated the development of stochastic modeling. We then embark upon a fairly rigorous treatment of the simulation methods that are currently available for the treatment of stochastic biological models, with an eye toward comparing and contrasting their realms of applicability, and the care that must be taken when parameterizing them. Following that, we describe how stochasticity impacts several key biological functions, including transcription, translation, ribosome biogenesis, chromosome replication, and metabolism, before considering how the functions may be coupled into a comprehensive model of a ‘minimal cell’. Finally, we close with our expectation for the future of the field, focusing on how mesoscopic stochastic methods may be augmented with atomic-scale molecular modeling approaches in order to understand life across a range of length and time scales.

7. A criterion for testing hypotheses about the covariance function of a stationary Gaussian stochastic process

OpenAIRE

Kozachenko, Yuriy; Troshki, Viktor

2015-01-01

We consider a measurable stationary Gaussian stochastic process. A criterion for testing hypotheses about the covariance function of such a process using estimates for its norm in the space $L_p(\\mathbb {T}),\\,p\\geq1$, is constructed.

8. Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston’s SV Model

Directory of Open Access Journals (Sweden)

Jingyun Sun

2016-01-01

Full Text Available We consider a portfolio selection problem for a defined contribution (DC pension plan under the mean-variance criteria. We take into account the inflation risk and assume that the salary income process of the pension plan member is stochastic. Furthermore, the financial market consists of a risk-free asset, an inflation-linked bond, and a risky asset with Heston’s stochastic volatility (SV. Under the framework of game theory, we derive two extended Hamilton-Jacobi-Bellman (HJB equations systems and give the corresponding verification theorems in both the periods of accumulation and distribution of the DC pension plan. The explicit expressions of the equilibrium investment strategies, corresponding equilibrium value functions, and the efficient frontiers are also obtained. Finally, some numerical simulations and sensitivity analysis are presented to verify our theoretical results.

9. Moment Lyapunov Exponent and Stochastic Stability of Binary Airfoil under Combined Harmonic and Non-Gaussian Colored Noise Excitations

Science.gov (United States)

Hu, D. L.; Liu, X. B.

Both periodic loading and random forces commonly co-exist in real engineering applications. However, the dynamic behavior, especially dynamic stability of systems under parametric periodic and random excitations has been reported little in the literature. In this study, the moment Lyapunov exponent and stochastic stability of binary airfoil under combined harmonic and non-Gaussian colored noise excitations are investigated. The noise is simplified to an Ornstein-Uhlenbeck process by applying the path-integral method. Via the singular perturbation method, the second-order expansions of the moment Lyapunov exponent are obtained, which agree well with the results obtained by the Monte Carlo simulation. Finally, the effects of the noise and parametric resonance (such as subharmonic resonance and combination additive resonance) on the stochastic stability of the binary airfoil system are discussed.

10. Modified stochastic fragmentation of an interval as an ageing process

Science.gov (United States)

Fortin, Jean-Yves

2018-02-01

We study a stochastic model based on modified fragmentation of a finite interval. The mechanism consists of cutting the interval at a random location and substituting a unique fragment on the right of the cut to regenerate and preserve the interval length. This leads to a set of segments of random sizes, with the accumulation of small fragments near the origin. This model is an example of record dynamics, with the presence of ‘quakes’ and slow dynamics. The fragment size distribution is a universal inverse power law with logarithmic corrections. The exact distribution for the fragment number as function of time is simply related to the unsigned Stirling numbers of the first kind. Two-time correlation functions are defined, and computed exactly. They satisfy scaling relations, and exhibit aging phenomena. In particular, the probability that the same number of fragments is found at two different times t>s is asymptotically equal to [4πlog(s)]-1/2 when s\\gg 1 and the ratio t/s is fixed, in agreement with the numerical simulations. The same process with a reset impedes the aging phenomenon-beyond a typical time scale defined by the reset parameter.

11. A stochastic SIRS epidemic model with infectious force under intervention strategies

Science.gov (United States)

Cai, Yongli; Kang, Yun; Banerjee, Malay; Wang, Weiming

2015-12-01

In this paper, we extend a classical SIRS epidemic model with the infectious forces under intervention strategies from a deterministic framework to a stochastic differential equation (SDE) one through introducing random fluctuations. The value of our study lies in two aspects. Mathematically, by using the Markov semigroups theory, we prove that the reproduction number R0S can be used to govern the stochastic dynamics of SDE model. If R0S 1, under mild extra conditions, it has an endemic stationary distribution which leads to the stochastical persistence of the disease. Epidemiologically, we find that random fluctuations can suppress disease outbreak, which can provide us some useful control strategies to regulate disease dynamics.

12. Stochastic differential equation model for linear growth birth and death processes with immigration and emigration

International Nuclear Information System (INIS)

Granita; Bahar, A.

2015-01-01

This paper discusses on linear birth and death with immigration and emigration (BIDE) process to stochastic differential equation (SDE) model. Forward Kolmogorov equation in continuous time Markov chain (CTMC) with a central-difference approximation was used to find Fokker-Planckequation corresponding to a diffusion process having the stochastic differential equation of BIDE process. The exact solution, mean and variance function of BIDE process was found

13. Stochastic differential equation model for linear growth birth and death processes with immigration and emigration

Energy Technology Data Exchange (ETDEWEB)

Granita, E-mail: granitafc@gmail.com [Dept. Mathematical Education, State Islamic University of Sultan Syarif Kasim Riau, 28293 Indonesia and Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310,Johor (Malaysia); Bahar, A. [Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310,Johor Malaysia and UTM Center for Industrial and Applied Mathematics (UTM-CIAM) (Malaysia)

2015-03-09

This paper discusses on linear birth and death with immigration and emigration (BIDE) process to stochastic differential equation (SDE) model. Forward Kolmogorov equation in continuous time Markov chain (CTMC) with a central-difference approximation was used to find Fokker-Planckequation corresponding to a diffusion process having the stochastic differential equation of BIDE process. The exact solution, mean and variance function of BIDE process was found.

14. Stochastic production planning for a biofuel supply chain under demand and price uncertainties

International Nuclear Information System (INIS)

Awudu, Iddrisu; Zhang, Jun

2013-01-01

Highlights: ► The proposed stochastic model outperforms the deterministic model. ► The price of biofuel is modeled as Geometric Brownian Motion (GBM). ► The proposed model can be applied in any biofuel supply chain. -- Abstract: In this paper, we propose a stochastic production planning model for a biofuel supply chain under demand and price uncertainties. The supply chain consists of biomass suppliers, biofuel refinery plants and distribution centers. A stochastic linear programming model is proposed within a single-period planning framework to maximize the expected profit. Decisions such as the amount of raw materials purchased, the amount of raw materials consumed and the amount of products produced are considered. Demands of end products are uncertain with known probability distributions. The prices of end products follow Geometric Brownian Motion (GBM). Benders decomposition (BD) with Monte Carlo simulation technique is applied to solve the proposed model. To demonstrate the effectiveness of the proposed stochastic model and the decomposition algorithm, a representative supply chain for an ethanol plant in North Dakota is considered. To investigate the results of the proposed model, a simulation framework is developed to compare the performances of deterministic model and proposed stochastic model. The results from the simulation indicate the proposed model obtain higher expected profit than the deterministic model under different uncertainty settings. Sensitivity analyses are performed to gain management insight on how profit changes due to the uncertainties affect the model developed.

15. Simplified reactive power management strategy for complex power grids under stochastic operation and incomplete information

International Nuclear Information System (INIS)

Vlachogiannis, John G.

2009-01-01

In the current released energy market, the large-scale complex transmission networks and the distribution ones with dispersed energy sources and 'intelligent' components operate under uncertainties, stochastic and prior incomplete information. A safe and reliable operation of such complex power grids is a major issue for system operators. Under these circumstances an online reactive power management strategy with minimum risk concerning all uncertain and stochastic parameters is proposed. Therefore, new concepts such as reactive power-weighted node-to-node linking and reactive power control capability are introduced. A distributed and interconnected stochastic learning automata system is implemented to manage, in a unified and unique way, the reactive power in complex power grids with stochastic reactive power demand and detect the vulnerable part. The proposed simplified strategy can also consider more stochastic aspects such as variable grid's topology. Results of the proposed strategy obtained on the networks of IEEE 30-bus and IEEE 118-bus systems demonstrate the effectiveness of the proposed strategy.

16. Phenomenological and ratio bifurcations of a class of discrete time stochastic processes

NARCIS (Netherlands)

Diks, C.G.H.; Wagener, F.O.O.

2011-01-01

Zeeman proposed a classification of stochastic dynamical systems based on the Morse classification of their invariant probability densities; the associated bifurcations are the ‘phenomenological bifurcations’ of L. Arnold. The classification is however not invariant under diffeomorphisms of the

17. Stochastic Delay Population Dynamics under Regime Switching: Global Solutions and Extinction

Directory of Open Access Journals (Sweden)

Zheng Wu

2013-01-01

Full Text Available This paper is concerned with a delay Lotka-Volterra model under regime switching diffusion in random environment. By using generalized Itô formula, Gronwall inequality and Young’s inequality, some sufficient conditions for existence of global positive solutions and stochastically ultimate boundedness are obtained, respectively. Finally, an example is given to illustrate the main results.

18. A Global Chance-Constraint for Stochastic Inventory Systems under Service Level Constraints

NARCIS (Netherlands)

Rossi, R.; Tarim, S.A.; Hnich, B.; Prestwich, S.

2008-01-01

We consider a class of production/inventory control problems that has a single product and a single stocking location, for which a stochastic demand with a known non-stationary probability distribution is given. Under the widely-known replenishment cycle policy the problem of computing policy

19. Quantum learning of classical stochastic processes: The completely positive realization problem

Science.gov (United States)

Monràs, Alex; Winter, Andreas

2016-01-01

Among several tasks in Machine Learning, a specially important one is the problem of inferring the latent variables of a system and their causal relations with the observed behavior. A paradigmatic instance of this is the task of inferring the hidden Markov model underlying a given stochastic process. This is known as the positive realization problem (PRP), [L. Benvenuti and L. Farina, IEEE Trans. Autom. Control 49(5), 651-664 (2004)] and constitutes a central problem in machine learning. The PRP and its solutions have far-reaching consequences in many areas of systems and control theory, and is nowadays an important piece in the broad field of positive systems theory. We consider the scenario where the latent variables are quantum (i.e., quantum states of a finite-dimensional system) and the system dynamics is constrained only by physical transformations on the quantum system. The observable dynamics is then described by a quantum instrument, and the task is to determine which quantum instrument — if any — yields the process at hand by iterative application. We take as a starting point the theory of quasi-realizations, whence a description of the dynamics of the process is given in terms of linear maps on state vectors and probabilities are given by linear functionals on the state vectors. This description, despite its remarkable resemblance with the hidden Markov model, or the iterated quantum instrument, is however devoid of any stochastic or quantum mechanical interpretation, as said maps fail to satisfy any positivity conditions. The completely positive realization problem then consists in determining whether an equivalent quantum mechanical description of the same process exists. We generalize some key results of stochastic realization theory, and show that the problem has deep connections with operator systems theory, giving possible insight to the lifting problem in quotient operator systems. Our results have potential applications in quantum machine

20. Quantum learning of classical stochastic processes: The completely positive realization problem

Energy Technology Data Exchange (ETDEWEB)

Monràs, Alex [Física Teòrica: Informació i Fenòmens Quàntics, Universitat Autònoma de Barcelona, 08193 Bellaterra (Barcelona) (Spain); Centre for Quantum Technologies, National University of Singapore, 3 Science Drive 2, Singapore 117543 (Singapore); Winter, Andreas [Física Teòrica: Informació i Fenòmens Quàntics, Universitat Autònoma de Barcelona, 08193 Bellaterra (Barcelona) (Spain); Centre for Quantum Technologies, National University of Singapore, 3 Science Drive 2, Singapore 117543 (Singapore); ICREA—Institució Catalana de Recerca i Estudis Avançats, Pg. Lluis Companys, 23, 08010 Barcelona (Spain)

2016-01-15

Among several tasks in Machine Learning, a specially important one is the problem of inferring the latent variables of a system and their causal relations with the observed behavior. A paradigmatic instance of this is the task of inferring the hidden Markov model underlying a given stochastic process. This is known as the positive realization problem (PRP), [L. Benvenuti and L. Farina, IEEE Trans. Autom. Control 49(5), 651–664 (2004)] and constitutes a central problem in machine learning. The PRP and its solutions have far-reaching consequences in many areas of systems and control theory, and is nowadays an important piece in the broad field of positive systems theory. We consider the scenario where the latent variables are quantum (i.e., quantum states of a finite-dimensional system) and the system dynamics is constrained only by physical transformations on the quantum system. The observable dynamics is then described by a quantum instrument, and the task is to determine which quantum instrument — if any — yields the process at hand by iterative application. We take as a starting point the theory of quasi-realizations, whence a description of the dynamics of the process is given in terms of linear maps on state vectors and probabilities are given by linear functionals on the state vectors. This description, despite its remarkable resemblance with the hidden Markov model, or the iterated quantum instrument, is however devoid of any stochastic or quantum mechanical interpretation, as said maps fail to satisfy any positivity conditions. The completely positive realization problem then consists in determining whether an equivalent quantum mechanical description of the same process exists. We generalize some key results of stochastic realization theory, and show that the problem has deep connections with operator systems theory, giving possible insight to the lifting problem in quotient operator systems. Our results have potential applications in quantum machine

1. Quantum learning of classical stochastic processes: The completely positive realization problem

International Nuclear Information System (INIS)

Monràs, Alex; Winter, Andreas

2016-01-01

Among several tasks in Machine Learning, a specially important one is the problem of inferring the latent variables of a system and their causal relations with the observed behavior. A paradigmatic instance of this is the task of inferring the hidden Markov model underlying a given stochastic process. This is known as the positive realization problem (PRP), [L. Benvenuti and L. Farina, IEEE Trans. Autom. Control 49(5), 651–664 (2004)] and constitutes a central problem in machine learning. The PRP and its solutions have far-reaching consequences in many areas of systems and control theory, and is nowadays an important piece in the broad field of positive systems theory. We consider the scenario where the latent variables are quantum (i.e., quantum states of a finite-dimensional system) and the system dynamics is constrained only by physical transformations on the quantum system. The observable dynamics is then described by a quantum instrument, and the task is to determine which quantum instrument — if any — yields the process at hand by iterative application. We take as a starting point the theory of quasi-realizations, whence a description of the dynamics of the process is given in terms of linear maps on state vectors and probabilities are given by linear functionals on the state vectors. This description, despite its remarkable resemblance with the hidden Markov model, or the iterated quantum instrument, is however devoid of any stochastic or quantum mechanical interpretation, as said maps fail to satisfy any positivity conditions. The completely positive realization problem then consists in determining whether an equivalent quantum mechanical description of the same process exists. We generalize some key results of stochastic realization theory, and show that the problem has deep connections with operator systems theory, giving possible insight to the lifting problem in quotient operator systems. Our results have potential applications in quantum machine

2. Large deviations for solutions to stochastic recurrence equations under Kesten's condition

DEFF Research Database (Denmark)

Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas Valentin

2013-01-01

In this paper we prove large deviations results for partial sums constructed from the solution to a stochastic recurrence equation. We assume Kesten’s condition [17] under which the solution of the stochastic recurrence equation has a marginal distribution with power law tails, while the noise...... sequence of the equations can have light tails. The results of the paper are analogs of those obtained by A.V. and S.V. Nagaev [21, 22] in the case of partial sums of iid random variables. In the latter case, the large deviation probabilities of the partial sums are essentially determined by the largest...... step size of the partial sum. For the solution to a stochastic recurrence equation, the magnitude of the large deviation probabilities is again given by the tail of the maximum summand, but the exact asymptotic tail behavior is also influenced by clusters of extreme values, due to dependencies...

3. A fuzzy stochastic framework for managing hydro-environmental and socio-economic interactions under uncertainty

Science.gov (United States)

Subagadis, Yohannes Hagos; Schütze, Niels; Grundmann, Jens

2014-05-01

An amplified interconnectedness between a hydro-environmental and socio-economic system brings about profound challenges of water management decision making. In this contribution, we present a fuzzy stochastic approach to solve a set of decision making problems, which involve hydrologically, environmentally, and socio-economically motivated criteria subjected to uncertainty and ambiguity. The proposed methodological framework combines objective and subjective criteria in a decision making procedure for obtaining an acceptable ranking in water resources management alternatives under different type of uncertainty (subjective/objective) and heterogeneous information (quantitative/qualitative) simultaneously. The first step of the proposed approach involves evaluating the performance of alternatives with respect to different types of criteria. The ratings of alternatives with respect to objective and subjective criteria are evaluated by simulation-based optimization and fuzzy linguistic quantifiers, respectively. Subjective and objective uncertainties related to the input information are handled through linking fuzziness and randomness together. Fuzzy decision making helps entail the linguistic uncertainty and a Monte Carlo simulation process is used to map stochastic uncertainty. With this framework, the overall performance of each alternative is calculated using an Order Weighted Averaging (OWA) aggregation operator accounting for decision makers' experience and opinions. Finally, ranking is achieved by conducting pair-wise comparison of management alternatives. This has been done on the basis of the risk defined by the probability of obtaining an acceptable ranking and mean difference in total performance for the pair of management alternatives. The proposed methodology is tested in a real-world hydrosystem, to find effective and robust intervention strategies for the management of a coastal aquifer system affected by saltwater intrusion due to excessive groundwater

4. Obsolescence : The underlying processes

NARCIS (Netherlands)

Thomsen, A.F.; Nieboer, N.E.T.; Van der Flier, C.L.

2015-01-01

Obsolescence, defined as the process of declining performance of buildings, is a serious threat for the value, the usefulness and the life span of housing properties. Thomsen and van der Flier (2011) developed a model in which obsolescence is categorised on the basis of two distinctions, namely

5. ARMA modeling of stochastic processes in nuclear reactor with significant detection noise

International Nuclear Information System (INIS)

Zavaljevski, N.

1992-01-01

The theoretical basis of ARMA modelling of stochastic processes in nuclear reactor was presented in a previous paper, neglecting observational noise. The identification of real reactor data indicated that in some experiments the detection noise is significant. Thus a more rigorous theoretical modelling of stochastic processes in nuclear reactor is performed. Starting from the fundamental stochastic differential equations of the Langevin type for the interaction of the detector with neutron field, a new theoretical ARMA model is developed. preliminary identification results confirm the theoretical expectations. (author)

6. 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)

7. 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...

8. Stochastic process variation in deep-submicron CMOS circuits and algorithms

CERN Document Server

Zjajo, Amir

2014-01-01

One of the most notable features of nanometer scale CMOS technology is the increasing magnitude of variability of the key device parameters affecting performance of integrated circuits. The growth of variability can be attributed to multiple factors, including the difficulty of manufacturing control, the emergence of new systematic variation-generating mechanisms, and most importantly, the increase in atomic-scale randomness, where device operation must be described as a stochastic process. In addition to wide-sense stationary stochastic device variability and temperature variation, existence of non-stationary stochastic electrical noise associated with fundamental processes in integrated-circuit devices represents an elementary limit on the performance of electronic circuits. In an attempt to address these issues, Stochastic Process Variation in Deep-Submicron CMOS: Circuits and Algorithms offers unique combination of mathematical treatment of random process variation, electrical noise and temperature and ne...

Science.gov (United States)

Matsko, I.; Javors'kyj, I.; Yuzefovych, R.; Zakrzewski, Z.

2018-05-01

An analysis of forced oscillations of cracked beam using statistical methods for periodically correlated random processes is presented. The oscillation realizations are obtained on the basis of numerical solutions of differential equations of the second order, for the case when applied force is described by a sum of harmonic and stationary random process. It is established that due to crack appearance forced oscillations acquire properties of second-order periodical non-stationarity. It is shown that in a super-resonance regime covariance and spectral characteristics, which describe non-stationary structure of forced oscillations, are more sensitive to crack growth than the characteristics of the oscillation's deterministic part. Using diagnostic indicators formed on their basis allows the detection of small cracks.

10. On a Stochastic Failure Model under Random Shocks

Science.gov (United States)

Cha, Ji Hwan

2013-02-01

In most conventional settings, the events caused by an external shock are initiated at the moments of its occurrence. In this paper, we study a new classes of shock model, where each shock from a nonhomogeneous Poisson processes can trigger a failure of a system not immediately, as in classical extreme shock models, but with delay of some random time. We derive the corresponding survival and failure rate functions. Furthermore, we study the limiting behaviour of the failure rate function where it is applicable.

11. Susceptibility of optimal train schedules to stochastic disturbances of process times

DEFF Research Database (Denmark)

Larsen, Rune; Pranzo, Marco; D’Ariano, Andrea

2013-01-01

study, an advanced branch and bound algorithm, on average, outperforms a First In First Out scheduling rule both in deterministic and stochastic traffic scenarios. However, the characteristic of the stochastic processes and the way a stochastic instance is handled turn out to have a serious impact...... and dwell times). In fact, the objective of railway traffic management is to reduce delay propagation and to increase disturbance robustness of train schedules at a network scale. We present a quantitative study of traffic disturbances and their effects on the schedules computed by simple and advanced...

12. An introduction to continuous-time stochastic processes theory, models, and applications to finance, biology, and medicine

CERN Document Server

Capasso, Vincenzo

2015-01-01

This textbook, now in its third edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, industrial applications, finance, and insurance using stochastic methods. No previous knowledge of stochastic processes is required. Key topics include: * Markov processes * Stochastic differential equations * Arbitrage-free markets and financial derivatives * Insurance risk * Population dynamics, and epidemics * Agent-based models New to the Third Edition: * Infinitely divisible distributions * Random measures * Levy processes * Fractional Brownian motion * Ergodic theory * Karhunen-Loeve expansion * Additional applications * Additional  exercises * Smoluchowski  approximation of  Langevin systems An Introduction to Continuous-Time Stochastic Processes, Third Editio...

13. URDME: a modular framework for stochastic simulation of reaction-transport processes in complex geometries.

Science.gov (United States)

Drawert, Brian; Engblom, Stefan; Hellander, Andreas

2012-06-22

Experiments in silico using stochastic reaction-diffusion models have emerged as an important tool in molecular systems biology. Designing computational software for such applications poses several challenges. Firstly, realistic lattice-based modeling for biological applications requires a consistent way of handling complex geometries, including curved inner- and outer boundaries. Secondly, spatiotemporal stochastic simulations are computationally expensive due to the fast time scales of individual reaction- and diffusion events when compared to the biological phenomena of actual interest. We therefore argue that simulation software needs to be both computationally efficient, employing sophisticated algorithms, yet in the same time flexible in order to meet present and future needs of increasingly complex biological modeling. We have developed URDME, a flexible software framework for general stochastic reaction-transport modeling and simulation. URDME uses Unstructured triangular and tetrahedral meshes to resolve general geometries, and relies on the Reaction-Diffusion Master Equation formalism to model the processes under study. An interface to a mature geometry and mesh handling external software (Comsol Multiphysics) provides for a stable and interactive environment for model construction. The core simulation routines are logically separated from the model building interface and written in a low-level language for computational efficiency. The connection to the geometry handling software is realized via a Matlab interface which facilitates script computing, data management, and post-processing. For practitioners, the software therefore behaves much as an interactive Matlab toolbox. At the same time, it is possible to modify and extend URDME with newly developed simulation routines. Since the overall design effectively hides the complexity of managing the geometry and meshes, this means that newly developed methods may be tested in a realistic setting already at

14. Stochastic clustering of material surface under high-heat plasma load

Science.gov (United States)

Budaev, Viacheslav P.

2017-11-01

The results of a study of a surface formed by high-temperature plasma loads on various materials such as tungsten, carbon and stainless steel are presented. High-temperature plasma irradiation leads to an inhomogeneous stochastic clustering of the surface with self-similar granularity - fractality on the scale from nanoscale to macroscales. Cauliflower-like structure of tungsten and carbon materials are formed under high heat plasma load in fusion devices. The statistical characteristics of hierarchical granularity and scale invariance are estimated. They differ qualitatively from the roughness of the ordinary Brownian surface, which is possibly due to the universal mechanisms of stochastic clustering of material surface under the influence of high-temperature plasma.

15. An Interval-Parameter Fuzzy Linear Programming with Stochastic Vertices Model for Water Resources Management under Uncertainty

Directory of Open Access Journals (Sweden)

Yan Han

2013-01-01

Full Text Available An interval-parameter fuzzy linear programming with stochastic vertices (IFLPSV method is developed for water resources management under uncertainty by coupling interval-parameter fuzzy linear programming (IFLP with stochastic programming (SP. As an extension of existing interval parameter fuzzy linear programming, the developed IFLPSV approach has advantages in dealing with dual uncertainty optimization problems, which uncertainty presents as interval parameter with stochastic vertices in both of the objective functions and constraints. The developed IFLPSV method improves upon the IFLP method by allowing dual uncertainty parameters to be incorporated into the optimization processes. A hybrid intelligent algorithm based on genetic algorithm and artificial neural network is used to solve the developed model. The developed method is then applied to water resources allocation in Beijing city of China in 2020, where water resources shortage is a challenging issue. The results indicate that reasonable solutions have been obtained, which are helpful and useful for decision makers. Although the amount of water supply from Guanting and Miyun reservoirs is declining with rainfall reduction, water supply from the South-to-North Water Transfer project will have important impact on water supply structure of Beijing city, particularly in dry year and extraordinary dry year.

16. Stochastic dynamics of phase singularities under ventricular fibrillation in 2D Beeler-Reuter model

Directory of Open Access Journals (Sweden)

Akio Suzuki

2011-09-01

Full Text Available The dynamics of ventricular fibrillation (VF has been studied extensively, and the initiation mechanism of VF has been elucidated to some extent. However, the stochastic dynamical nature of sustained VF remains unclear so far due to the complexity of high dimensional chaos in a heterogeneous system. In this paper, various statistical mechanical properties of sustained VF are studied numerically in 2D Beeler-Reuter-Drouhard-Roberge (BRDR model with normal and modified ionic current conductance. The nature of sustained VF is analyzed by measuring various fluctuations of spatial phase singularity (PS such as velocity, lifetime, the rates of birth and death. It is found that the probability density function (pdf for lifetime of PSs is independent of system size. It is also found that the hyper-Gamma distribution serves as a universal pdf for the counting number of PSs for various system sizes and various parameters of our model tissue under VF. Further, it is demonstrated that the nonlinear Langevin equation associated with a hyper-Gamma process can mimic the pdf and temporal variation of the number of PSs in the 2D BRDR model.

17. From stochastic processes to numerical methods: A new scheme for solving reaction subdiffusion fractional partial differential equations

Energy Technology Data Exchange (ETDEWEB)

Angstmann, C.N.; Donnelly, I.C. [School of Mathematics and Statistics, UNSW Australia, Sydney NSW 2052 (Australia); Henry, B.I., E-mail: B.Henry@unsw.edu.au [School of Mathematics and Statistics, UNSW Australia, Sydney NSW 2052 (Australia); Jacobs, B.A. [School of Computer Science and Applied Mathematics, University of the Witwatersrand, Johannesburg, Private Bag 3, Wits 2050 (South Africa); DST–NRF Centre of Excellence in Mathematical and Statistical Sciences (CoE-MaSS) (South Africa); Langlands, T.A.M. [Department of Mathematics and Computing, University of Southern Queensland, Toowoomba QLD 4350 (Australia); Nichols, J.A. [School of Mathematics and Statistics, UNSW Australia, Sydney NSW 2052 (Australia)

2016-02-15

We have introduced a new explicit numerical method, based on a discrete stochastic process, for solving a class of fractional partial differential equations that model reaction subdiffusion. The scheme is derived from the master equations for the evolution of the probability density of a sum of discrete time random walks. We show that the diffusion limit of the master equations recovers the fractional partial differential equation of interest. This limiting procedure guarantees the consistency of the numerical scheme. The positivity of the solution and stability results are simply obtained, provided that the underlying process is well posed. We also show that the method can be applied to standard reaction–diffusion equations. This work highlights the broader applicability of using discrete stochastic processes to provide numerical schemes for partial differential equations, including fractional partial differential equations.

18. ARMA modelling of neutron stochastic processes with large measurement noise

International Nuclear Information System (INIS)

Zavaljevski, N.; Kostic, Lj.; Pesic, M.

1994-01-01

An autoregressive moving average (ARMA) model of the neutron fluctuations with large measurement noise is derived from langevin stochastic equations and validated using time series data obtained during prompt neutron decay constant measurements at the zero power reactor RB in Vinca. Model parameters are estimated using the maximum likelihood (ML) off-line algorithm and an adaptive pole estimation algorithm based on the recursive prediction error method (RPE). The results show that subcriticality can be determined from real data with high measurement noise using much shorter statistical sample than in standard methods. (author)

19. Effect of multiplicative noise on stationary stochastic process

Science.gov (United States)

Kargovsky, A. V.; Chikishev, A. Yu.; Chichigina, O. A.

2018-03-01

An open system that can be analyzed using the Langevin equation with multiplicative noise is considered. The stationary state of the system results from a balance of deterministic damping and random pumping simulated as noise with controlled periodicity. The dependence of statistical moments of the variable that characterizes the system on parameters of the problem is studied. A nontrivial decrease in the mean value of the main variable with an increase in noise stochasticity is revealed. Applications of the results in several physical, chemical, biological, and technical problems of natural and humanitarian sciences are discussed.

20. Unifying three perspectives on information processing in stochastic thermodynamics.

Science.gov (United States)

Barato, A C; Seifert, U

2014-03-07

So far, feedback-driven systems have been discussed using (i) measurement and control, (ii) a tape interacting with a system, or (iii) by identifying an implicit Maxwell demon in steady-state transport. We derive the corresponding second laws from one master fluctuation theorem and discuss their relationship. In particular, we show that both the entropy production involving mutual information between system and controller and the one involving a Shannon entropy difference of an information reservoir like a tape carry an extra term different from the usual current times affinity. We, thus, generalize stochastic thermodynamics to the presence of an information reservoir.

1. Aperiodic signals processing via parameter-tuning stochastic resonance in a photorefractive ring cavity

Directory of Open Access Journals (Sweden)

Xuefeng Li

2014-04-01

Full Text Available Based on solving numerically the generalized nonlinear Langevin equation describing the nonlinear dynamics of stochastic resonance by Fourth-order Runge-Kutta method, an aperiodic stochastic resonance based on an optical bistable system is numerically investigated. The numerical results show that a parameter-tuning stochastic resonance system can be realized by choosing the appropriate optical bistable parameters, which performs well in reconstructing aperiodic signals from a very high level of noise background. The influences of optical bistable parameters on the stochastic resonance effect are numerically analyzed via cross-correlation, and a maximum cross-correlation gain of 8 is obtained by optimizing optical bistable parameters. This provides a prospective method for reconstructing noise-hidden weak signals in all-optical signal processing systems.

2. Stochastic dynamical model of a growing citation network based on a self-exciting point process.

Science.gov (United States)

Golosovsky, Michael; Solomon, Sorin

2012-08-31

We put under experimental scrutiny the preferential attachment model that is commonly accepted as a generating mechanism of the scale-free complex networks. To this end we chose a citation network of physics papers and traced the citation history of 40,195 papers published in one year. Contrary to common belief, we find that the citation dynamics of the individual papers follows the superlinear preferential attachment, with the exponent α=1.25-1.3. Moreover, we show that the citation process cannot be described as a memoryless Markov chain since there is a substantial correlation between the present and recent citation rates of a paper. Based on our findings we construct a stochastic growth model of the citation network, perform numerical simulations based on this model and achieve an excellent agreement with the measured citation distributions.

