Stochastic analysis in production process and ecology under uncertainty
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...
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
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.
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.
Research in Stochastic Processes.
1984-10-01
description, from the stochastic point of view, of the celebrated Hodgkin - Huxley equations. Ph.D. students under Gopinath Kallianpur Victor Perez-Abreu...optimal filter in the general white noise model is shown to be a Markov process. More precisely, it is shown that Ft( Y ) and rt( y ) - the normalized...and unnormalized conditional distribution (where y is the white noise observation) regards as measure-valued processes either on the quasi- P
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...
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...
Stochastic processes inference theory
Rao, Malempati M
2014-01-01
This is the revised and enlarged 2nd edition of the authors’ original text, which was intended to be a modest complement to Grenander's fundamental memoir on stochastic processes and related inference theory. The present volume gives a substantial account of regression analysis, both for stochastic processes and measures, and includes recent material on Ridge regression with some unexpected applications, for example in econometrics. The first three chapters can be used for a quarter or semester graduate course on inference on stochastic processes. The remaining chapters provide more advanced material on stochastic analysis suitable for graduate seminars and discussions, leading to dissertation or research work. In general, the book will be of interest to researchers in probability theory, mathematical statistics and electrical and information theory.
Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
Gong, Xiaoli; Zhuang, Xintian
2017-10-01
Considering that financial assets returns exhibit leptokurtosis, asymmetry properties as well as clustering and heteroskedasticity effect, this paper substitutes the logarithm normal jumps in Heston stochastic volatility model by the classical tempered stable (CTS) distribution and normal tempered stable (NTS) distribution to construct stochastic volatility tempered stable Lévy processes (TSSV) model. The TSSV model framework permits infinite activity jump behaviors of return dynamics and time varying volatility consistently observed in financial markets through subordinating tempered stable process to stochastic volatility process, capturing leptokurtosis, fat tailedness and asymmetry features of returns. By employing the analytical characteristic function and fast Fourier transform (FFT) technique, the formula for probability density function (PDF) of TSSV returns is derived, making the analytical formula for foreign equity option (FEO) pricing available. High frequency financial returns data are employed to verify the effectiveness of proposed models in reflecting the stylized facts of financial markets. Numerical analysis is performed to investigate the relationship between the corresponding parameters and the implied volatility of foreign equity option.
Composite stochastic processes
Kampen, N.G. van
Certain problems in physics and chemistry lead to the definition of a class of stochastic processes. Although they are not Markovian they can be treated explicitly to some extent. In particular, the probability distribution for large times can be found. It is shown to obey a master equation. This
Essentials of stochastic processes
Durrett, Richard
2016-01-01
Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatm...
Stochastic conditional intensity processes
DEFF Research Database (Denmark)
Bauwens, Luc; Hautsch, Nikolaus
2006-01-01
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 propos...... for a joint latent factor and show that its inclusion allows for an improved and more parsimonious specification of the multivariate intensity process...
Stochastic processes in cell biology
Bressloff, Paul C
2014-01-01
This book develops the theory of continuous and discrete stochastic processes within the context of cell biology. A wide range of biological topics are covered including normal and anomalous diffusion in complex cellular environments, stochastic ion channels and excitable systems, stochastic calcium signaling, molecular motors, intracellular transport, signal transduction, bacterial chemotaxis, robustness in gene networks, genetic switches and oscillators, cell polarization, polymerization, cellular length control, and branching processes. The book also provides a pedagogical introduction to the theory of stochastic process – Fokker Planck equations, stochastic differential equations, master equations and jump Markov processes, diffusion approximations and the system size expansion, first passage time problems, stochastic hybrid systems, reaction-diffusion equations, exclusion processes, WKB methods, martingales and branching processes, stochastic calculus, and numerical methods. This text is primarily...
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.
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.
An introduction to probability and stochastic processes
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.
Applied probability and stochastic processes
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...
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...
Verification of Stochastic Process Calculi
DEFF Research Database (Denmark)
Skrypnyuk, Nataliya
process calculi. The description of a system in the syntax of a particular stochastic process calculus can be analysed in a compositional way, without expanding the state space by explicitly resolving all the interdependencies between the subsystems which may lead to the state space explosion problem....... 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...... description of a system. The presented methods have a clear application in the areas of embedded systems, (randomised) protocols run between a fixed number of parties etc....
Probability, Statistics, and Stochastic Processes
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
Fourier analysis and stochastic processes
Brémaud, Pierre
2014-01-01
This work is unique as it provides a uniform treatment of the Fourier theories of functions (Fourier transforms and series, z-transforms), finite measures (characteristic functions, convergence in distribution), and stochastic processes (including arma series and point processes). It emphasises the links between these three themes. The chapter on the Fourier theory of point processes and signals structured by point processes is a novel addition to the literature on Fourier analysis of stochastic processes. It also connects the theory with recent lines of research such as biological spike signals and ultrawide-band communications. Although the treatment is mathematically rigorous, the convivial style makes the book accessible to a large audience. In particular, it will be interesting to anyone working in electrical engineering and communications, biology (point process signals) and econometrics (arma models). A careful review of the prerequisites (integration and probability theory in the appendix, Hilbert spa...
Introduction to stochastic processes
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.
Esparza, Javier
In many areas of computer science entities can “reproduce”, “replicate”, or “create new instances”. Paramount examples are threads in multithreaded programs, processes in operating systems, and computer viruses, but many others exist: procedure calls create new incarnations of the callees, web crawlers discover new pages to be explored (and so “create” new tasks), divide-and-conquer procedures split a problem into subproblems, and leaves of tree-based data structures become internal nodes with children. For lack of a better name, I use the generic term systems with process creation to refer to all these entities.
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...
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)
Stochastic processes and filtering theory
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
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)
Probability, Statistics, and Stochastic Processes
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
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.
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 between...... 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....
Discrete stochastic processes and applications
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.
Anomalous transport and stochastic processes
Energy Technology Data Exchange (ETDEWEB)
Balescu, R. [Universite Libre de Bruxelles (Belgium)
1996-03-01
The relation between kinetic transport theory and theory of stochastic processes is reviewed. The Langevin equation formalism provides important, but rather limited information about diffusive processes. A quite promising new approach to modeling complex situations, such as transport in incompletely destroyed magnetic surfaces, is provided by the theory of Continuous Time Random Walks (CTRW), which is presented in some detail. An academic test problem is discussed in great detail: transport of particles in a fluctuating magnetic field, in the limit of infinite perpendicular correlation length. The well-known subdiffusive behavior of the Mean Square Displacement (MSD), proportional to t{sup 1/2}, is recovered by a CTRW, but the complete density profile is not. However, the quasilinear approximation of the kinetic equation has the form of a non-Markovian diffusion equation and can thus be generated by a CTRW. 16 refs., 3 figs.
Directory of Open Access Journals (Sweden)
R.A. Zait
2016-07-01
Full Text Available In this paper, the stochastic Wiener Hermite expansion (WHE is used to find the statistical measures (mean and variance of the first order stochastic approximation (Gaussian part of the stochastic solution processes related to the nonlinear damped Duffing oscillator model which is excited randomly by white noise process. Under the application of WHE, a deterministic model is generated to simulate the statistical measures. In next stages, smi-analytical treatments are performed under applying multi-step differential transformed method (Ms-DTM and some cases study are illustrated related to the statistical properties using Mathematica10 software.
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.
Sun, Bo; Liao, Baopeng; Li, Mengmeng; Ren, Yi; Feng, Qiang; Yang, Dezhen
2018-03-27
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.
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.
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...
Space-time-modulated stochastic processes.
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.
Space-time-modulated stochastic processes
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.
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
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.
Modelling and application of stochastic processes
1986-01-01
The subject of modelling and application of stochastic processes is too vast to be exhausted in a single volume. In this book, attention is focused on a small subset of this vast subject. The primary emphasis is on realization and approximation of stochastic systems. Recently there has been considerable interest in the stochastic realization problem, and hence, an attempt has been made here to collect in one place some of the more recent approaches and algorithms for solving the stochastic realiza tion problem. Various different approaches for realizing linear minimum-phase systems, linear nonminimum-phase systems, and bilinear systems are presented. These approaches range from time-domain methods to spectral-domain methods. An overview of the chapter contents briefly describes these approaches. Also, in most of these chapters special attention is given to the problem of developing numerically ef ficient algorithms for obtaining reduced-order (approximate) stochastic realizations. On the application side,...
Stochastic Processes in Epidemic Theory
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.
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.
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
Lectures on Topics in Spatial Stochastic Processes
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.
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...
Minimum Entropy Rate Simplification of Stochastic Processes.
Henter, Gustav Eje; Kleijn, W Bastiaan
2016-02-23
This document contains supplemental material for the IEEE Transactions on Pattern Analysis and Machine Intelligence article "Minimum Entropy Rate Simplification of Stochastic Processes." The supplement is divided into three appen- dices: the first on MERS for Gaussian processes, and the remaining two on, respectively, the theory and the experimental results of MERS for Markov chains.
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
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
Stochastic population dynamics under resource constraints
Energy Technology Data Exchange (ETDEWEB)
Gavane, Ajinkya S., E-mail: ajinkyagavane@gmail.com; Nigam, Rahul, E-mail: rahul.nigam@hyderabad.bits-pilani.ac.in [BITS Pilani Hyderabad Campus, Shameerpet, Hyd - 500078 (India)
2016-06-02
This paper investigates the population growth of a certain species in which every generation reproduces thrice over a period of predefined time, under certain constraints of resources needed for survival of population. We study the survival period of a species by randomizing the reproduction probabilities within a window at same predefined ages and the resources are being produced by the working force of the population at a variable rate. This randomness in the reproduction rate makes the population growth stochastic in nature and one cannot predict the exact form of evolution. Hence we study the growth by running simulations for such a population and taking an ensemble averaged over 500 to 5000 such simulations as per the need. While the population reproduces in a stochastic manner, we have implemented a constraint on the amount of resources available for the population. This is important to make the simulations more realistic. The rate of resource production then is tuned to find the rate which suits the survival of the species. We also compute the mean life time of the species corresponding to different resource production rate. Study for these outcomes in the parameter space defined by the reproduction probabilities and rate of resource production is carried out.
Stochastic population dynamics under resource constraints
International Nuclear Information System (INIS)
Gavane, Ajinkya S.; Nigam, Rahul
2016-01-01
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.
ON REGRESSION REPRESENTATIONS OF STOCHASTIC-PROCESSES
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
Stochastic transport processes in discrete biological systems
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...
Stationary stochastic processes theory and applications
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...
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)
Semiclassical analysis for diffusions and stochastic processes
Kolokoltsov, Vassili N
2000-01-01
The monograph is devoted mainly to the analytical study of the differential, pseudo-differential and stochastic evolution equations describing the transition probabilities of various Markov processes. These include (i) diffusions (in particular,degenerate diffusions), (ii) more general jump-diffusions, especially stable jump-diffusions driven by stable Lévy processes, (iii) complex stochastic Schrödinger equations which correspond to models of quantum open systems. The main results of the book concern the existence, two-sided estimates, path integral representation, and small time and semiclassical asymptotics for the Green functions (or fundamental solutions) of these equations, which represent the transition probability densities of the corresponding random process. The boundary value problem for Hamiltonian systems and some spectral asymptotics ar also discussed. Readers should have an elementary knowledge of probability, complex and functional analysis, and calculus.
van Haastrecht, A.; Pelsser, A.
2011-01-01
We consider the pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility, for which we use a generic multi-currency framework. We allow for a general correlation structure between the drivers of the volatility, the inflation index, the domestic (nominal)
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.
Stochastic soil water balance under seasonal climates.