3. Stochastic Interest Model Based on Compound Poisson Process and Applications in Actuarial Science

Directory of Open Access Journals (Sweden)

Shilong Li

2017-01-01

Full Text Available Considering stochastic behavior of interest rates in financial market, we construct a new class of interest models based on compound Poisson process. Different from the references, this paper describes the randomness of interest rates by modeling the force of interest with Poisson random jumps directly. To solve the problem in calculation of accumulated interest force function, one important integral technique is employed. And a conception called the critical value is introduced to investigate the validity condition of this new model. We also discuss actuarial present values of several life annuities under this new interest model. Simulations are done to illustrate the theoretical results and the effect of parameters in interest model on actuarial present values is also analyzed.

4. Consensus states of local majority rule in stochastic process

Energy Technology Data Exchange (ETDEWEB)

Luo, Yu-Pin [Department of Electronic Engineering, National Formosa University, Huwei, 63201, Taiwan (China); Tang, Chia-Wei; Xu, Hong-Yuan [Department of Physics, Chung-Yuan Christian University, Chungli, 32023, Taiwan (China); Wu, Jinn-Wen [Department of Applied Mathematics, Chung-Yuan Christian University, Chungli, 32023, Taiwan (China); Huang, Ming-Chang, E-mail: mchuang@cycu.edu.tw [Center for Theoretical Science and Department of Physics, Chung-Yuan Christian University, Chungli, 32023, Taiwan (China)

2015-04-03

A sufficient condition for a network system to reach a consensus state of the local majority rule is shown. The influence of interpersonal environment on the occurrence probability of consensus states for Watts–Strogatz and scale-free networks with random initial states is analyzed by numerical method. We also propose a stochastic local majority rule to study the mean first passage time from a random state to a consensus and the escape rate from a consensus state for systems in a noisy environment. Our numerical results show that there exists a window of fluctuation strengths for which the mean first passage time from a random to a consensus state reduces greatly, and the escape rate of consensus states obeys the Arrhenius equation in the window. - Highlights: • A sufficient condition for reaching a consensus. • The relation between the geometry of networks and the reachability of a consensus. • Stochastic local majority rule. • The mean first-passage time and the escape rate of consensus states.

5. Consensus states of local majority rule in stochastic process

International Nuclear Information System (INIS)

Luo, Yu-Pin; Tang, Chia-Wei; Xu, Hong-Yuan; Wu, Jinn-Wen; Huang, Ming-Chang

2015-01-01

A sufficient condition for a network system to reach a consensus state of the local majority rule is shown. The influence of interpersonal environment on the occurrence probability of consensus states for Watts–Strogatz and scale-free networks with random initial states is analyzed by numerical method. We also propose a stochastic local majority rule to study the mean first passage time from a random state to a consensus and the escape rate from a consensus state for systems in a noisy environment. Our numerical results show that there exists a window of fluctuation strengths for which the mean first passage time from a random to a consensus state reduces greatly, and the escape rate of consensus states obeys the Arrhenius equation in the window. - Highlights: • A sufficient condition for reaching a consensus. • The relation between the geometry of networks and the reachability of a consensus. • Stochastic local majority rule. • The mean first-passage time and the escape rate of consensus states

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

International Nuclear Information System (INIS)

Bezak, V.

1978-01-01

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

7. Reliability estimation of structures under stochastic loading—A case study on nuclear piping

International Nuclear Information System (INIS)

Hari Prasad, M.; Rami Reddy, G.; Dubey, P.N.; Srividya, A.; Verma, A.K.

2013-01-01

8. Effect of the Potential Shape on the Stochastic Resonance Processes

Science.gov (United States)

Kenmoé, G. Djuidjé; Ngouongo, Y. J. Wadop; Kofané, T. C.

2015-10-01

The stochastic resonance (SR) induced by periodic signal and white noises in a periodic nonsinusoidal potential is investigated. This phenomenon is studied as a function of the friction coefficient as well as the shape of the potential. It is done through an investigation of the hysteresis loop area which is equivalent to the input energy lost by the system to the environment per period of the external force. SR is evident in some range of the shape parameter of the potential, but cannot be observed in the other range. Specially, variation of the shape potential affects significantly and not trivially the heigh of the potential barrier in the Kramers rate as well as the occurrence of SR. The finding results show crucial dependence of the temperature of occurrence of SR on the shape of the potential. It is noted that the maximum of the input energy generally decreases when the friction coefficient is increased.

9. Levy-Student processes for a stochastic model of beam halos

Energy Technology Data Exchange (ETDEWEB)

Petroni, N. Cufaro [Department of Mathematics, University of Bari, and INFN Sezione di Bari, via E. Orabona 4, 70125 Bari (Italy)]. E-mail: cufaro@ba.infn.it; De Martino, S. [Department of Physics, University of Salerno, and INFN Sezione di Napoli (gruppo di Salerno), Via S. Allende, I-84081 Baronissi (SA) (Italy); De Siena, S. [Department of Physics, University of Salerno, and INFN Sezione di Napoli (gruppo di Salerno), Via S. Allende, I-84081 Baronissi (SA) (Italy); Illuminati, F. [Department of Physics, University of Salerno, and INFN Sezione di Napoli (gruppo di Salerno), Via S. Allende, I-84081 Baronissi (SA) (Italy)

2006-06-01

We describe the transverse beam distribution in particle accelerators within the controlled, stochastic dynamical scheme of the stochastic mechanics which produces time reversal invariant diffusion processes. In this paper we analyze the consequences of introducing the generalized Student laws, namely non-Gaussian, Levy infinitely divisible (but not stable) distributions. We will analyze this idea from two different standpoints: (a) first by supposing that the stationary distribution of our (Wiener powered) stochastic model is a Student distribution; (b) by supposing that our model is based on a (non-Gaussian) Levy process whose increments are Student distributed. In the case (a) the longer tails of the power decay of the Student laws, and in the case (b) the discontinuities of the Levy-Student process can well account for the rare escape of particles from the beam core, and hence for the formation of a halo in intense beams.

10. Levy-Student processes for a stochastic model of beam halos

International Nuclear Information System (INIS)

Petroni, N. Cufaro; De Martino, S.; De Siena, S.; Illuminati, F.

2006-01-01

We describe the transverse beam distribution in particle accelerators within the controlled, stochastic dynamical scheme of the stochastic mechanics which produces time reversal invariant diffusion processes. In this paper we analyze the consequences of introducing the generalized Student laws, namely non-Gaussian, Levy infinitely divisible (but not stable) distributions. We will analyze this idea from two different standpoints: (a) first by supposing that the stationary distribution of our (Wiener powered) stochastic model is a Student distribution; (b) by supposing that our model is based on a (non-Gaussian) Levy process whose increments are Student distributed. In the case (a) the longer tails of the power decay of the Student laws, and in the case (b) the discontinuities of the Levy-Student process can well account for the rare escape of particles from the beam core, and hence for the formation of a halo in intense beams

11. 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...

12. Comments on the use of stochastic processes in the field of the ionizing radiations

International Nuclear Information System (INIS)

Alvarez Romero, Jose T.

2008-01-01

Stochastic process is the name given to a time dependent random process, unfortunately, its time dependence is not always clearly emphasized. In fact, such dependence is not unequivocally stated in the different disciplines of radiation physics, radiobiology or in radiation protection. This is the cause of some conceptual confusion when interpreting relationships between quantities is analyzed, e.g.: imparted energy vs. absorbed dose, stochastic vs. deterministic biological effects; or in radiation protection models, whether: linear or quadratic, relative or absolute. Most of these relationships are associated to stochastic phenomena, and they carry a time dependence that requires clarification. To mention some examples, in radiation physics: the absorbed dose is a non stochastic quantity resulting from averaging a stochastic one namely, the imparted energy, over a representative ensemble via an operation analogous to the Gibbs-Einstein algorithm. On the other hand stochastic quantities require specialized mathematical techniques of stochastic processes to handle them. These refinements are unfortunately ignored in the reports of ICRU 33 and 60. Essentially, a problem to be solved is to establish a clear relationship between micro or mesoscopic stochastic quantities and their macroscopic counterparts, these latter ones possibly being time dependent or not. This is the main objective of microdosimetry. Another problem is to describe phenomena such as electronic equilibrium which is nothing else than a stationary state thus exhibiting no time dependence. Still a different question is the interpretation of radioactive decay as a stochastic process of the Poisson and Markov type. In radiobiology a basic problem is the study of biological stochastic phenomena is to determine the characteristics and structure of those time dependent probabilistic functions allowing the quantification of macroscopic biological manifestations, such as carcinogenesis or genetic effects

13. Stationary distributions of stochastic processes described by a linear neutral delay differential equation

International Nuclear Information System (INIS)

Frank, T D

2005-01-01

Stationary distributions of processes are derived that involve a time delay and are defined by a linear stochastic neutral delay differential equation. The distributions are Gaussian distributions. The variances of the Gaussian distributions are either monotonically increasing or decreasing functions of the time delays. The variances become infinite when fixed points of corresponding deterministic processes become unstable. (letter to the editor)

14. Disentangling mechanisms that mediate the balance between stochastic and deterministic processes in microbial succession

NARCIS (Netherlands)

Dini-Andreote, Francisco; Stegen, James C.; van Elsas, Jan Dirk; Salles, Joana Falcao

2015-01-01

Ecological succession and the balance between stochastic and deterministic processes are two major themes within microbial ecology, but these conceptual domains have mostly developed independent of each other. Here we provide a framework that integrates shifts in community assembly processes with

15. Stochastic output error vibration-based damage detection and assessment in structures under earthquake excitation

Science.gov (United States)

Sakellariou, J. S.; Fassois, S. D.

2006-11-01

A stochastic output error (OE) vibration-based methodology for damage detection and assessment (localization and quantification) in structures under earthquake excitation is introduced. The methodology is intended for assessing the state of a structure following potential damage occurrence by exploiting vibration signal measurements produced by low-level earthquake excitations. It is based upon (a) stochastic OE model identification, (b) statistical hypothesis testing procedures for damage detection, and (c) a geometric method (GM) for damage assessment. The methodology's advantages include the effective use of the non-stationary and limited duration earthquake excitation, the handling of stochastic uncertainties, the tackling of the damage localization and quantification subproblems, the use of "small" size, simple and partial (in both the spatial and frequency bandwidth senses) identified OE-type models, and the use of a minimal number of measured vibration signals. Its feasibility and effectiveness are assessed via Monte Carlo experiments employing a simple simulation model of a 6 storey building. It is demonstrated that damage levels of 5% and 20% reduction in a storey's stiffness characteristics may be properly detected and assessed using noise-corrupted vibration signals.

16. Two-stage stochastic programming model for the regional-scale electricity planning under demand uncertainty

International Nuclear Information System (INIS)

Huang, Yun-Hsun; Wu, Jung-Hua; Hsu, Yu-Ju

2016-01-01

Traditional electricity supply planning models regard the electricity demand as a deterministic parameter and require the total power output to satisfy the aggregate electricity demand. But in today's world, the electric system planners are facing tremendously complex environments full of uncertainties, where electricity demand is a key source of uncertainty. In addition, electricity demand patterns are considerably different for different regions. This paper developed a multi-region optimization model based on two-stage stochastic programming framework to incorporate the demand uncertainty. Furthermore, the decision tree method and Monte Carlo simulation approach are integrated into the model to simplify electricity demands in the form of nodes and determine the values and probabilities. The proposed model was successfully applied to a real case study (i.e. Taiwan's electricity sector) to show its applicability. Detail simulation results were presented and compared with those generated by a deterministic model. Finally, the long-term electricity development roadmap at a regional level could be provided on the basis of our simulation results. - Highlights: • A multi-region, two-stage stochastic programming model has been developed. • The decision tree and Monte Carlo simulation are integrated into the framework. • Taiwan's electricity sector is used to illustrate the applicability of the model. • The results under deterministic and stochastic cases are shown for comparison. • Optimal portfolios of regional generation technologies can be identified.

17. Doubly stochastic Poisson process models for precipitation at fine time-scales

Science.gov (United States)

Ramesh, Nadarajah I.; Onof, Christian; Xie, Dichao

2012-09-01

This paper considers a class of stochastic point process models, based on doubly stochastic Poisson processes, in the modelling of rainfall. We examine the application of this class of models, a neglected alternative to the widely-known Poisson cluster models, in the analysis of fine time-scale rainfall intensity. These models are mainly used to analyse tipping-bucket raingauge data from a single site but an extension to multiple sites is illustrated which reveals the potential of this class of models to study the temporal and spatial variability of precipitation at fine time-scales.

18. A Family of Poisson Processes for Use in Stochastic Models of Precipitation

Science.gov (United States)

Penland, C.

2013-12-01

Both modified Poisson processes and compound Poisson processes can be relevant to stochastic parameterization of precipitation. This presentation compares the dynamical properties of these systems and discusses the physical situations in which each might be appropriate. If the parameters describing either class of systems originate in hydrodynamics, then proper consideration of stochastic calculus is required during numerical implementation of the parameterization. It is shown here that an improper numerical treatment can have severe implications for estimating rainfall distributions, particularly in the tails of the distributions and, thus, on the frequency of extreme events.

19. Continuous strong Markov processes in dimension one a stochastic calculus approach

CERN Document Server

Assing, Sigurd

1998-01-01

The book presents an in-depth study of arbitrary one-dimensional continuous strong Markov processes using methods of stochastic calculus. Departing from the classical approaches, a unified investigation of regular as well as arbitrary non-regular diffusions is provided. A general construction method for such processes, based on a generalization of the concept of a perfect additive functional, is developed. The intrinsic decomposition of a continuous strong Markov semimartingale is discovered. The book also investigates relations to stochastic differential equations and fundamental examples of irregular diffusions.

20. Entropy Measures for Stochastic Processes with Applications in Functional Anomaly Detection

Directory of Open Access Journals (Sweden)

Gabriel Martos

2018-01-01

Full Text Available We propose a definition of entropy for stochastic processes. We provide a reproducing kernel Hilbert space model to estimate entropy from a random sample of realizations of a stochastic process, namely functional data, and introduce two approaches to estimate minimum entropy sets. These sets are relevant to detect anomalous or outlier functional data. A numerical experiment illustrates the performance of the proposed method; in addition, we conduct an analysis of mortality rate curves as an interesting application in a real-data context to explore functional anomaly detection.

1. 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.

2. Stochastic Analysis 2010

CERN Document Server

Crisan, Dan

2011-01-01

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

3. Component processes underlying future thinking.

Science.gov (United States)

D'Argembeau, Arnaud; Ortoleva, Claudia; Jumentier, Sabrina; Van der Linden, Martial

2010-09-01

This study sought to investigate the component processes underlying the ability to imagine future events, using an individual-differences approach. Participants completed several tasks assessing different aspects of future thinking (i.e., fluency, specificity, amount of episodic details, phenomenology) and were also assessed with tasks and questionnaires measuring various component processes that have been hypothesized to support future thinking (i.e., executive processes, visual-spatial processing, relational memory processing, self-consciousness, and time perspective). The main results showed that executive processes were correlated with various measures of future thinking, whereas visual-spatial processing abilities and time perspective were specifically related to the number of sensory descriptions reported when specific future events were imagined. Furthermore, individual differences in self-consciousness predicted the subjective feeling of experiencing the imagined future events. These results suggest that future thinking involves a collection of processes that are related to different facets of future-event representation.

4. Matrix stochastic analysis of the maintainability of a machine under shocks

International Nuclear Information System (INIS)

Montoro-Cazorla, Delia; Pérez-Ocón, Rafael

2014-01-01

We study the maintenance of a machine operating under environmental conditions producing shocks affecting the lifetime of the machine. The shocks cause different types of damage depending on their strength and eventually the total failure. The maintenance of the machine is performed by repairs and replacement. The interarrival times of shocks are dependent. We introduce a multidimensional stochastic model for simulating the evolution of the lifetime of the machine. This model implies the application of the matrix-analytic methods, that are being used in stochastic modelling with interesting results. Under this methodology, the availability, the reliability, and the rates of occurrence of the different types of failures and of the replacements are calculated, obtaining mathematically tractable expressions. The results are applied to a numerical example. - Highlights: • A machine under random environmental conditions producing shocks and wear is studied under matrix-analytic methods. • There is dependence in the interarrival times of shocks. • Different types of failure producing damage in the internal and external structure of the machine are considered. • Maintenance is performed by repair and replacement. • Explicit expressions for the main reliability performance measures are given

5. Stochastic evolutionary voluntary public goods game with punishment in a Quasi-birth-and-death process.

Science.gov (United States)

Quan, Ji; Liu, Wei; Chu, Yuqing; Wang, Xianjia

2017-11-23

Traditional replication dynamic model and the corresponding concept of evolutionary stable strategy (ESS) only takes into account whether the system can return to the equilibrium after being subjected to a small disturbance. In the real world, due to continuous noise, the ESS of the system may not be stochastically stable. In this paper, a model of voluntary public goods game with punishment is studied in a stochastic situation. Unlike the existing model, we describe the evolutionary process of strategies in the population as a generalized quasi-birth-and-death process. And we investigate the stochastic stable equilibrium (SSE) instead. By numerical experiments, we get all possible SSEs of the system for any combination of parameters, and investigate the influence of parameters on the probabilities of the system to select different equilibriums. It is found that in the stochastic situation, the introduction of the punishment and non-participation strategies can change the evolutionary dynamics of the system and equilibrium of the game. There is a large range of parameters that the system selects the cooperative states as its SSE with a high probability. This result provides us an insight and control method for the evolution of cooperation in the public goods game in stochastic situations.

6. 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.

7. Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility

Directory of Open Access Journals (Sweden)

Xinfeng Ruan

2013-01-01

Full Text Available We study the equity premium and option pricing under jump-diffusion model with stochastic volatility based on the model in Zhang et al. 2012. We obtain the pricing kernel which acts like the physical and risk-neutral densities and the moments in the economy. Moreover, the exact expression of option valuation is derived by the Fourier transformation method. We also discuss the relationship of central moments between the physical measure and the risk-neutral measure. Our numerical results show that our model is more realistic than the previous model.

8. Output regulation control for switched stochastic delay systems with dissipative property under error-dependent switching

Science.gov (United States)

Li, L. L.; Jin, C. L.; Ge, X.

2018-01-01

In this paper, the output regulation problem with dissipative property for a class of switched stochastic delay systems is investigated, based on an error-dependent switching law. Under the assumption that none subsystem is solvable for the problem, a sufficient condition is derived by structuring multiple Lyapunov-Krasovskii functionals with respect to multiple supply rates, via designing error feedback regulators. The condition is also established when dissipative property reduces to passive property. Finally, two numerical examples are given to demonstrate the feasibility and efficiency of the present method.

9. Cyto-Sim: a formal language model and stochastic simulator of membrane-enclosed biochemical processes.

Science.gov (United States)

Sedwards, Sean; Mazza, Tommaso

2007-10-15

Compartments and membranes are the basis of cell topology and more than 30% of the human genome codes for membrane proteins. While it is possible to represent compartments and membrane proteins in a nominal way with many mathematical formalisms used in systems biology, few, if any, explicitly model the topology of the membranes themselves. Discrete stochastic simulation potentially offers the most accurate representation of cell dynamics. Since the details of every molecular interaction in a pathway are often not known, the relationship between chemical species in not necessarily best described at the lowest level, i.e. by mass action. Simulation is a form of computer-aided analysis, relying on human interpretation to derive meaning. To improve efficiency and gain meaning in an automatic way, it is necessary to have a formalism based on a model which has decidable properties. We present Cyto-Sim, a stochastic simulator of membrane-enclosed hierarchies of biochemical processes, where the membranes comprise an inner, outer and integral layer. The underlying model is based on formal language theory and has been shown to have decidable properties (Cavaliere and Sedwards, 2006), allowing formal analysis in addition to simulation. The simulator provides variable levels of abstraction via arbitrary chemical kinetics which link to ordinary differential equations. In addition to its compact native syntax, Cyto-Sim currently supports models described as Petri nets, can import all versions of SBML and can export SBML and MATLAB m-files. Cyto-Sim is available free, either as an applet or a stand-alone Java program via the web page (http://www.cosbi.eu/Rpty_Soft_CytoSim.php). Other versions can be made available upon request.

10. Stochastic description of cascade size effects on phase stability under irradiation

International Nuclear Information System (INIS)

Martin, G.; Bellon, P.

1988-01-01

Cascade size may affect phase stability under irradiation because of two distinct contributions: the replacement to displacement cross section ratio depends on the deposited energy density; ballistic jumps which tend to disorder ordere compounds occur by bursts (of size b), while thermal jumps which restored long range order occur one by one. The latter effect cannot be handled by standard rate theory. A stochastic treatment of the problem, based on a Fokker Planck approximation of the relevant master equation is summarized. It is shown that the possible values of the long range order parameter under irradiation are not affected by the size b of the bursts, but that the respective stability of the former is b dependent. As a consequence, the stability diagram of phases under irradiation varies with b. Such a diagram is computed for the Ni 4 Mo system where three structures are competing: the disordered solid solution, D1 a and DO 23 . A broadening by 100K of the stability domain of the short range ordered structure to the expense of the long range ordered one is predicted when increasing b from 1 to 100. The stochastic potentials introduced in the present treatment are by no means free energies of some constrained state. They can however be computed in a mean field type approximation. 23 refs

11. ℋ∞ constant gain state feedback stabilization of stochastic hybrid systems with Wiener process

Directory of Open Access Journals (Sweden)

E. K. Boukas

2004-01-01

Full Text Available This paper considers the stabilization problem of the class of continuous-time linear stochastic hybrid systems with Wiener process. The ℋ∞ state feedback stabilization problem is treated. A state feedback controller with constant gain that does not require access to the system mode is designed. LMI-based conditions are developed to design the state feedback controller with constant gain that stochastically stabilizes the studied class of systems and, at the same time, achieve the disturbance rejection of a desired level. The minimum disturbance rejection is also determined. Numerical examples are given to show the usefulness of the proposed results.

12. Stochastic processes and functional analysis a volume of recent advances in honor of M. M. Rao

CERN Document Server

Krinik, Alan C

2004-01-01

This extraordinary compilation is an expansion of the recent American Mathematical Society Special Session celebrating M. M. Rao's distinguished career and includes most of the presented papers as well as ancillary contributions from session invitees. This book shows the effectiveness of abstract analysis for solving fundamental problems of stochastic theory, specifically the use of functional analytic methods for elucidating stochastic processes, as made manifest in M. M. Rao's prolific research achievements. Featuring a biography of M. M. Rao, a complete bibliography of his published works,

13. Information transfer with rate-modulated Poisson processes: a simple model for nonstationary stochastic resonance.

Science.gov (United States)

Goychuk, I

2001-08-01

Stochastic resonance in a simple model of information transfer is studied for sensory neurons and ensembles of ion channels. An exact expression for the information gain is obtained for the Poisson process with the signal-modulated spiking rate. This result allows one to generalize the conventional stochastic resonance (SR) problem (with periodic input signal) to the arbitrary signals of finite duration (nonstationary SR). Moreover, in the case of a periodic signal, the rate of information gain is compared with the conventional signal-to-noise ratio. The paper establishes the general nonequivalence between both measures notwithstanding their apparent similarity in the limit of weak signals.

14. A stochastic optimization model under modeling uncertainty and parameter certainty for groundwater remediation design--part I. Model development.

Science.gov (United States)

He, L; Huang, G H; Lu, H W

2010-04-15

Solving groundwater remediation optimization problems based on proxy simulators can usually yield optimal solutions differing from the "true" ones of the problem. This study presents a new stochastic optimization model under modeling uncertainty and parameter certainty (SOMUM) and the associated solution method for simultaneously addressing modeling uncertainty associated with simulator residuals and optimizing groundwater remediation processes. This is a new attempt different from the previous modeling efforts. The previous ones focused on addressing uncertainty in physical parameters (i.e. soil porosity) while this one aims to deal with uncertainty in mathematical simulator (arising from model residuals). Compared to the existing modeling approaches (i.e. only parameter uncertainty is considered), the model has the advantages of providing mean-variance analysis for contaminant concentrations, mitigating the effects of modeling uncertainties on optimal remediation strategies, offering confidence level of optimal remediation strategies to system designers, and reducing computational cost in optimization processes. 2009 Elsevier B.V. All rights reserved.

15. A stochastic optimization model under modeling uncertainty and parameter certainty for groundwater remediation design-Part I. Model development

Energy Technology Data Exchange (ETDEWEB)

He, L., E-mail: li.he@ryerson.ca [Department of Civil Engineering, Faculty of Engineering, Architecture and Science, Ryerson University, 350 Victoria Street, Toronto, Ontario, M5B 2K3 (Canada); Huang, G.H. [Environmental Systems Engineering Program, Faculty of Engineering, University of Regina, Regina, Saskatchewan, S4S 0A2 (Canada); College of Urban Environmental Sciences, Peking University, Beijing 100871 (China); Lu, H.W. [Environmental Systems Engineering Program, Faculty of Engineering, University of Regina, Regina, Saskatchewan, S4S 0A2 (Canada)

2010-04-15

Solving groundwater remediation optimization problems based on proxy simulators can usually yield optimal solutions differing from the 'true' ones of the problem. This study presents a new stochastic optimization model under modeling uncertainty and parameter certainty (SOMUM) and the associated solution method for simultaneously addressing modeling uncertainty associated with simulator residuals and optimizing groundwater remediation processes. This is a new attempt different from the previous modeling efforts. The previous ones focused on addressing uncertainty in physical parameters (i.e. soil porosity) while this one aims to deal with uncertainty in mathematical simulator (arising from model residuals). Compared to the existing modeling approaches (i.e. only parameter uncertainty is considered), the model has the advantages of providing mean-variance analysis for contaminant concentrations, mitigating the effects of modeling uncertainties on optimal remediation strategies, offering confidence level of optimal remediation strategies to system designers, and reducing computational cost in optimization processes.

16. Strategy Complexity of Finite-Horizon Markov Decision Processes and Simple Stochastic Games

DEFF Research Database (Denmark)

Ibsen-Jensen, Rasmus; Chatterjee, Krishnendu

2012-01-01

Markov decision processes (MDPs) and simple stochastic games (SSGs) provide a rich mathematical framework to study many important problems related to probabilistic systems. MDPs and SSGs with finite-horizon objectives, where the goal is to maximize the probability to reach a target state in a given...

17. Using Max-Plus Algebra for the Evaluation of Stochastic Process Algebra Prefixes

NARCIS (Netherlands)

Cloth, L.; de Alfaro, L.; Gilmore, S.; Bohnenkamp, H.C.; Haverkort, Boudewijn R.H.M.

2001-01-01

In this paper, the concept of complete finite prefixes for process algebra expressions is extended to stochastic models. Events are supposed to happen after a delay that is determined by random variables assigned to the preceding conditions. Max-plus algebra expressions are shown to provide an

18. Explicit calibration and simulation of stochastic fields by low-order ARMA processes

DEFF Research Database (Denmark)

Krenk, Steen

2011-01-01

A simple framework for autoregressive simulation of stochastic fields is presented. The autoregressive format leads to a simple exponential correlation structure in the time-dimension. In the case of scalar processes a more detailed correlation structure can be obtained by adding memory...... to the process via an extension to autoregressive moving average (ARMA) processes. The ARMA format incorporates a more detailed correlation structure by including previous values of the simulated process. Alternatively, a more detailed correlation structure can be obtained by including additional 'state......-space' variables in the simulation. For a scalar process this would imply an increase of the dimension of the process to be simulated. In the case of a stochastic field the correlation in the time-dimension is represented, although indirectly, in the simultaneous spatial correlation. The model with the shortest...

19. Kinetic theory of age-structured stochastic birth-death processes

Science.gov (United States)

Greenman, Chris D.; Chou, Tom

2016-01-01

Classical age-structured mass-action models such as the McKendrick-von Foerster equation have been extensively studied but are unable to describe stochastic fluctuations or population-size-dependent birth and death rates. Stochastic theories that treat semi-Markov age-dependent processes using, e.g., the Bellman-Harris equation do not resolve a population's age structure and are unable to quantify population-size dependencies. Conversely, current theories that include size-dependent population dynamics (e.g., mathematical models that include carrying capacity such as the logistic equation) cannot be easily extended to take into account age-dependent birth and death rates. In this paper, we present a systematic derivation of a new, fully stochastic kinetic theory for interacting age-structured populations. By defining multiparticle probability density functions, we derive a hierarchy of kinetic equations for the stochastic evolution of an aging population undergoing birth and death. We show that the fully stochastic age-dependent birth-death process precludes factorization of the corresponding probability densities, which then must be solved by using a Bogoliubov--Born--Green--Kirkwood--Yvon-like hierarchy. Explicit solutions are derived in three limits: no birth, no death, and steady state. These are then compared with their corresponding mean-field results. Our results generalize both deterministic models and existing master equation approaches by providing an intuitive and efficient way to simultaneously model age- and population-dependent stochastic dynamics applicable to the study of demography, stem cell dynamics, and disease evolution.

20. Modelling of diesel spray flame under engine-like conditions using an accelerated eulerian stochastic fields method: A convergence study of the number of stochastic fields

OpenAIRE

Pang, Kar Mun; Jangi, Mehdi; Bai, X.-S.; Schramm, Jesper; Walther, Jens Honore

2016-01-01

The use of transported Probability Density Function(PDF) methods allows a single model to compute the autoignition, premixed mode and diffusion flame of diesel combustion under engine-like conditions [1,2]. The Lagrangian particle based transported PDF models have been validated across a wide range of conditions [2,3]. Alternatively, the transported PDF model can also be formulated in the Eulerian framework[4]. The Eulerian PDF is commonly known as the Eulerian Stochastic Fields (ESF) model. ...

1. A stochastic global identification framework for aerospace structures operating under varying flight states

Science.gov (United States)

Kopsaftopoulos, Fotis; Nardari, Raphael; Li, Yu-Hung; Chang, Fu-Kuo

2018-01-01

In this work, a novel data-based stochastic "global" identification framework is introduced for aerospace structures operating under varying flight states and uncertainty. In this context, the term "global" refers to the identification of a model that is capable of representing the structure under any admissible flight state based on data recorded from a sample of these states. The proposed framework is based on stochastic time-series models for representing the structural dynamics and aeroelastic response under multiple flight states, with each state characterized by several variables, such as the airspeed, angle of attack, altitude and temperature, forming a flight state vector. The method's cornerstone lies in the new class of Vector-dependent Functionally Pooled (VFP) models which allow the explicit analytical inclusion of the flight state vector into the model parameters and, hence, system dynamics. This is achieved via the use of functional data pooling techniques for optimally treating - as a single entity - the data records corresponding to the various flight states. In this proof-of-concept study the flight state vector is defined by two variables, namely the airspeed and angle of attack of the vehicle. The experimental evaluation and assessment is based on a prototype bio-inspired self-sensing composite wing that is subjected to a series of wind tunnel experiments under multiple flight states. Distributed micro-sensors in the form of stretchable sensor networks are embedded in the composite layup of the wing in order to provide the sensing capabilities. Experimental data collected from piezoelectric sensors are employed for the identification of a stochastic global VFP model via appropriate parameter estimation and model structure selection methods. The estimated VFP model parameters constitute two-dimensional functions of the flight state vector defined by the airspeed and angle of attack. The identified model is able to successfully represent the wing

2. Deterministic flows of order-parameters in stochastic processes of quantum Monte Carlo method

International Nuclear Information System (INIS)

Inoue, Jun-ichi

2010-01-01

In terms of the stochastic process of quantum-mechanical version of Markov chain Monte Carlo method (the MCMC), we analytically derive macroscopically deterministic flow equations of order parameters such as spontaneous magnetization in infinite-range (d(= ∞)-dimensional) quantum spin systems. By means of the Trotter decomposition, we consider the transition probability of Glauber-type dynamics of microscopic states for the corresponding (d + 1)-dimensional classical system. Under the static approximation, differential equations with respect to macroscopic order parameters are explicitly obtained from the master equation that describes the microscopic-law. In the steady state, we show that the equations are identical to the saddle point equations for the equilibrium state of the same system. The equation for the dynamical Ising model is recovered in the classical limit. We also check the validity of the static approximation by making use of computer simulations for finite size systems and discuss several possible extensions of our approach to disordered spin systems for statistical-mechanical informatics. Especially, we shall use our procedure to evaluate the decoding process of Bayesian image restoration. With the assistance of the concept of dynamical replica theory (the DRT), we derive the zero-temperature flow equation of image restoration measure showing some 'non-monotonic' behaviour in its time evolution.