Feng, Xue; Porporato, Amilcare; Rodriguez-Iturbe, Ignacio
2015-02-08
The analysis of soil water partitioning in seasonally dry climates necessarily requires careful consideration of the periodic climatic forcing at the intra-annual timescale in addition to daily scale variabilities. Here, we introduce three new extensions to a stochastic soil moisture model which yields seasonal evolution of soil moisture and relevant hydrological fluxes. These approximations allow seasonal climatic forcings (e.g. rainfall and potential evapotranspiration) to be fully resolved, extending the analysis of soil water partitioning to account explicitly for the seasonal amplitude and the phase difference between the climatic forcings. The results provide accurate descriptions of probabilistic soil moisture dynamics under seasonal climates without requiring extensive numerical simulations. We also find that the transfer of soil moisture between the wet to the dry season is responsible for hysteresis in the hydrological response, showing asymmetrical trajectories in the mean soil moisture and in the transient Budyko's curves during the 'dry-down' versus the 'rewetting' phases of the year. Furthermore, in some dry climates where rainfall and potential evapotranspiration are in-phase, annual evapotranspiration can be shown to increase because of inter-seasonal soil moisture transfer, highlighting the importance of soil water storage in the seasonal context.
Reserves and cash flows under stochastic retirement
DEFF Research Database (Denmark)
Gad, Kamille Sofie Tågholt; Nielsen, Jeppe Woetmann
2016-01-01
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...... more complexity than in the traditional model. At last, we demonstrate the impact of stochastic retirement on market reserves and expected cash flow in numerical examples....
Stationary stochastic processes for scientists and engineers
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
A first course in stochastic processes
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
Option Pricing with Stochastic Volatility and Jump Diffusion Processes
Directory of Open Access Journals (Sweden)
Radu Lupu
2006-05-01
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.
Option Pricing with Stochastic Volatility and Jump Diffusion Processes
Directory of Open Access Journals (Sweden)
Radu Lupu
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.
XI Symposium on Probability and Stochastic Processes
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...
Stochastic processes from physics to finance
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.
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…
An introduction to stochastic processes with applications to biology
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
Chemical kinetics, stochastic processes, and irreversible thermodynamics
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...
Stochastic Modelling, Analysis, and Simulations of the Solar Cycle Dynamic Process
Turner, Douglas C.; Ladde, Gangaram S.
2018-03-01
Analytical solutions, discretization schemes and simulation results are presented for the time delay deterministic differential equation model of the solar dynamo presented by Wilmot-Smith et al. In addition, this model is extended under stochastic Gaussian white noise parametric fluctuations. The introduction of stochastic fluctuations incorporates variables affecting the dynamo process in the solar interior, estimation error of parameters, and uncertainty of the α-effect mechanism. Simulation results are presented and analyzed to exhibit the effects of stochastic parametric volatility-dependent perturbations. The results generalize and extend the work of Hazra et al. In fact, some of these results exhibit the oscillatory dynamic behavior generated by the stochastic parametric additative perturbations in the absence of time delay. In addition, the simulation results of the modified stochastic models influence the change in behavior of the very recently developed stochastic model of Hazra et al.
Stochastic processes and long range dependence
Samorodnitsky, Gennady
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...
Stochastic differential equations and diffusion processes
Ikeda, N
1989-01-01
Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. Sectio
Stochastic Energetics for Non-Gaussian Processes
Kanazawa, Kiyoshi; Sagawa, Takahiro; Hayakawa, Hisao
2012-05-01
By introducing a new stochastic integral, we investigate the energetics of classical stochastic systems driven by non-Gaussian white noises. In particular, we introduce a decomposition of the total energy difference into the work and the heat for each trajectory, and derive a formula to calculate the heat from experimental data on the dynamics. We apply our formulation and results to a Langevin system driven by a Poisson noise.
Visualisation for Stochastic Process Algebras: The Graphic Truth
DEFF Research Database (Denmark)
Smith, Michael James Andrew; Gilmore, Stephen
2011-01-01
There have historically been two approaches to performance modelling. On the one hand, textual language-based formalisms such as stochastic process algebras allow compositional modelling that is portable and easy to manage. In contrast, graphical formalisms such as stochastic Petri nets and stoch...
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
Stochastic reduced order models for inverse problems under uncertainty.
Warner, James E; Aquino, Wilkins; Grigoriu, Mircea D
2015-03-01
This work presents a novel methodology for solving inverse problems under uncertainty using stochastic reduced order models (SROMs). Given statistical information about an observed state variable in a system, unknown parameters are estimated probabilistically through the solution of a model-constrained, stochastic optimization problem. The point of departure and crux of the proposed framework is the representation of a random quantity using a SROM - a low dimensional, discrete approximation to a continuous random element that permits e cient and non-intrusive stochastic computations. Characterizing the uncertainties with SROMs transforms the stochastic optimization problem into a deterministic one. The non-intrusive nature of SROMs facilitates e cient gradient computations for random vector unknowns and relies entirely on calls to existing deterministic solvers. Furthermore, the method is naturally extended to handle multiple sources of uncertainty in cases where state variable data, system parameters, and boundary conditions are all considered random. The new and widely-applicable SROM framework is formulated for a general stochastic optimization problem in terms of an abstract objective function and constraining model. For demonstration purposes, however, we study its performance in the specific case of inverse identification of random material parameters in elastodynamics. We demonstrate the ability to efficiently recover random shear moduli given material displacement statistics as input data. We also show that the approach remains effective for the case where the loading in the problem is random as well.
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)
Introduction to probability and stochastic processes with applications
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
Population density equations for stochastic processes with memory kernels
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.
Population density equations for stochastic processes with memory kernels.
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.
Stochastic Online Learning in Dynamic Networks under Unknown Models
2016-08-02
Stochastic Online Learning in Dynamic Networks under Unknown Models This research aims to develop fundamental theories and practical algorithms for...12211 Research Triangle Park, NC 27709-2211 Online learning , multi-armed bandit, dynamic networks REPORT DOCUMENTATION PAGE 11. SPONSOR/MONITOR’S... Online Learning in Dynamic Networks under Unknown Models Report Title This research aims to develop fundamental theories and practical algorithms for
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...
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...
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.
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.
Controlling roughening processes in the stochastic Kuramoto-Sivashinsky equation
Kalliadasis, Serafim; Gomes, Susana; Papageorgiou, Demetrios; Pavliotis, Greg; Pradas, Marc
2017-11-01
We present a novel methodology to control the roughening processes of semilinear parabolic stochastic partial differential equations in one dimension, which we exemplify with the stochastic Kuramoto-Sivashinsky equation. The original equation is split into a linear stochastic and a nonlinear deterministic equation so that we can apply linear feedback control methods. Our control strategy is then based on two steps: first, stabilize the zero solution of the deterministic part and, second, control the roughness of the stochastic linear equation. We consider both periodic controls and point actuated ones, observing in all cases that the second moment of the solution evolves in time according to a power-law until it saturates at the desired controlled value. Furthermore, our control framework allows us to force the interfaces to have a prescribed shape. We observe from our numerical experiments that our results are valid for different types of nonlinearity (in particular, the Burgers and KPZ ones) as well as white and coloured noise.
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
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
Deterministic geologic processes and stochastic modeling
International Nuclear Information System (INIS)
Rautman, C.A.; Flint, A.L.
1991-01-01
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 distribution of measured values and geostatistical measures of spatial variability indicates that there 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. These deterministic features have their origin in the complex, yet logical, interplay of a number of deterministic geologic processes, including magmatic evolution; volcanic eruption, transport, and emplacement; post-emplacement cooling and alteration; and late-stage (diagenetic) alteration. Because of 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. It is unlikely that any single representation of physical properties at the site will be suitable for all modeling purposes. Instead, the same underlying physical reality will need to be described many times, each in a manner conducive to assessing specific performance issues
Classical and spatial stochastic processes with applications to biology
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...
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....
Anomalous scaling of stochastic processes and the Moses effect.
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.
A Constructive Sharp Approach to Functional Quantization of Stochastic Processes
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.
Learning Theory Estimates with Observations from General Stationary Stochastic Processes.
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.
Gene regulation and noise reduction by coupling of stochastic processes.
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.
Absolute continuity under time shift of trajectories and related stochastic calculus
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|\
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
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)
Stochastic MPC with applications to process control
Jurado, I.; Millán, P.; Quevedo, D.; Rubio, F. R.
2015-04-01
This paper presents a model predictive control formulation for Networked Control Systems subject to independent and identically distributed delays and packet dropouts. The design takes into account the presence of a communication network in the control loop, resorting to a buffer at the actuator side to store and consistently apply delayed control sequences when fresh control inputs are not available. The proposed approach uses a statistical description of transmissions to optimise the expected future control performance conditioned upon the current system state, previously calculated control packets and transmission acknowledgements. Experimental studies using a quadruple tank process illustrate the applicability of the method to process control.
Unrelated Machine Scheduling with Stochastic Processing Times
Skutella, Martin; Sviridenko, Maxim; Uetz, Marc Jochen
Two important characteristics encountered in many real-world scheduling problems are heterogeneous processors and a certain degree of uncertainty about the processing times of jobs. In this paper we address both, and study for the first time a scheduling problem that combines the classical unrelated
Stochasticity in processes fundamentals and applications to chemistry and biology
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...
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.
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
5th Seminar on Stochastic Processes, Random Fields and Applications
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...
Stochastic processes dominate during boreal bryophyte community assembly.
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
Discrete stochastic processes and optimal filtering
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
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.
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.
Modeling nanoparticle uptake and intracellular distribution using stochastic process algebras
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.
Random migration processes between two stochastic epidemic centers.
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.
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.
Quantitative sociodynamics stochastic methods and models of social interaction processes
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...
Quantitative Sociodynamics Stochastic Methods and Models of Social Interaction Processes
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...
Energy Technology Data Exchange (ETDEWEB)
Li, Jing; He, Li, E-mail: li.he@ncepu.edu.cn; Lu, Hongwei; Fan, Xing
2014-08-30
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.
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.
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.
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...
A spatial stochastic programming model for timber and core area management under risk of fires
Yu Wei; Michael Bevers; Dung Nguyen; Erin Belval
2014-01-01
Previous stochastic models in harvest scheduling seldom address explicit spatial management concerns under the influence of natural disturbances. We employ multistage stochastic programming models to explore the challenges and advantages of building spatial optimization models that account for the influences of random stand-replacing fires. Our exploratory test models...
Conditional Stochastic Processes Applied to Wave Load Predictions
DEFF Research Database (Denmark)
Jensen, Jørgen Juncher
2015-01-01
with an application where measured wave responses are used to predict the future variation in the responses within the next 5-30 seconds. The main part of the article is devoted to the application of the First Order Reliability Method for derivation of critical wave episodes for different nonlinear wave......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...
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...... of the current using a recursive scheme. The finite-frequency noise is expressed not only in terms of the resolvent, but also initial system-environment correlations. As an illustrative example we consider electron transport through a dissipative double quantum dot for which we study the effects of dissipation...
An extension of clarke's model with stochastic amplitude flip processes
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.
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...... at the dampers location and the first sine term as shape functions, a reduced four-degree-of-freedom system of nonlinear stochastic ordinary differential equations are derived to describe dynamic response of the cable. Since only polynomial-type terms are contained, the fourth-order cumulant-neglect closure...... and viscous coefficient of the damper are fixed. Moreover, the peak frequency and half-band width of the spectra of both the in-plane and the out-of-plane displacements are increasing with excitation level when the damper size is constant. It is also observed that, even though the actual optimal damper size...
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...... 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...... generation of pikes. When a stimulus is applied to the network, the spontaneous rings may prevail and hamper detection of the effects of the stimulus. Therefore, the spontaneous rings cannot be ignored and the response latency has to be detected on top of a background signal. Everything becomes more dicult...
Nonparametric estimation of stochastic differential equations with sparse Gaussian processes.
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.
Conservation Payments Under Risk: A Stochastic Dominance Approach
Benitez, P.C.; Kuosmanen, T.K.; Olschewski, R.; VanKooten, G.C.
2006-01-01
Conservation payments can be used to preserve forest and agroforest systems. To explain landowners' land-use decisions and determine appropriate conservation payments, it is necessary to focus on revenue risk. Marginal conditional stochastic dominance rules are used to derive conditions for
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...
Stem Cell Differentiation as a Non-Markov Stochastic Process.
Stumpf, Patrick S; Smith, Rosanna C G; Lenz, Michael; Schuppert, Andreas; Müller, Franz-Josef; Babtie, Ann; Chan, Thalia E; Stumpf, Michael P H; Please, Colin P; Howison, Sam D; Arai, Fumio; MacArthur, Ben D
2017-09-27
Pluripotent stem cells can self-renew in culture and differentiate along all somatic lineages in vivo. While much is known about the molecular basis of pluripotency, the mechanisms of differentiation remain unclear. Here, we profile individual mouse embryonic stem cells as they progress along the neuronal lineage. We observe that cells pass from the pluripotent state to the neuronal state via an intermediate epiblast-like state. However, analysis of the rate at which cells enter and exit these observed cell states using a hidden Markov model indicates the presence of a chain of unobserved molecular states that each cell transits through stochastically in sequence. This chain of hidden states allows individual cells to record their position on the differentiation trajectory, thereby encoding a simple form of cellular memory. We suggest a statistical mechanics interpretation of these results that distinguishes between functionally distinct cellular "macrostates" and functionally similar molecular "microstates" and propose a model of stem cell differentiation as a non-Markov stochastic process. Copyright © 2017 The Authors. Published by Elsevier Inc. All rights reserved.
Analyzing a stochastic process driven by Ornstein-Uhlenbeck noise
Lehle, B.; Peinke, J.
2018-01-01
A scalar Langevin-type process X (t ) that is driven by Ornstein-Uhlenbeck noise η (t ) is non-Markovian. However, the joint dynamics of X and η is described by a Markov process in two dimensions. But even though there exists a variety of techniques for the analysis of Markov processes, it is still a challenge to estimate the process parameters solely based on a given time series of X . Such a partially observed 2D process could, e.g., be analyzed in a Bayesian framework using Markov chain Monte Carlo methods. Alternatively, an embedding strategy can be applied, where first the joint dynamics of X and its temporal derivative X ˙ is analyzed. Subsequently, the results can be used to determine the process parameters of X and η . In this paper, we propose a more direct approach that is purely based on the moments of the increments of X , which can be estimated for different time-increments τ from a given time series. From a stochastic Taylor expansion of X , analytic expressions for these moments can be derived, which can be used to estimate the process parameters by a regression strategy.
Dynamic asset allocation for bank under stochastic interest rates.
Chakroun, Fatma; Abid, Fathi
2014-01-01
This paper considers the optimal asset allocation strategy for bank with stochastic interest rates when there are three types of asset: Bank account, loans and securities. The asset allocation problem is to maximize the expected utility from terminal wealth of a bank's shareholders over a finite time horizon. As a consequence, we apply a dynamic programming principle to solve the Hamilton-Jacobi-Bellman (HJB) equation explicitly in the case of the CRRA utility function. A case study is given ...
Pricing real estate index options under stochastic interest rates
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.
Interacting Stochastic Processes: From Viciousness to Caging to Force Chains
Xu, Shiliyang
This thesis documents a quest to develop and study several novel interacting stochastic processes. As for the first example, we generalize a system of vicious random walkers in which the only interaction between any two random walkers is that when they intersect, both walkers are annihilated. We define a system of N vicious accelerating walkers with each walker undergoing random acceleration and compute the survival probability distribution for this system. We also define and study a system of N vicious Levy flights in which any two Levy flights crossing one another annihilate each other. The average mean-squared displacement of a Levy flight is not proportional to time, but scales with what is known as the Levy index divided by two. In both cases, vicious accelerating walkers and vicious Levy flights, we are motivated by ultimately generalizing our understanding of Gaussian random matrices via non-Markovian and non-Gaussian extensions respectively. Moreover, inspired by recent experiments on periodically sheared colloids at low densities, we define and investigate several new contact processes, or interacting stochastic processes, with conserved particle number and three-or-more-body interactions. We do so to characterize the periodically sheared colloidal system at higher densities. We find two new dynamical phase transitions between an active phase, where some fraction of the colloids are always being displaced from their position at the beginning and end of each shear cycle, and an inactive phase in which all colloids return to their initial positions at the end of each shear cycle. One of the transitions is discontinuous, while the second, which is due to a caging, or crowding, effect at high densities, appears to be continuous and in a new universality from what is known as conserved directed percolation. The latter transition may have implications for the onset of glassiness in dense, particulate systems. In addition, this thesis also includes analysis of
Stochastic processes and their spectral representations over non-archimedean fields
Ludkovsky, S. V.
2008-01-01
The article is devoted to stochastic processes with values in finite- and infinite-dimensional vector spaces over infinite fields $\\bf K$ of zero characteristics with non-trivial non-archimedean norms. For different types of stochastic processes controlled by measures with values in $\\bf K$ and in complete topological vector spaces over $\\bf K$ stochastic integrals are investigated. Vector valued measures and integrals in spaces over $\\bf K$ are studied. Theorems about spectral decompositions...
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.
Lognormal-like statistics of a stochastic squeeze process
Shapira, Dekel; Cohen, Doron
2017-10-01
We analyze the full statistics of a stochastic squeeze process. The model's two parameters are the bare stretching rate w and the angular diffusion coefficient D . We carry out an exact analysis to determine the drift and the diffusion coefficient of log(r ) , where r is the radial coordinate. The results go beyond the heuristic lognormal description that is implied by the central limit theorem. Contrary to the common "quantum Zeno" approximation, the radial diffusion is not simply Dr=(1 /8 ) w2/D but has a nonmonotonic dependence on w /D . Furthermore, the calculation of the radial moments is dominated by the far non-Gaussian tails of the log(r ) distribution.
Stochastic calculus for fractional Brownian motion and related processes
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
A measure theoretical approach to quantum stochastic processes
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.
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.
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.
DEFF Research Database (Denmark)
Zhou, Qiang; Nielsen, Søren R.K.; Qu, Weilian
2010-01-01
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...... and viscous coefficient of the damper are fixed. Moreover, the peak frequency and half-band width of the spectra of both the in-plane and the out-of-plane displacements are increasing with excitation level when the damper size is constant. It is also observed that, even though the actual optimal damper size......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...
Stability of Exponential Euler Method for Stochastic Systems under Poisson White Noise Excitations
Li, Longsuo; Zhang, Yu
2014-12-01
The stability of stochastic systems under Poisson white noise excitations which based on the quantum theory is investigated in this paper. In general, the exact solution of the most of the stochastic systems with jumps is not easy to get. So it is very necessary to investigate the numerical solution of equations. On the one hand, exponential Euler method is applied to study stochastic delay differential equations, we can find the sufficient conditions for keeping mean square stability by investigating numerical method of systems. Through the comparison, we get the step-size of this method which is longer than the Euler-Maruyama method. On the other hand, mean square exponential stability of exponential Euler method for semi-linear stochastic delay differential equations under Poisson white noise excitations is confirmed.
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...
Zhang, Meirong; Stoorvogel, Antonie Arij; Saberi, Ali; Belur, Madhu N.; Camlibel, M. Kanat; Rapisarda, Paolo; Scherpen, Jacquelien M.A.
2015-01-01
We consider stochastic almost output synchronization for time-varying directed networks of nonidentical and non-introspective (i.e., agents have no access to their own states or outputs) agents under external stochastic disturbances. The network experiences switches at unknown moments in time
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
Stochastic evolution of the Universe: A possible dynamical process ...
Indian Academy of Sciences (India)
C Sivakumar
2017-12-11
Dec 11, 2017 ... Abstract. In this paper, we propose a stochastic evolution of the early Universe which can lead to a fractal correlation in galactic distribution in the Universe. The stochastic equation of state, due to fluctuating creation rates of various components in a many-component fluid, leads to a fluctuating expansion ...
Stochastic evolution of the Universe: A possible dynamical process ...
Indian Academy of Sciences (India)
In this paper, we propose a stochastic evolution of the early Universe which can lead to a fractal correlation in galactic distribution in the Universe. The stochastic equation of state, due to fluctuating creation rates of various components in a many-component fluid, leads to a fluctuating expansion rate for the Universe in the ...
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
On the modelling of nested risk-neutral stochastic processes with applications in insurance
S.N. Singor (Stefan); A. Boer; J.S.C. Alberts; C.W. Oosterlee (Cornelis)
2017-01-01
textabstractWe propose a modelling framework for risk-neutral stochastic processes nested in a real-world stochastic process. The framework is important for insurers that deal with the valuation of embedded options and in particular at future points in time. We make use of the class of State Space
Robust Path Planning and Feedback Design Under Stochastic Uncertainty
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.
Economic-Oriented Stochastic Optimization in Advanced Process Control of Chemical Processes
Dobos, László; Király, András; Abonyi, János
2012-01-01
Finding the optimal operating region of chemical processes is an inevitable step toward improving economic performance. Usually the optimal operating region is situated close to process constraints related to product quality or process safety requirements. Higher profit can be realized only by assuring a relatively low frequency of violation of these constraints. A multilevel stochastic optimization framework is proposed to determine the optimal setpoint values of control loops with respect t...
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
Fish Processed Production Planning Using Integer Stochastic Programming Model
Firmansyah, Mawengkang, Herman
2011-06-01
Fish and its processed products are the most affordable source of animal protein in the diet of most people in Indonesia. The goal in production planning is to meet customer demand over a fixed time horizon divided into planning periods by optimizing the trade-off between economic objectives such as production cost and customer satisfaction level. The major decisions are production and inventory levels for each product and the number of workforce in each planning period. In this paper we consider the management of small scale traditional business at North Sumatera Province which performs processing fish into several local seafood products. The inherent uncertainty of data (e.g. demand, fish availability), together with the sequential evolution of data over time leads the production planning problem to a nonlinear mixed-integer stochastic programming model. We use scenario generation based approach and feasible neighborhood search for solving the model. The results which show the amount of each fish processed product and the number of workforce needed in each horizon planning are presented.
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.
Distributed Consensus of Stochastic Delayed Multi-agent Systems Under Asynchronous Switching.
Wu, Xiaotai; Tang, Yang; Cao, Jinde; Zhang, Wenbing
2016-08-01
In this paper, the distributed exponential consensus of stochastic delayed multi-agent systems with nonlinear dynamics is investigated under asynchronous switching. The asynchronous switching considered here is to account for the time of identifying the active modes of multi-agent systems. After receipt of confirmation of mode's switching, the matched controller can be applied, which means that the switching time of the matched controller in each node usually lags behind that of system switching. In order to handle the coexistence of switched signals and stochastic disturbances, a comparison principle of stochastic switched delayed systems is first proved. By means of this extended comparison principle, several easy to verified conditions for the existence of an asynchronously switched distributed controller are derived such that stochastic delayed multi-agent systems with asynchronous switching and nonlinear dynamics can achieve global exponential consensus. Two examples are given to illustrate the effectiveness of the proposed method.
Fatigue life prediction of mechanical structures under stochastic loading
Directory of Open Access Journals (Sweden)
Leitner Bohuš
2018-01-01
Full Text Available Problems of fatigue life prediction of materials and structures are discussed in the paper. Service loading is assumed as a continuous loading process with possible discontinuous events, which are caused by various operating conditions. The damage in a material is due to a cumulative degradation process. The damaging process is then represented either by rain-flow matrices or by a fatigue damage function which is derived using some hypothesis of a fatigue failure criterion. Presented theoretical procedure enables a very effective estimation of a service life and/or reliable evaluation of residual life of any structures under various types of loading and environmental conditions. This approach creates a good basis for powerful expert systems in structural and mechanical engineering. The aim of the paper is to present briefly some results of analysis of load-bearing steel structure loads of special railway crane PKP 25/20i which was utilized in some specific ad relatively hard operating conditions. Virtual models of the structure were being used in an analysis of acting working dynamics loads influence to be able to forecast fatigue life of load-bearing of the crane jib.