3. Homotopy Analysis Method for Boundary-Value Problem of Turbo Warrant Pricing under Stochastic Volatility

Directory of Open Access Journals (Sweden)

Hoi Ying Wong

2013-01-01

Full Text Available Turbo warrants are liquidly traded financial derivative securities in over-the-counter and exchange markets in Asia and Europe. The structure of turbo warrants is similar to barrier options, but a lookback rebate will be paid if the barrier is crossed by the underlying asset price. Therefore, the turbo warrant price satisfies a partial differential equation (PDE with a boundary condition that depends on another boundary-value problem (BVP of PDE. Due to the highly complicated structure of turbo warrants, their valuation presents a challenging problem in the field of financial mathematics. This paper applies the homotopy analysis method to construct an analytic pricing formula for turbo warrants under stochastic volatility in a PDE framework.

4. An extension of clarke's model with stochastic amplitude flip processes

KAUST Repository

Hoel, Hakon; Nyberg, Henrik

2014-01-01

. By rigorous analysis and numerical studies, we show that in many settings, signal realizations are generated more efficiently by Gaussian process algorithms than by the MFC model's algorithm. Numerical examples that strengthen these observations are also

5. Crystal plasticity study of monocrystalline stochastic honeycombs under in-plane compression

International Nuclear Information System (INIS)

Ma, Duancheng; Eisenlohr, Philip; Epler, Eike; Volkert, Cynthia A.; Shanthraj, Pratheek; Diehl, Martin; Roters, Franz; Raabe, Dierk

2016-01-01

We present a study on the plastic deformation of single crystalline stochastic honeycombs under in-plane compression using a crystal plasticity constitutive description for face-centered cubic (fcc) materials, focusing on the very early stage of plastic deformation, and identifying the interplay between the crystallographic orientation and the cellular structure during plastic deformation. We observe that despite the stochastic structure, surprisingly, the slip system activations in the honeycombs are almost identical to their corresponding bulk single crystals at the early stage of the plastic deformation. On the other hand, however, the yield stresses of the honeycombs are nearly independent of their crystallographic orientations. Similar mechanical response is found in compression testing of nanoporous gold micro-pillars aligned with various crystallographic orientations. The macroscopic stress tensors of the honeycombs show the same anisotropy as their respective bulk single crystals. Locally, however, there is an appreciable fluctuation in the local stresses, which are even larger than for polycrystals. This explains why the Taylor/Schmid factor associated with the crystallographic orientation is less useful to estimate the yield stresses of the honeycombs than the bulk single crystals and polycrystals, and why the plastic deformation occurs at smaller strains in the honeycombs than their corresponding bulk single crystals. Besides these findings, the observations of the crystallographic reorientation suggest that conventional orientation analysis tools, such as inverse pole figure and related tools, would in general fail to study the plastic deformation mechanism of monocrystalline cellular materials.

6. Stochastic control for risk under deregulated electricity market : a case study using a new formulation

Energy Technology Data Exchange (ETDEWEB)

Zhang, J.L.; Ponnambalam, K. [Waterloo Univ., ON (Canada). Dept. of Systems Design Engineering

2005-08-01

A study was conducted to address some of the multi-reservoir operational problems associated with hydropower generation. Inflow, release, spill and storage are some of the large scale, nonlinear and stochastic problems that can be solved using the Fletcher Ponnambalam (FP) model for risk management in hydropower systems under deregulated energy markets. The main objective is to maximize benefits and minimize the total cost while satisfying the system constraints. The FP model was developed for the first and second order of storage state distributions in terms of inflow distribution. The FP method is suitable for multi-reservoir problems because it offers statistical information on the nature of random behaviour of the system state variables without discretization. It is a cost-effective method because it avoids a scenario-based optimization. In this study, price uncertainty was introduced into the model along with inflow uncertainty. The FP model and the Bender's Decomposition method were applied to the Lake Nipigon reservoir system. The FP results were compared with the stochastic dual dynamic programming. Results show that the FP method achieves optimum operations, including risk minimization. However, sensitivity analysis must always be carried out because the FP model is sensitive to initial values. 10 refs., 1 tab., 8 figs., 1 appendix.

7. Chemotherapy appointment scheduling under uncertainty using mean-risk stochastic integer programming.

Science.gov (United States)

2018-03-01

Oncology clinics are often burdened with scheduling large volumes of cancer patients for chemotherapy treatments under limited resources such as the number of nurses and chairs. These cancer patients require a series of appointments over several weeks or months and the timing of these appointments is critical to the treatment's effectiveness. Additionally, the appointment duration, the acuity levels of each appointment, and the availability of clinic nurses are uncertain. The timing constraints, stochastic parameters, rising treatment costs, and increased demand of outpatient oncology clinic services motivate the need for efficient appointment schedules and clinic operations. In this paper, we develop three mean-risk stochastic integer programming (SIP) models, referred to as SIP-CHEMO, for the problem of scheduling individual chemotherapy patient appointments and resources. These mean-risk models are presented and an algorithm is devised to improve computational speed. Computational results were conducted using a simulation model and results indicate that the risk-averse SIP-CHEMO model with the expected excess mean-risk measure can decrease patient waiting times and nurse overtime when compared to deterministic scheduling algorithms by 42 % and 27 %, respectively.

8. An effective streamflow process model for optimal reservoir operation using stochastic dual dynamic programming

OpenAIRE

Raso , L.; Malaterre , P.O.; Bader , J.C.

2017-01-01

International audience; This article presents an innovative streamflow process model for use in reservoir operational rule design in stochastic dual dynamic programming (SDDP). Model features, which can be applied independently, are (1) a multiplicative process model for the forward phase and its linearized version for the backward phase; and (2) a nonuniform time-step length that is inversely proportional to seasonal variability. The advantages are (1) guaranteeing positive streamflow values...

9. Stochastic Analysis of a Queue Length Model Using a Graphics Processing Unit

Czech Academy of Sciences Publication Activity Database

Přikryl, Jan; Kocijan, J.

2012-01-01

Roč. 5, č. 2 (2012), s. 55-62 ISSN 1802-971X R&D Projects: GA MŠk(CZ) MEB091015 Institutional support: RVO:67985556 Keywords : graphics processing unit * GPU * Monte Carlo simulation * computer simulation * modeling Subject RIV: BC - Control Systems Theory http://library.utia.cas.cz/separaty/2012/AS/prikryl-stochastic analysis of a queue length model using a graphics processing unit.pdf

10. Modeling laser velocimeter signals as triply stochastic Poisson processes

Science.gov (United States)

Mayo, W. T., Jr.

1976-01-01

Previous models of laser Doppler velocimeter (LDV) systems have not adequately described dual-scatter signals in a manner useful for analysis and simulation of low-level photon-limited signals. At low photon rates, an LDV signal at the output of a photomultiplier tube is a compound nonhomogeneous filtered Poisson process, whose intensity function is another (slower) Poisson process with the nonstationary rate and frequency parameters controlled by a random flow (slowest) process. In the present paper, generalized Poisson shot noise models are developed for low-level LDV signals. Theoretical results useful in detection error analysis and simulation are presented, along with measurements of burst amplitude statistics. Computer generated simulations illustrate the difference between Gaussian and Poisson models of low-level signals.

11. Stochastic model of milk homogenization process using Markov's chain

Directory of Open Access Journals (Sweden)

A. A. Khvostov

2016-01-01

Full Text Available The process of development of a mathematical model of the process of homogenization of dairy products is considered in the work. The theory of Markov's chains was used in the development of the mathematical model, Markov's chain with discrete states and continuous parameter for which the homogenisation pressure is taken, being the basis for the model structure. Machine realization of the model is implemented in the medium of structural modeling MathWorks Simulink™. Identification of the model parameters was carried out by minimizing the standard deviation calculated from the experimental data for each fraction of dairy products fat phase. As the set of experimental data processing results of the micrographic images of fat globules of whole milk samples distribution which were subjected to homogenization at different pressures were used. Pattern Search method was used as optimization method with the Latin Hypercube search algorithm from Global Optimization Тoolbox library. The accuracy of calculations averaged over all fractions of 0.88% (the relative share of units, the maximum relative error was 3.7% with the homogenization pressure of 30 MPa, which may be due to the very abrupt change in properties from the original milk in the particle size distribution at the beginning of the homogenization process and the lack of experimental data at homogenization pressures of below the specified value. The mathematical model proposed allows to calculate the profile of volume and mass distribution of the fat phase (fat globules in the product, depending on the homogenization pressure and can be used in the laboratory and research of dairy products composition, as well as in the calculation, design and modeling of the process equipment of the dairy industry enterprises.

12. An Individual-Based Diploid Model Predicts Limited Conditions Under Which Stochastic Gene Expression Becomes Advantageous

KAUST Repository

Matsumoto, Tomotaka

2015-11-24

13. Nonzero-Sum Stochastic Differential Portfolio Games under a Markovian Regime Switching Model

Directory of Open Access Journals (Sweden)

Chaoqun Ma

2015-01-01

Full Text Available We consider a nonzero-sum stochastic differential portfolio game problem in a continuous-time Markov regime switching environment when the price dynamics of the risky assets are governed by a Markov-modulated geometric Brownian motion (GBM. The market parameters, including the bank interest rate and the appreciation and volatility rates of the risky assets, switch over time according to a continuous-time Markov chain. We formulate the nonzero-sum stochastic differential portfolio game problem as two utility maximization problems of the sum process between two investors’ terminal wealth. We derive a pair of regime switching Hamilton-Jacobi-Bellman (HJB equations and two systems of coupled HJB equations at different regimes. We obtain explicit optimal portfolio strategies and Feynman-Kac representations of the two value functions. Furthermore, we solve the system of coupled HJB equations explicitly in a special case where there are only two states in the Markov chain. Finally we provide comparative statics and numerical simulation analysis of optimal portfolio strategies and investigate the impact of regime switching on optimal portfolio strategies.

14. Mean level signal crossing rate for an arbitrary stochastic process

DEFF Research Database (Denmark)

Yura, Harold T.; Hanson, Steen Grüner

2010-01-01

The issue of the mean signal level crossing rate for various probability density functions with primary relevance for optics is discussed based on a new analytical method. This method relies on a unique transformation that transforms the probability distribution under investigation into a normal...... probability distribution, for which the distribution of mean level crossings is known. In general, the analytical results for the mean level crossing rate are supported and confirmed by numerical simulations. In particular, we illustrate the present method by presenting analytic expressions for the mean level...

15. Stochastic behavior of cooling processes in hot nuclei

International Nuclear Information System (INIS)

de Oliveira, P.M.; Sa Martins, J.S.; Szanto de Toledo, A.

1997-01-01

The collapse of structure effects observed in hot nuclei is interpreted in terms of a dynamic lattice model which describes the process of nucleon (clusters) evaporation from a hot nucleus, predicting the final mass distribution. Results are compared with experimental data for the 10 B+ 9 Be and 10 B+ 10 B reactions, and indicate that the structures observed in the low-energy mass distributions in both simulation and experiment are a consequence of the competition between the residual interactions and the thermalization dissipative process. As a characteristic feature of complex evolving systems, this competition leads to long term memory during the dissipative path, the observables becoming thus insensitive to the actual microscopic interactions. copyright 1997 The American Physical Society

16. 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.

17. 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.

18. Stochastic Signal Processing for Sound Environment System with Decibel Evaluation and Energy Observation

Directory of Open Access Journals (Sweden)

Akira Ikuta

2014-01-01

Full Text Available In real sound environment system, a specific signal shows various types of probability distribution, and the observation data are usually contaminated by external noise (e.g., background noise of non-Gaussian distribution type. Furthermore, there potentially exist various nonlinear correlations in addition to the linear correlation between input and output time series. Consequently, often the system input and output relationship in the real phenomenon cannot be represented by a simple model using only the linear correlation and lower order statistics. In this study, complex sound environment systems difficult to analyze by using usual structural method are considered. By introducing an estimation method of the system parameters reflecting correlation information for conditional probability distribution under existence of the external noise, a prediction method of output response probability for sound environment systems is theoretically proposed in a suitable form for the additive property of energy variable and the evaluation in decibel scale. The effectiveness of the proposed stochastic signal processing method is experimentally confirmed by applying it to the observed data in sound environment systems.

19. Robust Topology Optimization Based on Stochastic Collocation Methods under Loading Uncertainties

Directory of Open Access Journals (Sweden)

Qinghai Zhao

2015-01-01

Full Text Available A robust topology optimization (RTO approach with consideration of loading uncertainties is developed in this paper. The stochastic collocation method combined with full tensor product grid and Smolyak sparse grid transforms the robust formulation into a weighted multiple loading deterministic problem at the collocation points. The proposed approach is amenable to implementation in existing commercial topology optimization software package and thus feasible to practical engineering problems. Numerical examples of two- and three-dimensional topology optimization problems are provided to demonstrate the proposed RTO approach and its applications. The optimal topologies obtained from deterministic and robust topology optimization designs under tensor product grid and sparse grid with different levels are compared with one another to investigate the pros and cons of optimization algorithm on final topologies, and an extensive Monte Carlo simulation is also performed to verify the proposed approach.

20. Non-fragile ?-? control for discrete-time stochastic nonlinear systems under event-triggered protocols

Science.gov (United States)

Sun, Ying; Ding, Derui; Zhang, Sunjie; Wei, Guoliang; Liu, Hongjian

2018-07-01

In this paper, the non-fragile ?-? control problem is investigated for a class of discrete-time stochastic nonlinear systems under event-triggered communication protocols, which determine whether the measurement output should be transmitted to the controller or not. The main purpose of the addressed problem is to design an event-based output feedback controller subject to gain variations guaranteeing the prescribed disturbance attenuation level described by the ?-? performance index. By utilizing the Lyapunov stability theory combined with S-procedure, a sufficient condition is established to guarantee both the exponential mean-square stability and the ?-? performance for the closed-loop system. In addition, with the help of the orthogonal decomposition, the desired controller parameter is obtained in terms of the solution to certain linear matrix inequalities. Finally, a simulation example is exploited to demonstrate the effectiveness of the proposed event-based controller design scheme.

1. Optimal reducibility of all W states equivalent under stochastic local operations and classical communication

Energy Technology Data Exchange (ETDEWEB)

Rana, Swapan; Parashar, Preeti [Physics and Applied Mathematics Unit, Indian Statistical Institute, 203 BT Road, Kolkata (India)

2011-11-15

We show that all multipartite pure states that are stochastic local operation and classical communication (SLOCC) equivalent to the N-qubit W state can be uniquely determined (among arbitrary states) from their bipartite marginals. We also prove that only (N-1) of the bipartite marginals are sufficient and that this is also the optimal number. Thus, contrary to the Greenberger-Horne-Zeilinger (GHZ) class, W-type states preserve their reducibility under SLOCC. We also study the optimal reducibility of some larger classes of states. The generic Dicke states |GD{sub N}{sup l}> are shown to be optimally determined by their (l+1)-partite marginals. The class of ''G'' states (superposition of W and W) are shown to be optimally determined by just two (N-2)-partite marginals.

2. Reflection Positive Stochastic Processes Indexed by Lie Groups

Science.gov (United States)

Jorgensen, Palle E. T.; Neeb, Karl-Hermann; Ólafsson, Gestur

2016-06-01

Reflection positivity originates from one of the Osterwalder-Schrader axioms for constructive quantum field theory. It serves as a bridge between euclidean and relativistic quantum field theory. In mathematics, more specifically, in representation theory, it is related to the Cartan duality of symmetric Lie groups (Lie groups with an involution) and results in a transformation of a unitary representation of a symmetric Lie group to a unitary representation of its Cartan dual. In this article we continue our investigation of representation theoretic aspects of reflection positivity by discussing reflection positive Markov processes indexed by Lie groups, measures on path spaces, and invariant gaussian measures in spaces of distribution vectors. This provides new constructions of reflection positive unitary representations.

3. Tempered stable distributions stochastic models for multiscale processes

CERN Document Server

Grabchak, Michael

2015-01-01

This brief is concerned with tempered stable distributions and their associated Levy processes. It is a good text for researchers interested in learning about tempered stable distributions.  A tempered stable distribution is one which takes a stable distribution and modifies its tails to make them lighter. The motivation for this class comes from the fact that infinite variance stable distributions appear to provide a good fit to data in a variety of situations, but the extremely heavy tails of these models are not realistic for most real world applications. The idea of using distributions that modify the tails of stable models to make them lighter seems to have originated in the influential paper of Mantegna and Stanley (1994). Since then, these distributions have been extended and generalized in a variety of ways. They have been applied to a wide variety of areas including mathematical finance, biostatistics,computer science, and physics.

4. Reliability and maintenance in European nuclear power plants: A structural analysis of a controlled stochastic process

International Nuclear Information System (INIS)

Sturm, R.

1991-01-01

Two aspects of performance are of main concern: plant availability and plant reliability (defined as the conditional probability of an unplanned shutdown). The goal of the research is a unified framework that combines behavioral models of optimizing agents with models of complex technical systems that take into account the dynamic and stochastic features of the system. In order to achieve this synthesis, two liens of work are necessary. One line requires a deeper understanding of complex production systems and the type of data they give rise to; the other line involves the specification and estimation of a rigorously specified behavioral model. Plant operations are modeled as a controlled stochastic process, and the sequence of up and downtime spells is analyzed during failure time and point process models. Similar to work on rational expectations and structural econometric models, the behavior model of how the plant process is controlled is formulated at the level of basic processes, i.e., the objective function of the plant manager, technical constraints, and stochastic disturbances

5. An adaptive algorithm for simulation of stochastic reaction-diffusion processes

International Nuclear Information System (INIS)

Ferm, Lars; Hellander, Andreas; Loetstedt, Per

2010-01-01

We propose an adaptive hybrid method suitable for stochastic simulation of diffusion dominated reaction-diffusion processes. For such systems, simulation of the diffusion requires the predominant part of the computing time. In order to reduce the computational work, the diffusion in parts of the domain is treated macroscopically, in other parts with the tau-leap method and in the remaining parts with Gillespie's stochastic simulation algorithm (SSA) as implemented in the next subvolume method (NSM). The chemical reactions are handled by SSA everywhere in the computational domain. A trajectory of the process is advanced in time by an operator splitting technique and the timesteps are chosen adaptively. The spatial adaptation is based on estimates of the errors in the tau-leap method and the macroscopic diffusion. The accuracy and efficiency of the method are demonstrated in examples from molecular biology where the domain is discretized by unstructured meshes.

6. Correlation techniques for the improvement of signal-to-noise ratio in measurements with stochastic processes

CERN Document Server

Reddy, V R; Reddy, T G; Reddy, P Y; Reddy, K R

2003-01-01

An AC modulation technique is described to convert stochastic signal variations into an amplitude variation and its retrieval through Fourier analysis. It is shown that this AC detection of signals of stochastic processes when processed through auto- and cross-correlation techniques improve the signal-to-noise ratio; the correlation techniques serve a similar purpose of frequency and phase filtering as that of phase-sensitive detection. A few model calculations applied to nuclear spectroscopy measurements such as Angular Correlations, Mossbauer spectroscopy and Pulse Height Analysis reveal considerable improvement in the sensitivity of signal detection. Experimental implementation of the technique is presented in terms of amplitude variations of harmonics representing the derivatives of normal spectra. Improved detection sensitivity to spectral variations is shown to be significant. These correlation techniques are general and can be made applicable to all the fields of particle counting where measurements ar...

7. Whole-field visual motion drives swimming in larval zebrafish via a stochastic process.

Science.gov (United States)

Portugues, Ruben; Haesemeyer, Martin; Blum, Mirella L; Engert, Florian

2015-05-01

Caudo-rostral whole-field visual motion elicits forward locomotion in many organisms, including larval zebrafish. Here, we investigate the dependence on the latency to initiate this forward swimming as a function of the speed of the visual motion. We show that latency is highly dependent on speed for slow speeds (1.5 s, which is much longer than neuronal transduction processes. What mechanisms underlie these long latencies? We propose two alternative, biologically inspired models that could account for this latency to initiate swimming: an integrate and fire model, which is history dependent, and a stochastic Poisson model, which has no history dependence. We use these models to predict the behavior of larvae when presented with whole-field motion of varying speed and find that the stochastic process shows better agreement with the experimental data. Finally, we discuss possible neuronal implementations of these models. © 2015. Published by The Company of Biologists Ltd.

8. Stationary and related stochastic processes sample function properties and their applications

CERN Document Server

Cramér, Harald

2004-01-01

This graduate-level text offers a comprehensive account of the general theory of stationary processes, with special emphasis on the properties of sample functions. Assuming a familiarity with the basic features of modern probability theory, the text develops the foundations of the general theory of stochastic processes, examines processes with a continuous-time parameter, and applies the general theory to procedures key to the study of stationary processes. Additional topics include analytic properties of the sample functions and the problem of time distribution of the intersections between a

9. Stochastic Optimisation of Battery System Operation Strategy under different Utility Tariff Structures

OpenAIRE

Erdal, Jørgen Sørgård

2017-01-01

This master thesis develops a stochastic optimisation software for household grid-connected batteries combined with PV-systems. The objective of the optimisation is to operate the battery system in order to minimise the costs of the consumer, and it was implemented in MATLAB using a self-written stochastic dynamic programming algorithm. Load was considered as a stochastic variable and modelled as a Markov Chain. Transition probabilities between time steps were calculated using historic load p...

10. Low Variance Couplings for Stochastic Models of Intracellular Processes with Time-Dependent Rate Functions.

Science.gov (United States)

Anderson, David F; Yuan, Chaojie

2018-04-18

A number of coupling strategies are presented for stochastically modeled biochemical processes with time-dependent parameters. In particular, the stacked coupling is introduced and is shown via a number of examples to provide an exceptionally low variance between the generated paths. This coupling will be useful in the numerical computation of parametric sensitivities and the fast estimation of expectations via multilevel Monte Carlo methods. We provide the requisite estimators in both cases.

11. A decision dependent stochastic process model for repairable systems with applications

Directory of Open Access Journals (Sweden)

Paul F. Zantek

2015-12-01

This paper mathematically formalizes the notion of how management actions impact the functioning of a repairable system over time by developing a new stochastic process model for such systems. The proposed model is illustrated using both simulated and real data. The proposed model compares favorably to other models for well-known data on Boeing airplanes. The model is further illustrated and compared to other models on failure time and maintenance data stemming from the South Texas Project nuclear power plant.

12. Model-free stochastic processes studied with q-wavelet-based informational tools

International Nuclear Information System (INIS)

Perez, D.G.; Zunino, L.; Martin, M.T.; Garavaglia, M.; Plastino, A.; Rosso, O.A.

2007-01-01

We undertake a model-free investigation of stochastic processes employing q-wavelet based quantifiers, that constitute a generalization of their Shannon counterparts. It is shown that (i) interesting physical information becomes accessible in such a way (ii) for special q values the quantifiers are more sensitive than the Shannon ones and (iii) there exist an implicit relationship between the Hurst parameter H and q within this wavelet framework

13. Stochastic Interest Model Based on Compound Poisson Process and Applications in Actuarial Science

OpenAIRE

Li, Shilong; Yin, Chuancun; Zhao, Xia; Dai, Hongshuai

2017-01-01

Considering stochastic behavior of interest rates in financial market, we construct a new class of interest models based on compound Poisson process. Different from the references, this paper describes the randomness of interest rates by modeling the force of interest with Poisson random jumps directly. To solve the problem in calculation of accumulated interest force function, one important integral technique is employed. And a conception called the critical value is introduced to investigat...

14. Stochastic processes, optimization, and control theory a volume in honor of Suresh Sethi

CERN Document Server

Yan, Houmin

2006-01-01

This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.

15. Power Laws in Stochastic Processes for Social Phenomena: An Introductory Review

Science.gov (United States)

Kumamoto, Shin-Ichiro; Kamihigashi, Takashi

2018-03-01

Many phenomena with power laws have been observed in various fields of the natural and social sciences, and these power laws are often interpreted as the macro behaviors of systems that consist of micro units. In this paper, we review some basic mathematical mechanisms that are known to generate power laws. In particular, we focus on stochastic processes including the Yule process and the Simon process as well as some recent models. The main purpose of this paper is to explain the mathematical details of their mechanisms in a self-contained manner.

16. A stochastic post-processing method for solar irradiance forecasts derived from NWPs models

Science.gov (United States)

Lara-Fanego, V.; Pozo-Vazquez, D.; Ruiz-Arias, J. A.; Santos-Alamillos, F. J.; Tovar-Pescador, J.

2010-09-01

17. Minimalistic models of the vertical distribution of roots under stochastic hydrological forcing

Science.gov (United States)

Laio, Francesco

2014-05-01

The assessment of the vertical root profile can be useful for multiple purposes: the partition of water fluxes between evaporation and transpiration, the evaluation of root soil reinforcement for bioengineering applications, the influence of roots on biogeochemical and microbial processes in the soil, etc. In water-controlled ecosystems the shape of the root profile is mainly determined by the soil moisture availability at different depths. The long term soil water balance in the root zone can be assessed by modeling the stochastic incoming and outgoing water fluxes, influenced by the stochastic rainfall pulses and/or by the water table fluctuations. Through an ecohydrological analysis one obtains that in water-controlled ecosystems the vertical root distribution is a decreasing function with depth, whose parameters depend on pedologic and climatic factors. The model can be extended to suitably account for the influence of the water table fluctuations, when the water table is shallow enough to exert an influence on root development, in which case the vertical root distribution tends to assume a non-monotonic form. In order to evaluate the validity of the ecohydrological estimation of the root profile we have tested it on a case study in the north of Tuscany (Italy). We have analyzed data from 17 landslide-prone sites: in each of these sites we have assessed the pedologic and climatic descriptors necessary to apply the model, and we have measured the mean rooting depth. The results show a quite good matching between observed and modeled mean root depths. The merit of this minimalistic approach to the modeling of the vertical root distribution relies on the fact that it allows a quantitative estimation of the main features of the vertical root distribution without resorting to time- and money-demanding measuring surveys.

18. Dimension reduction of Karhunen-Loeve expansion for simulation of stochastic processes

Science.gov (United States)

Liu, Zhangjun; Liu, Zixin; Peng, Yongbo

2017-11-01

Conventional Karhunen-Loeve expansions for simulation of stochastic processes often encounter the challenge of dealing with hundreds of random variables. For breaking through the barrier, a random function embedded Karhunen-Loeve expansion method is proposed in this paper. The updated scheme has a similar form to the conventional Karhunen-Loeve expansion, both involving a summation of a series of deterministic orthonormal basis and uncorrelated random variables. While the difference from the updated scheme lies in the dimension reduction of Karhunen-Loeve expansion through introducing random functions as a conditional constraint upon uncorrelated random variables. The random function is expressed as a single-elementary-random-variable orthogonal function in polynomial format (non-Gaussian variables) or trigonometric format (non-Gaussian and Gaussian variables). For illustrative purposes, the simulation of seismic ground motion is carried out using the updated scheme. Numerical investigations reveal that the Karhunen-Loeve expansion with random functions could gain desirable simulation results in case of a moderate sample number, except the Hermite polynomials and the Laguerre polynomials. It has the sound applicability and efficiency in simulation of stochastic processes. Besides, the updated scheme has the benefit of integrating with probability density evolution method, readily for the stochastic analysis of nonlinear structures.

19. An efficient computational method for a stochastic dynamic lot-sizing problem under service-level constraints

NARCIS (Netherlands)

Tarim, S.A.; Ozen, U.; Dogru, M.K.; Rossi, R.

2011-01-01

We provide an efficient computational approach to solve the mixed integer programming (MIP) model developed by Tarim and Kingsman [8] for solving a stochastic lot-sizing problem with service level constraints under the static–dynamic uncertainty strategy. The effectiveness of the proposed method

20. Stochastic response of van der Pol oscillator with two kinds of fractional derivatives under Gaussian white noise excitation

International Nuclear Information System (INIS)

Yang Yong-Ge; Xu Wei; Sun Ya-Hui; Gu Xu-Dong

2016-01-01

This paper aims to investigate the stochastic response of the van der Pol (VDP) oscillator with two kinds of fractional derivatives under Gaussian white noise excitation. First, the fractional VDP oscillator is replaced by an equivalent VDP oscillator without fractional derivative terms by using the generalized harmonic balance technique. Then, the stochastic averaging method is applied to the equivalent VDP oscillator to obtain the analytical solution. Finally, the analytical solutions are validated by numerical results from the Monte Carlo simulation of the original fractional VDP oscillator. The numerical results not only demonstrate the accuracy of the proposed approach but also show that the fractional order, the fractional coefficient and the intensity of Gaussian white noise play important roles in the responses of the fractional VDP oscillator. An interesting phenomenon we found is that the effects of the fractional order of two kinds of fractional derivative items on the fractional stochastic systems are totally contrary. (paper)

1. 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.

2. Contribution to the stochastically studies of space-time dependable hydrological processes

International Nuclear Information System (INIS)

Kjaevski, Ivancho

2002-12-01

One of the fundaments of today's planning and water economy is Science of Hydrology. Science of Hydrology through the history had followed the development of the water management systems. Water management systems, during the time from single-approach evolved to complex and multi purpose systems. The dynamic and development of the today's society contributed for increasing the demand of clean water, and in the same time, the resources of clean water in the nature are reduced. In this kind of conditions, water management systems should resolve problems that are more complicated during managing of water sources. Solving the problems in water management, enable development and applying new methods and technologies in planning and management with water resources and water management systems like: systematical analyses, operational research, hierarchy decisions, expert systems, computer technology etc. Planning and management of water sources needs historical measured data for hydro metrological processes. In our country there are data of hydro metrological processes in period of 50-70, but in some Europe countries there are data more than 100 years. Water economy trends follow the hydro metrological trend research. The basic statistic techniques like sampling, probability distribution function, correlation and regression, are used about one intended and simple water management problems. Solving new problems about water management needs using of space-time stochastic technique, modem mathematical and statistical techniques during simulation and optimization of complex water systems. We need tree phases of development of the techniques to get secure hydrological models: i) Estimate the quality of hydro meteorological data, analyzing of their consistency, and homogeneous; ii) Structural analyze of hydro meteorological processes; iii) Mathematical models for modeling hydro meteorological processes. Very often, the third phase is applied for analyzing and modeling of hydro

3. Assessing the Robustness of Green Infrastructure under Stochastic Design Storms and Climate Change Scenarios

Science.gov (United States)

Chui, T. F. M.; Yang, Y.

2017-12-01

Green infrastructures (GI) have been widely used to mitigate flood risk, improve surface water quality, and to restore predevelopment hydrologic regimes. Commonly-used GI include, bioretention system, porous pavement and green roof, etc. They are normally sized to fulfil different design criteria (e.g. providing certain storage depths, limiting peak surface flow rates) that are formulated for current climate conditions. While GI commonly have long lifespan, the sensitivity of their performance to climate change is however unclear. This study first proposes a method to formulate suitable design criteria to meet different management interests (e.g. different levels of first flush reduction and peak flow reduction). Then typical designs of GI are proposed. In addition, a high resolution stochastic design storm generator using copulas and random cascade model is developed, which is calibrated using recorded rainfall time series. Then, few climate change scenarios are generated by varying the duration and depth of design storms, and changing the parameters of the calibrated storm generator. Finally, the performance of GI with typical designs under the random synthesized design storms are then assessed using numerical modeling. The robustness of the designs is obtained by the comparing their performance in the future scenarios to the current one. This study overall examines the robustness of the current GI design criteria under uncertain future climate conditions, demonstrating whether current GI design criteria should be modified to account for climate change.