Stochastic growth logistic model with aftereffect for batch fermentation process
International Nuclear Information System (INIS)
Rosli, Norhayati; Ayoubi, Tawfiqullah; Bahar, Arifah; Rahman, Haliza Abdul; Salleh, Madihah Md
2014-01-01
In this paper, the stochastic growth logistic model with aftereffect for the cell growth of C. acetobutylicum P262 and Luedeking-Piret equations for solvent production in batch fermentation system is introduced. The parameters values of the mathematical models are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic models numerically. The effciency of mathematical models is measured by comparing the simulated result and the experimental data of the microbial growth and solvent production in batch system. Low values of Root Mean-Square Error (RMSE) of stochastic models with aftereffect indicate good fits
Stochastic growth logistic model with aftereffect for batch fermentation process
Energy Technology Data Exchange (ETDEWEB)
Rosli, Norhayati; Ayoubi, Tawfiqullah [Faculty of Industrial Sciences and Technology, Universiti Malaysia Pahang, Lebuhraya Tun Razak, 26300 Gambang, Pahang (Malaysia); Bahar, Arifah; Rahman, Haliza Abdul [Department of Mathematical Sciences, Faculty of Science, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia); Salleh, Madihah Md [Department of Biotechnology Industry, Faculty of Biosciences and Bioengineering, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor (Malaysia)
2014-06-19
In this paper, the stochastic growth logistic model with aftereffect for the cell growth of C. acetobutylicum P262 and Luedeking-Piret equations for solvent production in batch fermentation system is introduced. The parameters values of the mathematical models are estimated via Levenberg-Marquardt optimization method of non-linear least squares. We apply Milstein scheme for solving the stochastic models numerically. The effciency of mathematical models is measured by comparing the simulated result and the experimental data of the microbial growth and solvent production in batch system. Low values of Root Mean-Square Error (RMSE) of stochastic models with aftereffect indicate good fits.
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...... 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...
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
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.
White noise based stochastic calculus associated with a class of Gaussian processes
Directory of Open Access Journals (Sweden)
Daniel Alpay
2012-01-01
Full Text Available Using the white noise space setting, we define and study stochastic integrals with respect to a class of stationary increment Gaussian processes. We focus mainly on continuous functions with values in the Kondratiev space of stochastic distributions, where use is made of the topology of nuclear spaces. We also prove an associated Ito formula.
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.
Simulating biological processes: stochastic physics from whole cells to colonies
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.
Stochastic process for white matter injury detection in preterm neonates
Directory of Open Access Journals (Sweden)
Irene Cheng
2015-01-01
Full Text Available Preterm births are rising in Canada and worldwide. As clinicians strive to identify preterm neonates at greatest risk of significant developmental or motor problems, accurate predictive tools are required. Infants at highest risk will be able to receive early developmental interventions, and will also enable clinicians to implement and evaluate new methods to improve outcomes. While severe white matter injury (WMI is associated with adverse developmental outcome, more subtle injuries are difficult to identify and the association with later impairments remains unknown. Thus, our goal was to develop an automated method for detection and visualization of brain abnormalities in MR images acquired in very preterm born neonates. We have developed a technique to detect WMI in T1-weighted images acquired in 177 very preterm born infants (24–32 weeks gestation. Our approach uses a stochastic process that estimates the likelihood of intensity variations in nearby pixels; with small variations being more likely than large variations. We first detect the boundaries between normal and injured regions of the white matter. Following this we use a measure of pixel similarity to identify WMI regions. Our algorithm is able to detect WMI in all of the images in the ground truth dataset with some false positives in situations where the white matter region is not segmented accurately.
Granita, Bahar, A.
2015-03-01
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.
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
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.
Urban Freight Truck Routing under Stochastic Congestion and Emission Considerations
Directory of Open Access Journals (Sweden)
Taesung Hwang
2015-05-01
Full Text Available Freight trucks are known to be a major source of air pollutants as well as greenhouse gas emissions in U.S. metropolitan areas, and they have significant effects on air quality and global climate change. Emissions from freight trucks during their deliveries should be considered by the trucking service sector when they make routing decisions. This study proposes a model that incorporates total delivery time, various emissions including CO2, VOC, NOX, and PM from freight truck activities, and a penalty for late or early arrival into the total cost objective of a stochastic shortest path problem. We focus on urban transportation networks in which random congestion states on each link follows an independent probability distribution. Our model finds the best truck routing on a given network so as to minimize the expected total cost. This problem is formulated into a mathematical model, and two solution algorithms including a dynamic programming approach and a deterministic shortest path heuristic are proposed. Numerical examples show that the proposed approach performs very well even for the large-size U.S. urban networks.
Directory of Open Access Journals (Sweden)
Minghui Song
2012-01-01
Full Text Available The main purpose of this paper is to investigate the convergence of the Euler method to stochastic differential equations with piecewise continuous arguments (SEPCAs. The classical Khasminskii-type theorem gives a powerful tool to examine the global existence of solutions for stochastic differential equations (SDEs without the linear growth condition by the use of the Lyapunov functions. However, there is no such result for SEPCAs. Firstly, this paper shows SEPCAs which have nonexplosion global solutions under local Lipschitz condition without the linear growth condition. Then the convergence in probability of numerical solutions to SEPCAs under the same conditions is established. Finally, an example is provided to illustrate our theory.
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.
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.
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.
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
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
Quantum learning of classical stochastic processes: The completely positive realization problem
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
A stochastic model of the dynamics of HIV under a combination ...
African Journals Online (AJOL)
combined therapeutic treatment by extending the model of HIV pathogenesis under treatment by anti-viral drugs given in ... Key words: Combined therapy, drug resistance, infectious free HIV, stochastic model. 1 Introduction ..... Writing these equations in the matrix form, we therefore obtain the matrix differential equation. ∂.
A Global Chance-Constraint for Stochastic Inventory Systems under Service Level Constraints
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
A Numerical Method for Two-Stage Stochastic Programs under Uncertainty
Directory of Open Access Journals (Sweden)
Paul Bosch
2011-01-01
power generation companies, this work extends the traditional two-stage linear stochastic program by adding probabilistic constraints in the second stage. In this work we describe, under special assumptions, how the two-stage stochastic programs with mixed probabilities can be treated computationally. We obtain a convex conservative approximations of the chance constraints defined in second stage of our model and use Monte Carlo simulation techniques for approximating the expectation function in the first stage by the average. This approach raises with another question: how to solve the linear program with the convex conservative approximation (nonlinear constrains for each scenario?
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)
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...
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)
On the rate of convergence of some stochastic processes
Kern, Walter
1989-01-01
We present a general technique for obtaining bounds on the deviation of the optimal value of some stochastic combinatorial problems from their mean. As a particular application, we prove an exponential rate of convergence for the length of a shortest path through n random points in the unit square.
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
Obsolescence : The underlying processes
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
International Nuclear Information System (INIS)
Doan, N.V.; Martin, G.; Haider, F.; Bellon, P.
1989-01-01
Assessing cascade size effects on compound stability under irradiation requires a safe stochastic description of the order-disorder transition under external forcing. To address multidimensional order parameter structures, we introduce the Kubo Ansatz technique and apply it to the FCC lattice. Irradiation-induced stabilization of unexpected structures is predicted: a diagram for the respective stability of L1 2 , L1 0 and disordered FCC solid solution is established
Stochastic Averaging of Strongly Nonlinear Oscillators under Poisson White Noise Excitation
Zeng, Y.; Zhu, W. Q.
A stochastic averaging method for single-degree-of-freedom (SDOF) strongly nonlinear oscillators under Poisson white noise excitation is proposed by using the so-called generalized harmonic functions. The stationary averaged generalized Fokker-Planck-Kolmogorov (GFPK) equation is solved by using the classical perturbation method. Then the procedure is applied to estimate the stationary probability density of response of a Duffing-van der Pol oscillator under Poisson white noise excitation. Theoretical results agree well with Monte Carlo simulations.
Economic-oriented stochastic optimization in advanced process control of chemical processes.
Dobos, László; Király, András; Abonyi, János
2012-01-01
Finding the optimal operating region of chemical processes is an inevitable step toward improving economic performance. Usually the optimal operating region is situated close to process constraints related to product quality or process safety requirements. Higher profit can be realized only by assuring a relatively low frequency of violation of these constraints. A multilevel stochastic optimization framework is proposed to determine the optimal setpoint values of control loops with respect to predetermined risk levels, uncertainties, and costs of violation of process constraints. The proposed framework is realized as direct search-type optimization of Monte-Carlo simulation of the controlled process. The concept is illustrated throughout by a well-known benchmark problem related to the control of a linear dynamical system and the model predictive control of a more complex nonlinear polymerization process.
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...
Directory of Open Access Journals (Sweden)
Drawert Brian
2012-06-01
Full Text Available Abstract Background 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. Results 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
A stochastic analysis of glass crack initiation under thermal loading
International Nuclear Information System (INIS)
Wang, Qingsong; Wang, Yu; Zhang, Yi; Chen, Haodong; Sun, Jinhua; He, Linghui
2014-01-01
Window glass breakage plays a key role in compartment fire development as it opens a new vent for fresh air that accelerates the fire. To explore the correlation between temperature change and crack initiation, a series of experiments were preformed for float and Low-E glasses under uniform radiation conditions in a well designed facility. At the time of crack, the critical temperature differences of float glass and Low-E glass are 95 °C and 108 °C, respectively, with a same central temperature of 152 °C. The critical breaking stress occurs at 51 MPa and 70 MPa for float and Low-E glass, respectively. Detailed Weibull distribution functions on temperature and stress are obtained by fitting the experimental data. Failure probability function, survival probability function, probability density function are obtained and used to predict the glass failure with the survival probability at 0.9 and failure probability at 0.1. These results may be used to predict the crack probability of a glass bearing certain temperature and stress distributions. - Highlights: •20 Float and 21 Low-E glass panes are heated to crack under uniform radiation conditions in a well-designed facility. •Central temperature, temperature difference, and breaking stress are analyzed to investigate the glass breaking behavior. •The experimental data agree well with both two-parameter and three-parameter Weibull distribution. •Failure probability, survival probability, and probability density functions are obtained to predict the glass failure
Stochastic partial differential equations
Chow, Pao-Liu
2014-01-01
Preliminaries Introduction Some Examples Brownian Motions and Martingales Stochastic Integrals Stochastic Differential Equations of Itô Type Lévy Processes and Stochastic IntegralsStochastic Differential Equations of Lévy Type Comments Scalar Equations of First Order Introduction Generalized Itô's Formula Linear Stochastic Equations Quasilinear Equations General Remarks Stochastic Parabolic Equations Introduction Preliminaries Solution of Stochastic Heat EquationLinear Equations with Additive Noise Some Regularity Properties Stochastic Reaction-Diffusion Equations Parabolic Equations with Grad
Determination of non-stationary stochastic processes compatible with seismic response/design spectra
Giaralis, A.; Spanos, P. D.
2011-01-01
In this paper the problem of deriving non-stationary stochastic processes defined by a parametric evolutionary power spectrum (EPS) compatible with a given (target) design spectrum is addressed. An inverse stochastic dynamics problem is formulated and solved in a least-square sense to determine the requisite EPS. This involves the incorporation of a “peak factor” which is used to relate statistically the target spectrum to the EPS. Special attention is focused on deriving design spectrum comp...
Huang, Tsung-Yu; Tseng, Ching-Wei; Yeh, Ting-Tso; Yeh, Tien-Tien; Luo, Chih-Wei; Akalin, Tahsin; Yen, Ta-Jen
2015-01-01
We design and demonstrate a flexible, ultrathin and double-sided metamaterial perfect absorber (MPA) at 2.39 terahertz (THz), which enables excellent light absorbance under incidences from two opposite sides. Herein, the MPA is fabricated on a ?0/10.1-thick flexible polyethylene terephthalate substrate of ?r?=?2.75???(1?+?0.12i), sandwiched by two identical randomized metallic patterns by our stochastic design process. Such an MPA provides tailored permittivity and permeability to approach th...