4. On a stochastic process associated to non-abelian gauge fields

International Nuclear Information System (INIS)

Vilela Mendes, R.

1989-01-01

A stochastic process is constructed from a ground state measure that generalizes to non-abelian fields the ground state of abelian (free) gauge fields without fermions. Using a latticized version one shows how the process leads to a well-defined quantum theory in the Schroedinger representation. An analysis of the qualitative behaviour of the theory seems to imply a quasi-free behaviour at short distances and a maximally disordered field strength configuration for the low-momentum component of the ground state. Scaling relations for the mass gap are inferred from the theory of small random perturbations of dynamical systems. (orig.)

5. On time-dependent diffusion coefficients arising from stochastic processes with memory

Science.gov (United States)

Carpio-Bernido, M. Victoria; Barredo, Wilson I.; Bernido, Christopher C.

2017-08-01

Time-dependent diffusion coefficients arise from anomalous diffusion encountered in many physical systems such as protein transport in cells. We compare these coefficients with those arising from analysis of stochastic processes with memory that go beyond fractional Brownian motion. Facilitated by the Hida white noise functional integral approach, diffusion propagators or probability density functions (pdf) are obtained and shown to be solutions of modified diffusion equations with time-dependent diffusion coefficients. This should be useful in the study of complex transport processes.

6. SDE decomposition and A-type stochastic interpretation in nonequilibrium processes

Science.gov (United States)

Yuan, Ruoshi; Tang, Ying; Ao, Ping

2017-12-01

An innovative theoretical framework for stochastic dynamics based on the decomposition of a stochastic differential equation (SDE) into a dissipative component, a detailed-balance-breaking component, and a dual-role potential landscape has been developed, which has fruitful applications in physics, engineering, chemistry, and biology. It introduces the A-type stochastic interpretation of the SDE beyond the traditional Ito or Stratonovich interpretation or even the α-type interpretation for multidimensional systems. The potential landscape serves as a Hamiltonian-like function in nonequilibrium processes without detailed balance, which extends this important concept from equilibrium statistical physics to the nonequilibrium region. A question on the uniqueness of the SDE decomposition was recently raised. Our review of both the mathematical and physical aspects shows that uniqueness is guaranteed. The demonstration leads to a better understanding of the robustness of the novel framework. In addition, we discuss related issues including the limitations of an approach to obtaining the potential function from a steady-state distribution.

7. Modelling and predicting electricity consumption in Spain using the stochastic Gamma diffusion process with exogenous factors

International Nuclear Information System (INIS)

Nafidi, A.; Gutiérrez, R.; Gutiérrez-Sánchez, R.; Ramos-Ábalos, E.; El Hachimi, S.

2016-01-01

The aim of this study is to model electric power consumption during a period of economic crisis, characterised by declining gross domestic product. A novel aspect of this study is its use of a Gamma-type diffusion process for short and medium-term forecasting – other techniques that have been used to describe such consumption patterns are not valid in this situation. In this study, we consider a new extension of the stochastic Gamma diffusion process by introducing time functions (exogenous factors) that affect its trend. This extension is defined in terms of Kolmogorov backward and forward equations. After obtaining the transition probability density function and the moments (specifically, the trend function), the inference on the process parameters is obtained by discrete sampling of the sample paths. Finally, this stochastic process is applied to model total net electricity consumption in Spain, when affected by the following set of exogenous factors: Gross Domestic Product (GDP), Gross Fixed Capital Formation (GFCF) and Final Domestic Consumption (FDC). - Highlights: • The aim is modelling and predicting electricity consumption in Spain. • We propose a Gamma-type diffusion process for short and medium-term forecasting. • We compared the fit using diffusion processes with different exogenous factors.

8. Hidden symmetries and equilibrium properties of multiplicative white-noise stochastic processes

Science.gov (United States)

González Arenas, Zochil; Barci, Daniel G.

2012-12-01

Multiplicative white-noise stochastic processes continue to attract attention in a wide area of scientific research. The variety of prescriptions available for defining them makes the development of general tools for their characterization difficult. In this work, we study equilibrium properties of Markovian multiplicative white-noise processes. For this, we define the time reversal transformation for such processes, taking into account that the asymptotic stationary probability distribution depends on the prescription. Representing the stochastic process in a functional Grassmann formalism, we avoid the necessity of fixing a particular prescription. In this framework, we analyze equilibrium properties and study hidden symmetries of the process. We show that, using a careful definition of the equilibrium distribution and taking into account the appropriate time reversal transformation, usual equilibrium properties are satisfied for any prescription. Finally, we present a detailed deduction of a covariant supersymmetric formulation of a multiplicative Markovian white-noise process and study some of the constraints that it imposes on correlation functions using Ward-Takahashi identities.

9. Hidden symmetries and equilibrium properties of multiplicative white-noise stochastic processes

International Nuclear Information System (INIS)

Arenas, Zochil González; Barci, Daniel G

2012-01-01

Multiplicative white-noise stochastic processes continue to attract attention in a wide area of scientific research. The variety of prescriptions available for defining them makes the development of general tools for their characterization difficult. In this work, we study equilibrium properties of Markovian multiplicative white-noise processes. For this, we define the time reversal transformation for such processes, taking into account that the asymptotic stationary probability distribution depends on the prescription. Representing the stochastic process in a functional Grassmann formalism, we avoid the necessity of fixing a particular prescription. In this framework, we analyze equilibrium properties and study hidden symmetries of the process. We show that, using a careful definition of the equilibrium distribution and taking into account the appropriate time reversal transformation, usual equilibrium properties are satisfied for any prescription. Finally, we present a detailed deduction of a covariant supersymmetric formulation of a multiplicative Markovian white-noise process and study some of the constraints that it imposes on correlation functions using Ward–Takahashi identities. (paper)

10. Stochastic analysis for Poisson point processes Malliavin calculus, Wiener-Itô chaos expansions and stochastic geometry

CERN Document Server

Peccati, Giovanni

2016-01-01

Stochastic geometry is the branch of mathematics that studies geometric structures associated with random configurations, such as random graphs, tilings and mosaics. Due to its close ties with stereology and spatial statistics, the results in this area are relevant for a large number of important applications, e.g. to the mathematical modeling and statistical analysis of telecommunication networks, geostatistics and image analysis. In recent years – due mainly to the impetus of the authors and their collaborators – a powerful connection has been established between stochastic geometry and the Malliavin calculus of variations, which is a collection of probabilistic techniques based on the properties of infinite-dimensional differential operators. This has led in particular to the discovery of a large number of new quantitative limit theorems for high-dimensional geometric objects. This unique book presents an organic collection of authoritative surveys written by the principal actors in this rapidly evolvi...

11. Stochastic temperature and the Nicolai map

International Nuclear Information System (INIS)

Hueffel, H.

1989-01-01

Just as standard temperature can be related to the time coordinate of Euclidean space, a new concept of 'stochastic temperature' may be introduced by associating it to the Parisi-Wu time of stochastic quantization. The perturbative equilibrium limit for a self-interacting scalar field is studied, and a 'thermal' mass shift to one loop is shown. In addition one may interpret the underlying stochastic process as a Nicolai map at nonzero 'temperature'. 22 refs. (Author)

12. Trickle or clumped infection process? A stochastic model for the infection process of the parasitic roundworm of humans, Ascaris lumbricoides.

Science.gov (United States)

Walker, Martin; Hall, Andrew; Basáñez, María-Gloria

2010-10-01

The importance of the mode of acquisition of infectious stages of directly-transmitted parasitic helminths has been acknowledged in population dynamics models; hosts may acquire eggs/larvae singly in a "trickle" type manner or in "clumps". Such models have shown that the mode of acquisition influences the distribution and dynamics of parasite loads, the stability of host-parasite systems and the rate of emergence of anthelmintic resistance, yet very few field studies have allowed these questions to be explored with empirical data. We have analysed individual worm weight data for the parasitic roundworm of humans, Ascaris lumbricoides, collected from a three-round chemo-expulsion study in Dhaka, Bangladesh, with the aim of discerning whether a trickle or a clumped infection process predominates. We found that hosts tend to harbour female worms of a similar weight, indicative of a clumped infection process, but acknowledged that unmeasured host heterogeneities (random effects) could not be completely excluded as a cause. Here, we complement our previous statistical analyses using a stochastic infection model to simulate sizes of individual A. lumbricoides infecting a population of humans. We use the intraclass correlation coefficient (ICC) as a quantitative measure of similarity among simulated worm sizes and explore the behaviour of this statistic under assumptions corresponding to trickle or clumped infections and unmeasured host heterogeneities. We confirm that both mechanisms are capable of generating aggregates of similar-sized worms, but that the particular pattern of ICCs described pre- and post-anthelmintic treatment in the data is more consistent with aggregation generated by clumped infections than by host heterogeneities alone. This provides support to the notion that worms may be acquired in clumps. We discuss our results in terms of the population biology of A. lumbricoides and highlight the significance of our modelling approach for the study of the

13. Stochastic interest model driven by compound Poisson process andBrownian motion with applications in life contingencies

Directory of Open Access Journals (Sweden)

Shilong Li

2018-03-01

Full Text Available In this paper, we introduce a class of stochastic interest model driven by a compoundPoisson process and a Brownian motion, in which the jumping times of force of interest obeyscompound Poisson process and the continuous tiny fluctuations are described by Brownian motion, andthe adjustment in each jump of interest force is assumed to be random. Based on the proposed interestmodel, we discuss the expected discounted function, the validity of the model and actuarial presentvalues of life annuities and life insurances under different parameters and distribution settings. Ournumerical results show actuarial values could be sensitive to the parameters and distribution settings,which shows the importance of introducing this kind interest model.

14. Modelling of diesel spray flame under engine-like conditions using an accelerated eulerian stochastic fields method: A convergence study of the number of stochastic fields

DEFF Research Database (Denmark)

Pang, Kar Mun; Jangi, Mehdi; Bai, X.-S.

generated similar results. The principal motivation for ESF compared to Lagrangian particle based PDF is the relative ease of implementation of the former into Eulerian computational fluid dynamics(CFD) codes [5]. Several works have attempted to implement the ESF model for the simulations of diesel spray......The use of transported Probability Density Function(PDF) methods allows a single model to compute the autoignition, premixed mode and diffusion flame of diesel combustion under engine-like conditions [1,2]. The Lagrangian particle based transported PDF models have been validated across a wide range...... combustion under engine-like conditions.The current work aims to further evaluate the performance of the ESF model in this application, with an emphasis on examining the convergence of the number of stochastic fields, nsf. Five test conditions, covering both the conventional diesel combustion and low...

15. Modeling delay in genetic networks: from delay birth-death processes to delay stochastic differential equations.

Science.gov (United States)

Gupta, Chinmaya; López, José Manuel; Azencott, Robert; Bennett, Matthew R; Josić, Krešimir; Ott, William

2014-05-28

Delay is an important and ubiquitous aspect of many biochemical processes. For example, delay plays a central role in the dynamics of genetic regulatory networks as it stems from the sequential assembly of first mRNA and then protein. Genetic regulatory networks are therefore frequently modeled as stochastic birth-death processes with delay. Here, we examine the relationship between delay birth-death processes and their appropriate approximating delay chemical Langevin equations. We prove a quantitative bound on the error between the pathwise realizations of these two processes. Our results hold for both fixed delay and distributed delay. Simulations demonstrate that the delay chemical Langevin approximation is accurate even at moderate system sizes. It captures dynamical features such as the oscillatory behavior in negative feedback circuits, cross-correlations between nodes in a network, and spatial and temporal information in two commonly studied motifs of metastability in biochemical systems. Overall, these results provide a foundation for using delay stochastic differential equations to approximate the dynamics of birth-death processes with delay.

16. Modeling delay in genetic networks: From delay birth-death processes to delay stochastic differential equations

Energy Technology Data Exchange (ETDEWEB)

Gupta, Chinmaya; López, José Manuel; Azencott, Robert; Ott, William [Department of Mathematics, University of Houston, Houston, Texas 77004 (United States); Bennett, Matthew R. [Department of Biochemistry and Cell Biology, Rice University, Houston, Texas 77204, USA and Institute of Biosciences and Bioengineering, Rice University, Houston, Texas 77005 (United States); Josić, Krešimir [Department of Mathematics, University of Houston, Houston, Texas 77004 (United States); Department of Biology and Biochemistry, University of Houston, Houston, Texas 77204 (United States)

2014-05-28

Delay is an important and ubiquitous aspect of many biochemical processes. For example, delay plays a central role in the dynamics of genetic regulatory networks as it stems from the sequential assembly of first mRNA and then protein. Genetic regulatory networks are therefore frequently modeled as stochastic birth-death processes with delay. Here, we examine the relationship between delay birth-death processes and their appropriate approximating delay chemical Langevin equations. We prove a quantitative bound on the error between the pathwise realizations of these two processes. Our results hold for both fixed delay and distributed delay. Simulations demonstrate that the delay chemical Langevin approximation is accurate even at moderate system sizes. It captures dynamical features such as the oscillatory behavior in negative feedback circuits, cross-correlations between nodes in a network, and spatial and temporal information in two commonly studied motifs of metastability in biochemical systems. Overall, these results provide a foundation for using delay stochastic differential equations to approximate the dynamics of birth-death processes with delay.

17. Modeling delay in genetic networks: From delay birth-death processes to delay stochastic differential equations

International Nuclear Information System (INIS)

Gupta, Chinmaya; López, José Manuel; Azencott, Robert; Ott, William; Bennett, Matthew R.; Josić, Krešimir

2014-01-01

Delay is an important and ubiquitous aspect of many biochemical processes. For example, delay plays a central role in the dynamics of genetic regulatory networks as it stems from the sequential assembly of first mRNA and then protein. Genetic regulatory networks are therefore frequently modeled as stochastic birth-death processes with delay. Here, we examine the relationship between delay birth-death processes and their appropriate approximating delay chemical Langevin equations. We prove a quantitative bound on the error between the pathwise realizations of these two processes. Our results hold for both fixed delay and distributed delay. Simulations demonstrate that the delay chemical Langevin approximation is accurate even at moderate system sizes. It captures dynamical features such as the oscillatory behavior in negative feedback circuits, cross-correlations between nodes in a network, and spatial and temporal information in two commonly studied motifs of metastability in biochemical systems. Overall, these results provide a foundation for using delay stochastic differential equations to approximate the dynamics of birth-death processes with delay

18. Stochastic Lot-Sizing under Carbon Emission Control for Profit Optimisation in MTO Manufacturing

Directory of Open Access Journals (Sweden)

Qiao A.

2017-01-01

Full Text Available Aggravating global warming has heightened the imminent need by the world to step up forceful efforts on curbing emission of greenhouse gases. Although manufacturing is a major resource of carbon emission, few research works have studied the impacts of carbon constraints on manufacturing, leading to environmentally unsustainable production strategies and operations. This paper incorporates carbon emission management into production planning for make-to-order (MTO manufacturing. This paper proposes a model that solves lot-sizing problems to maximise profits under carbon emission caps. The model adopts stochastic interarrival times for customer orders to enhance the practicality of the results for real-world manufacturing. Numerical experiments show that reducing carbon emission undercuts short-term profits of a company. However, it is conducive to the company’s market image as being socially responsible which would attract more customers who concern about environmental protection. Hence, reducing carbon emission in manufacturing is beneficial to long-term profitability and sustainability. The results provide managerial insights into manufacture operations for balancing profitability and carbon control.

19. Universal phase transition in community detectability under a stochastic block model.

Science.gov (United States)

Chen, Pin-Yu; Hero, Alfred O

2015-03-01

We prove the existence of an asymptotic phase-transition threshold on community detectability for the spectral modularity method [M. E. J. Newman, Phys. Rev. E 74, 036104 (2006) and Proc. Natl. Acad. Sci. (USA) 103, 8577 (2006)] under a stochastic block model. The phase transition on community detectability occurs as the intercommunity edge connection probability p grows. This phase transition separates a subcritical regime of small p, where modularity-based community detection successfully identifies the communities, from a supercritical regime of large p where successful community detection is impossible. We show that, as the community sizes become large, the asymptotic phase-transition threshold p* is equal to √[p1p2], where pi(i=1,2) is the within-community edge connection probability. Thus the phase-transition threshold is universal in the sense that it does not depend on the ratio of community sizes. The universal phase-transition phenomenon is validated by simulations for moderately sized communities. Using the derived expression for the phase-transition threshold, we propose an empirical method for estimating this threshold from real-world data.

20. Monthly Optimal Reservoirs Operation for Multicrop Deficit Irrigation under Fuzzy Stochastic Uncertainties

Directory of Open Access Journals (Sweden)

Liudong Zhang

2014-01-01

Full Text Available An uncertain monthly reservoirs operation and multicrop deficit irrigation model was proposed under conjunctive use of underground and surface water for water resources optimization management. The objective is to maximize the total crop yield of the entire irrigation districts. Meanwhile, ecological water remained for the downstream demand. Because of the shortage of water resources, the monthly crop water production function was adopted for multiperiod deficit irrigation management. The model reflects the characteristics of water resources repetitive transformation in typical inland rivers irrigation system. The model was used as an example for water resources optimization management in Shiyang River Basin, China. Uncertainties in reservoir management shown as fuzzy probability were treated through chance-constraint parameter for decision makers. Necessity of dominance (ND was used to analyse the advantages of the method. The optimization results including reservoirs real-time operation policy, deficit irrigation management, and the available water resource allocation could be used to provide decision support for local irrigation management. Besides, the strategies obtained could help with the risk analysis of reservoirs operation stochastically.

1. Delay-induced stochastic bifurcations in a bistable system under white noise

International Nuclear Information System (INIS)

Sun, Zhongkui; Fu, Jin; Xu, Wei; Xiao, Yuzhu

2015-01-01

In this paper, the effects of noise and time delay on stochastic bifurcations are investigated theoretically and numerically in a time-delayed Duffing-Van der Pol oscillator subjected to white noise. Due to the time delay, the random response is not Markovian. Thereby, approximate methods have been adopted to obtain the Fokker-Planck-Kolmogorov equation and the stationary probability density function for amplitude of the response. Based on the knowledge that stochastic bifurcation is characterized by the qualitative properties of the steady-state probability distribution, it is found that time delay and feedback intensity as well as noise intensity will induce the appearance of stochastic P-bifurcation. Besides, results demonstrated that the effects of the strength of the delayed displacement feedback on stochastic bifurcation are accompanied by the sensitive dependence on time delay. Furthermore, the results from numerical simulations best confirm the effectiveness of the theoretical analyses

2. Delay-induced stochastic bifurcations in a bistable system under white noise

Energy Technology Data Exchange (ETDEWEB)

Sun, Zhongkui, E-mail: sunzk@nwpu.edu.cn; Fu, Jin; Xu, Wei [Department of Applied Mathematics, Northwestern Polytechnical University, Xi' an 710072 (China); Xiao, Yuzhu [Department of Mathematics and Information Science, Chang' an University, Xi' an 710086 (China)

2015-08-15

In this paper, the effects of noise and time delay on stochastic bifurcations are investigated theoretically and numerically in a time-delayed Duffing-Van der Pol oscillator subjected to white noise. Due to the time delay, the random response is not Markovian. Thereby, approximate methods have been adopted to obtain the Fokker-Planck-Kolmogorov equation and the stationary probability density function for amplitude of the response. Based on the knowledge that stochastic bifurcation is characterized by the qualitative properties of the steady-state probability distribution, it is found that time delay and feedback intensity as well as noise intensity will induce the appearance of stochastic P-bifurcation. Besides, results demonstrated that the effects of the strength of the delayed displacement feedback on stochastic bifurcation are accompanied by the sensitive dependence on time delay. Furthermore, the results from numerical simulations best confirm the effectiveness of the theoretical analyses.

3. An Individual-Based Diploid Model Predicts Limited Conditions Under Which Stochastic Gene Expression Becomes Advantageous

KAUST Repository

Matsumoto, Tomotaka; Mineta, Katsuhiko; Osada, Naoki; Araki, Hitoshi

2015-01-01

Recent studies suggest the existence of a stochasticity in gene expression (SGE) in many organisms, and its non-negligible effect on their phenotype and fitness. To date, however, how SGE affects the key parameters of population genetics

4. Stochastic resonance in a periodic potential system under a constant force

International Nuclear Information System (INIS)

Hu Gang.

1992-10-01

An overdamped particle moving in a periodic potential, and subject to a constant force and a stochastic force (i.e., χ = -sin(2πχ) + B + Γ(t),Γ(t) is a white noise) is considered. The mobility of the particle, d /dt, is investigated. The stochastic resonance type of behaviour is revealed. The study of the SR problem can thus be extended to systems with periodic force. (author). 13 refs

5. An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve

Directory of Open Access Journals (Sweden)

Tristan Guillaume

2016-01-01

Full Text Available This paper shows how to value multiasset options analytically in a modeling framework that combines both continuous and discontinuous variations in the underlying equity or foreign exchange processes and a stochastic, two-factor yield curve. All correlations are taken into account, between the factors driving the yield curve, between fixed income and equity as asset classes, and between the individual equity assets themselves. The valuation method is applied to three of the most popular two-asset options.

6. Stochastic Processes and Queueing Theory used in Cloud Computer Performance Simulations

Directory of Open Access Journals (Sweden)

Florin-Catalin ENACHE

2015-10-01

Full Text Available The growing character of the cloud business has manifested exponentially in the last 5 years. The capacity managers need to concentrate on a practical way to simulate the random demands a cloud infrastructure could face, even if there are not too many mathematical tools to simulate such demands.This paper presents an introduction into the most important stochastic processes and queueing theory concepts used for modeling computer performance. Moreover, it shows the cases where such concepts are applicable and when not, using clear programming examples on how to simulate a queue, and how to use and validate a simulation, when there are no mathematical concepts to back it up.

7. The ‘hit’ phenomenon: a mathematical model of human dynamics interactions as a stochastic process

Science.gov (United States)

Ishii, Akira; Arakaki, Hisashi; Matsuda, Naoya; Umemura, Sanae; Urushidani, Tamiko; Yamagata, Naoya; Yoshida, Narihiko

2012-06-01

A mathematical model for the ‘hit’ phenomenon in entertainment within a society is presented as a stochastic process of human dynamics interactions. The model uses only the advertisement budget time distribution as an input, and word-of-mouth (WOM), represented by posts on social network systems, is used as data to make a comparison with the calculated results. The unit of time is days. The WOM distribution in time is found to be very close to the revenue distribution in time. Calculations for the Japanese motion picture market based on the mathematical model agree well with the actual revenue distribution in time.

8. Poisson Stochastic Process and Basic Schauder and Sobolev Estimates in the Theory of Parabolic Equations

Science.gov (United States)

Krylov, N. V.; Priola, E.

2017-09-01

We show, among other things, how knowing Schauder or Sobolev-space estimates for the one-dimensional heat equation allows one to derive their multidimensional analogs for equations with coefficients depending only on the time variable with the same constants as in the case of the one-dimensional heat equation. The method is quite general and is based on using the Poisson stochastic process. It also applies to equations involving non-local operators. It looks like no other methods are available at this time and it is a very challenging problem to find a purely analytical approach to proving such results.

9. Deterministic and stochastic analysis of alternative climate targets under differentiated cooperation regimes

International Nuclear Information System (INIS)

Loulou, Richard; Labriet, Maryse; Kanudia, Amit

2009-01-01

This article analyzes the feasibility of attaining a variety of climate targets during the 21st century, under alternative cooperation regimes by groups of countries. Five climate targets of increasing severity are analyzed, following the EMF-22 experiment. Each target is attempted under two cooperation regimes, a First Best scenario where all countries fully cooperate from 2012 on, and a Second Best scenario where the World is partitioned into three groups, and each group of countries enters the cooperation at a different date, and implement emission abatement actions in a progressive manner, once in the coalition. The resulting ten combinations are simulated via the ETSAP-TIAM technology based, integrated assessment model. In addition to the 10 separate case analyses, the article proposes a probabilistic treatment of three targets under the First Best scenario, and shows that the three forcing targets may in fact be interpreted as a single target on global temperature change, while assuming that the climate sensitivity C s is uncertain. It is shown that such an interpretation is possible only if the probability distribution of C s is carefully chosen. The analysis of the results shows that the lowest forcing level is unattainable unless immediate coordinated action is undertaken by all countries, and even so only at a high global cost. The middle and the high forcing levels are feasible at affordable global costs, even under the Second Best scenario. Another original contribution of this article is to explain why certain combinations of technological choices are made by the model, and in particular why the climate target clearly supersedes the usually accepted objective of improving energy efficiency. The analysis shows that under some climate targets, it is not optimal to improve energy efficiency, but rather to take advantage of certain technologies that help to reach the climate objective, but that happen to be less energy efficient than even the technologies

10. Extinction of canid populations by inbreeding depression under stochastic environments in Southwestern Goiás State: a simulation study

Directory of Open Access Journals (Sweden)

Flávia Melo Rodrigues

2007-01-01

Full Text Available A frequently addressed question in conservation biology is what is the chance of survival for a population for a given number of years under certain conditions of habitat loss and human activities. This can be estimated through an integrated analysis of genetic, demographic and landscape processes, which allows the prediction of more realistic and precise models of population persistence. In this study, we modeled extinction in stochastic environments under inbreeding depression for two canid species, the maned wolf (Chrysocyon brachiurus and the crab-eating fox (Cerdocyon thous, in southwest Goiás State. Genetic parameters were obtained from six microsattelite loci (Short Tandem Repeats - STR, which allowed estimates of inbreeding levels and of the effective population size under a stepwise mutation model based on heterozygosis. The simulations included twelve alternative scenarios with varying rates of habitat loss, magnitude of population fluctuation and initial inbreeding levels. ANOVA analyses of the simulation results showed that times to extinction were better explained by demographic parameters. Times to extinction ranged from 352 to 844, in the worst and best scenario, respectively, for the large-bodied maned wolf. For the small-bodied crab-eating fox, these same estimates were 422 and 974 years. Simulations results are within the expectation based on knowledge about species' life history, genetics and demography. They suggest that populations can persist through a reasonable time (i.e., more than 200 years even under the worst demographic scenario. Our analyses are a starting point for a more focused evaluation of persistence in these populations. Our results can be used in future research aiming at obtaining better estimates of parameters that may, in turn, be used to achieve more appropriate and realist population viability models at a regional scale.

11. Analysis methods of stochastic transient electro–magnetic processes in electric traction system

Directory of Open Access Journals (Sweden)

T. M. Mishchenko

2013-04-01

Full Text Available Purpose. The essence and basic characteristics of calculation methods of transient electromagnetic processes in the elements and devices of non–linear dynamic electric traction systems taking into account the stochastic changes of voltages and currents in traction networks of power supply subsystem and power circuits of electric rolling stock are developed. Methodology. Classical methods and the methods of non–linear electric engineering, as well as probability theory method, especially the methods of stationary ergodic and non–stationary stochastic processes application are used in the research. Findings. Using the above-mentioned methods an equivalent circuit and the system of nonlinear integra–differential equations for electromagnetic condition of the double–track inter-substation zone of alternating current electric traction system are drawn up. Calculations allow obtaining electric traction current distribution in the areas of feeder zones. Originality. First of all the paper is interesting and important from scientific point of view due to the methods, which allow taking into account probabilistic character of change for traction voltages and electric traction system currents. On the second hand the researches develop the most efficient methods of nonlinear circuits’ analysis. Practical value. The practical value of the research is presented in application of the methods to the analysis of electromagnetic and electric energy processes in the traction power supply system in the case of high-speed train traffic.

12. Strategic WIP Inventory Positioning for Make-to-Order Production with Stochastic Processing Times

Directory of Open Access Journals (Sweden)

Jingjing Jiang

2017-01-01

Full Text Available It is vital for make-to-order manufacturers to shorten the lead time to meet the customers’ requirements. Holding work-in-process (WIP inventory at more stations can reduce the lead time, but it also brings about higher inventory holding cost. Therefore, it is important to seek out the optimal set of stations to hold WIP inventory to minimize the total inventory holding cost, while meeting the required due date for the final product at the same time. Since the problem with deterministic processing times at the stations has been addressed, as a natural extension, in this study, we address the problem with stochastic processing times, which is more realistic in the manufacturing environment. Assuming that the processing times follow normal distributions, we propose a solution procedure using genetic algorithm.

13. Superior memory efficiency of quantum devices for the simulation of continuous-time stochastic processes

Science.gov (United States)

Elliott, Thomas J.; Gu, Mile

2018-03-01

Continuous-time stochastic processes pervade everyday experience, and the simulation of models of these processes is of great utility. Classical models of systems operating in continuous-time must typically track an unbounded amount of information about past behaviour, even for relatively simple models, enforcing limits on precision due to the finite memory of the machine. However, quantum machines can require less information about the past than even their optimal classical counterparts to simulate the future of discrete-time processes, and we demonstrate that this advantage extends to the continuous-time regime. Moreover, we show that this reduction in the memory requirement can be unboundedly large, allowing for arbitrary precision even with a finite quantum memory. We provide a systematic method for finding superior quantum constructions, and a protocol for analogue simulation of continuous-time renewal processes with a quantum machine.

14. An inexact mixed risk-aversion two-stage stochastic programming model for water resources management under uncertainty.

Science.gov (United States)

Li, W; Wang, B; Xie, Y L; Huang, G H; Liu, L

2015-02-01

Uncertainties exist in the water resources system, while traditional two-stage stochastic programming is risk-neutral and compares the random variables (e.g., total benefit) to identify the best decisions. To deal with the risk issues, a risk-aversion inexact two-stage stochastic programming model is developed for water resources management under uncertainty. The model was a hybrid methodology of interval-parameter programming, conditional value-at-risk measure, and a general two-stage stochastic programming framework. The method extends on the traditional two-stage stochastic programming method by enabling uncertainties presented as probability density functions and discrete intervals to be effectively incorporated within the optimization framework. It could not only provide information on the benefits of the allocation plan to the decision makers but also measure the extreme expected loss on the second-stage penalty cost. The developed model was applied to a hypothetical case of water resources management. Results showed that that could help managers generate feasible and balanced risk-aversion allocation plans, and analyze the trade-offs between system stability and economy.

15. Fuzzy Stochastic Unit Commitment Model with Wind Power and Demand Response under Conditional Value-At-Risk Assessment

Directory of Open Access Journals (Sweden)

Jiafu Yin

2018-02-01

Full Text Available With the increasing penetration of wind power and demand response integrated into the grid, the combined uncertainties from wind power and demand response have been a challenging concern for system operators. It is necessary to develop an approach to accommodate the combined uncertainties in the source side and load side. In this paper, the fuzzy stochastic conditional value-at-risk criterions are proposed as the risk measure of the combination of both wind power uncertainty and demand response uncertainty. To improve the computational tractability without sacrificing the accuracy, the fuzzy stochastic chance-constrained goal programming is proposed to transfer the fuzzy stochastic conditional value-at-risk to a deterministic equivalent. The operational risk of forecast error under fuzzy stochastic conditional value-at-risk assessment is represented by the shortage of reserve resource, which can be further divided into the load-shedding risk and the wind curtailment risk. To identify different priority levels for the different objective functions, the three-stage day-ahead unit commitment model is proposed through preemptive goal programming, in which the reliability requirement has the priority over the economic operation. Finally, a case simulation is performed on the IEEE 39-bus system to verify the effectiveness and efficiency of the proposed model.