The Stochastic Evolutionary Game for a Population of Biological Networks Under Natural Selection
Chen, Bor-Sen; Ho, Shih-Ju
2014-01-01
In this study, a population of evolutionary biological networks is described by a stochastic dynamic system with intrinsic random parameter fluctuations due to genetic variations and external disturbances caused by environmental changes in the evolutionary process. Since information on environmental changes is unavailable and their occurrence is unpredictable, they can be considered as a game player with the potential to destroy phenotypic stability. The biological network needs to develop an evolutionary strategy to improve phenotypic stability as much as possible, so it can be considered as another game player in the evolutionary process, ie, a stochastic Nash game of minimizing the maximum network evolution level caused by the worst environmental disturbances. Based on the nonlinear stochastic evolutionary game strategy, we find that some genetic variations can be used in natural selection to construct negative feedback loops, efficiently improving network robustness. This provides larger genetic robustness as a buffer against neutral genetic variations, as well as larger environmental robustness to resist environmental disturbances and maintain a network phenotypic traits in the evolutionary process. In this situation, the robust phenotypic traits of stochastic biological networks can be more frequently selected by natural selection in evolution. However, if the harbored neutral genetic variations are accumulated to a sufficiently large degree, and environmental disturbances are strong enough that the network robustness can no longer confer enough genetic robustness and environmental robustness, then the phenotype robustness might break down. In this case, a network phenotypic trait may be pushed from one equilibrium point to another, changing the phenotypic trait and starting a new phase of network evolution through the hidden neutral genetic variations harbored in network robustness by adaptive evolution. Further, the proposed evolutionary game is extended to
Zhang, Ximei; Johnston, Eric R; Liu, Wei; Li, Linghao; Han, Xingguo
2016-01-01
Both 'species fitness difference'-based deterministic processes, such as competitive exclusion and environmental filtering, and 'species fitness difference'-independent stochastic processes, such as birth/death and dispersal/colonization, can influence the assembly of soil microbial communities. However, how both types of processes are mediated by anthropogenic environmental changes has rarely been explored. Here we report a novel and general pattern that almost all anthropogenic environmental changes that took place in a grassland ecosystem affected soil bacterial community assembly primarily through promoting or restraining stochastic processes. We performed four experiments mimicking 16 types of environmental changes and separated the compositional variation of soil bacterial communities caused by each environmental change into deterministic and stochastic components, with a recently developed method. Briefly, because the difference between control and treatment communities is primarily caused by deterministic processes, the deterministic change was quantified as (mean compositional variation between treatment and control) - (mean compositional variation within control). The difference among replicate treatment communities is primarily caused by stochastic processes, so the stochastic change was estimated as (mean compositional variation within treatment) - (mean compositional variation within control). The absolute of the stochastic change was greater than that of the deterministic change across almost all environmental changes, which was robust for both taxonomic and functional-based criterion. Although the deterministic change may become more important as environmental changes last longer, our findings showed that changes usually occurred through mediating stochastic processes over 5 years, challenging the traditional determinism-dominated view. © 2015 John Wiley & Sons Ltd.
International Nuclear Information System (INIS)
Angstmann, C.N.; Donnelly, I.C.; Henry, B.I.; Jacobs, B.A.; Langlands, T.A.M.; Nichols, J.A.
2016-01-01
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.
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)
Effect of multiplicative noise on stationary stochastic process
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.
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.
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.
Disentangling the importance of ecological niches from stochastic processes across scales
Chase, Jonathan M.; Myers, Jonathan A.
2011-01-01
Deterministic theories in community ecology suggest that local, niche-based processes, such as environmental filtering, biotic interactions and interspecific trade-offs largely determine patterns of species diversity and composition. In contrast, more stochastic theories emphasize the importance of chance colonization, random extinction and ecological drift. The schisms between deterministic and stochastic perspectives, which date back to the earliest days of ecology, continue to fuel contemporary debates (e.g. niches versus neutrality). As illustrated by the pioneering studies of Robert H. MacArthur and co-workers, resolution to these debates requires consideration of how the importance of local processes changes across scales. Here, we develop a framework for disentangling the relative importance of deterministic and stochastic processes in generating site-to-site variation in species composition (β-diversity) along ecological gradients (disturbance, productivity and biotic interactions) and among biogeographic regions that differ in the size of the regional species pool. We illustrate how to discern the importance of deterministic processes using null-model approaches that explicitly account for local and regional factors that inherently create stochastic turnover. By embracing processes across scales, we can build a more synthetic framework for understanding how niches structure patterns of biodiversity in the face of stochastic processes that emerge from local and biogeographic factors. PMID:21768151
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.
Stochastic dynamical model of a growing citation network based on a self-exciting point process.
Golosovsky, Michael; Solomon, Sorin
2012-08-31
We put under experimental scrutiny the preferential attachment model that is commonly accepted as a generating mechanism of the scale-free complex networks. To this end we chose a citation network of physics papers and traced the citation history of 40,195 papers published in one year. Contrary to common belief, we find that the citation dynamics of the individual papers follows the superlinear preferential attachment, with the exponent α=1.25-1.3. Moreover, we show that the citation process cannot be described as a memoryless Markov chain since there is a substantial correlation between the present and recent citation rates of a paper. Based on our findings we construct a stochastic growth model of the citation network, perform numerical simulations based on this model and achieve an excellent agreement with the measured citation distributions.
Stochastic dynamics of phase singularities under ventricular fibrillation in 2D Beeler-Reuter model
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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.
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
Aydın, Levent; Artem, Hatice Seçil
2011-01-01
The aim of the present study is to design the stacking sequence of the laminated composites that have low coefficient of thermal expansion and high elastic moduli. In design process, multi-objective genetic algorithm optimization of the carbon fiber laminated composite plates is verified by single objective optimization approach using three different stochastic optimization methods: genetic algorithm, generalized pattern search, and simulated annealing. However, both the multi- and single-obj...
Directory of Open Access Journals (Sweden)
Fabricio Oliveira
2012-12-01
Full Text Available This paper presents the application of a stochastic Benders decomposition algorithm for the problem of supply chain investment planning under uncertainty applied to the petroleum byproducts supply chain. The uncertainty considered is related with the unknown demand levels for oil products. For this purpose, a model was developed based on two-stage stochastic programming. It is proposed two different solution methodologies, one based on the classical cutting plane approach presented by Van Slyke & Wets (1969, and other, based on a multi cut extension of it, firstly introduced by Birge & Louveaux (1988. The methods were evaluated on a real sized case study. Preliminary numerical results obtained from computational experiments are encouraging.
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
Stochastic processes, multiscale modeling, and numerical methods for computational cellular biology
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...
Reliability estimation of structures under stochastic loading—A case study on nuclear piping
International Nuclear Information System (INIS)
Hari Prasad, M.; Rami Reddy, G.; Dubey, P.N.; Srividya, A.; Verma, A.K.
2013-01-01
Highlights: ► Structures are generally subjected to different types of loadings. ► One such type of loading is random sequence and has been treated as a stochastic fatigue loading. ► In this methodology both stress amplitude and number of cycles to failure have been considered as random variables. ► The methodology has been demonstrated with a case study on nuclear piping. ► The failure probability of piping has been estimated as a function of time. - Abstract: Generally structures are subjected to different types of loadings throughout their life time. These loads can be either discrete in nature or continuous in nature and also these can be either stationary or non stationary processes. This means that the structural reliability analysis not only considers random variables but also considers random variables which are functions of time, referred to as stochastic processes. A stochastic process can be viewed as a family of random variables. When a structure is subjected to a random loading, based on the stresses developed in the structure and failure criteria the failure probability can be estimated. In practice the structures are designed with higher factor of safety to take care of such random loads. In such cases the structure will fail only when the random loads are cyclic in nature. In traditional reliability analysis, the variation in the load is treated as a random variable and to account for the number of occurrences of the loading the concept of extreme value theory is used. But with this method one is neglecting the damage accumulation that will take place from one loading to another loading. Hence, in this paper, a new way of dealing with these types of problems has been discussed by using the concept of stochastic fatigue loading. The random loading has been considered as earthquake loading. The methodology has been demonstrated with a case study on nuclear power plant piping.
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
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)
Liu, Zhengping; Huang, Guohe; Li, Wei
2015-06-01
Environmental problems associated with socio-economic development have been a growing concern facing many regional and/or national authorities. However, effective planning may encounter difficulties since uncertainties existing in a number of impact factors and pollution-related processes are often not well acknowledged and reflected. Combining chance-constrained programming and fuzzy credibility-constrained programming with interval parameters and stochastic programming, this study advances an inexact stochastic-fuzzy jointed chance-constrained programming method for planning regional economic and environmental systems under multiple uncertainties presented as intervals, fuzzy sets and probability distributions. The developed method has been applied to a case of long-term energy management system with multiple energy resources and three communities. Emissions of sulphur dioxide and nitrogen oxides are controlled and capacity expansion is scheduled. The results can help to identify desired alternatives for planning regional development strategies, where compromised schemes are provided under an integrated consideration of economic efficiency and environmental protection under multiple uncertainties.
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
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.
Adiabatic reduction of a model of stochastic gene expression with jump Markov process.
Yvinec, Romain; Zhuge, Changjing; Lei, Jinzhi; Mackey, Michael C
2014-04-01
This paper considers adiabatic reduction in a model of stochastic gene expression with bursting transcription considered as a jump Markov process. In this model, the process of gene expression with auto-regulation is described by fast/slow dynamics. The production of mRNA is assumed to follow a compound Poisson process occurring at a rate depending on protein levels (the phenomena called bursting in molecular biology) and the production of protein is a linear function of mRNA numbers. When the dynamics of mRNA is assumed to be a fast process (due to faster mRNA degradation than that of protein) we prove that, with appropriate scalings in the burst rate, jump size or translational rate, the bursting phenomena can be transmitted to the slow variable. We show that, depending on the scaling, the reduced equation is either a stochastic differential equation with a jump Poisson process or a deterministic ordinary differential equation. These results are significant because adiabatic reduction techniques seem to have not been rigorously justified for a stochastic differential system containing a jump Markov process. We expect that the results can be generalized to adiabatic methods in more general stochastic hybrid systems.
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.
Component processes underlying future thinking.
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.
Upper and lower bounds for stochastic processes modern methods and classical problems
Talagrand, Michel
2014-01-01
The book develops modern methods and in particular the "generic chaining" to bound stochastic processes. This methods allows in particular to get optimal bounds for Gaussian and Bernoulli processes. Applications are given to stable processes, infinitely divisible processes, matching theorems, the convergence of random Fourier series, of orthogonal series, and to functional analysis. The complete solution of a number of classical problems is given in complete detail, and an ambitious program for future research is laid out.
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
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.
Stochastic transitions between neural states in taste processing and decision-making.
Miller, Paul; Katz, Donald B
2010-02-17
Noise, which is ubiquitous in the nervous system, causes trial-to-trial variability in the neural responses to stimuli. This neural variability is in turn a likely source of behavioral variability. Using Hidden Markov modeling, a method of analysis that can make use of such trial-to-trial response variability, we have uncovered sequences of discrete states of neural activity in gustatory cortex during taste processing. Here, we advance our understanding of these patterns in two ways. First, we reproduce the experimental findings in a formal model, describing a network that evinces sharp transitions between discrete states that are deterministically stable given sufficient noise in the network; as in the empirical data, the transitions occur at variable times across trials, but the stimulus-specific sequence is itself reliable. Second, we demonstrate that such noise-induced transitions between discrete states can be computationally advantageous in a reduced, decision-making network. The reduced network produces binary outputs, which represent classification of ingested substances as palatable or nonpalatable, and the corresponding behavioral responses of "spit" or "swallow". We evaluate the performance of the network by measuring how reliably its outputs follow small biases in the strengths of its inputs. We compare two modes of operation: deterministic integration ("ramping") versus stochastic decision-making ("jumping"), the latter of which relies on state-to-state transitions. We find that the stochastic mode of operation can be optimal under typical levels of internal noise and that, within this mode, addition of random noise to each input can improve optimal performance when decisions must be made in limited time.
Stochastic processes and functional analysis a volume of recent advances in honor of M. M. Rao
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,
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.
Alexey Medvedev; Olivier Scaillet
2006-01-01
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on numerical experiments we describe the range of time-to-maturity and moneyness for which the approximation is accurate. We further propose a simple calibration procedure of an arbitrary parametric model to short-term near-the-money implied volatilities. An important advantage of our approximation is that it is ...
Using stochastic population process models to predict the impact of climate change.
van der Meer, J.; Beukema, J.J.; Dekker, R.