16. Stochastic Funding of a Defined Contribution Pension Plan with Proportional Administrative Costs and Taxation under Mean-Variance Optimization Approach

Directory of Open Access Journals (Sweden)

Charles I Nkeki

2014-11-01

Full Text Available This paper aim at studying a mean-variance portfolio selection problem with stochastic salary, proportional administrative costs and taxation in the accumulation phase of a defined contribution (DC pension scheme. The fund process is subjected to taxation while the contribution of the pension plan member (PPM is tax exempt. It is assumed that the flow of contributions of a PPM are invested into a market that is characterized by a cash account and a stock. The optimal portfolio processes and expected wealth for the PPM are established. The efficient and parabolic frontiers of a PPM portfolios in mean-variance are obtained. It was found that capital market line can be attained when initial fund and the contribution rate are zero. It was also found that the optimal portfolio process involved an inter-temporal hedging term that will offset any shocks to the stochastic salary of the PPM.

17. Stochastic process of pragmatic information for 2D spiral wave turbulence in globally and locally coupled Alief-Panfilov oscillators

Science.gov (United States)

Kuwahara, Jun; Miyata, Hajime; Konno, Hidetoshi

2017-09-01

Recently, complex dynamics of globally coupled oscillators have been attracting many researcher's attentions. In spite of their numerous studies, their features of nonlinear oscillator systems with global and local couplings in two-dimension (2D) are not understood fully. The paper focuses on 2D states of coherent, clustered and chaotic oscillation especially under the effect of negative global coupling (NGC) in 2D Alief-Panfilov model. It is found that the tuning NGC can cause various new coupling-parameter dependency on the features of oscillations. Then quantitative characterization of various states of oscillations (so called spiral wave turbulence) is examined by using the pragmatic information (PI) which have been utilized in analyzing multimode laser, solar activity and neuronal systems. It is demonstrated that the dynamics of the PI for various oscillations can be characterized successfully by the Hyper-Gamma stochastic process.

18. Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach

International Nuclear Information System (INIS)

Ferrari, Giorgio; Riedel, Frank; Steg, Jan-Henrik

2017-01-01

In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their expected utility allocating initial wealth over a given time period between private consumption and irreversible contributions to increase the level of some public good. We investigate the corresponding social planner problem and the case of strategic interaction between the agents, i.e. the public good contribution game. We show existence and uniqueness of the social planner’s optimal policy, we characterize it by necessary and sufficient stochastic Kuhn–Tucker conditions and we provide its expression in terms of the unique optional solution of a stochastic backward equation. Similar stochastic first order conditions prove to be very useful for studying any Nash equilibria of the public good contribution game. In the symmetric case they allow us to prove (qualitative) uniqueness of the Nash equilibrium, which we again construct as the unique optional solution of a stochastic backward equation. We finally also provide a detailed analysis of the so-called free rider effect.

19. Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach

Energy Technology Data Exchange (ETDEWEB)

Ferrari, Giorgio, E-mail: giorgio.ferrari@uni-bielefeld.de; Riedel, Frank, E-mail: frank.riedel@uni-bielefeld.de; Steg, Jan-Henrik, E-mail: jsteg@uni-bielefeld.de [Bielefeld University, Center for Mathematical Economics (Germany)

2017-06-15

In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their expected utility allocating initial wealth over a given time period between private consumption and irreversible contributions to increase the level of some public good. We investigate the corresponding social planner problem and the case of strategic interaction between the agents, i.e. the public good contribution game. We show existence and uniqueness of the social planner’s optimal policy, we characterize it by necessary and sufficient stochastic Kuhn–Tucker conditions and we provide its expression in terms of the unique optional solution of a stochastic backward equation. Similar stochastic first order conditions prove to be very useful for studying any Nash equilibria of the public good contribution game. In the symmetric case they allow us to prove (qualitative) uniqueness of the Nash equilibrium, which we again construct as the unique optional solution of a stochastic backward equation. We finally also provide a detailed analysis of the so-called free rider effect.

20. Generalized stochastic target problems for pricing and partial hedging under loss constraints - Application in optimal book liquidation

OpenAIRE

Bouchard , Bruno; Dang , Ngoc Minh

2013-01-01

International audience; We consider a singular with state constraints version of the stochastic target problems studied in Soner and Touzi (2002) and more recently Bouchard, Elie and Touzi (2008), among others. This provides a general framework for the pricing of contingent claims under risk constraints. Our extended version perfectly suits to market models with proportional transaction costs and to order book liquidation issues. Our main result is a PDE characterization of the associated pri...

OpenAIRE

Yan, Donghuang; Luo, Yuan; Yuan, Ming; Lu, Naiwei

2017-01-01

Bridges are vulnerable to the fatigue damage accumulation caused by traffic loading over the service period. A continuous growth in both the vehicle weight and the traffic volume may cause a safety hazard to existing bridges. This study presented a computational framework for probabilistic modeling of the fatigue damage accumulation of short to medium span bridges under actual traffic loading. Stochastic truck-load models were simulated based on site-specific weigh-in-motion measurements. A r...

2. Stochastic and Deterministic Models for the Metastatic Emission Process: Formalisms and Crosslinks.

Science.gov (United States)

Gomez, Christophe; Hartung, Niklas

2018-01-01

Although the detection of metastases radically changes prognosis of and treatment decisions for a cancer patient, clinically undetectable micrometastases hamper a consistent classification into localized or metastatic disease. This chapter discusses mathematical modeling efforts that could help to estimate the metastatic risk in such a situation. We focus on two approaches: (1) a stochastic framework describing metastatic emission events at random times, formalized via Poisson processes, and (2) a deterministic framework describing the micrometastatic state through a size-structured density function in a partial differential equation model. Three aspects are addressed in this chapter. First, a motivation for the Poisson process framework is presented and modeling hypotheses and mechanisms are introduced. Second, we extend the Poisson model to account for secondary metastatic emission. Third, we highlight an inherent crosslink between the stochastic and deterministic frameworks and discuss its implications. For increased accessibility the chapter is split into an informal presentation of the results using a minimum of mathematical formalism and a rigorous mathematical treatment for more theoretically interested readers.

3. Simulation of multivariate stationary stochastic processes using dimension-reduction representation methods

Science.gov (United States)

Liu, Zhangjun; Liu, Zenghui; Peng, Yongbo

2018-03-01

In view of the Fourier-Stieltjes integral formula of multivariate stationary stochastic processes, a unified formulation accommodating spectral representation method (SRM) and proper orthogonal decomposition (POD) is deduced. By introducing random functions as constraints correlating the orthogonal random variables involved in the unified formulation, the dimension-reduction spectral representation method (DR-SRM) and the dimension-reduction proper orthogonal decomposition (DR-POD) are addressed. The proposed schemes are capable of representing the multivariate stationary stochastic process with a few elementary random variables, bypassing the challenges of high-dimensional random variables inherent in the conventional Monte Carlo methods. In order to accelerate the numerical simulation, the technique of Fast Fourier Transform (FFT) is integrated with the proposed schemes. For illustrative purposes, the simulation of horizontal wind velocity field along the deck of a large-span bridge is proceeded using the proposed methods containing 2 and 3 elementary random variables. Numerical simulation reveals the usefulness of the dimension-reduction representation methods.

4. Analysis and Prediction on Vehicle Ownership Based on an Improved Stochastic Gompertz Diffusion Process

Directory of Open Access Journals (Sweden)

Huapu Lu

2017-01-01

Full Text Available This paper aims at introducing a new improved stochastic differential equation related to Gompertz curve for the projection of vehicle ownership growth. This diffusion model explains the relationship between vehicle ownership and GDP per capita, which has been studied as a Gompertz-like function before. The main innovations of the process lie in two parts: by modifying the deterministic part of the original Gompertz equation, the model can present the remaining slow increase when the S-shaped curve has reached its saturation level; by introducing the stochastic differential equation, the model can better fit the real data when there are fluctuations. Such comparisons are carried out based on data from US, UK, Japan, and Korea with a time span of 1960–2008. It turns out that the new process behaves better in fitting curves and predicting short term growth. Finally, a prediction of Chinese vehicle ownership up to 2025 is presented with the new model, as China is on the initial stage of motorization with much fluctuations in growth.

5. The development of stochastic process modeling through risk analysis derived from scheduling of NPP project

International Nuclear Information System (INIS)

Lee, Kwang Ho; Roh, Myung Sub

2013-01-01

There are so many different factors to consider when constructing a nuclear power plant successfully from planning to decommissioning. According to PMBOK, all projects have nine domains from a holistic project management perspective. They are equally important to all projects, however, this study focuses mostly on the processes required to manage timely completion of the project and conduct risk management. The overall objective of this study is to let you know what the risk analysis derived from scheduling of NPP project is, and understand how to implement the stochastic process modeling through risk management. Building the Nuclear Power Plant is required a great deal of time and fundamental knowledge related to all engineering. That means that integrated project scheduling management with so many activities is necessary and very important. Simulation techniques for scheduling of NPP project using Open Plan program, Crystal Ball program, and Minitab program can be useful tools for designing optimal schedule planning. Thus far, Open Plan and Monte Carlo programs have been used to calculate the critical path for scheduling network analysis. And also, Minitab program has been applied to monitor the scheduling risk. This approach to stochastic modeling through risk analysis of project activities is very useful for optimizing the schedules of activities using Critical Path Method and managing the scheduling control of NPP project. This study has shown new approach to optimal scheduling of NPP project, however, this does not consider the characteristic of activities according to the NPP site conditions. Hence, this study needs more research considering those factors

6. The development of stochastic process modeling through risk analysis derived from scheduling of NPP project

Energy Technology Data Exchange (ETDEWEB)

Lee, Kwang Ho; Roh, Myung Sub [KEPCO International Nuclear Graduate School, Ulsan (Korea, Republic of)

2013-10-15

There are so many different factors to consider when constructing a nuclear power plant successfully from planning to decommissioning. According to PMBOK, all projects have nine domains from a holistic project management perspective. They are equally important to all projects, however, this study focuses mostly on the processes required to manage timely completion of the project and conduct risk management. The overall objective of this study is to let you know what the risk analysis derived from scheduling of NPP project is, and understand how to implement the stochastic process modeling through risk management. Building the Nuclear Power Plant is required a great deal of time and fundamental knowledge related to all engineering. That means that integrated project scheduling management with so many activities is necessary and very important. Simulation techniques for scheduling of NPP project using Open Plan program, Crystal Ball program, and Minitab program can be useful tools for designing optimal schedule planning. Thus far, Open Plan and Monte Carlo programs have been used to calculate the critical path for scheduling network analysis. And also, Minitab program has been applied to monitor the scheduling risk. This approach to stochastic modeling through risk analysis of project activities is very useful for optimizing the schedules of activities using Critical Path Method and managing the scheduling control of NPP project. This study has shown new approach to optimal scheduling of NPP project, however, this does not consider the characteristic of activities according to the NPP site conditions. Hence, this study needs more research considering those factors.

7. Nonparametric Inference of Doubly Stochastic Poisson Process Data via the Kernel Method.

Science.gov (United States)

Zhang, Tingting; Kou, S C

2010-01-01

Doubly stochastic Poisson processes, also known as the Cox processes, frequently occur in various scientific fields. In this article, motivated primarily by analyzing Cox process data in biophysics, we propose a nonparametric kernel-based inference method. We conduct a detailed study, including an asymptotic analysis, of the proposed method, and provide guidelines for its practical use, introducing a fast and stable regression method for bandwidth selection. We apply our method to real photon arrival data from recent single-molecule biophysical experiments, investigating proteins' conformational dynamics. Our result shows that conformational fluctuation is widely present in protein systems, and that the fluctuation covers a broad range of time scales, highlighting the dynamic and complex nature of proteins' structure.

8. Finding Order in Randomness: Single-Molecule Studies Reveal Stochastic RNA Processing | Center for Cancer Research

Science.gov (United States)

Producing a functional eukaryotic messenger RNA (mRNA) requires the coordinated activity of several large protein complexes to initiate transcription, elongate nascent transcripts, splice together exons, and cleave and polyadenylate the 3’ end. Kinetic competition between these various processes has been proposed to regulate mRNA maturation, but this model could lead to multiple, randomly determined, or stochastic, pathways or outcomes. Regulatory checkpoints have been suggested as a means of ensuring quality control. However, current methods have been unable to tease apart the contributions of these processes at a single gene or on a time scale that could provide mechanistic insight. To begin to investigate the kinetic relationship between transcription and splicing, Daniel Larson, Ph.D., of CCR’s Laboratory of Receptor Biology and Gene Expression, and his colleagues employed a single-molecule RNA imaging approach to monitor production and processing of a human β-globin reporter gene in living cells.

9. Subcritical Hopf Bifurcation and Stochastic Resonance of Electrical Activities in Neuron under Electromagnetic Induction

Directory of Open Access Journals (Sweden)

Yu-Xuan Fu

2018-02-01

Full Text Available The FitzHugh–Nagumo model is improved to consider the effect of the electromagnetic induction on single neuron. On the basis of investigating the Hopf bifurcation behavior of the improved model, stochastic resonance in the stochastic version is captured near the bifurcation point. It is revealed that a weak harmonic oscillation in the electromagnetic disturbance can be amplified through stochastic resonance, and it is the cooperative effect of random transition between the resting state and the large amplitude oscillating state that results in the resonant phenomenon. Using the noise dependence of the mean of interburst intervals, we essentially suggest a biologically feasible clue for detecting weak signal by means of neuron model with subcritical Hopf bifurcation. These observations should be helpful in understanding the influence of the magnetic field to neural electrical activity.

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

International Nuclear Information System (INIS)

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

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. Pricing European option with transaction costs under the fractional long memory stochastic volatility model

Science.gov (United States)

Wang, Xiao-Tian; Wu, Min; Zhou, Ze-Min; Jing, Wei-Shu

2012-02-01

This paper deals with the problem of discrete time option pricing using the fractional long memory stochastic volatility model with transaction costs. Through the 'anchoring and adjustment' argument in a discrete time setting, a European call option pricing formula is obtained.

13. Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation

NARCIS (Netherlands)

Jiang, George J.; Sluis, Pieter J. van der

1999-01-01

While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the Black-Scholes model, empirical implications of SV models on option pricing have not yet been adequately tested. The purpose of this paper is to first estimate a multivariate SV model using

14. A planning model with a solution algorithm for ready mixed concrete production and truck dispatching under stochastic travel times

Science.gov (United States)

Yan, S.; Lin, H. C.; Jiang, X. Y.

2012-04-01

In this study the authors employ network flow techniques to construct a systematic model that helps ready mixed concrete carriers effectively plan production and truck dispatching schedules under stochastic travel times. The model is formulated as a mixed integer network flow problem with side constraints. Problem decomposition and relaxation techniques, coupled with the CPLEX mathematical programming solver, are employed to develop an algorithm that is capable of efficiently solving the problems. A simulation-based evaluation method is also proposed to evaluate the model, coupled with a deterministic model, and the method currently used in actual operations. Finally, a case study is performed using real operating data from a Taiwan RMC firm. The test results show that the system operating cost obtained using the stochastic model is a significant improvement over that obtained using the deterministic model or the manual approach. Consequently, the model and the solution algorithm could be useful for actual operations.

15. Comment on "Fault Tolerant analysis for stochastic systems using switching diffusion processes' by Yang, Jiang and Cocquempot

DEFF Research Database (Denmark)

Schiøler, Henrik; Leth, John-Josef

2011-01-01

Results are given in [Yang et. al. 2009] regarding the overall stability of switched diffusion processes based on stability properties of separate processes combined through stochastic switching. This paper argues two main results to be empty, in that the presented hypotheses are logically...

16. Conference on Stochastic Processes and their Applications (16th) Held in Stanford, California on 16-21 August 1987.

Science.gov (United States)

1987-08-21

examples of so-called self-similar processes. 522 -°- °.. 0 * - -= uu~.~w- - v , LOCAL BEHAVIOUR OF SIMPLE STOCHASTIC MODELS by Rudolf Grfibel...theorem en- tails results on the growth of matchings, Steiner trees, traveling-salesman processes as well as triangulations in large areas. These

17. Main Achievements 2003-2004 - Interdisciplinary Research - Applications of theoretical physics - Stochastic processes

International Nuclear Information System (INIS)

2005-01-01

Some specific stochastic, jumping processes have been studied. They are defined in terms of the jump size distribution and the waiting time distribution which are mutually dependent. For the simplest case (the kangaroo process), the corresponding master equation has been completely solved and simple asymptotic expressions for the time-dependent probability distributions have been derived. A generalized version of that process, which takes into account the memory effects, has been proposed and a connection to transport processes, namely to the Boltzmann kinetic theory and diffusion, has been demonstrated. The same process, but defined on the circle instead of the axis, can possess the power law autocorrelation function; a simple formula for this function has been derived. Therefore, the process can serve as a useful model for the colored noises, in particular for the 1/f noise. It has been applied as a model of the driving force in the generalized Langevin equation, an impossible task with the standard kangaroo process. The equation has been solved by means of the Monte Carlo simulations. The resulting velocity and energy distributions exhibit extremely long memory about the initial conditions, despite an apparent fast equilibration of their comprehensive shape. The tails of both distributions fall faster than in the Maxwellian case

18. Stochastic PSO-based heat and power dispatch under environmental constraints incorporating CHP and wind power units

Energy Technology Data Exchange (ETDEWEB)

Piperagkas, G.S.; Anastasiadis, A.G.; Hatziargyriou, N.D. [National Technical University of Athens, School of Electrical and Computer Engineering, Electric Power Division, 9, Iroon Polytechneiou Str., GR-15773 Zografou, Athens (Greece)

2011-01-15

In this paper an extended stochastic multi-objective model for economic dispatch (ED) is proposed, that incorporates in the optimization process heat and power from CHP units and expected wind power. Stochastic restrictions for the CO{sub 2}, SO{sub 2} and NO{sub x} emissions are used as inequality constraints. The ED problem is solved using a multi-objective particle swarm optimization technique. The available wind power is estimated from a transformation of the wind speed considered as a random variable to wind power. Simulations are performed on the modified IEEE 30 bus network with 2 cogeneration units and actual wind data. Results concerning minimum cost and emissions reduction options are finally drawn. (author)

19. The dynamic behaviour of a non-stationary elevator compensating rope system under harmonic and stochastic excitations

Energy Technology Data Exchange (ETDEWEB)

Kaczmarczyk, S [School of Applied Sciences, University of Northampton, St. George' s Avenue, Northampton NN2 6JD (United Kingdom); Iwankiewicz, R [Institute of Mechanics and Ocean Engineering, Hamburg University of Technology, Eissendorfer Strasse 42 D-21073, Hamburg (Germany); Terumichi, Y, E-mail: stefan.kaczmarczyk@northampton.ac.u [Faculty of Science and Technology, Sophia University, 7-1 KIOI-CHO, CHIYODAKU, Tokyo, 102-8554 Japan (Japan)

2009-08-01

Moving slender elastic elements such as ropes, cables and belts are pivotal components of vertical transportation systems such as traction elevators. Their lengths vary within the host building structure during the elevator operation which results in the change of the mass and stiffness characteristics of the system. The structure of modern high-rise buildings is flexible and when subjected to loads due to strong winds and earthquakes it vibrates at low frequencies. The inertial load induced by the building motion excites the flexible components of the elevator system. The compensating ropes due to their lower tension are particularly affected and undergo large dynamic deformations. The paper focuses on the presentation of the non-stationary model of a building-compensating rope system and on the analysis to predict its dynamic response. The excitation mechanism is represented by a harmonic process and the results of computer simulations to predict transient resonance response are presented. The analysis of the simulation results leads to recommendations concerning the selection of the weight of the compensation assembly to minimize the effects of an adverse dynamic response of the system. The scenario when the excitation is represented as a narrow-band stochastic process with the state vector governed by stochastic equations is then discussed and the stochastic differential equations governing the second-order statistical moments of the state vector are developed.

20. Quantum stochastics

CERN Document Server

Chang, Mou-Hsiung

2015-01-01

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

1. Stochastic Dynamics of Discrete Curves and Exclusion Processes. Part 1: Hydrodynamic Limit of the ASEP System

CERN Document Server

Fayolle, G; Fayolle, Guy; Furtlehner, Cyril

2006-01-01

This report is the foreword of a series of stochastic deformations of curves. Problems are set in terms of exclusion processes, the ultimate goal being to derive hydrodynamic limits for these systems after proper scalings. In this study, solely the basic texts system on the torus is analyzed. The usual sequence of empirical measures, converges in probability to a deterministic measure, which is the unique weak solution of a Cauchy problem. The method presents some new features, letting hope for extensions to higher dimension. It relies on the analysis of a family of parabolic differential operators, involving variational calculus. Namely, the variables are the values of functions at given points, their number being possibly infinite.

2. Leaf optical system modeled as a stochastic process. [solar radiation interaction with terrestrial vegetation

Science.gov (United States)

Tucker, C. J.; Garratt, M. W.

1977-01-01

A stochastic leaf radiation model based upon physical and physiological properties of dicot leaves has been developed. The model accurately predicts the absorbed, reflected, and transmitted radiation of normal incidence as a function of wavelength resulting from the leaf-irradiance interaction over the spectral interval of 0.40-2.50 micron. The leaf optical system has been represented as Markov process with a unique transition matrix at each 0.01-micron increment between 0.40 micron and 2.50 micron. Probabilities are calculated at every wavelength interval from leaf thickness, structure, pigment composition, and water content. Simulation results indicate that this approach gives accurate estimations of actual measured values for dicot leaf absorption, reflection, and transmission as a function of wavelength.

3. Rapid core field variations during the satellite era: Investigations using stochastic process based field models

DEFF Research Database (Denmark)

Finlay, Chris; Olsen, Nils; Gillet, Nicolas

We present a new ensemble of time-dependent magnetic field models constructed from satellite and observatory data spanning 1997-2013 that are compatible with prior information concerning the temporal spectrum of core field variations. These models allow sharper field changes compared to tradition...... physical hypotheses can be tested by asking questions of the entire ensemble of core field models, rather than by interpreting any single model.......We present a new ensemble of time-dependent magnetic field models constructed from satellite and observatory data spanning 1997-2013 that are compatible with prior information concerning the temporal spectrum of core field variations. These models allow sharper field changes compared to traditional...... regularization methods based on minimizing the square of second or third time derivative. We invert satellite and observatory data directly by adopting the external field and crustal field modelling framework of the CHAOS model, but apply the stochastic process method of Gillet et al. (2013) to the core field...

4. Stochastic modeling of stock price process induced from the conjugate heat equation

Science.gov (United States)

Paeng, Seong-Hun

2015-02-01

Currency can be considered as a ruler for values of commodities. Then the price is the measured value by the ruler. We can suppose that inflation and variation of exchange rate are caused by variation of the scale of the ruler. In geometry, variation of the scale means that the metric is time-dependent. The conjugate heat equation is the modified heat equation which satisfies the heat conservation law for the time-dependent metric space. We propose a new model of stock prices by using the stochastic process whose transition probability is determined by the kernel of the conjugate heat equation. Our model of stock prices shows how the volatility term is affected by inflation and exchange rate. This model modifies the Black-Scholes equation in light of inflation and exchange rate.

5. Stochastic synchronization of coupled neural networks with intermittent control

International Nuclear Information System (INIS)

Yang Xinsong; Cao Jinde

2009-01-01

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

6. The mean and variance of climate change in the oceans: hidden evolutionary potential under stochastic environmental variability in marine sticklebacks.

Science.gov (United States)

Shama, Lisa N S

2017-08-21

Increasing climate variability may pose an even greater risk to species than climate warming because temperature fluctuations can amplify adverse impacts of directional warming on fitness-related traits. Here, the influence of directional warming and increasing climate variability on marine stickleback fish (Gasterosteus aculeatus) offspring size variation was investigated by simulating changes to the mean and variance of ocean temperatures predicted under climate change. Reproductive traits of mothers and offspring size reaction norms across four climate scenarios were examined to assess the roles of standing genetic variation, transgenerational and within-generation plasticity in adaptive potential. Mothers acclimated to directional warming produced smaller eggs than mothers in constant, ambient temperatures, whereas mothers in a predictably variable environment (weekly change between temperatures) produced a range of egg sizes, possibly reflecting a diversified bet hedging strategy. Offspring size post-hatch was mostly influenced by genotype by environment interactions and not transgenerational effects. Offspring size reaction norms also differed depending on the type of environmental predictability (predictably variable vs. stochastic), with offspring reaching the largest sizes in the stochastic environment. Release of cryptic genetic variation for offspring size in the stochastic environment suggests hidden evolutionary potential in this wild population to respond to changes in environmental predictability.

7. Robust lane detection and tracking using multiple visual cues under stochastic lane shape conditions

Science.gov (United States)

Huang, Zhi; Fan, Baozheng; Song, Xiaolin

2018-03-01

As one of the essential components of environment perception techniques for an intelligent vehicle, lane detection is confronted with challenges including robustness against the complicated disturbance and illumination, also adaptability to stochastic lane shapes. To overcome these issues, we proposed a robust lane detection method named classification-generation-growth-based (CGG) operator to the detected lines, whereby the linear lane markings are identified by synergizing multiple visual cues with the a priori knowledge and spatial-temporal information. According to the quality of linear lane fitting, the linear and linear-parabolic models are dynamically switched to describe the actual lane. The Kalman filter with adaptive noise covariance and the region of interests (ROI) tracking are applied to improve the robustness and efficiency. Experiments were conducted with images covering various challenging scenarios. The experimental results evaluate the effectiveness of the presented method for complicated disturbances, illumination, and stochastic lane shapes.

8. Capacity expansion of stochastic power generation under two-stage electricity markets

DEFF Research Database (Denmark)

Pineda, Salvador; Morales González, Juan Miguel

2016-01-01

are first formulated from the standpoint of a social planner to characterize a perfectly competitive market. We investigate the effect of two paradigmatic market designs on generation expansion planning: a day-ahead market that is cleared following a conventional cost merit-order principle, and an ideal...... of stochastic power generating units. This framework includes the explicit representation of a day-ahead and a balancing market-clearing mechanisms to properly capture the impact of forecast errors of power production on the short-term operation of a power system. The proposed generation expansion problems...... market-clearing procedure that determines day-ahead dispatch decisions accounting for their impact on balancing operation costs. Furthermore, we reformulate the proposed models to determine the optimal expansion decisions that maximize the profit of a collusion of stochastic power producers in order...

9. Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility

Czech Academy of Sciences Publication Activity Database

Baruník, Jozef; Kukačka, Jiří

2015-01-01

Roč. 15, č. 6 (2015), s. 959-973 ISSN 1469-7688 R&D Projects: GA ČR GA402/09/0965; GA ČR GA13-32263S EU Projects: European Commission 612955 - FINMAP Institutional support: RVO:67985556 Keywords : Stochastic cusp catastrophe model * Realized volatility * Bifurcations * Stock market crash Subject RIV: AH - Economics Impact factor: 0.794, year: 2015 http://library.utia.cas.cz/separaty/2014/E/barunik-0434202.pdf

10. Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio

OpenAIRE

Lorig, Matthew; Sircar, Ronnie

2015-01-01

We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal investment strategy. We also analyze the `implied Sharpe ratio' and derive a series approximation for this quantity. The zeroth-order approximation of the value function and optimal investment strategy correspond to those obtained by Merton (1969) when the risky...

11. On the accuracy of mode-superposition analysis of linear systems under stochastic agencies

International Nuclear Information System (INIS)

Bellomo, M.; Di Paola, M.; La Mendola, L.; Muscolino, G.

1987-01-01

This paper deals with the response of linear structures using modal reduction. The MAM (mode acceleration method) correction is extended to stochastic analysis in the stationary case. In this framework the response of the given structure must be described in a probabilistic sense and the spectral moments of the nodal response must be computed in order to obtain a full description of the vibratory stochastic phenomenon. In the deterministic analysis the response is substantially made up of two terms, one of which accounts for the dynamic response due to the lower modes while the second accounts for the contribution due to the higher modes. In stochastic analysis the nodal spectral moments are made up of three terms; the first accounts for the spectral moments of the dynamic response due to the lower modes, the second accounts for the spectral moments of input and the third accounts for the cross-spectral moments between the input and the nodal output. The analysis is applied to a 35-storey building subjected to wind multivariate environments. (orig./HP)

12. Comparative analysis of cogeneration power plants optimization based on stochastic method using superstructure and process simulator

Energy Technology Data Exchange (ETDEWEB)

Araujo, Leonardo Rodrigues de [Instituto Federal do Espirito Santo, Vitoria, ES (Brazil)], E-mail: leoaraujo@ifes.edu.br; Donatelli, Joao Luiz Marcon [Universidade Federal do Espirito Santo (UFES), Vitoria, ES (Brazil)], E-mail: joaoluiz@npd.ufes.br; Silva, Edmar Alino da Cruz [Instituto Tecnologico de Aeronautica (ITA/CTA), Sao Jose dos Campos, SP (Brazil); Azevedo, Joao Luiz F. [Instituto de Aeronautica e Espaco (CTA/IAE/ALA), Sao Jose dos Campos, SP (Brazil)

2010-07-01

Thermal systems are essential in facilities such as thermoelectric plants, cogeneration plants, refrigeration systems and air conditioning, among others, in which much of the energy consumed by humanity is processed. In a world with finite natural sources of fuels and growing energy demand, issues related with thermal system design, such as cost estimative, design complexity, environmental protection and optimization are becoming increasingly important. Therefore the need to understand the mechanisms that degrade energy, improve energy sources use, reduce environmental impacts and also reduce project, operation and maintenance costs. In recent years, a consistent development of procedures and techniques for computational design of thermal systems has occurred. In this context, the fundamental objective of this study is a performance comparative analysis of structural and parametric optimization of a cogeneration system using stochastic methods: genetic algorithm and simulated annealing. This research work uses a superstructure, modelled in a process simulator, IPSEpro of SimTech, in which the appropriate design case studied options are included. Accordingly, the cogeneration system optimal configuration is determined as a consequence of the optimization process, restricted within the configuration options included in the superstructure. The optimization routines are written in MsExcel Visual Basic, in order to work perfectly coupled to the simulator process. At the end of the optimization process, the system optimal configuration, given the characteristics of each specific problem, should be defined. (author)

13. Stochastic disturbances and dynamics of thermal processes. With application to municipal solid waste combustion

Energy Technology Data Exchange (ETDEWEB)

Van Kessel, L.B.M.

2003-06-11

with the on-line calorific value sensor from chapter 2 and a validated dynamic model of the process is available, the theory from stochastic processes can be applied to MSWC. This new application field of stochastics is discussed in chapter 4. The results obtained in chapter 2 will be used in this analysis. Also new linear transfer functions for thermal processes will be given and applied to MSWC. Finally, applications of the new developed tools will be discussed. As already mentioned, the validation experiments lead to the conclusion that the dynamics of the combustion process can change when the primary air temperature changes. This was a new result, which has never been reported in literature before. For that reason during the research it was decided to start an extensive study into the influence of the primary air temperature on the combustion process. This has been performed by using laboratory experiments. In chapter 5 the results from this search will be presented. The existing theory for combustion of solid fuels is extended with a qualitative as well as a quantitative description of the influence of primary preheating. The new theory is used to explain observations from real plants and the results from system identification. Furthermore, the value of laboratory experiments to simulate the real combustion process on a grate is discussed.

14. Using stochastic language models (SLM) to map lexical, syntactic, and phonological information processing in the brain.

Science.gov (United States)

Lopopolo, Alessandro; Frank, Stefan L; van den Bosch, Antal; Willems, Roel M

2017-01-01

Language comprehension involves the simultaneous processing of information at the phonological, syntactic, and lexical level. We track these three distinct streams of information in the brain by using stochastic measures derived from computational language models to detect neural correlates of phoneme, part-of-speech, and word processing in an fMRI experiment. Probabilistic language models have proven to be useful tools for studying how language is processed as a sequence of symbols unfolding in time. Conditional probabilities between sequences of words are at the basis of probabilistic measures such as surprisal and perplexity which have been successfully used as predictors of several behavioural and neural correlates of sentence processing. Here we computed perplexity from sequences of words and their parts of speech, and their phonemic transcriptions. Brain activity time-locked to each word is regressed on the three model-derived measures. We observe that the brain keeps track of the statistical structure of lexical, syntactic and phonological information in distinct areas.