2013-01-01
More than ten years ago a paper was published in which stochastic population process models were fitted to time series of two marine polychaete species in the western Wadden Sea, The Netherlands (Van der Meer et al., 2000). For the predator species, model fits pointed to a strong effect of average
Czech Academy of Sciences Publication Activity Database
Ondreját, Martin
2006-01-01
Roč. 6, č. 1 (2006), s. 23-52 ISSN 0219-4937 R&D Projects: GA ČR(CZ) GA201/01/1197 Institutional research plan: CEZ:AV0Z10190503 Keywords : stochastic wave equation * spatially homogeneous Wiener process * martingale solution Subject RIV: BA - General Mathematics
Kinetic theory of age-structured stochastic birth-death processes
Greenman, Chris D.; Chou, Tom
2016-01-01
Classical age-structured mass-action models such as the McKendrick-von Foerster equation have been extensively studied but are unable to describe stochastic fluctuations or population-size-dependent birth and death rates. Stochastic theories that treat semi-Markov age-dependent processes using, e.g., the Bellman-Harris equation do not resolve a population's age structure and are unable to quantify population-size dependencies. Conversely, current theories that include size-dependent population dynamics (e.g., mathematical models that include carrying capacity such as the logistic equation) cannot be easily extended to take into account age-dependent birth and death rates. In this paper, we present a systematic derivation of a new, fully stochastic kinetic theory for interacting age-structured populations. By defining multiparticle probability density functions, we derive a hierarchy of kinetic equations for the stochastic evolution of an aging population undergoing birth and death. We show that the fully stochastic age-dependent birth-death process precludes factorization of the corresponding probability densities, which then must be solved by using a Bogoliubov--Born--Green--Kirkwood--Yvon-like hierarchy. Explicit solutions are derived in three limits: no birth, no death, and steady state. These are then compared with their corresponding mean-field results. Our results generalize both deterministic models and existing master equation approaches by providing an intuitive and efficient way to simultaneously model age- and population-dependent stochastic dynamics applicable to the study of demography, stem cell dynamics, and disease evolution.
Stochastic 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
Inexact multistage stochastic integer programming for water resources management under uncertainty.
Li, Y P; Huang, G H; Nie, S L; Liu, L
2008-07-01
In this study, an inexact multistage stochastic integer programming (IMSIP) method is developed for water resources management under uncertainty. This method incorporates techniques of inexact optimization and multistage stochastic programming within an integer programming framework. It can deal with uncertainties expressed as both probabilities and discrete intervals, and reflect the dynamics in terms of decisions for water allocation through transactions at discrete points of a complete scenario set over a multistage context. Moreover, the IMSIP can facilitate analyses of the multiple policy scenarios that are associated with economic penalties when the promised targets are violated as well as the economies-of-scale in the costs for surplus water diversion. A case study is provided for demonstrating the applicability of the developed methodology. The results indicate that reasonable solutions have been generated for both binary and continuous variables. For all scenarios under consideration, corrective actions can be undertaken dynamically under various pre-regulated policies and can thus help minimize the penalties and costs. The IMSIP can help water resources managers to identify desired system designs against water shortage and for flood control with maximized economic benefit and minimized system-failure risk.
Persistence of a continuous stochastic process with discrete-time sampling: non-Markov processes.
Ehrhardt, George C M A; Bray, Alan J; Majumdar, Satya N
2002-04-01
We consider the problem of "discrete-time persistence," which deals with the zero crossings of a continuous stochastic process X(T) measured at discrete times T=nDeltaT. For a Gaussian stationary process the persistence (no crossing) probability decays as exp(-theta(D)T)=[rho(a)](n) for large n, where a=exp(-DeltaT/2) and the discrete persistence exponent theta(D) is given by theta(D)=(ln rho)/(2 ln a). Using the "independent interval approximation," we show how theta(D) varies with DeltaT for small DeltaT and conclude that experimental measurements of persistence for smooth processes, such as diffusion, are less sensitive to the effects of discrete sampling than measurements of a randomly accelerated particle or random walker. We extend the matrix method developed by us previously [Phys. Rev. E 64, 015101(R) (2001)] to determine rho(a) for a two-dimensional random walk and the one-dimensional random-acceleration problem. We also consider "alternating persistence," which corresponds to a<0, and calculate rho(a) for this case.
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.
Zou, Yong; Donner, Reik V; Kurths, Jürgen
2015-02-01
Long-range correlated processes are ubiquitous, ranging from climate variables to financial time series. One paradigmatic example for such processes is fractional Brownian motion (fBm). In this work, we highlight the potentials and conceptual as well as practical limitations when applying the recently proposed recurrence network (RN) approach to fBm and related stochastic processes. In particular, we demonstrate that the results of a previous application of RN analysis to fBm [Liu et al. Phys. Rev. E 89, 032814 (2014)] are mainly due to an inappropriate treatment disregarding the intrinsic nonstationarity of such processes. Complementarily, we analyze some RN properties of the closely related stationary fractional Gaussian noise (fGn) processes and find that the resulting network properties are well-defined and behave as one would expect from basic conceptual considerations. Our results demonstrate that RN analysis can indeed provide meaningful results for stationary stochastic processes, given a proper selection of its intrinsic methodological parameters, whereas it is prone to fail to uniquely retrieve RN properties for nonstationary stochastic processes like fBm.
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
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
Stochastic Greybox Modeling of an Alternating Activated Sludge Process
DEFF Research Database (Denmark)
Halvgaard, Rasmus Fogtmann; Munk-Nielsen, T.; Tychsen, P.
Summary of key findings We found a greybox model for state estimation and control of the BioDenitro process based on a reduced ASM1. We then applied Maximum Likelihood Estimation on measurements from a real full-scale waste water treatment plant to estimate the model parameters. The estimation me...
Stochastic Greybox Modeling of an Alternating Activated Sludge Process
DEFF Research Database (Denmark)
Halvgaard, Rasmus Fogtmann; Munk-Nielsen, T.; Tychsen, P.
Summary of key findings We found a greybox model for state estimation and control of the BioDenitro process based on a reduced ASM1. We then applied Maximum Likelihood Estimation on measurements from a real full-scale waste water treatment plant to estimate the model parameters. The estimation me...... forecasts of the load....
Alvarado, Michelle; Ntaimo, Lewis
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.
Nonequilibrium critical behavior in unidirectionally coupled stochastic processes
International Nuclear Information System (INIS)
Goldschmidt, Y.Y.; Hinrichsen, H.; Howard, M.; Taeuber, U.C.
1999-01-01
Phase transitions from an active into an absorbing, inactive state are generically described by the critical exponents of directed percolation (DP), with upper critical dimension d c =4. In the framework of single-species reaction-diffusion systems, this universality class is realized by the combined processes A→A+A, A+A→A, and A→0. We study a hierarchy of such DP processes for particle species A,B,hor-ellipsis, unidirectionally coupled via the reactions A→B,hor-ellipsis (with rates μ AB ,hor-ellipsis). When the DP critical points at all levels coincide, multicritical behavior emerges, with density exponents β i which are markedly reduced at each hierarchy level i≥2. This scenario can be understood on the basis of the mean-field rate equations, which yield β i =1/2 i-1 at the multicritical point. Using field-theoretic renormalization-group techniques in d=4-ε dimensions, we identify a new crossover exponent φ, and compute φ=1+O(ε 2 ) in the multicritical regime (for small μ AB ) of the second hierarchy level. In the active phase, we calculate the fluctuation correction to the density exponent on the second hierarchy level, β 2 =1/2-ε/8+O(ε 2 ). Outside the multicritial region, we discuss the crossover to ordinary DP behavior, with the density exponent β 1 =1-ε/6+O(ε 2 ). Monte Carlo simulations are then employed to confirm the crossover scenario, and to determine the values for the new scaling exponents in dimensions d≤3, including the critical initial slip exponent. Our theory is connected to specific classes of growth processes and to certain cellular automata, and the above ideas are also applied to unidirectionally coupled pair annihilation processes. We also discuss some technical as well as conceptual problems of the loop expansion, and suggest some possible interpretations of these difficulties. copyright 1999 The American Physical Society
Anomalous diffusion and scaling in coupled stochastic processes
Energy Technology Data Exchange (ETDEWEB)
Bel, Golan [Los Alamos National Laboratory; Nemenman, Ilya [Los Alamos National Laboratory
2009-01-01
Inspired by problems in biochemical kinetics, we study statistical properties of an overdamped Langevin processes with the friction coefficient depending on the state of a similar, unobserved, process. Integrating out the latter, we derive the Pocker-Planck the friction coefficient of the first depends on the state of the second. Integrating out the latter, we derive the Focker-Planck equation for the probability distribution of the former. This has the fonn of diffusion equation with time-dependent diffusion coefficient, resulting in an anomalous diffusion. The diffusion exponent can not be predicted using a simple scaling argument, and anomalous scaling appears as well. The diffusion exponent of the Weiss-Havlin comb model is derived as a special case, and the same exponent holds even for weakly coupled processes. We compare our theoretical predictions with numerical simulations and find an excellent agreement. The findings caution against treating biochemical systems with unobserved dynamical degrees of freedom by means of standandard, diffusive Langevin descritpion.
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.
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...... crossing rate for various probability distributions, including ones that previously were unavailable, such as the uniform, the so-called gamma-gamma, and the Rice–Nakagami distribution. However, in a limited number of cases the present results differ somewhat from the result reported in the literature...
Chen, Bor-Sen; Tsai, Kun-Wei; Li, Cheng-Wei
2015-01-01
Molecular biologists have long recognized carcinogenesis as an evolutionary process that involves natural selection. Cancer is driven by the somatic evolution of cell lineages. In this study, the evolution of somatic cancer cell lineages during carcinogenesis was modeled as an equilibrium point (ie, phenotype of attractor) shifting, the process of a nonlinear stochastic evolutionary biological network. This process is subject to intrinsic random fluctuations because of somatic genetic and epigenetic variations, as well as extrinsic disturbances because of carcinogens and stressors. In order to maintain the normal function (ie, phenotype) of an evolutionary biological network subjected to random intrinsic fluctuations and extrinsic disturbances, a network robustness scheme that incorporates natural selection needs to be developed. This can be accomplished by selecting certain genetic and epigenetic variations to modify the network structure to attenuate intrinsic fluctuations efficiently and to resist extrinsic disturbances in order to maintain the phenotype of the evolutionary biological network at an equilibrium point (attractor). However, during carcinogenesis, the remaining (or neutral) genetic and epigenetic variations accumulate, and the extrinsic disturbances become too large to maintain the normal phenotype at the desired equilibrium point for the nonlinear evolutionary biological network. Thus, the network is shifted to a cancer phenotype at a new equilibrium point that begins a new evolutionary process. In this study, the natural selection scheme of an evolutionary biological network of carcinogenesis was derived from a robust negative feedback scheme based on the nonlinear stochastic Nash game strategy. The evolvability and phenotypic robustness criteria of the evolutionary cancer network were also estimated by solving a Hamilton-Jacobi inequality - constrained optimization problem. The simulation revealed that the phenotypic shift of the lung cancer
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.
Matsumoto, Tomotaka
2015-11-24
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 are not well understood. SGE can increase the phenotypic variation and act as a load for individuals, if they are at the adaptive optimum in a stable environment. On the other hand, part of the phenotypic variation caused by SGE might become advantageous if individuals at the adaptive optimum become genetically less-adaptive, for example due to an environmental change. Furthermore, SGE of unimportant genes might have little or no fitness consequences. Thus, SGE can be advantageous, disadvantageous, or selectively neutral depending on its context. In addition, there might be a genetic basis that regulates magnitude of SGE, which is often referred to as “modifier genes,” but little is known about the conditions under which such an SGE-modifier gene evolves. In the present study, we conducted individual-based computer simulations to examine these conditions in a diploid model. In the simulations, we considered a single locus that determines organismal fitness for simplicity, and that SGE on the locus creates fitness variation in a stochastic manner. We also considered another locus that modifies the magnitude of SGE. Our results suggested that SGE was always deleterious in stable environments and increased the fixation probability of deleterious mutations in this model. Even under frequently changing environmental conditions, only very strong natural selection made SGE adaptive. These results suggest that the evolution of SGE-modifier genes requires strict balance among the strength of natural selection, magnitude of SGE, and frequency of environmental changes. However, the degree of dominance affected the condition under which SGE becomes advantageous, indicating a better opportunity for the evolution of SGE in different genetic
Tempered stable distributions stochastic models for multiscale processes
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.
A spatiotemporal stochastic process model for species spread.
Fewster, R M
2003-09-01
We use a spatiotemporal Markov process to model the spread of an ecological population through its environment over time. Available habitat is divided into sites, and a parametric function of spatial variables is used to model the probability that one site is colonized from another. This allows us both to make predictions about the future spread of a population, and to determine which are the important factors governing colonizations. The model evolves in discrete time, allowing the population distribution to change seasonally in accordance with breeding patterns. Discrete time formulations are natural for ecological populations, but are problematic due to difficulties of fitting and predicting over irregular time intervals. The model described here can accommodate years of missing data and can therefore fit and predict at irregular intervals. Two methods of approximating the likelihood are described and applied to ornithological survey data for the woodlark, Lullula arborea, from Thetford Forest in the U.K.
Multiobjective optimization in structural design with uncertain parameters and stochastic processes
Rao, S. S.
1984-01-01
The application of multiobjective optimization techniques to structural design problems involving uncertain parameters and random processes is studied. The design of a cantilever beam with a tip mass subjected to a stochastic base excitation is considered for illustration. Several of the problem parameters are assumed to be random variables and the structural mass, fatigue damage, and negative of natural frequency of vibration are considered for minimization. The solution of this three-criteria design problem is found by using global criterion, utility function, game theory, goal programming, goal attainment, bounded objective function, and lexicographic methods. It is observed that the game theory approach is superior in finding a better optimum solution, assuming the proper balance of the various objective functions. The procedures used in the present investigation are expected to be useful in the design of general dynamic systems involving uncertain parameters, stochastic process, and multiple objectives.
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.
Directory of Open Access Journals (Sweden)
Milojević Ivan
2017-01-01
Full Text Available Almost all processes in the area of business management, especially those of determining reliability of the accounting-information system in business management are connected with certain risk, i.e. they are of a stochastic character, which means that every method for solving these problems must be related to the probability theory and corresponding mathematical-statistical methods. This is why it can be noted that only reliable means for determining the reliability rate of the accounting information system are corresponding mathematical-statistical methods. Having this in mind, in this paper we tried to have the problem of forming the risk rate in the area of reliability of the accounting system solved by applying methods based on stochastic processes of Markov's type.
Whole-field visual motion drives swimming in larval zebrafish via a stochastic process.
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.
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...
Stationary and related stochastic processes sample function properties and their applications
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
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
Stochastic processes, optimization, and control theory a volume in honor of Suresh Sethi
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.
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.
Stochastic Differential Equations and Markov Processes in the Modeling of Electrical Circuits
Directory of Open Access Journals (Sweden)
R. Rezaeyan
2010-06-01
Full Text Available Stochastic differential equations(SDEs, arise from physical systems that possess inherent noise and certainty. We derive a SDE for electrical circuits. In this paper, we will explore the close relationship between the SDE and autoregressive(AR model. We will solve SDE related to RC circuit with using of AR(1 model (Markov process and however with Euler-Maruyama(EM method. Then, we will compare this solutions. Numerical simulations in MATLAB are obtained.
Stochastic spectral-spatial permutation ordering combination for nonlocal morphological processing
Lézoray, Olivier
2017-01-01
International audience; The extension of mathematical morphology to mul-tivariate data has been an active research topic in recent years. In this paper we propose an approach that relies on the consensus combination of several stochastic permutation orderings. The latter are obtained by searching for a smooth shortest path on a graph representing an image. The construction of the graph can be based on both spatial and spectral information and naturally enables patch-based nonlocal processing.
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.
Directory of Open Access Journals (Sweden)
Xiaoxuan Hu
2015-01-01
Full Text Available This paper considers a task assignment problem for multiple unmanned aerial vehicles (UAVs. The UAVs are set to perform attack tasks on a collection of ground targets in a severe uncertain environment. The UAVs have different attack capabilities and are located at different positions. Each UAV should be assigned an attack task before the mission starts. Due to uncertain information, many criteria values essential to task assignment were random or fuzzy, and the weights of criteria were not precisely known. In this study, a novel task assignment approach based on stochastic Multicriteria acceptability analysis (SMAA method was proposed to address this problem. The uncertainties in the criteria were analyzed, and a task assignment procedure was designed. The results of simulation experiments show that the proposed approach is useful for finding a satisfactory assignment under severe uncertain circumstances.
Bouchaud, Jean-Philippe; Sornette, Didier
1994-01-01
The ability to price risks and devise optimal investment strategies in thé présence of an uncertain "random" market is thé cornerstone of modern finance theory. We first consider thé simplest such problem of a so-called "European call option" initially solved by Black and Scholes using Ito stochastic calculus for markets modelled by a log-Brownien stochastic process. A simple and powerful formalism is presented which allows us to generalize thé analysis to a large class of stochastic processe...
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
This work focuses on the stochastic evaluation of train schedules computed by a microscopic scheduler of railway operations based on deterministic information. The research question is to assess the degree of sensitivity of various rescheduling algorithms to variations in process times (running...... 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...... rescheduling algorithms. Computational results are based on a complex and densely occupied Dutch railway area; train delays are computed based on accepted statistical distributions, and dwell and running times of trains are subject to additional stochastic variations. From the results obtained on a real case...
Tsekouras, Georgios; Ioannou, Christos; Efstratiadis, Andreas; Koutsoyiannis, Demetris
2013-04-01
The drawbacks of conventional energy sources including their negative environmental impacts emphasize the need to integrate renewable energy sources into energy balance. However, the renewable sources strongly depend on time varying and uncertain hydrometeorological processes, including wind speed, sunshine duration and solar radiation. To study the design and management of hybrid energy systems we investigate the stochastic properties of these natural processes, including possible long-term persistence. We use wind speed and sunshine duration time series retrieved from a European database of daily records and we estimate representative values of the Hurst coefficient for both variables. We conduct simultaneous generation of synthetic time series of wind speed and sunshine duration, on yearly, monthly and daily scale. To this we use the Castalia software system which performs multivariate stochastic simulation. Using these time series as input, we perform stochastic simulation of an autonomous hypothetical hybrid renewable energy system and optimize its performance using genetic algorithms. For the system design we optimize the sizing of the system in order to satisfy the energy demand with high reliability also minimizing the cost. While the simulation scale is the daily, a simple method allows utilizing the subdaily distribution of the produced wind power. Various scenarios are assumed in order to examine the influence of input parameters, such as the Hurst coefficient, and design parameters such as the photovoltaic panel angle.
Dimension reduction of Karhunen-Loeve expansion for simulation of stochastic processes
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.
Directory of Open Access Journals (Sweden)
H. J. Fowler
2000-01-01
Full Text Available A stochastic model is developed for the synthesis of daily precipitation using conditioning by weather types. Daily precipitation statistics at multiple sites within the region of Yorkshire, UK, are linked to objective Lamb weather types (LWTs and used to split the region into three distinct precipitation sub-regions. Using a variance minimisation criterion, the 27 LWTs are clustered into three physically realistic groups or ‘states'. A semi-Markov chain model is used to synthesise long sequences of weather states, maintaining the observed persistence and transition probabilities. The Neyman-Scott Rectangular Pulses (NSRP model is then fitted for each weather state, using a defined summer and winter period. The combined model reproduces key aspects of the historic precipitation regime at temporal resolutions down to the hourly level. Long synthetic precipitation series are useful in the sensitivity analysis of water resource systems under current and changed climatic conditions. This methodology enables investigation of the impact of variations in weather type persistence or frequency. In addition, rainfall model statistics can be altered to simulate instances of increased intensity or proportion of dry days for example, for individual weather groups. The input of such data into a water resource model, simulating potential atmospheric circulation changes, will provide a valuable tool for future planning of water resource systems. The ability of the model to operate at an hourly level also allows its use in a wider range of hydrological impact studies, e.g. variations in river flows, flood risk estimation etc. Keywords: water resources; climate change; impacts; stochastic rainfall model; Lamb weather types
International Nuclear Information System (INIS)
Bouziane, T.
2004-04-01
The purpose of this work was to construct a Brownian motion with values in simplicial complexes with piecewise differential structure. After a martingale theory attempt, we constructed a family of continuous Markov processes with values in an admissible complex; we named every process of this family, isotropic transport process. We showed that the family of the isotropic processes contains a subsequence, which converged weakly to a measure; we named it the Wiener measure. Then, we constructed, thanks to the finite dimensional distributions of the Wiener measure a new continuous Markov process with values in an admissible complex: the Brownian motion. We finished with a geometric analysis of this Brownian motion, to determinate, under hypothesis on the complex, the recurrent or transient behavior of such process. (author)
Variations of Ship’s Deck Elevation Due to Stochastic Process of Containers Loading
Directory of Open Access Journals (Sweden)
Przemyslaw Krata
2015-12-01
Full Text Available The stochastic process of container loading is described in the paper with special emphasis to ship motion when she is lying at a quay. The 3 DOF system was applied to describe rolling, pitching and heaving of a vessel which may cause a significant variations of momentary deck elevation. The realistic range of such variations are assessed for a variety of cargo locations on-board and a phase shift between two independent gantries engaged in cargo operations. The process is modeled with regard to random character of crucial variables affecting ship motion due to cargo loading.
SDE decomposition and A-type stochastic interpretation in nonequilibrium processes
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.
Forward, backward, and weighted stochastic bridges
Drummond, Peter D.
2017-10-01
We define stochastic bridges as conditional distributions of stochastic paths that leave a specified point in phase-space in the past and arrive at another one in the future. These can be defined relative to either forward or backward stochastic differential equations and with the inclusion of arbitrary path-dependent weights. The underlying stochastic equations are not the same except in linear cases. Accordingly, we generalize the theory of stochastic bridges to include time-reversed and weighted stochastic processes. We show that the resulting stochastic bridges are identical, whether derived from a forward or a backward time stochastic process. A numerical algorithm is obtained to sample these distributions. This technique, which uses partial stochastic equations, is robust and easily implemented. Examples are given, and comparisons are made to previous work. In stochastic equations without a gradient drift, our results confirm an earlier conjecture, while generalizing this to cases with path-dependent weights. An example of a two-dimensional stochastic equation with no potential solution is analyzed and numerically solved. We show how this method can treat unexpectedly large excursions occurring during a tunneling or escape event, in which a system escapes from one quasistable point to arrive at another one at a later time.
A stochastic model of the processes in PCR based amplification of STR DNA in forensic applications.
Weusten, Jos; Herbergs, Jos
2012-01-01
In forensic DNA profiling use is made of the well-known technique of PCR. When the amount of DNA is high, generally unambiguous profiles can be obtained, but for low copy number DNA stochastic effects can play a major role. In order to shed light on these stochastic effects, we present a simple model for the amplification process. According to the model, three possible things can happen to an individual single DNA strand in each complete cycle: successful amplification, no amplification, or amplification with the introduction of stutter. The model is developed in mathematical terms using a recursive approach: given the numbers of chains at a given cycle, the numbers in the next can be described using a multinomial probability distribution. A full set of recursive relations is derived for the expectations and (co)variances of the number of amplicon chains with no, 1 or 2 stutters. The exact mathematical solutions of this set are given, revealing the development of the expectations and (co)variances as function of the cycle number. The equations reveal that the expected number of amplicon chains without stutter grows exponentially with the cycle number, but for the chains with stutter the relation is more complex. The relative standard deviation on the numbers of chains (coefficient of variation) is inversely proportional to the square root of the expected number of DNA strands entering the amplification. As such, for high copy number DNA the stochastic effects can be ignored, but they play an important role at low concentrations. For the allelic peak, the coefficient of variation rapidly stabilizes after a few cycles, but for the chains with stutter the decrease is more slowly. Further, the ratio of the expected intensity of the stutter peak over that of the allelic peak increases linearly with the number of cycles. Stochastic models, like the one developed in the current paper, can be important in further developing interpretation rules in a Bayesian context
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)
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.
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...
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
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.
Stochastic Optimization of Water Resources Management under Climatic and Anthropogenic Uncertainties
Suribhatla, R. M.; Mok, C. M.; Zhang, M.; Wanakule, N.