15. Modeling Aggregation Processes of Lennard-Jones particles Via Stochastic Networks

Science.gov (United States)

Forman, Yakir; Cameron, Maria

2017-07-01

We model an isothermal aggregation process of particles/atoms interacting according to the Lennard-Jones pair potential by mapping the energy landscapes of each cluster size N onto stochastic networks, computing transition probabilities from the network for an N-particle cluster to the one for N+1, and connecting these networks into a single joint network. The attachment rate is a control parameter. The resulting network representing the aggregation of up to 14 particles contains 6427 vertices. It is not only time-irreversible but also reducible. To analyze its transient dynamics, we introduce the sequence of the expected initial and pre-attachment distributions and compute them for a wide range of attachment rates and three values of temperature. As a result, we find the configurations most likely to be observed in the process of aggregation for each cluster size. We examine the attachment process and conduct a structural analysis of the sets of local energy minima for every cluster size. We show that both processes taking place in the network, attachment and relaxation, lead to the dominance of icosahedral packing in small (up to 14 atom) clusters.

16. Modelling and performance analysis of clinical pathways using the stochastic process algebra PEPA.

Science.gov (United States)

Yang, Xian; Han, Rui; Guo, Yike; Bradley, Jeremy; Cox, Benita; Dickinson, Robert; Kitney, Richard

2012-01-01

Hospitals nowadays have to serve numerous patients with limited medical staff and equipment while maintaining healthcare quality. Clinical pathway informatics is regarded as an efficient way to solve a series of hospital challenges. To date, conventional research lacks a mathematical model to describe clinical pathways. Existing vague descriptions cannot fully capture the complexities accurately in clinical pathways and hinders the effective management and further optimization of clinical pathways. Given this motivation, this paper presents a clinical pathway management platform, the Imperial Clinical Pathway Analyzer (ICPA). By extending the stochastic model performance evaluation process algebra (PEPA), ICPA introduces a clinical-pathway-specific model: clinical pathway PEPA (CPP). ICPA can simulate stochastic behaviours of a clinical pathway by extracting information from public clinical databases and other related documents using CPP. Thus, the performance of this clinical pathway, including its throughput, resource utilisation and passage time can be quantitatively analysed. A typical clinical pathway on stroke extracted from a UK hospital is used to illustrate the effectiveness of ICPA. Three application scenarios are tested using ICPA: 1) redundant resources are identified and removed, thus the number of patients being served is maintained with less cost; 2) the patient passage time is estimated, providing the likelihood that patients can leave hospital within a specific period; 3) the maximum number of input patients are found, helping hospitals to decide whether they can serve more patients with the existing resource allocation. ICPA is an effective platform for clinical pathway management: 1) ICPA can describe a variety of components (state, activity, resource and constraints) in a clinical pathway, thus facilitating the proper understanding of complexities involved in it; 2) ICPA supports the performance analysis of clinical pathway, thereby assisting

17. StochPy: A Comprehensive, User-Friendly Tool for Simulating Stochastic Biological Processes

NARCIS (Netherlands)

T.R. Maarleveld (Timo); B.G. Olivier (Brett); F.J. Bruggeman (Frank)

2013-01-01

htmlabstractSingle-cell and single-molecule measurements indicate the importance of stochastic phenomena in cell biology. Stochasticity creates spontaneous differences in the copy numbers of key macromolecules and the timing of reaction events between genetically-identical cells. Mathematical models

18. Stochastic Evolution Dynamic of the Rock-Scissors-Paper Game Based on a Quasi Birth and Death Process.

Science.gov (United States)

Yu, Qian; Fang, Debin; Zhang, Xiaoling; Jin, Chen; Ren, Qiyu

2016-06-27

Stochasticity plays an important role in the evolutionary dynamic of cyclic dominance within a finite population. To investigate the stochastic evolution process of the behaviour of bounded rational individuals, we model the Rock-Scissors-Paper (RSP) game as a finite, state dependent Quasi Birth and Death (QBD) process. We assume that bounded rational players can adjust their strategies by imitating the successful strategy according to the payoffs of the last round of the game, and then analyse the limiting distribution of the QBD process for the game stochastic evolutionary dynamic. The numerical experiments results are exhibited as pseudo colour ternary heat maps. Comparisons of these diagrams shows that the convergence property of long run equilibrium of the RSP game in populations depends on population size and the parameter of the payoff matrix and noise factor. The long run equilibrium is asymptotically stable, neutrally stable and unstable respectively according to the normalised parameters in the payoff matrix. Moreover, the results show that the distribution probability becomes more concentrated with a larger population size. This indicates that increasing the population size also increases the convergence speed of the stochastic evolution process while simultaneously reducing the influence of the noise factor.

19. Conference on Stochastic Processes and their Applications (16th) Held in Stanford, California on August 17-21, 1987.

Science.gov (United States)

1987-08-01

ESTIMATION FOR STOCHASTIC PROCESSES by C. C. Heyde Australian National University Canberra, Australia ABSTRACT Optimality is a widely and loosely used...Case 240 S. Australia 1211 Geneva 24 Switzerland Christopher C. Heyde Dept. of Statistics, IAS Patricia Jacobs . Australian National University...Universitat Regensburg USA Postfach D-8400 Regensburg Anatole Joffe W. Germany Dept. of Mathematics & Statatistics Frank Kelly Universite de Montreal

20. A customizable stochastic state point process filter (SSPPF) for neural spiking activity.

Science.gov (United States)

Xin, Yao; Li, Will X Y; Min, Biao; Han, Yan; Cheung, Ray C C

2013-01-01

Stochastic State Point Process Filter (SSPPF) is effective for adaptive signal processing. In particular, it has been successfully applied to neural signal coding/decoding in recent years. Recent work has proven its efficiency in non-parametric coefficients tracking in modeling of mammal nervous system. However, existing SSPPF has only been realized in commercial software platforms which limit their computational capability. In this paper, the first hardware architecture of SSPPF has been designed and successfully implemented on field-programmable gate array (FPGA), proving a more efficient means for coefficient tracking in a well-established generalized Laguerre-Volterra model for mammalian hippocampal spiking activity research. By exploring the intrinsic parallelism of the FPGA, the proposed architecture is able to process matrices or vectors with random size, and is efficiently scalable. Experimental result shows its superior performance comparing to the software implementation, while maintaining the numerical precision. This architecture can also be potentially utilized in the future hippocampal cognitive neural prosthesis design.

1. The Pricing of European Options Under the Constant Elasticity of Variance with Stochastic Volatility

Science.gov (United States)

Bock, Bounghun; Choi, Sun-Yong; Kim, Jeong-Hoon

This paper considers a hybrid risky asset price model given by a constant elasticity of variance multiplied by a stochastic volatility factor. A multiscale analysis leads to an asymptotic pricing formula for both European vanilla option and a Barrier option near the zero elasticity of variance. The accuracy of the approximation is provided in a rigorous manner. A numerical experiment for implied volatilities shows that the hybrid model improves some of the well-known models in view of fitting the data for different maturities.

2. Groundwater management under uncertainty using a stochastic multi-cell model

Science.gov (United States)

Joodavi, Ata; Zare, Mohammad; Ziaei, Ali Naghi; Ferré, Ty P. A.

2017-08-01

The optimization of spatially complex groundwater management models over long time horizons requires the use of computationally efficient groundwater flow models. This paper presents a new stochastic multi-cell lumped-parameter aquifer model that explicitly considers uncertainty in groundwater recharge. To achieve this, the multi-cell model is combined with the constrained-state formulation method. In this method, the lower and upper bounds of groundwater heads are incorporated into the mass balance equation using indicator functions. This provides expressions for the means, variances and covariances of the groundwater heads, which can be included in the constraint set in an optimization model. This method was used to formulate two separate stochastic models: (i) groundwater flow in a two-cell aquifer model with normal and non-normal distributions of groundwater recharge; and (ii) groundwater management in a multiple cell aquifer in which the differences between groundwater abstractions and water demands are minimized. The comparison between the results obtained from the proposed modeling technique with those from Monte Carlo simulation demonstrates the capability of the proposed models to approximate the means, variances and covariances. Significantly, considering covariances between the heads of adjacent cells allows a more accurate estimate of the variances of the groundwater heads. Moreover, this modeling technique requires no discretization of state variables, thus offering an efficient alternative to computationally demanding methods.

3. Stochasticity of phase trajectory of a charged particle in a plasma wave

International Nuclear Information System (INIS)

Murakami, Akihiko; Nomura, Yasuyuki; Momota, Hiromu.

1980-06-01

Stochastic behavior of charged particles in finite amplitude plasma waves is examined by means of particle simulations under the condition that Chirikov's criterion is broken down. The process of growint the stochastic region is clarified and accordingly the width of the stochastic region is discussed. Discussions on the effects of higher order resonances are also presented. (author)

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

International Nuclear Information System (INIS)

Perelló, Josep; Masoliver, Jaume; Sircar, Ronnie

2008-01-01

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

5. Stochastic production phase design for an open pit mining complex with multiple processing streams

Science.gov (United States)

2014-08-01

In a mining complex, the mine is a source of supply of valuable material (ore) to a number of processes that convert the raw ore to a saleable product or a metal concentrate for production of the refined metal. In this context, expected variation in metal content throughout the extent of the orebody defines the inherent uncertainty in the supply of ore, which impacts the subsequent ore and metal production targets. Traditional optimization methods for designing production phases and ultimate pit limit of an open pit mine not only ignore the uncertainty in metal content, but, in addition, commonly assume that the mine delivers ore to a single processing facility. A stochastic network flow approach is proposed that jointly integrates uncertainty in supply of ore and multiple ore destinations into the development of production phase design and ultimate pit limit. An application at a copper mine demonstrates the intricacies of the new approach. The case study shows a 14% higher discounted cash flow when compared to the traditional approach.

6. Aboveground and belowground arthropods experience different relative influences of stochastic versus deterministic community assembly processes following disturbance

Directory of Open Access Journals (Sweden)

Scott Ferrenberg

2016-10-01

Full Text Available Background Understanding patterns of biodiversity is a longstanding challenge in ecology. Similar to other biotic groups, arthropod community structure can be shaped by deterministic and stochastic processes, with limited understanding of what moderates the relative influence of these processes. Disturbances have been noted to alter the relative influence of deterministic and stochastic processes on community assembly in various study systems, implicating ecological disturbances as a potential moderator of these forces. Methods Using a disturbance gradient along a 5-year chronosequence of insect-induced tree mortality in a subalpine forest of the southern Rocky Mountains, Colorado, USA, we examined changes in community structure and relative influences of deterministic and stochastic processes in the assembly of aboveground (surface and litter-active species and belowground (species active in organic and mineral soil layers arthropod communities. Arthropods were sampled for all years of the chronosequence via pitfall traps (aboveground community and modified Winkler funnels (belowground community and sorted to morphospecies. Community structure of both communities were assessed via comparisons of morphospecies abundance, diversity, and composition. Assembly processes were inferred from a mixture of linear models and matrix correlations testing for community associations with environmental properties, and from null-deviation models comparing observed vs. expected levels of species turnover (Beta diversity among samples. Results Tree mortality altered community structure in both aboveground and belowground arthropod communities, but null models suggested that aboveground communities experienced greater relative influences of deterministic processes, while the relative influence of stochastic processes increased for belowground communities. Additionally, Mantel tests and linear regression models revealed significant associations between the

7. Aboveground and belowground arthropods experience different relative influences of stochastic versus deterministic community assembly processes following disturbance

Science.gov (United States)

Martinez, Alexander S.; Faist, Akasha M.

2016-01-01

Background Understanding patterns of biodiversity is a longstanding challenge in ecology. Similar to other biotic groups, arthropod community structure can be shaped by deterministic and stochastic processes, with limited understanding of what moderates the relative influence of these processes. Disturbances have been noted to alter the relative influence of deterministic and stochastic processes on community assembly in various study systems, implicating ecological disturbances as a potential moderator of these forces. Methods Using a disturbance gradient along a 5-year chronosequence of insect-induced tree mortality in a subalpine forest of the southern Rocky Mountains, Colorado, USA, we examined changes in community structure and relative influences of deterministic and stochastic processes in the assembly of aboveground (surface and litter-active species) and belowground (species active in organic and mineral soil layers) arthropod communities. Arthropods were sampled for all years of the chronosequence via pitfall traps (aboveground community) and modified Winkler funnels (belowground community) and sorted to morphospecies. Community structure of both communities were assessed via comparisons of morphospecies abundance, diversity, and composition. Assembly processes were inferred from a mixture of linear models and matrix correlations testing for community associations with environmental properties, and from null-deviation models comparing observed vs. expected levels of species turnover (Beta diversity) among samples. Results Tree mortality altered community structure in both aboveground and belowground arthropod communities, but null models suggested that aboveground communities experienced greater relative influences of deterministic processes, while the relative influence of stochastic processes increased for belowground communities. Additionally, Mantel tests and linear regression models revealed significant associations between the aboveground arthropod

8. An interval fixed-mix stochastic programming method for greenhouse gas mitigation in energy systems under uncertainty

International Nuclear Information System (INIS)

Xie, Y.L.; Li, Y.P.; Huang, G.H.; Li, Y.F.

2010-01-01

In this study, an interval fixed-mix stochastic programming (IFSP) model is developed for greenhouse gas (GHG) emissions reduction management under uncertainties. In the IFSP model, methods of interval-parameter programming (IPP) and fixed-mix stochastic programming (FSP) are introduced into an integer programming framework, such that the developed model can tackle uncertainties described in terms of interval values and probability distributions over a multi-stage context. Moreover, it can reflect dynamic decisions for facility-capacity expansion during the planning horizon. The developed model is applied to a case of planning GHG-emission mitigation, demonstrating that IFSP is applicable to reflecting complexities of multi-uncertainty, dynamic and interactive energy management systems, and capable of addressing the problem of GHG-emission reduction. A number of scenarios corresponding to different GHG-emission mitigation levels are examined; the results suggest that reasonable solutions have been generated. They can be used for generating plans for energy resource/electricity allocation and capacity expansion and help decision makers identify desired GHG mitigation policies under various economic costs and environmental requirements.

9. Stochastic mechanics and quantum theory

International Nuclear Information System (INIS)

Goldstein, S.

1987-01-01

Stochastic mechanics may be regarded as both generalizing classical mechanics to processes with intrinsic randomness, as well as providing the sort of detailed description of microscopic events declared impossible under the traditional interpretation of quantum mechanics. It avoids the many conceptual difficulties which arise from the assumption that quantum mechanics, i.e., the wave function, provides a complete description of (microscopic) physical reality. Stochastic mechanics presents a unified treatment of the microscopic and macroscopic domains, in which the process of measurement plays no special physical role and which reduces to Newtonian mechanics in the macroscopic limit

10. QB1 - Stochastic Gene Regulation

Energy Technology Data Exchange (ETDEWEB)

Munsky, Brian [Los Alamos National Laboratory

2012-07-23

Summaries of this presentation are: (1) Stochastic fluctuations or 'noise' is present in the cell - Random motion and competition between reactants, Low copy, quantization of reactants, Upstream processes; (2) Fluctuations may be very important - Cell-to-cell variability, Cell fate decisions (switches), Signal amplification or damping, stochastic resonances; and (3) Some tools are available to mode these - Kinetic Monte Carlo simulations (SSA and variants), Moment approximation methods, Finite State Projection. We will see how modeling these reactions can tell us more about the underlying processes of gene regulation.

11. Two-boundary first exit time of Gauss-Markov processes for stochastic modeling of acto-myosin dynamics.

Science.gov (United States)

D'Onofrio, Giuseppe; Pirozzi, Enrica

2017-05-01

We consider a stochastic differential equation in a strip, with coefficients suitably chosen to describe the acto-myosin interaction subject to time-varying forces. By simulating trajectories of the stochastic dynamics via an Euler discretization-based algorithm, we fit experimental data and determine the values of involved parameters. The steps of the myosin are represented by the exit events from the strip. Motivated by these results, we propose a specific stochastic model based on the corresponding time-inhomogeneous Gauss-Markov and diffusion process evolving between two absorbing boundaries. We specify the mean and covariance functions of the stochastic modeling process taking into account time-dependent forces including the effect of an external load. We accurately determine the probability density function (pdf) of the first exit time (FET) from the strip by solving a system of two non singular second-type Volterra integral equations via a numerical quadrature. We provide numerical estimations of the mean of FET as approximations of the dwell-time of the proteins dynamics. The percentage of backward steps is given in agreement to experimental data. Numerical and simulation results are compared and discussed.

12. The trend of the total stock of the private car-petrol in Spain: Stochastic modelling using a new gamma diffusion process

International Nuclear Information System (INIS)

Gutierrez, R.; Gutierrez-Sanchez, R.; Nafidi, A.

2009-01-01

The main aim of this study is to model the trend of the evolution of the total stock of private petrol-driven cars. In Spain, as in other EU countries, this trend between 2000 and 2005 differed significantly from that observed from 1986 to 1999. Moreover, it varies greatly from that corresponding to the stock of diesel-driven cars, which consistently presents an exponential Gompertz-type increase. Spain constitutes a typical example of a failure to observe the maximum CO 2 emission levels assigned to it by 2012 under the Kyoto Protocol (1992); a significant percentage of these excess emissions is accounted for by the land transport sector, in general, and by the private cars subsector, in particular. This paper proposes a stochastic model based on a new non homogeneous stochastic gamma-type diffusion process which it is a stochastic version of a Gamma function type deterministic growth model considered in Skiadas . We describe its main probabilistic characteristics and establish a statistical methodology by which it can be fitted to real data and obtain medium-term forecasts that, in statistical terms, are quite accurate

13. Stochastic models of cell motility

DEFF Research Database (Denmark)

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...

14. Fractional Stochastic Field Theory

Science.gov (United States)

Honkonen, Juha

2018-02-01

Models describing evolution of physical, chemical, biological, social and financial processes are often formulated as differential equations with the understanding that they are large-scale equations for averages of quantities describing intrinsically random processes. Explicit account of randomness may lead to significant changes in the asymptotic behaviour (anomalous scaling) in such models especially in low spatial dimensions, which in many cases may be captured with the use of the renormalization group. Anomalous scaling and memory effects may also be introduced with the use of fractional derivatives and fractional noise. Construction of renormalized stochastic field theory with fractional derivatives and fractional noise in the underlying stochastic differential equations and master equations and the interplay between fluctuation-induced and built-in anomalous scaling behaviour is reviewed and discussed.

15. Robust stochastic fuzzy possibilistic programming for environmental decision making under uncertainty

International Nuclear Information System (INIS)

Zhang, Xiaodong; Huang, Guo H.; Nie, Xianghui

2009-01-01

Nonpoint source (NPS) water pollution is one of serious environmental issues, especially within an agricultural system. This study aims to propose a robust chance-constrained fuzzy possibilistic programming (RCFPP) model for water quality management within an agricultural system, where solutions for farming area, manure/fertilizer application amount, and livestock husbandry size under different scenarios are obtained and interpreted. Through improving upon the existing fuzzy possibilistic programming, fuzzy robust programming and chance-constrained programming approaches, the RCFPP can effectively reflect the complex system features under uncertainty, where implications of water quality/quantity restrictions for achieving regional economic development objectives are studied. By delimiting the uncertain decision space through dimensional enlargement of the original fuzzy constraints, the RCFPP enhances the robustness of the optimization processes and resulting solutions. The results of the case study indicate that useful information can be obtained through the proposed RCFPP model for providing feasible decision schemes for different agricultural activities under different scenarios (combinations of different p-necessity and p i levels). A p-necessity level represents the certainty or necessity degree of the imprecise objective function, while a p i level means the probabilities at which the constraints will be violated. A desire to acquire high agricultural income would decrease the certainty degree of the event that maximization of the objective be satisfied, and potentially violate water management standards; willingness to accept low agricultural income will run into the risk of potential system failure. The decision variables under combined p-necessity and p i levels were useful for the decision makers to justify and/or adjust the decision schemes for the agricultural activities through incorporation of their implicit knowledge. The results also suggest that

16. Stochastic modeling of lift and drag dynamics to obtain aerodynamic forces with local dynamics on rotor blade under unsteady wind inflow

International Nuclear Information System (INIS)

Luhur, M.R.

2014-01-01

This contribution provides the development of a stochastic lift and drag model for an airfoil FX 79-W-151A under unsteady wind inflow based on wind tunnel measurements. Here we present the integration of the stochastic model into a well-known standard BEM (Blade Element Momentum) model to obtain the corresponding aerodynamic forces on a rotating blade element. The stochastic model is integrated as an alternative to static tabulated data used by classical BEM. The results show that in comparison to classical BEM, the BEM with stochastic approach additionally reflects the local force dynamics and therefore provides more information on aerodynamic forces that can be used by wind turbine simulation codes. (author)

17. Stochastic Modeling of Lift and Drag Dynamics to Obtain Aerodynamic Forces with Local Dynamics on Rotor Blade under Unsteady Wind Inflow

Directory of Open Access Journals (Sweden)

2014-01-01

Full Text Available This contribution provides the development of a stochastic lift and drag model for an airfoil FX 79-W-151A under unsteady wind inflow based on wind tunnel measurements. Here we present the integration of the stochastic model into a well-known standard BEM (Blade Element Momentum model to obtain the corresponding aerodynamic forces on a rotating blade element. The stochastic model is integrated as an alternative to static tabulated data used by classical BEM. The results show that in comparison to classical BEM, the BEM with stochastic approach additionally reflects the local force dynamics and therefore provides more information on aerodynamic forces that can be used by wind turbine simulation codes

DEFF Research Database (Denmark)

Agerskov, Henning; Petersen, R.I.; Martinez, L. Lopez

1999-01-01

The present project is a part of an investigation on fatigue in offshore structures in high-strength steel. The fatigue life of plate elements with welded attachments is studied. The material used has a yield stress of ~ 810-840 MPa, and high weldability and toughness properties. Fatigue test...... series with constant amplitude loading and with various types of stochastic loading have been carried through on test specimens in high-strength steel, and - for a comparison - on test specimens in conventional offshore structural steel with a yield stress of ~ 400-410 MPa.A comparison between constant...... amplitude and variable amplitude fatigue test results shows shorter fatigue lives in variable amplitude loading than should be expected from the linear fatigue damage accumulation formula. Furthermore, in general longer fatigue lives were obtained for the test specimens in high-strength steel than those...

19. Delay-enhanced stability and stochastic resonance in perception bistability under non-Gaussian noise

International Nuclear Information System (INIS)

Yang, Tao; Zeng, Chunhua; Liu, Ruifen; Wang, Hua; Mei, Dongcheng

2015-01-01

In this paper we investigate the effect of time delay in an attractor network model of perception bistability driven by non-Gaussian noise. Using delay Langevin and Fokker–Planck approaches, the theoretical analysis of the model is presented. It is found that the mean first-passage time (MFPT) as a function of the time delay exhibits a maximum, which is identified as the characteristic of the delay-enhanced stability of the system. This is different to the case of noise-enhanced stability. The non-Gaussian noise-enhanced stability of the system is also analyzed. The signal-to-noise ratio (SNR) as a function of the noise intensity exhibits a maximum. This maximum implies the identifying characteristic of stochastic resonance (SR), and the time delay and non-Gaussian noise can enhance the SR phenomenon. (paper)

20. The optimal replenishment policy for time-varying stochastic demand under vendor managed inventory

DEFF Research Database (Denmark)

Govindan, Kannan

2015-01-01

A Vendor Managed Inventory (VMI) partnership places the responsibility on the vendor (rather than on buyers) to schedule purchase orders for inventory replenishment in the supply chain system. In this research, the supply chain network considers the Silver-Meal heuristic with an augmentation...... quantity replenishment policy between both traditional and VMI systems. We consider time-varying stochastic demand in two-echelon (one vendor, multiple retailers) supply chains. This paper seeks to find the supply chain that minimizes system cost through comparing performance between traditional and VMI...... systems. A mathematical model is developed, and total supply chain cost is used as the measure of comparison. The models are applied in both traditional and VMI supply chains based on pharmaceutical industry data, and we focus on total cost difference compared through the use of Adjusted Silver-Meal (ASM...

1. Relative importance of deterministic and stochastic processes in driving arbuscular mycorrhizal fungal assemblage during the spreading of a toxic plant.

Directory of Open Access Journals (Sweden)

Guoxi Shi

Full Text Available Both deterministic and stochastic processes are expected to drive the assemblages of arbuscular mycorrhizal (AM fungi, but little is known about the relative importance of these processes during the spreading of toxic plants. Here, the species composition and phylogenetic structure of AM fungal communities colonizing the roots of a toxic plant, Ligularia virgaurea, and its neighborhood plants, were analyzed in patches with different individual densities of L. virgaurea (represents the spreading degree. Community compositions of AM fungi in both root systems were changed significantly by the L. virgaurea spreading, and also these communities fitted the neutral model very well. AM fungal communities in patches with absence and presence of L. virgaurea were phylogenetically random and clustered, respectively, suggesting that the principal ecological process determining AM fungal assemblage shifted from stochastic process to environmental filtering when this toxic plant was present. Our results indicate that deterministic and stochastic processes together determine the assemblage of AM fungi, but the dominant process would be changed by the spreading of toxic plants, and suggest that the spreading of toxic plants in alpine meadow ecosystems might be involving the mycorrhizal symbionts.

2. Dynamic UAV-based traffic monitoring under uncertainty as a stochastic arc-inventory routing policy

Directory of Open Access Journals (Sweden)

Joseph Y.J. Chow

2016-10-01

Full Text Available Given the rapid advances in unmanned aerial vehicles, or drones, and increasing need to monitor at a city level, one of the current research gaps is how to systematically deploy drones over multiple periods. We propose a real-time data-driven approach: we formulate the first deterministic arc-inventory routing problem and derive its stochastic dynamic policy. The policy is expected to be of greatest value in scenarios where uncertainty is highest and costliest, such as city monitoring during major events. The Bellman equation for an approximation of the proposed inventory routing policy is formulated as a selective vehicle routing problem. We propose an approximate dynamic programming algorithm based on Least Squares Monte Carlo simulation to find that policy. The algorithm has been modified so that the least squares dependent variable is defined to be the “expected stock out cost upon the next replenishment”. The new algorithm is tested on 30 simulated instances of real time trajectories over 5 time periods of the selective vehicle routing problem to evaluate the proposed policy and algorithm. Computational results on the selected instances show that the algorithm on average outperforms the myopic policy by 23–28%, depending on the parametric design. Further tests are conducted on classic benchmark arc routing problem instances. The 11-link instance gdb19 (Golden et al., 1983 is expanded into a sequential 15-period stochastic dynamic example and used to demonstrate why a naïve static multi-period deployment plan would not be effective in real networks.

3. Binary Tree Pricing to Convertible Bonds with Credit Risk under Stochastic Interest Rates

Directory of Open Access Journals (Sweden)

Jianbo Huang

2013-01-01

Full Text Available The convertible bonds usually have multiple additional provisions that make their pricing problem more difficult than straight bonds and options. This paper uses the binary tree method to model the finance market. As the underlying stock prices and the interest rates are important to the convertible bonds, we describe their dynamic processes by different binary tree. Moreover, we consider the influence of the credit risks on the convertible bonds that is described by the default rate and the recovery rate; then the two-factor binary tree model involving the credit risk is established. On the basis of the theoretical analysis, we make numerical simulation and get the pricing results when the stock prices are CRR model and the interest rates follow the constant volatility and the time-varying volatility, respectively. This model can be extended to other financial derivative instruments.

4. Persistence and extinction of a stochastic single-specie model under regime switching in a polluted environment.

Science.gov (United States)

Liu, Meng; Wang, Ke

2010-06-07

A new single-species model disturbed by both white noise and colored noise in a polluted environment is developed and analyzed. Sufficient criteria for extinction, stochastic nonpersistence in the mean, stochastic weak persistence in the mean, stochastic strong persistence in the mean and stochastic permanence of the species are established. The threshold between stochastic weak persistence in the mean and extinction is obtained. The results show that both white and colored environmental noises have sufficient effect to the survival results. Copyright (c) 2010 Elsevier Ltd. All rights reserved.

5. Measuring energy efficiency under heterogeneous technologies using a latent class stochastic frontier approach: An application to Chinese energy economy

International Nuclear Information System (INIS)

Lin, Boqiang; Du, Kerui

2014-01-01

The importance of technology heterogeneity in estimating economy-wide energy efficiency has been emphasized by recent literature. Some studies use the metafrontier analysis approach to estimate energy efficiency. However, for such studies, some reliable priori information is needed to divide the sample observations properly, which causes a difficulty in unbiased estimation of energy efficiency. Moreover, separately estimating group-specific frontiers might lose some common information across different groups. In order to overcome these weaknesses, this paper introduces a latent class stochastic frontier approach to measure energy efficiency under heterogeneous technologies. An application of the proposed model to Chinese energy economy is presented. Results show that the overall energy efficiency of China's provinces is not high, with an average score of 0.632 during the period from 1997 to 2010. - Highlights: • We introduce a latent class stochastic frontier approach to measure energy efficiency. • Ignoring technological heterogeneity would cause biased estimates of energy efficiency. • An application of the proposed model to Chinese energy economy is presented. • There is still a long way for China to develop an energy efficient regime

6. Stochastic cooling

International Nuclear Information System (INIS)

Bisognano, J.; Leemann, C.

1982-03-01

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

7. The measurement problem on classical diffusion process: inverse method on stochastic processes

International Nuclear Information System (INIS)

Bigerelle, M.; Iost, A.

2004-01-01

In a high number of diffusive systems, measures are processed to calculate material parameters such as diffusion coefficients, or to verify the accuracy of mathematical models. However, the precision of the parameter determination or of the model relevance depends on the location of the measure itself. The aim of this paper is first to analyse, for a mono-dimensional system, the precision of the measure in relation with its location by an inverse problem algorithm and secondly to examine the physical meaning of the results. Statistical mechanic considerations show that, passing over a time-distance criterion, measurement becomes uncertain whatever the initial conditions. The criterion proves that this chaotic mode is related to the production of anti-entropy at a mesoscopique scale that is in violation to quantum theory about measurement

8. Managing flowback and produced water from hydraulic fracturing under stochastic environment

Science.gov (United States)

Zhang, X.; Sun, A. Y.; Duncan, I. J.; Vesselinov, V. V.

2017-12-01

A large volume of wastewater is being generated from hydraulic fracturing in shale gas plays, including flowback and produced water. The produced wastewater in terms of its quantity and quality has become one of the main environmental problems facing shale gas industries worldwide. Cost-effective planning and management of flowback and produced water is highly desirable. Careful choice of treatment, disposal, and reuse options can lower costs and reduce potential environmental impacts. To handle the recourse issue in decision-making, a two-stage stochastic management model is developed to provide optimal alternatives for fracturing wastewater management. The proposed model is capable of prompting corrective actions to allow decision makers to adjust the pre-defined management strategies. By using this two-stage model, potential penalties arising from decision infeasibility can be minimized. The applicability of the proposed model is demonstrated using a representative synthetic example, in which tradeoffs between economic and environmental goals are quantified. This approach can generate informed defensible decisions for shale gas wastewater management. In addition, probabilistic and non-probabilistic uncertainties are effectively addressed.

9. Self-Organization by Stochastic Reconnection: The Mechanism Underlying CMEs/Flares

Science.gov (United States)

Antiochos, S. K.; Knizhnik, K. J.; DeVore, C. R.

2017-12-01

The largest explosions in the solar system are the giant CMEs/flares that produce the most dangerous space weather at Earth, yet may also have been essential for the origin of life. The root cause of CMEs/flares is that the lowest-lying magnetic field lines in the Sun's corona undergo the continual buildup of stress and free energy that can be released only through explosive ejection. We perform the first MHD simulations of a coronal-photospheric magnetic system that is driven by random photospheric convective flows and has a realistic geometry for the coronal field. Furthermore, our simulations accurately preserve the key constraint of magnetic helicity. We find that even though small-scale stress is injected randomly throughout the corona, the net result of "stochastic" coronal reconnection is a coherent stretching of the lowest-lying field lines. This highly counter-intuitive demonstration of self-organization - magnetic stress builds up locally rather than spreading out to a minimum energy state - is the fundamental mechanism responsible for the Sun's magnetic explosions and is likely to be a mechanism that is ubiquitous throughout space and laboratory plasmas. This work was supported in part by the NASA LWS and SR Programs.

10. Modeling and Optimization of the Multiobjective Stochastic Joint Replenishment and Delivery Problem under Supply Chain Environment

Directory of Open Access Journals (Sweden)

Lin Wang

2013-01-01

Full Text Available As a practical inventory and transportation problem, it is important to synthesize several objectives for the joint replenishment and delivery (JRD decision. In this paper, a new multiobjective stochastic JRD (MSJRD of the one-warehouse and n-retailer systems considering the balance of service level and total cost simultaneously is proposed. The goal of this problem is to decide the reasonable replenishment interval, safety stock factor, and traveling routing. Secondly, two approaches are designed to handle this complex multi-objective optimization problem. Linear programming (LP approach converts the multi-objective to single objective, while a multi-objective evolution algorithm (MOEA solves a multi-objective problem directly. Thirdly, three intelligent optimization algorithms, differential evolution algorithm (DE, hybrid DE (HDE, and genetic algorithm (GA, are utilized in LP-based and MOEA-based approaches. Results of the MSJRD with LP-based and MOEA-based approaches are compared by a contrastive numerical example. To analyses the nondominated solution of MOEA, a metric is also used to measure the distribution of the last generation solution. Results show that HDE outperforms DE and GA whenever LP or MOEA is adopted.

11. Multi-period project portfolio selection under risk considerations and stochastic income

Science.gov (United States)

Tofighian, Ali Asghar; Moezzi, Hamid; Khakzar Barfuei, Morteza; Shafiee, Mahmood

2018-02-01

This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than those reported in previous studies. A novel mathematical model is presented to solve the problem, considering risks, stochastic incomes, and possibility of investing extra budget in each time period. Due to the complexity of the problem, an effective meta-heuristic method hybridized with a local search procedure is presented to solve the problem. The algorithm is based on genetic algorithm (GA), which is a prominent method to solve this type of problems. The GA is enhanced by a new solution representation and well selected operators. It also is hybridized with a local search mechanism to gain better solution in shorter time. The performance of the proposed algorithm is then compared with well-known algorithms, like basic genetic algorithm (GA), particle swarm optimization (PSO), and electromagnetism-like algorithm (EM-like) by means of some prominent indicators. The computation results show the superiority of the proposed algorithm in terms of accuracy, robustness and computation time. At last, the proposed algorithm is wisely combined with PSO to improve the computing time considerably.

12. A stochastic population model to evaluate Moapa dace (Moapa coriacea) population growth under alternative management scenarios

Science.gov (United States)

Perry, Russell W.; Jones, Edward; Scoppettone, G. Gary

2015-07-14

The primary goal of this research project was to evaluate the response of Moapa dace (Moapa coriacea) to the potential effects of changes in the amount of available habitat due to human influences such as ground water pumping, barriers to movement, and extirpation of Moapa dace from the mainstem Muddy River. To understand how these factors affect Moapa dace populations and to provide a tool to guide recovery actions, we developed a stochastic model to simulate Moapa dace population dynamics. Specifically, we developed an individual based model (IBM) to incorporate the critical components that drive Moapa dace population dynamics. Our model is composed of several interlinked submodels that describe changes in Moapa dace habitat as translated into carrying capacity, the influence of carrying capacity on demographic rates of dace, and the consequent effect on equilibrium population sizes. The model is spatially explicit and represents the stream network as eight discrete stream segments. The model operates at a monthly time step to incorporate seasonally varying reproduction. Growth rates of individuals vary among stream segments, with growth rates increasing along a headwater to mainstem gradient. Movement and survival of individuals are driven by density-dependent relationships that are influenced by the carrying capacity of each stream segment.

13. Estimating cost efficiency of Turkish commercial banks under unobserved heterogeneity with stochastic frontier models

Directory of Open Access Journals (Sweden)

Hakan Gunes

2016-12-01

Full Text Available This study aims to investigate the cost efficiency of Turkish commercial banks over the restructuring period of the Turkish banking system, which coincides with the 2008 financial global crisis and the 2010 European sovereign debt crisis. To this end, within the stochastic frontier framework, we employ true fixed effects model, where the unobserved bank heterogeneity is integrated in the inefficiency distribution at a mean level. To select the cost function with the most appropriate inefficiency correlates, we first adopt a search algorithm and then utilize the model averaging approach to verify that our results are not exposed to model selection bias. Overall, our empirical results reveal that cost efficiencies of Turkish banks have improved over time, with the effects of the 2008 and 2010 crises remaining rather limited. Furthermore, not only the cost efficiency scores but also impacts of the crises on those scores appear to vary with regard to bank size and ownership structure, in accordance with much of the existing literature.

14. Multistage stochastic optimization

CERN Document Server

Pflug, Georg Ch

2014-01-01

Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization.  It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book

15. Numerical simulation of effective mechanical properties of stochastic composites with consideration for structural evolution under intensive dynamic loading

Energy Technology Data Exchange (ETDEWEB)

Karakulov, Valerii V., E-mail: valery@ftf.tsu.ru [National Research Tomsk State University, Tomsk, 634050 (Russian Federation); Smolin, Igor Yu., E-mail: smolin@ispms.ru, E-mail: skrp@ftf.tsu.ru; Skripnyak, Vladimir A., E-mail: smolin@ispms.ru, E-mail: skrp@ftf.tsu.ru [National Research Tomsk State University, Tomsk, 634050, Russia and Institute of Strength Physics and Materials Science SB RAS, Tomsk, 634055 (Russian Federation)

2014-11-14

Mechanical behavior of stochastic metal-ceramic composites with the aluminum matrix under high-rate deformation at shock-wave loading is numerically simulated with consideration for structural evolution. Effective values of mechanical parameters of metal-ceramic composites AlB{sub 4}C, AlSiC, and AlAl{sub 2}O{sub 3} are evaluated depending on different concentration of ceramic inclusions.

16. On the stability and dynamics of stochastic spiking neuron models: Nonlinear Hawkes process and point process GLMs.

Science.gov (United States)

Gerhard, Felipe; Deger, Moritz; Truccolo, Wilson

2017-02-01

Point process generalized linear models (PP-GLMs) provide an important statistical framework for modeling spiking activity in single-neurons and neuronal networks. Stochastic stability is essential when sampling from these models, as done in computational neuroscience to analyze statistical properties of neuronal dynamics and in neuro-engineering to implement closed-loop applications. Here we show, however, that despite passing common goodness-of-fit tests, PP-GLMs estimated from data are often unstable, leading to divergent firing rates. The inclusion of absolute refractory periods is not a satisfactory solution since the activity then typically settles into unphysiological rates. To address these issues, we derive a framework for determining the existence and stability of fixed points of the expected conditional intensity function (CIF) for general PP-GLMs. Specifically, in nonlinear Hawkes PP-GLMs, the CIF is expressed as a function of the previous spike history and exogenous inputs. We use a mean-field quasi-renewal (QR) approximation that decomposes spike history effects into the contribution of the last spike and an average of the CIF over all spike histories prior to the last spike. Fixed points for stationary rates are derived as self-consistent solutions of integral equations. Bifurcation analysis and the number of fixed points predict that the original models can show stable, divergent, and metastable (fragile) dynamics. For fragile models, fluctuations of the single-neuron dynamics predict expected divergence times after which rates approach unphysiologically high values. This metric can be used to estimate the probability of rates to remain physiological for given time periods, e.g., for simulation purposes. We demonstrate the use of the stability framework using simulated single-neuron examples and neurophysiological recordings. Finally, we show how to adapt PP-GLM estimation procedures to guarantee model stability. Overall, our results provide a

17. Algebraic and stochastic coding theory

CERN Document Server

Kythe, Dave K

2012-01-01

Using a simple yet rigorous approach, Algebraic and Stochastic Coding Theory makes the subject of coding theory easy to understand for readers with a thorough knowledge of digital arithmetic, Boolean and modern algebra, and probability theory. It explains the underlying principles of coding theory and offers a clear, detailed description of each code. More advanced readers will appreciate its coverage of recent developments in coding theory and stochastic processes. After a brief review of coding history and Boolean algebra, the book introduces linear codes, including Hamming and Golay codes.

18. 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

19. ANALYSIS OF EFFECTIVENESS OF METHODOLOGICAL SYSTEM FOR PROBABILITY AND STOCHASTIC PROCESSES COMPUTER-BASED LEARNING FOR PRE-SERVICE ENGINEERS

Directory of Open Access Journals (Sweden)

E. Chumak

2015-04-01

Full Text Available The author substantiates that only methodological training systems of mathematical disciplines with implementation of information and communication technologies (ICT can meet the requirements of modern educational paradigm and make possible to increase the educational efficiency. Due to this fact, the necessity of developing the methodology of theory of probability and stochastic processes computer-based learning for pre-service engineers is underlined in the paper. The results of the experimental study for analysis of the efficiency of methodological system of theory of probability and stochastic processes computer-based learning for pre-service engineers are shown. The analysis includes three main stages: ascertaining, searching and forming. The key criteria of the efficiency of designed methodological system are the level of probabilistic and stochastic skills of students and their learning motivation. The effect of implementing the methodological system of probability theory and stochastic processes computer-based learning on the level of students’ IT literacy is shown in the paper. The expanding of the range of objectives of ICT applying by students is described by author. The level of formation of students’ learning motivation on the ascertaining and forming stages of the experiment is analyzed. The level of intrinsic learning motivation for pre-service engineers is defined on these stages of the experiment. For this purpose, the methodology of testing the students’ learning motivation in the chosen specialty is presented in the paper. The increasing of intrinsic learning motivation of the experimental group students (E group against the control group students (C group is demonstrated.

20. Multi-objective unit commitment with wind penetration and emission concerns under stochastic and fuzzy uncertainties

International Nuclear Information System (INIS)

Wang, Bo; Wang, Shuming; Zhou, Xianzhong; Watada, Junzo

2016-01-01

Recent years have witnessed the ever increasing renewable penetration in power generation systems, which entails modern unit commitment problems with modelling and computation burdens. This study aims to simulate the impacts of manifold uncertainties on system operation with emission concerns. First, probability theory and fuzzy set theory are applied to jointly represent the uncertainties such as wind generation, load fluctuation and unit outage that interleaved in unit commitment problems. Second, a Value-at-Risk-based multi-objective approach is developed as a bridge of existing stochastic and robust unit commitment optimizations, which not only captures the inherent conflict between operation cost and supply reliability, but also provides easy-to-adjust robustness against worst-case scenarios. Third, a multi-objective algorithm that integrates fuzzy simulation and particle swarm optimization is developed to achieve approximate Pareto-optimal solutions. The research effectiveness is exemplified by two case studies: The comparison between test systems with and without generation uncertainty demonstrates that this study is practicable and can suggest operational insights of generation mix systems. The sensitivity analysis on Value-at-Risk proves that our method can achieve adequate tradeoff between performance optimality and robustness, thus help system operators in making informed decisions. Finally, the model and algorithm comparisons also justify the superiority of this research. - Highlights: • Probability theory and fuzzy set theory are used to describe different uncertainties. • A Value-at-Risk-based multi-objective unit commitment model is proposed. • An improved multi-objective particle swarm optimization algorithm is developed. • The model achieves adequate trade-off between performance optimality and robustness. • The algorithm can obtain convergent and diversified Pareto fronts.

1. A pseudo-optimal inexact stochastic interval T2 fuzzy sets approach for energy and environmental systems planning under uncertainty: A case study for Xiamen City of China

International Nuclear Information System (INIS)

Jin, L.; Huang, G.H.; Fan, Y.R.; Wang, L.; Wu, T.

2015-01-01

Highlights: • Propose a new energy PIS-IT2FSLP model for Xiamen City under uncertainties. • Analyze the energy supply, demand, and its flow structure of this city. • Use real energy statistics to prove the superiority of PIS-IT2FSLP method. • Obtain optimal solutions that reflect environmental requirements. • Help local authorities devise an optimal energy strategy for this local area. - Abstract: In this study, a new Pseudo-optimal Inexact Stochastic Interval Type-2 Fuzzy Sets Linear Programming (PIS-IT2FSLP) energy model is developed to support energy system planning and environment requirements under uncertainties for Xiamen City. The PIS-IT2FSLP model is based on an integration of interval Type 2 (T2) Fuzzy Sets (FS) boundary programming and stochastic linear programming techniques, enables it to have robust abilities to the tackle uncertainties expressed as T2 FS intervals and probabilistic distributions within a general optimization framework. This new model can sophisticatedly facilitate system analysis of energy supply and energy conversion processes, and environmental requirements as well as provide capacity expansion options with multiple periods. The PIS-IT2FSLP model was applied to a real case study of Xiamen energy systems. Based on a robust two-step solution algorithm, reasonable solutions have been obtained, which reflect tradeoffs between economic and environmental requirements, and among seasonal volatility energy demands of the right hand side constraints of Xiamen energy system. Thus, the lower and upper solutions of PIS-IT2FSLP would then help local energy authorities adjust current energy patterns, and discover an optimal energy strategy for the development of Xiamen City

2. Numerical simulations of piecewise deterministic Markov processes with an application to the stochastic Hodgkin-Huxley model

Science.gov (United States)

Ding, Shaojie; Qian, Min; Qian, Hong; Zhang, Xuejuan

2016-12-01

The stochastic Hodgkin-Huxley model is one of the best-known examples of piecewise deterministic Markov processes (PDMPs), in which the electrical potential across a cell membrane, V(t), is coupled with a mesoscopic Markov jump process representing the stochastic opening and closing of ion channels embedded in the membrane. The rates of the channel kinetics, in turn, are voltage-dependent. Due to this interdependence, an accurate and efficient sampling of the time evolution of the hybrid stochastic systems has been challenging. The current exact simulation methods require solving a voltage-dependent hitting time problem for multiple path-dependent intensity functions with random thresholds. This paper proposes a simulation algorithm that approximates an alternative representation of the exact solution by fitting the log-survival function of the inter-jump dwell time, H(t), with a piecewise linear one. The latter uses interpolation points that are chosen according to the time evolution of the H(t), as the numerical solution to the coupled ordinary differential equations of V(t) and H(t). This computational method can be applied to all PDMPs. Pathwise convergence of the approximated sample trajectories to the exact solution is proven, and error estimates are provided. Comparison with a previous algorithm that is based on piecewise constant approximation is also presented.

3. Continuous stochastic approach to birth and death processes and co-operative behaviour of systems far from equilibrium

Energy Technology Data Exchange (ETDEWEB)

Chechetkin, V.R.; Lutovinov, V.S.

1986-09-11

The continuous stochastic formalism for the description of systems with birth and death processes randomly distributed in space is developed with the use of local birth and death operators and local generalization of the corresponding Chapman-Kolmogorov equation. The functional stochastic equation for the evolution of the probability functional is derived and its modifications for evolution of the characteristic functional and the first passage time problem are given. The corresponding evolution equations for equal-time correlators are also derived. The results are generalized then on the exothermic and endothermic chemical reactions. As examples of the particular applications of the results the small fluctuations near stable equilibrium state and fluctuations in mono-molecular reactions, Lotka-Volterra model, Schloegl reaction and brusselator are considered. It is shown that the two-dimensional Lotka-Volterra model may exhibit synergetic phase transition analogous to the topological transition of the Kosterlitz-Thouless-Berezinskii type. At the end of the paper some general consequences from stochastic evolution of the birth and death processes are discussed and the arguments on their importance in evolution of populations, cellular dynamics and in applications to various chemical and biological problems are presented.

4. Stochastic rocket dynamics under random nozzle side loads: Ornstein-Uhlenbeck boundary layer separation and its coarse grained connection to side loading and rocket response

Energy Technology Data Exchange (ETDEWEB)

Keanini, R.G.; Srivastava, N.; Tkacik, P.T. [Department of Mechanical Engineering, University of North Carolina at Charlotte, 9201 University City Blvd., Charlotte, NC 28078 (United States); Weggel, D.C. [Department of Civil and Environmental Engineering, University of North Carolina at Charlotte, 9201 University City Blvd., Charlotte, NC 28078 (United States); Knight, P.D. [Mitchell Aerospace and Engineering, Statesville, North Carolina 28677 (United States)

2011-06-15

A long-standing, though ill-understood problem in rocket dynamics, rocket response to random, altitude-dependent nozzle side-loads, is investigated. Side loads arise during low altitude flight due to random, asymmetric, shock-induced separation of in-nozzle boundary layers. In this paper, stochastic evolution of the in-nozzle boundary layer separation line, an essential feature underlying side load generation, is connected to random, altitude-dependent rotational and translational rocket response via a set of simple analytical models. Separation line motion, extant on a fast boundary layer time scale, is modeled as an Ornstein-Uhlenbeck process. Pitch and yaw responses, taking place on a long, rocket dynamics time scale, are shown to likewise evolve as OU processes. Stochastic, altitude-dependent rocket translational motion follows from linear, asymptotic versions of the full nonlinear equations of motion; the model is valid in the practical limit where random pitch, yaw, and roll rates all remain small. Computed altitude-dependent rotational and translational velocity and displacement statistics are compared against those obtained using recently reported high fidelity simulations [Srivastava, Tkacik, and Keanini, J. Appl. Phys. 108, 044911 (2010)]; in every case, reasonable agreement is observed. As an important prelude, evidence indicating the physical consistency of the model introduced in the above article is first presented: it is shown that the study's separation line model allows direct derivation of experimentally observed side load amplitude and direction densities. Finally, it is found that the analytical models proposed in this paper allow straightforward identification of practical approaches for: (i) reducing pitch/yaw response to side loads, and (ii) enhancing pitch/yaw damping once side loads cease. (Copyright copyright 2011 WILEY-VCH Verlag GmbH and Co. KGaA, Weinheim)

5. A stochastic process model for life cycle cost analysis of nuclear power plant systems

NARCIS (Netherlands)

Van der Weide, J.A.M.; Pandey, M.D.

2013-01-01

The paper presents a general stochastic model to analyze the life cycle cost of an engineering system that is affected by minor but repairable failures interrupting the operation and a major failure that would require the replacement or renewal of the failed system. It is commonly observed that the

6. Stochastic Greybox Modeling for Control of an Alternating Activated Sludge Process

DEFF Research Database (Denmark)

Halvgaard, Rasmus Fogtmann; Vezzaro, Luca; Grum, M.

We present a stochastic greybox model of a BioDenitro WWTP that can be used for short time horizon Model Predictive Control. The model is based on a simpliﬁed ASM1 model and takes model uncertainty in to account. It estimates unmeasured state variables in the system, e.g. the inlet concentration...

7. Inexact stochastic risk-aversion optimal day-ahead dispatch model for electricity system management with wind power under uncertainty

International Nuclear Information System (INIS)

Ji, Ling; Huang, Guo-He; Huang, Lu-Cheng; Xie, Yu-Lei; Niu, Dong-Xiao

2016-01-01

High penetration of wind power generation and deregulated electricity market brings a great challenge to the electricity system operators. It is crucial to make optimal strategy among various generation units and spinning reserve for supporting the system safety operation. By integrating interval two-stage programming and stochastic robust programming, this paper proposes a novel robust model for day-ahead dispatch and risk-aversion management under uncertainties. In the proposed model, the uncertainties are expressed as interval values with different scenario probability. The proposed method requires low computation, and still retains the complete information. A case study is to validate the effectiveness of this approach. Facing the uncertainties of future demand and electricity price, the system operators need to make optimal dispatch strategy for thermal power units and wind turbine, and arrange proper spinning reserve and flexible demand response program to mitigate wind power forecasting error. The optimal strategies provide the system operators with better trade-off between the maximum benefits and the minimum system risk. In additional, two different market rules are compared. The results show that extra financial penalty for the wind power dispatch deviation is another efficient way to enhance the risk consciousness of decision makers and lead to more conservative strategy. - Highlights: • An inexact two-stage stochastic robust programming model for electricity system with wind power penetration. • Uncertainties expressed as discrete intervals and probability distributions. • Demand response program was introduced to adjust the deviation in real-time market. • Financial penalty for imbalance risk from wind power generation was evaluated.

8. Under stochastic dominance Choquet-expected utility and anticipated utility are identical

NARCIS (Netherlands)

P.P. Wakker (Peter)

1990-01-01

textabstractThe aim of this paper is to convince the reader that Choquet-expected utility, as initiated by Schmeidler (1982, 1989) for decision making under uncertainty, when formulated for decision making under risk naturally leads to anticipated utility, as initiated by Quiggin/Yaari. Thus the two

9. Under stochastic dominance choquet-expected utility and anticipated utility are identical

NARCIS (Netherlands)

Wakker, P.P.

1990-01-01

The aim of this paper is to convince the reader that Choquet-expected utility, as initiated by Schmeidler (1982) for decision making under uncertainty, when formulated for decision making under risk naturally leads to Yaari (1987)'s anticipated utility. Thus the two generalizations of expected

10. Fundamentals of stochastic nature sciences

CERN Document Server

Klyatskin, Valery I

2017-01-01

This book addresses the processes of stochastic structure formation in two-dimensional geophysical fluid dynamics based on statistical analysis of Gaussian random fields, as well as stochastic structure formation in dynamic systems with parametric excitation of positive random fields f(r,t) described by partial differential equations. Further, the book considers two examples of stochastic structure formation in dynamic systems with parametric excitation in the presence of Gaussian pumping. In dynamic systems with parametric excitation in space and time, this type of structure formation either happens – or doesn’t! However, if it occurs in space, then this almost always happens (exponentially quickly) in individual realizations with a unit probability. In the case considered, clustering of the field f(r,t) of any nature is a general feature of dynamic fields, and one may claim that structure formation is the Law of Nature for arbitrary random fields of such type. The study clarifies the conditions under wh...

11. Bearing Fault Diagnosis under Variable Speed Using Convolutional Neural Networks and the Stochastic Diagonal Levenberg-Marquardt Algorithm

Directory of Open Access Journals (Sweden)

Viet Tra

2017-12-01

Full Text Available This paper presents a novel method for diagnosing incipient bearing defects under variable operating speeds using convolutional neural networks (CNNs trained via the stochastic diagonal Levenberg-Marquardt (S-DLM algorithm. The CNNs utilize the spectral energy maps (SEMs of the acoustic emission (AE signals as inputs and automatically learn the optimal features, which yield the best discriminative models for diagnosing incipient bearing defects under variable operating speeds. The SEMs are two-dimensional maps that show the distribution of energy across different bands of the AE spectrum. It is hypothesized that the variation of a bearing’s speed would not alter the overall shape of the AE spectrum rather, it may only scale and translate it. Thus, at different speeds, the same defect would yield SEMs that are scaled and shifted versions of each other. This hypothesis is confirmed by the experimental results, where CNNs trained using the S-DLM algorithm yield significantly better diagnostic performance under variable operating speeds compared to existing methods. In this work, the performance of different training algorithms is also evaluated to select the best training algorithm for the CNNs. The proposed method is used to diagnose both single and compound defects at six different operating speeds.

12. Stochastic thermodynamics

Science.gov (United States)

Eichhorn, Ralf; Aurell, Erik

2014-04-01

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

13. Asymmetric Spatial Processing Under Cognitive Load.

Science.gov (United States)

Naert, Lien; Bonato, Mario; Fias, Wim

2018-01-01

14. Analysis of the stochastic channel model by Saleh & Valenzuela via the theory of point processes

DEFF Research Database (Denmark)

Jakobsen, Morten Lomholt; Pedersen, Troels; Fleury, Bernard Henri

2012-01-01

and underlying features, like the intensity function of the component delays and the delaypower intensity. The flexibility and clarity of the mathematical instruments utilized to obtain these results lead us to conjecture that the theory of spatial point processes provides a unifying mathematical framework...

15. A stochastic dynamic model to assess land use change scenarios on the ecological status of fluvial water bodies under the Water Framework Directive

NARCIS (Netherlands)

Hughes, Samantha Jane; Cabral, João Alexandre; Bastos, Rita; Cortes, Rui; Vicente, Joana; Eitelberg, David; Yu, Huirong; Honrado, João; Santos, Mário

2016-01-01

This method development paper outlines an integrative stochastic dynamic methodology (StDM) framework to anticipate land use (LU) change effects on the ecological status of monitored and non-monitored lotic surface waters under the Water Framework Directive (WFD). Tested in the Alto Minho River

16. Convergence of macrostates under reproducible processes

International Nuclear Information System (INIS)

Rau, Jochen

2010-01-01

I show that whenever a system undergoes a reproducible macroscopic process the mutual distinguishability of macrostates, as measured by their relative entropy, diminishes. This extends the second law which regards only ordinary entropies, and hence only the distinguishability between macrostates and one specific reference state (equidistribution). The new result holds regardless of whether the process is linear or nonlinear. Its proof hinges on the monotonicity of quantum relative entropy under arbitrary coarse grainings, even those that cannot be represented by trace-preserving completely positive maps.

17. Random function representation of stationary stochastic vector processes for probability density evolution analysis of wind-induced structures

Science.gov (United States)

Liu, Zhangjun; Liu, Zenghui

2018-06-01

This paper develops a hybrid approach of spectral representation and random function for simulating stationary stochastic vector processes. In the proposed approach, the high-dimensional random variables, included in the original spectral representation (OSR) formula, could be effectively reduced to only two elementary random variables by introducing the random functions that serve as random constraints. Based on this, a satisfactory simulation accuracy can be guaranteed by selecting a small representative point set of the elementary random variables. The probability information of the stochastic excitations can be fully emerged through just several hundred of sample functions generated by the proposed approach. Therefore, combined with the probability density evolution method (PDEM), it could be able to implement dynamic response analysis and reliability assessment of engineering structures. For illustrative purposes, a stochastic turbulence wind velocity field acting on a frame-shear-wall structure is simulated by constructing three types of random functions to demonstrate the accuracy and efficiency of the proposed approach. Careful and in-depth studies concerning the probability density evolution analysis of the wind-induced structure have been conducted so as to better illustrate the application prospects of the proposed approach. Numerical examples also show that the proposed approach possesses a good robustness.

18. Fuel corrosion processes under waste disposal conditions

International Nuclear Information System (INIS)

Shoesmith, D.W.

2000-01-01

The release of the majority of radionuclides from spent nuclear fuel under permanent disposal conditions will be controlled by the rate of dissolution of the UO 2 fuel matrix. In this manuscript the mechanism of the coupled anodic (fuel dissolution) and cathodic (oxidant reduction) reactions which constitute the overall fuel corrosion process is reviewed, and the many published observations on fuel corrosion under disposal conditions discussed. The primary emphasis is on summarizing the overall mechanistic behaviour and establishing the primary factors likely to control fuel corrosion. Included are discussions on the influence of various oxidants including radiolytic ones, pH, temperature, groundwater composition, and the formation of corrosion product deposits. The relevance of the data recorded on unirradiated UO 2 to the interpretation of spent fuel behaviour is included. Based on the review, the data used to develop fuel corrosion models under the conditions anticipated in Yucca Mountain (NV, USA) are evaluated

19. 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...

20. PC analysis of stochastic differential equations driven by Wiener noise

KAUST Repository

Le Maitre, Olivier

2015-03-01

A polynomial chaos (PC) analysis with stochastic expansion coefficients is proposed for stochastic differential equations driven by additive or multiplicative Wiener noise. It is shown that for this setting, a Galerkin formalism naturally leads to the definition of a hierarchy of stochastic differential equations governing the evolution of the PC modes. Under the mild assumption that the Wiener and uncertain parameters can be treated as independent random variables, it is also shown that the Galerkin formalism naturally separates parametric uncertainty and stochastic forcing dependences. This enables us to perform an orthogonal decomposition of the process variance, and consequently identify contributions arising from the uncertainty in parameters, the stochastic forcing, and a coupled term. Insight gained from this decomposition is illustrated in light of implementation to simplified linear and non-linear problems; the case of a stochastic bifurcation is also considered.

1. A stochastic dynamic model of a dairy farm to evaluate the technical and economic performance under different scenarios.

Science.gov (United States)

Calsamiglia, S; Astiz, S; Baucells, J; Castillejos, L

2018-05-23

Dairy farms need to improve their competitiveness through decisions that are often difficult to evaluate because they are highly dependent on many economic and technical factors. The objective of this project was to develop a stochastic and dynamic mathematical model to simulate the functioning of a dairy farm to evaluate the effect of changes in technical or economic factors on performance and profitability. Submodels were developed for reproduction, feeding, diseases, heifers, environmental factors, facilities, management, and economics. All these submodels were simulated on an animal-by-animal and day-by-day basis. Default values for all variables are provided, but the user can change them. The outcome provides a list of technical and economic indicators essential for the decision-making process. Performance of the program was verified by evaluating the effects and sensitivity analysis of different scenarios in 20 different dairy farms. As an example, a case study of a dairy farm with 300 cows producing 40 L/d and a 12% pregnancy rate (PR) was used. The effect of using a time-fixed artificial insemination (TFAI) protocol in the first insemination at 77 d in milk, with 45 and 40% conception rates for first-lactation and older cows, respectively, and a cost of €13 was explored. During the 5-yr simulation, the TFAI increased PR (12 to 17%) and milk yield per milking cow (39.8 to 41.2 L/d) and reduced days to first AI (93 to 74), days open (143 to 116), and the proportion of problem cows (24.3 to 15.9%). In the TFAI, cows were dried 30 d earlier, resulting in more dry cows, and a smaller difference in milk yield by present cows (35.5 vs 36.0 L/d for control and TFAI, respectively). A longer productive life (2.56 vs. 2.79 yr) with shorter lactations in TFIA resulted in less first-lactation cows (42 vs 36%), 32 more calvings per year, and, therefore, more cases of postpartum diseases. Total (32.5 to 29.9%) and reproductive (10.5 vs 6.8%) culling rates decreased in

2. Power Scheduling Method for Demand Response based on Home Energy Management System using Stochastic Process

OpenAIRE

Moreno, Pablo; García, Marcelo

2016-01-01

The increase in energy consumption, especially in residential consumers, means that the electrical system should grow at pair, in infrastructure and installed capacity, the energy prices vary to meet these needs, so this paper uses the methodology of demand response using stochastic methods such as Markov, to optimize energy consumption of residential users. It is necessary to involve customers in the electrical system because in this way it can be verified the actual amount of electric charg...

3. Stochastic processes and the non-perturbative structure of the QCD vacuum

International Nuclear Information System (INIS)

Vilela Mendes, R.

1992-01-01

Based on a local Gaussian evaluation of the functional integral representation, a method is developed to obtain ground state functionals. The method is applied to the gluon sector of QCD. For the leading term in the ground state functional, stochastic techniques are used to check consistency of the quantum theory, finiteness of the mass gap and the scaling relation in the continuum limit. The functional also implies strong chromomagnetic fluctuations which constrain the propagators in the fermion sector. (orig.)

4. A finite state, finite memory minimum principle, part 2. [a discussion of game theory, signaling, stochastic processes, and control theory

Science.gov (United States)

Sandell, N. R., Jr.; Athans, M.

1975-01-01

The development of the theory of the finite - state, finite - memory (FSFM) stochastic control problem is discussed. The sufficiency of the FSFM minimum principle (which is in general only a necessary condition) was investigated. By introducing the notion of a signaling strategy as defined in the literature on games, conditions under which the FSFM minimum principle is sufficient were determined. This result explicitly interconnects the information structure of the FSFM problem with its optimality conditions. The min-H algorithm for the FSFM problem was studied. It is demonstrated that a version of the algorithm always converges to a particular type of local minimum termed a person - by - person extremal.

5. The Orienteering Problem under Uncertainty Stochastic Programming and Robust Optimization compared

NARCIS (Netherlands)

Evers, L.; Glorie, K.; Ster, S. van der; Barros, A.I.; Monsuur, H.

2012-01-01

The Orienteering Problem (OP) is a generalization of the well-known traveling salesman problem and has many interesting applications in logistics, tourism and defense. To reflect real-life situations, we focus on an uncertain variant of the OP. Two main approaches that deal with optimization under

6. Stochastic Mixed-Effects Parameters Bertalanffy Process, with Applications to Tree Crown Width Modeling

Directory of Open Access Journals (Sweden)

Petras Rupšys

2015-01-01

Full Text Available A stochastic modeling approach based on the Bertalanffy law gained interest due to its ability to produce more accurate results than the deterministic approaches. We examine tree crown width dynamic with the Bertalanffy type stochastic differential equation (SDE and mixed-effects parameters. In this study, we demonstrate how this simple model can be used to calculate predictions of crown width. We propose a parameter estimation method and computational guidelines. The primary goal of the study was to estimate the parameters by considering discrete sampling of the diameter at breast height and crown width and by using maximum likelihood procedure. Performance statistics for the crown width equation include statistical indexes and analysis of residuals. We use data provided by the Lithuanian National Forest Inventory from Scots pine trees to illustrate issues of our modeling technique. Comparison of the predicted crown width values of mixed-effects parameters model with those obtained using fixed-effects parameters model demonstrates the predictive power of the stochastic differential equations model with mixed-effects parameters. All results were implemented in a symbolic algebra system MAPLE.

7. A stochastic dynamic model to assess land use change scenarios on the ecological status of fluvial water bodies under the Water Framework Directive

Energy Technology Data Exchange (ETDEWEB)

Hughes, Samantha Jane, E-mail: shughes@utad.pt [Fluvial Ecology Laboratory, CITAB – Centre for the Research and Technology of Agro-Environment and Biological Sciences, University of Trás-os-Montes e Alto Douro, Vila Real (Portugal); Cabral, João Alexandre, E-mail: jcabral@utad.pt [Laboratory of Applied Ecology, CITAB – Centre for the Research and Technology of Agro-Environment and Biological Sciences, University of Trás-os-Montes e Alto Douro, Vila Real (Portugal); Bastos, Rita, E-mail: ritabastos@utad.pt [Laboratory of Applied Ecology, CITAB – Centre for the Research and Technology of Agro-Environment and Biological Sciences, University of Trás-os-Montes e Alto Douro, Vila Real (Portugal); Cortes, Rui, E-mail: rcortes@utad.pt [Fluvial Ecology Laboratory, CITAB – Centre for the Research and Technology of Agro-Environment and Biological Sciences, University of Trás-os-Montes e Alto Douro, Vila Real (Portugal); Vicente, Joana, E-mail: jsvicente@fc.up.pt [Centro de Investigacão em Biodiversidade e Recursos Genéticos (CIBIO), Faculdade de Ciências, Universidade do Porto, Porto (Portugal); Eitelberg, David, E-mail: d.a.eitelberg@vu.nl [Faculty of Earth and Life Sciences, VU University Amsterdam, De Boelelaan 1087, 1081 HV Amsterdam (Netherlands); Yu, Huirong, E-mail: h.yu@vu.nl [Faculty of Earth and Life Sciences, VU University Amsterdam, De Boelelaan 1087, 1081 HV Amsterdam (Netherlands); College of Resources and Environmental Sciences, China Agricultural University, 2 Yuanmingyuan W. Road, Haidian District, Beijing 100193 (China); and others

2016-09-15

This method development paper outlines an integrative stochastic dynamic methodology (StDM) framework to anticipate land use (LU) change effects on the ecological status of monitored and non-monitored lotic surface waters under the Water Framework Directive (WFD). Tested in the Alto Minho River Basin District in North West Portugal, the model is an innovative step towards developing a decision-making and planning tool to assess the influence impacts such as LU change and climate change on these complex systems. Comprising a series of sequential steps, a Generalized Linear Model based, competing model Multi Model Inference (MMI) approach was used for parameter estimation to identify principal land use types (distal factors) driving change in biological and physicochemical support elements (proximal factors) in monitored water bodies. The framework integrated MMI constants and coefficients of selected LU categories in the StDM simulations and spatial projections to simulate the ecological status of monitored and non-monitored lotic waterbodies in the test area under 2 scenarios of (1) LU intensification and (2) LU extensification. A total of 100 simulations were run for a 50 year period for each scenario. Spatially dynamic projections of WFD metrics were obtained, taking into account the occurrence of stochastic wildfire events which typically occur in the study region and are exacerbated by LU change. A marked projected decline to “Moderate” ecological status for most waterbodies was detected under intensification but little change under extensification; only a few waterbodies fell to “moderate” status. The latter scenario describes the actual regional socio-economic situation of agricultural abandonment due to rural poverty, partly explaining the projected lack of change in ecological status. Based on the WFD “one out all out” criterion, projected downward shifts in ecological status were due to physicochemical support elements, namely increased

8. A stochastic dynamic model to assess land use change scenarios on the ecological status of fluvial water bodies under the Water Framework Directive

International Nuclear Information System (INIS)

Hughes, Samantha Jane; Cabral, João Alexandre; Bastos, Rita; Cortes, Rui; Vicente, Joana; Eitelberg, David; Yu, Huirong

2016-01-01

This method development paper outlines an integrative stochastic dynamic methodology (StDM) framework to anticipate land use (LU) change effects on the ecological status of monitored and non-monitored lotic surface waters under the Water Framework Directive (WFD). Tested in the Alto Minho River Basin District in North West Portugal, the model is an innovative step towards developing a decision-making and planning tool to assess the influence impacts such as LU change and climate change on these complex systems. Comprising a series of sequential steps, a Generalized Linear Model based, competing model Multi Model Inference (MMI) approach was used for parameter estimation to identify principal land use types (distal factors) driving change in biological and physicochemical support elements (proximal factors) in monitored water bodies. The framework integrated MMI constants and coefficients of selected LU categories in the StDM simulations and spatial projections to simulate the ecological status of monitored and non-monitored lotic waterbodies in the test area under 2 scenarios of (1) LU intensification and (2) LU extensification. A total of 100 simulations were run for a 50 year period for each scenario. Spatially dynamic projections of WFD metrics were obtained, taking into account the occurrence of stochastic wildfire events which typically occur in the study region and are exacerbated by LU change. A marked projected decline to “Moderate” ecological status for most waterbodies was detected under intensification but little change under extensification; only a few waterbodies fell to “moderate” status. The latter scenario describes the actual regional socio-economic situation of agricultural abandonment due to rural poverty, partly explaining the projected lack of change in ecological status. Based on the WFD “one out all out” criterion, projected downward shifts in ecological status were due to physicochemical support elements, namely increased

9. A model for optimization of process integration investments under uncertainty

International Nuclear Information System (INIS)

Svensson, Elin; Stroemberg, Ann-Brith; Patriksson, Michael

2011-01-01

The long-term economic outcome of energy-related industrial investment projects is difficult to evaluate because of uncertain energy market conditions. In this article, a general, multistage, stochastic programming model for the optimization of investments in process integration and industrial energy technologies is proposed. The problem is formulated as a mixed-binary linear programming model where uncertainties are modelled using a scenario-based approach. The objective is to maximize the expected net present value of the investments which enables heat savings and decreased energy imports or increased energy exports at an industrial plant. The proposed modelling approach enables a long-term planning of industrial, energy-related investments through the simultaneous optimization of immediate and later decisions. The stochastic programming approach is also suitable for modelling what is possibly complex process integration constraints. The general model formulation presented here is a suitable basis for more specialized case studies dealing with optimization of investments in energy efficiency. -- Highlights: → Stochastic programming approach to long-term planning of process integration investments. → Extensive mathematical model formulation. → Multi-stage investment decisions and scenario-based modelling of uncertain energy prices. → Results illustrate how investments made now affect later investment and operation opportunities. → Approach for evaluation of robustness with respect to variations in probability distribution.

10. Cost inefficiency under financial strain: a stochastic frontier analysis of hospitals in Washington State through the Great Recession.

Science.gov (United States)

Izón, Germán M; Pardini, Chelsea A

2017-06-01

The importance of increasing cost efficiency for community hospitals in the United States has been underscored by the Great Recession and the ever-changing health care reimbursement environment. Previous studies have shown mixed evidence with regards to the relationship between linking hospitals' reimbursement to quality of care and cost efficiency. Moreover, current evidence suggests that not only inherently financially disadvantaged hospitals (e.g., safety-net providers), but also more financially stable providers, experienced declines to their financial viability throughout the recession. However, little is known about how hospital cost efficiency fared throughout the Great Recession. This study contributes to the literature by using stochastic frontier analysis to analyze cost inefficiency of Washington State hospitals between 2005 and 2012, with controls for patient burden of illness, hospital process of care quality, and hospital outcome quality. The quality measures included in this study function as central measures for the determination of recently implemented pay-for-performance programs. The average estimated level of hospital cost inefficiency before the Great Recession (10.4 %) was lower than it was during the Great Recession (13.5 %) and in its aftermath (14.1 %). Further, the estimated coefficients for summary process of care quality indexes for three health conditions (acute myocardial infarction, pneumonia, and heart failure) suggest that higher quality scores are associated with increased cost inefficiency.

11. Instantaneous stochastic perturbation theory

International Nuclear Information System (INIS)

Lüscher, Martin

2015-01-01

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

12. Stochastic kinetics

International Nuclear Information System (INIS)

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

1975-01-01

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

13. Asymmetric Spatial Processing Under Cognitive Load

Directory of Open Access Journals (Sweden)

Lien Naert

2018-04-01

14. A joint inventory policy under permissible delay in payment and stochastic demand (Case study: Pharmacy Department of Pariaman Hospital)

Science.gov (United States)

2017-11-01

Inventory cannot be avoided by organizations. One of them is a hospital which has a functional unit to manage the drugs and other medical supplies such as disposable and laboratory material. The unit is called Pharmacy Department which is responsible to do all of pharmacy services in the hospital. The current problem in Pharmacy Department is that the level of drugs and medical supplies inventory is too high. Inventory is needed to keep the service level to customers but at the same time it increases the cost of holding the items, so there should be a policy to keep the inventory on an optimal condition. To solve such problem, this paper proposes an inventory policy in Pharmacy Department of Pariaman Hospital. The inventory policy is determined by using Economic Order Quantity (EOQ) model under condition of permissible delay in payment for multiple products considering safety stock to anticipate stochastic demand. This policy is developed based on the actual condition of the system studied where suppliers provided a certain period to Pharmacy Department to complete the payment of the order. Based on implementation using software Lingo 13.0, total inventory cost of proposed policy of IDR 137,334,815.34 is 37.4% lower than the total inventory cost of current policy of IDR 219,511,519.45. Therefore, the proposed inventory policy is applicable to the system to minimize the total inventory cost.

15. Operation of a wind turbine-flywheel energy storage system under conditions of stochastic change of wind energy.

Science.gov (United States)

Tomczewski, Andrzej

2014-01-01

The paper presents the issues of a wind turbine-flywheel energy storage system (WT-FESS) operation under real conditions. Stochastic changes of wind energy in time cause significant fluctuations of the system output power and as a result have a negative impact on the quality of the generated electrical energy. In the author's opinion it is possible to reduce the aforementioned effects by using an energy storage of an appropriate type and capacity. It was assumed that based on the technical parameters of a wind turbine-energy storage system and its geographical location one can determine the boundary capacity of the storage, which helps prevent power cuts to the grid at the assumed probability. Flywheel energy storage was selected due to its characteristics and technical parameters. The storage capacity was determined based on an empirical relationship using the results of the proposed statistical and energetic analysis of the measured wind velocity courses. A detailed algorithm of the WT-FESS with the power grid system was developed, eliminating short-term breaks in the turbine operation and periods when the wind turbine power was below the assumed level.

16. Stochastic estimation of plant-available soil water under fluctuating water table depths

Science.gov (United States)

Or, Dani; Groeneveld, David P.

1994-12-01

Preservation of native valley-floor phreatophytes while pumping groundwater for export from Owens Valley, California, requires reliable predictions of plant water use. These predictions are compared with stored soil water within well field regions and serve as a basis for managing groundwater resources. Soil water measurement errors, variable recharge, unpredictable climatic conditions affecting plant water use, and modeling errors make soil water predictions uncertain and error-prone. We developed and tested a scheme based on soil water balance coupled with implementation of Kalman filtering (KF) for (1) providing physically based soil water storage predictions with prediction errors projected from the statistics of the various inputs, and (2) reducing the overall uncertainty in both estimates and predictions. The proposed KF-based scheme was tested using experimental data collected at a location on the Owens Valley floor where the water table was artificially lowered by groundwater pumping and later allowed to recover. Vegetation composition and per cent cover, climatic data, and soil water information were collected and used for developing a soil water balance. Predictions and updates of soil water storage under different types of vegetation were obtained for a period of 5 years. The main results show that: (1) the proposed predictive model provides reliable and resilient soil water estimates under a wide range of external conditions; (2) the predicted soil water storage and the error bounds provided by the model offer a realistic and rational basis for decisions such as when to curtail well field operation to ensure plant survival. The predictive model offers a practical means for accommodating simple aspects of spatial variability by considering the additional source of uncertainty as part of modeling or measurement uncertainty.

17. Effluent trading in river systems through stochastic decision-making process: a case study.

Science.gov (United States)

2017-09-01

The objective of this paper is to provide an efficient framework for effluent trading in river systems. The proposed framework consists of two pessimistic and optimistic decision-making models to increase the executability of river water quality trading programs. The models used for this purpose are (1) stochastic fallback bargaining (SFB) to reach an agreement among wastewater dischargers and (2) stochastic multi-criteria decision-making (SMCDM) to determine the optimal treatment strategy. The Monte-Carlo simulation method is used to incorporate the uncertainty into analysis. This uncertainty arises from stochastic nature and the errors in the calculation of wastewater treatment costs. The results of river water quality simulation model are used as the inputs of models. The proposed models are used in a case study on the Zarjoub River in northern Iran to determine the best solution for the pollution load allocation. The best treatment alternatives selected by each model are imported, as the initial pollution discharge permits, into an optimization model developed for trading of pollution discharge permits among pollutant sources. The results show that the SFB-based water pollution trading approach reduces the costs by US$14,834 while providing a relative consensus among pollutant sources. Meanwhile, the SMCDM-based water pollution trading approach reduces the costs by US$ 218,852, but it is less acceptable by pollutant sources. Therefore, it appears that giving due attention to stability, or in other words acceptability of pollution trading programs for all pollutant sources, is an essential element of their success.

18. Minimal representation of matrix valued white stochastic processes and U–D factorisation of algorithms for optimal control

NARCIS (Netherlands)

Willigenburg, van L.G.; Koning, de W.L.

2013-01-01

Two different descriptions are used in the literature to formulate the optimal dynamic output feedback control problem for linear dynamical systems with white stochastic parameters and quadratic criteria, called the optimal compensation problem. One describes the matrix valued white stochastic

19. Modeling and identification of ARMG models for stochastic processes: application to on-line computation of the power spectral density

International Nuclear Information System (INIS)

Zwingelstein, Gilles; Thabet, Gabriel.

1977-01-01

Control algorithms for components of nuclear power plants are currently based on external diagnostic methods. Modeling and identification techniques for autoregressive moving average models (ARMA) for stochastic processes are described. The identified models provide a means of estimating the power spectral density with improved accuracy and computer time compared with the classical methods. They are particularly will suited for on-line estimation of the power spectral density. The observable stochastic process y (t) is modeled assuming that it is the output of a linear filter driven by Gaussian while noise w (t). Two identification schemes were tested to find the orders m and n of the ARMA (m,n) models and to estimate the parameters of the recursion equation relating the input and output signals. The first scheme consists in transforming the ARMA model to an autoregressive model. The parameters of this AR model are obtained using least squares estimation techniques. The second scheme consists in finding the parameters of the ARMA by nonlinear programming techniques. The power spectral density of y(t) is instantaneously deduced from these ARMA models [fr

20. Fuel corrosion processes under waste disposal conditions

International Nuclear Information System (INIS)

Shoesmith, D.W.

1999-09-01

Under the oxidizing conditions likely to be encountered in the Yucca Mountain Repository, fuel dissolution is a corrosion process involving the coupling of the anodic dissolution of the fuel with the cathodic reduction of oxidants available within the repository. The oxidants potentially available to drive fuel corrosion are environmental oxygen, supplied by the transport through the permeable rock of the mountain and molecular and radical species produced by the radiolysis of available aerated water. The mechanism of these coupled anodic and cathodic reactions is reviewed in detail. While gaps in understanding remain, many kinetic features of these reactions have been studied in considerable detail, and a reasonably justified mechanism for fuel corrosion is available. The corrosion rate is determined primarily by environmental factors rather than the properties of the fuel. Thus, with the exception of increase in rate due to an increase in surface area, pre-oxidation of the fuel has little effect on the corrosion rate

1. Fuel corrosion processes under waste disposal conditions

Energy Technology Data Exchange (ETDEWEB)

Shoesmith, D.W. [Univ. of Western Ontario, Dept. of Chemistry, London, Ontario (Canada)

1999-09-01

Under the oxidizing conditions likely to be encountered in the Yucca Mountain Repository, fuel dissolution is a corrosion process involving the coupling of the anodic dissolution of the fuel with the cathodic reduction of oxidants available within the repository. The oxidants potentially available to drive fuel corrosion are environmental oxygen, supplied by the transport through the permeable rock of the mountain and molecular and radical species produced by the radiolysis of available aerated water. The mechanism of these coupled anodic and cathodic reactions is reviewed in detail. While gaps in understanding remain, many kinetic features of these reactions have been studied in considerable detail, and a reasonably justified mechanism for fuel corrosion is available. The corrosion rate is determined primarily by environmental factors rather than the properties of the fuel. Thus, with the exception of increase in rate due to an increase in surface area, pre-oxidation of the fuel has little effect on the corrosion rate.

2. Stochastic optimal control, forward-backward stochastic differential equations and the Schroedinger equation

Energy Technology Data Exchange (ETDEWEB)

Paul, Wolfgang; Koeppe, Jeanette [Institut fuer Physik, Martin Luther Universitaet, 06099 Halle (Germany); Grecksch, Wilfried [Institut fuer Mathematik, Martin Luther Universitaet, 06099 Halle (Germany)

2016-07-01

The standard approach to solve a non-relativistic quantum problem is through analytical or numerical solution of the Schroedinger equation. We show a way to go around it. This way is based on the derivation of the Schroedinger equation from conservative diffusion processes and the establishment of (several) stochastic variational principles leading to the Schroedinger equation under the assumption of a kinematics described by Nelson's diffusion processes. Mathematically, the variational principle can be considered as a stochastic optimal control problem linked to the forward-backward stochastic differential equations of Nelson's stochastic mechanics. The Hamilton-Jacobi-Bellmann equation of this control problem is the Schroedinger equation. We present the mathematical background and how to turn it into a numerical scheme for analyzing a quantum system without using the Schroedinger equation and exemplify the approach for a simple 1d problem.

3. Optimal processing pathway selection for microalgae-based biorefinery under uncertainty

DEFF Research Database (Denmark)

2015-01-01

We propose a systematic framework for the selection of optimal processing pathways for a microalgaebased biorefinery under techno-economic uncertainty. The proposed framework promotes robust decision making by taking into account the uncertainties that arise due to inconsistencies among...... and shortage in the available technical information. A stochastic mixed integer nonlinear programming (sMINLP) problem is formulated for determining the optimal biorefinery configurations based on a superstructure model where parameter uncertainties are modeled and included as sampled scenarios. The solution...... the accounting of uncertainty are compared with respect to different objectives. (C) 2015 Elsevier Ltd. All rights reserved....

4. Cognitive Processes Underlying the Artistic Experience

Directory of Open Access Journals (Sweden)

Alejandra Wah

2017-08-01

Full Text Available Based on the field of aesthetics, for centuries philosophers and more recently scientists have been concerned with understanding the artistic experience focusing on emotional responses to the perception of artworks. By contrast, in the last decades, evolutionary biology has been concerned with explaining the artistic experience by focusing on the cognitive processes underlying this experience. Up until now, the cognitive mechanisms that allow humans to experience objects and events as art remain largely unexplored and there is still no conventional use of terms for referring to the processes which may explain why the artistic experience is characteristically human and universal to human beings (Dissanayake, 1992, p. 24; Donald, 2006, p. 4. In this paper, I will first question whether it is productive to understand the artistic experience in terms of perception and emotion, and I will subsequently propose a possible alternative explanation to understand this experience. Drawing upon the work of Ellen Dissanayake (1992, 2000, 2015, Merlin Donald (2001, 2006, 2013, Antonio Damasio (1994, 2000, 2003, 2010, Barend van Heusden (2004, 2009, 2010, and Alejandra Wah (2014, I will argue that this experience is characterized by particular degrees of imagination and consciousness.

5. Sampling of Stochastic Input Parameters for Rockfall Calculations and for Structural Response Calculations Under Vibratory Ground Motion

International Nuclear Information System (INIS)

M. Gross

2004-01-01

The purpose of this scientific analysis is to define the sampled values of stochastic (random) input parameters for (1) rockfall calculations in the lithophysal and nonlithophysal zones under vibratory ground motions, and (2) structural response calculations for the drip shield and waste package under vibratory ground motions. This analysis supplies: (1) Sampled values of ground motion time history and synthetic fracture pattern for analysis of rockfall in emplacement drifts in nonlithophysal rock (Section 6.3 of ''Drift Degradation Analysis'', BSC 2004 [DIRS 166107]); (2) Sampled values of ground motion time history and rock mechanical properties category for analysis of rockfall in emplacement drifts in lithophysal rock (Section 6.4 of ''Drift Degradation Analysis'', BSC 2004 [DIRS 166107]); (3) Sampled values of ground motion time history and metal to metal and metal to rock friction coefficient for analysis of waste package and drip shield damage to vibratory motion in ''Structural Calculations of Waste Package Exposed to Vibratory Ground Motion'' (BSC 2004 [DIRS 167083]) and in ''Structural Calculations of Drip Shield Exposed to Vibratory Ground Motion'' (BSC 2003 [DIRS 163425]). The sampled values are indices representing the number of ground motion time histories, number of fracture patterns and rock mass properties categories. These indices are translated into actual values within the respective analysis and model reports or calculations. This report identifies the uncertain parameters and documents the sampled values for these parameters. The sampled values are determined by GoldSim V6.04.007 [DIRS 151202] calculations using appropriate distribution types and parameter ranges. No software development or model development was required for these calculations. The calculation of the sampled values allows parameter uncertainty to be incorporated into the rockfall and structural response calculations that support development of the seismic scenario for the

6. Stochastic quantization and gravity

International Nuclear Information System (INIS)

Rumpf, H.

1984-01-01

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

7. 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 ...

8. Testing the robustness of deterministic models of optimal dynamic pricing and lot-sizing for deteriorating items under stochastic conditions

DEFF Research Database (Denmark)

Ghoreishi, Maryam

2018-01-01

Many models within the field of optimal dynamic pricing and lot-sizing models for deteriorating items assume everything is deterministic and develop a differential equation as the core of analysis. Two prominent examples are the papers by Rajan et al. (Manag Sci 38:240–262, 1992) and Abad (Manag......, we will try to expose the model by Abad (1996) and Rajan et al. (1992) to stochastic inputs; however, designing these stochastic inputs such that they as closely as possible are aligned with the assumptions of those papers. We do our investigation through a numerical test where we test the robustness...... of the numerical results reported in Rajan et al. (1992) and Abad (1996) in a simulation model. Our numerical results seem to confirm that the results stated in these papers are indeed robust when being imposed to stochastic inputs....

9. Simulations of Technology-Induced and Crisis-Led Stochastic and Chaotic Fluctuations in Higher Education Processes: A Model and a Case Study for Performance and Expected Employment

Science.gov (United States)

Ahmet, Kara

2015-01-01

This paper presents a simple model of the provision of higher educational services that considers and exemplifies nonlinear, stochastic, and potentially chaotic processes. I use the methods of system dynamics to simulate these processes in the context of a particular sociologically interesting case, namely that of the Turkish higher education…

10. Stochastic problems in population genetics

CERN Document Server

Maruyama, Takeo

1977-01-01

These are" notes based on courses in Theoretical Population Genetics given at the University of Texas at Houston during the winter quarter, 1974, and at the University of Wisconsin during the fall semester, 1976. These notes explore problems of population genetics and evolution involving stochastic processes. Biological models and various mathematical techniques are discussed. Special emphasis is given to the diffusion method and an attempt is made to emphasize the underlying unity of various problems based on the Kolmogorov backward equation. A particular effort was made to make the subject accessible to biology students who are not familiar with stochastic processes. The references are not exhaustive but were chosen to provide a starting point for the reader interested in pursuing the subject further. Acknowledgement I would like to use this opportunity to express my thanks to Drs. J. F. Crow, M. Nei and W. J. Schull for their hospitality during my stays at their universities. I am indebted to Dr. M. Kimura...

11. KNO scaling functions given by Buras and Koba and by Barshay and Yamaguchi, and stochastic Rayleigh and Ornstein-Uhlenbeck processes

International Nuclear Information System (INIS)

Biyajima, M.

1984-01-01

Stochastic backgrounds of the KNO scaling functions given by Buras and Koba and by Barshay and Yamaguchi are investigated. It is found that they are connected with the stochastic Rayleigh process, and the (1+2)- and (1+4)-dimensional Ornstein-Uhlenbeck process. Moreover those KNO scaling functions are transformed into the KNO scaling functions given by the Perina-McGill formula in terms of a nonlinear transformation. Analyses of data by means of them are made. Probability distributions of the former KNO scaling functions are also calculated by the Poisson transformation. (orig.)

12. Modeling bias and variation in the stochastic processes of small RNA sequencing.

Science.gov (United States)

Argyropoulos, Christos; Etheridge, Alton; Sakhanenko, Nikita; Galas, David

2017-06-20

The use of RNA-seq as the preferred method for the discovery and validation of small RNA biomarkers has been hindered by high quantitative variability and biased sequence counts. In this paper we develop a statistical model for sequence counts that accounts for ligase bias and stochastic variation in sequence counts. This model implies a linear quadratic relation between the mean and variance of sequence counts. Using a large number of sequencing datasets, we demonstrate how one can use the generalized additive models for location, scale and shape (GAMLSS) distributional regression framework to calculate and apply empirical correction factors for ligase bias. Bias correction could remove more than 40% of the bias for miRNAs. Empirical bias correction factors appear to be nearly constant over at least one and up to four orders of magnitude of total RNA input and independent of sample composition. Using synthetic mixes of known composition, we show that the GAMLSS approach can analyze differential expression with greater accuracy, higher sensitivity and specificity than six existing algorithms (DESeq2, edgeR, EBSeq, limma, DSS, voom) for the analysis of small RNA-seq data. © The Author(s) 2017. Published by Oxford University Press on behalf of Nucleic Acids Research.

13. Modelling the cancer growth process by Stochastic Differential Equations with the effect of Chondroitin Sulfate (CS) as anticancer therapeutics

Science.gov (United States)

Syahidatul Ayuni Mazlan, Mazma; Rosli, Norhayati; Jauhari Arief Ichwan, Solachuddin; Suhaity Azmi, Nina

2017-09-01

A stochastic model is introduced to describe the growth of cancer affected by anti-cancer therapeutics of Chondroitin Sulfate (CS). The parameters values of the stochastic model are estimated via maximum likelihood function. The numerical method of Euler-Maruyama will be employed to solve the model numerically. The efficiency of the stochastic model is measured by comparing the simulated result with the experimental data.

14. Modeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equations

Science.gov (United States)

Kaulakys, B.; Alaburda, M.; Ruseckas, J.

2016-05-01

A well-known fact in the financial markets is the so-called ‘inverse cubic law’ of the cumulative distributions of the long-range memory fluctuations of market indicators such as a number of events of trades, trading volume and the logarithmic price change. We propose the nonlinear stochastic differential equation (SDE) giving both the power-law behavior of the power spectral density and the long-range dependent inverse cubic law of the cumulative distribution. This is achieved using the suggestion that when the market evolves from calm to violent behavior there is a decrease of the delay time of multiplicative feedback of the system in comparison to the driving noise correlation time. This results in a transition from the Itô to the Stratonovich sense of the SDE and yields a long-range memory process.

15. Memristor-based neural networks: Synaptic versus neuronal stochasticity

KAUST Repository

Naous, Rawan

2016-11-02

In neuromorphic circuits, stochasticity in the cortex can be mapped into the synaptic or neuronal components. The hardware emulation of these stochastic neural networks are currently being extensively studied using resistive memories or memristors. The ionic process involved in the underlying switching behavior of the memristive elements is considered as the main source of stochasticity of its operation. Building on its inherent variability, the memristor is incorporated into abstract models of stochastic neurons and synapses. Two approaches of stochastic neural networks are investigated. Aside from the size and area perspective, the impact on the system performance, in terms of accuracy, recognition rates, and learning, among these two approaches and where the memristor would fall into place are the main comparison points to be considered.

16. The stochastic goodwill problem

OpenAIRE

Marinelli, Carlo

2003-01-01

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

17. Synthesis of Optimal Processing Pathway for Microalgae-based Biorefinery under Uncertainty

DEFF Research Database (Denmark)

Rizwan, Muhammad; Lee, Jay H.; Gani, Rafiqul

2015-01-01

decision making, we propose a systematic framework for the synthesis and optimal design of microalgae-based processing network under uncertainty. By incorporating major uncertainties into the biorefinery superstructure model we developed previously, a stochastic mixed integer nonlinear programming (s......The research in the field of microalgae-based biofuels and chemicals is in early phase of the development, and therefore a wide range of uncertainties exist due to inconsistencies among and shortage of technical information. In order to handle and address these uncertainties to ensure robust......MINLP) problem is formulated for determining the optimal biorefinery structure under given parameter uncertainties modelled as sampled scenarios. The solution to the sMINLP problem determines the optimal decisions with respect to processing technologies, material flows, and product portfolio in the presence...

18. Sequential stochastic optimization

CERN Document Server

Cairoli, Renzo

1996-01-01

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

19. Modeling and Properties of Nonlinear Stochastic Dynamical System of Continuous Culture

Science.gov (United States)

Wang, Lei; Feng, Enmin; Ye, Jianxiong; Xiu, Zhilong

The stochastic counterpart to the deterministic description of continuous fermentation with ordinary differential equation is investigated in the process of glycerol bio-dissimilation to 1,3-propanediol by Klebsiella pneumoniae. We briefly discuss the continuous fermentation process driven by three-dimensional Brownian motion and Lipschitz coefficients, which is suitable for the factual fermentation. Subsequently, we study the existence and uniqueness of solutions for the stochastic system as well as the boundedness of the Two-order Moment and the Markov property of the solution. Finally stochastic simulation is carried out under the Stochastic Euler-Maruyama method.

20. Characteristics of a Dairy Process under Uncertainty

DEFF Research Database (Denmark)

Cheng, Hongyuan; Friis, Alan

2007-01-01

set of physical property models for diary products were developed and built into PRO/II system. Milk products viscosity and process system pressure drop were employed as the process characteristic parameters to determine a process operation window. The flexibility of the operation window vertexes...... was evaluated with a minimization of the process pasteurization and cooling temperatures through vertex enumeration method. The quantitative analysis of the dairy process established a framework in developing of different flexible units, such as integrated milk and milk-based product productions, multi...