2009-12-01
We present a reliability-based water resources management framework that utilizes stochastic optimization techniques to account for uncertainties associated with the prediction of water demand, surface water availability, baseline groundwater levels, a non-anthropogenic reservoir water budget, and hydrological/hydrogeological properties. Except for the hydro¬geological properties, these uncertainties are partially caused by uncertainties in prediction of future climate conditions. The framework was developed to manage a water supply system that serves over two million people in the northern Tampa Bay region in Florida, USA, while protecting wetland health and preventing seawater intrusion. The supply sources include about 180 groundwater production wells, three streamflow withdrawals, a regional reservoir, and a desalination plant. The framework seeks to maximize the reliability of achieving the goals that the groundwater levels in the wetlands are above healthy levels. The framework involves: (1) a distribution system simulation model to represent the water supply operation under an Optimal Regional Operation Plan (OROP), (2) a Monte Carlo simulation model to generate realizations of climatic events, water demand, available surface water quantity, and (3) a unit response matrix (URM) that relates groundwater level response to groundwater extraction. An operator response model simulates how water supply operators adjust the optimized rates of groundwater extraction, surface water withdrawal, and reservoir inflow/outflow in order to meet water demand under all circumstances. The reliability optimization problem is solved using a differential evolutionary algorithm.
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)
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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
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.
Rosinberg, M. L.; Munakata, T.; Tarjus, G.
2015-04-01
Response lags are generic to almost any physical system and often play a crucial role in the feedback loops present in artificial nanodevices and biological molecular machines. In this paper, we perform a comprehensive study of small stochastic systems governed by an underdamped Langevin equation and driven out of equilibrium by a time-delayed continuous feedback control. In their normal operating regime, these systems settle in a nonequilibrium steady state in which work is permanently extracted from the surrounding heat bath. By using the Fokker-Planck representation of the dynamics, we derive a set of second-law-like inequalities that provide bounds to the rate of extracted work. These inequalities involve additional contributions characterizing the reduction of entropy production due to the continuous measurement process. We also show that the non-Markovian nature of the dynamics requires a modification of the basic relation linking dissipation to the breaking of time-reversal symmetry at the level of trajectories. The modified relation includes a contribution arising from the acausal character of the reverse process. This, in turn, leads to another second-law-like inequality. We illustrate the general formalism with a detailed analytical and numerical study of a harmonic oscillator driven by a linear feedback, which describes actual experimental setups.
Miao, Xiu-feng; Li, Long-suo; Yan, Xiu-ming
2014-11-01
This paper is concerned with adaptive observer design problem for a class of nonlinear stochastic systems. Unknown constant parameters are assumed to be norm bounded. In order to better use the structural knowledge of the nonlinear part, a generalized Lipschitz condition is introduced to the adaptive observer design for a class of nonlinear stochastic systems for the first time. Based on a Lyapunov-Krasovskii functional approach and stochastic Lyapunov stability theory, we present a new adaptive observer design condition with ultimately exponentially bounded in sense of mean square for errors systems in terms of linear matrix inequality (LMI). A numerical example is exploited to show the validity and feasibility of the results.
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.
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.
The ‘hit’ phenomenon: a mathematical model of human dynamics interactions as a stochastic process
Ishii, Akira; Arakaki, Hisashi; Matsuda, Naoya; Umemura, Sanae; Urushidani, Tamiko; Yamagata, Naoya; Yoshida, Narihiko
2012-06-01
A mathematical model for the ‘hit’ phenomenon in entertainment within a society is presented as a stochastic process of human dynamics interactions. The model uses only the advertisement budget time distribution as an input, and word-of-mouth (WOM), represented by posts on social network systems, is used as data to make a comparison with the calculated results. The unit of time is days. The WOM distribution in time is found to be very close to the revenue distribution in time. Calculations for the Japanese motion picture market based on the mathematical model agree well with the actual revenue distribution in time.
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.
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.
StochPy: a comprehensive, user-friendly tool for simulating stochastic biological processes.
Directory of Open Access Journals (Sweden)
Timo R Maarleveld
Full Text Available Single-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 are indispensable for the study of phenotypic stochasticity in cellular decision-making and cell survival. There is a demand for versatile, stochastic modeling environments with extensive, preprogrammed statistics functions and plotting capabilities that hide the mathematics from the novice users and offers low-level programming access to the experienced user. Here we present StochPy (Stochastic modeling in Python, which is a flexible software tool for stochastic simulation in cell biology. It provides various stochastic simulation algorithms, SBML support, analyses of the probability distributions of molecule copy numbers and event waiting times, analyses of stochastic time series, and a range of additional statistical functions and plotting facilities for stochastic simulations. We illustrate the functionality of StochPy with stochastic models of gene expression, cell division, and single-molecule enzyme kinetics. StochPy has been successfully tested against the SBML stochastic test suite, passing all tests. StochPy is a comprehensive software package for stochastic simulation of the molecular control networks of living cells. It allows novice and experienced users to study stochastic phenomena in cell biology. The integration with other Python software makes StochPy both a user-friendly and easily extendible simulation tool.
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.
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
Directory of Open Access Journals (Sweden)
Chubing Zhang
2013-01-01
Full Text Available We study the optimal investment strategies of DC pension, with the stochastic interest rate (including the CIR model and the Vasicek model and stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset, a zero-coupon bond, and a single risky asset. By applying the Hamilton-Jacobi-Bellman equation, Legendre transform, and dual theory, we find the explicit solutions for the CRRA and CARA utility functions, respectively.
Analysis methods of stochastic transient electro–magnetic processes in electric traction system
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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.
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.
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.
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.
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.
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.
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.
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
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.
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.
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.
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
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...... 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...
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.
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.
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.
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...
Wang, Jianjun; Shen, Ji; Wu, Yucheng; Tu, Chen; Soininen, Janne; Stegen, James C; He, Jizheng; Liu, Xingqi; Zhang, Lu; Zhang, Enlou
2013-01-01
Increasing evidence has emerged for non-random spatial distributions of microbes, but knowledge of the processes that cause variation in microbial assemblage among ecosystems is lacking. For instance, some studies showed that deterministic processes such as habitat specialization are important, while other studies hold that bacterial communities are assembled by stochastic forces. Here we examine the relative influence of deterministic and stochastic processes for bacterial communities from subsurface environments, stream biofilm, lake water, lake sediment and soil using pyrosequencing of the 16S ribosomal RNA gene. We show that there is a general pattern in phylogenetic signal in species ecological niches across recent evolutionary time for all studied habitats, enabling us to infer the influences of community assembly processes from patterns of phylogenetic turnover in community composition. The phylogenetic dissimilarities among-habitat types were significantly higher than within them, and the communities were clustered according to their original habitat types. For communities within-habitat types, the highest phylogenetic turnover rate through space was observed in subsurface environments, followed by stream biofilm on mountainsides, whereas the sediment assemblages across regional scales showed the lowest turnover rate. Quantifying phylogenetic turnover as the deviation from a null expectation suggested that measured environmental variables imposed strong selection on bacterial communities for nearly all sample groups. For three sample groups, spatial distance reflected unmeasured environmental variables that impose selection, as opposed to spatial isolation. Such characterization of spatial and environmental variables proved essential for proper interpretation of partial Mantel results based on observed beta diversity metrics. In summary, our results clearly indicate a dominant role of deterministic processes on bacterial assemblages and highlight that
Mokem Fokou, I. S.; Nono Dueyou Buckjohn, C.; Siewe Siewe, M.; Tchawoua, C.
2018-03-01
In this manuscript, a hybrid energy harvesting system combining piezoelectric and electromagnetic transduction and subjected to colored noise is investigated. By using the stochastic averaging method, the stationary probability density functions of amplitudes are obtained and reveal interesting dynamics related to the long term behavior of the device. From stationary probability densities, we discuss the stochastic bifurcation through the qualitative change which shows that noise intensity, correlation time and other system parameters can be treated as bifurcation parameters. Numerical simulations are made for a comparison with analytical findings. The Mean first passage time (MFPT) is numerical provided in the purpose to investigate the system stability. By computing the Mean residence time (TMR), we explore the stochastic resonance phenomenon; we show how it is related to the correlation time of colored noise and high output power.
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.
Giordano, Peter J
2014-06-01
An important objective of personality psychology is to provide compelling descriptions and explanations of intraindividual personality dynamics that capture the unique qualities of persons. Among contemporary Western personality theories, the Five-Factor Model enjoys prominence in describing individual differences in personality traits. It falls short, however, in its ability to work with intraindividual personality function. This article argues that classical Confucianism, originating 2500 years ago in mainland China, offers Western personality psychologists important theoretical resources for capturing the complex and dynamic processes inherent in human personality. The Confucian perspective emphasizes a behaviorally anchored, continuous, stochastic, process-oriented understanding of the self as relationally constructed and proposes an elegant description of the relational virtuosity of exemplary persons. The article concludes with five characteristics of a Confucian inspired model of personality and questions the viability of a universal theory of personality.
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.
Experimentally modeling stochastic processes with less memory by the use of a quantum processor.
Palsson, Matthew S; Gu, Mile; Ho, Joseph; Wiseman, Howard M; Pryde, Geoff J
2017-02-01
Computer simulation of observable phenomena is an indispensable tool for engineering new technology, understanding the natural world, and studying human society. However, the most interesting systems are often so complex that simulating their future behavior demands storing immense amounts of information regarding how they have behaved in the past. For increasingly complex systems, simulation becomes increasingly difficult and is ultimately constrained by resources such as computer memory. Recent theoretical work shows that quantum theory can reduce this memory requirement beyond ultimate classical limits, as measured by a process' statistical complexity, C . We experimentally demonstrate this quantum advantage in simulating stochastic processes. Our quantum implementation observes a memory requirement of C q = 0.05 ± 0.01, far below the ultimate classical limit of C = 1. Scaling up this technique would substantially reduce the memory required in simulations of more complex systems.
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...
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
A simple heuristic for perishable inventory control under non-stationary stochastic demand
Alcoba, A.G.; Rossi, R.; Martin-Barragan, B.; Hendrix, E.M.T.
2017-01-01
In this paper, we study the single-item single-stocking location non-stationary stochastic lot sizing problem for a perishable product. We consider fixed and proportional ordering cost, holding cost and penalty cost. The item features a limited shelf life, therefore we also take into account a
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
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.
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...... finite time, is a classical and well-studied problem. In this work we consider the strategy complexity of finite-horizon MDPs and SSGs. We show that for all ε > 0, the natural class of counter-based strategies require at most loglog(1 ϵ )+n+1 memory states, and memory of size Ω(loglog(1 ϵ )+n......) is required, for ε-optimality, where n is the number of states of the MDP (resp. SSG). Thus our bounds are asymptotically optimal. We then study the periodic property of optimal strategies, and show a sub-exponential lower bound on the period for optimal strategies....
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)
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.
Capacity expansion of stochastic power generation under two-stage electricity markets
DEFF Research Database (Denmark)
Pineda, Salvador; Morales González, Juan Miguel
2016-01-01
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...... 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...... 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...
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.
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...
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
Directory of Open Access Journals (Sweden)
Umit Sami Sakalli
2017-01-01
Full Text Available Production-Distribution Problem (PDP in Supply Chain Management (SCM is an important tactical decision. One of the challenges in this decision is the size and complexity of supply chain system (SCS. On the other side, a tactical operation is a mid-term plan for 6–12 months; therefore, it includes different types of uncertainties, which is the second challenge. In the literature, the uncertain parameters were modeled as stochastic or fuzzy. However, there are a few studies in the literature that handle stochastic and fuzzy uncertainties simultaneously in PDP. In this paper, the modeling and solution approaches of PDP which contain stochastic and fuzzy uncertainties simultaneously are investigated for a SCS that includes multiple suppliers, multiple products, multiple plants, multiple warehouses, multiple retailers, multiple transport paths, and multiple time periods, which, to the best of the author’s knowledge, is not handled in the literature. The PDP contains deterministic, fuzzy, fuzzy random, and random fuzzy parameters. To the best of the author’s knowledge, there is no study in the literature which considers all of them simultaneously in PDP. An analytic solution approach has been developed by using possibilistic programming and chance-constrained programming approaches. The proposed modeling and solution approaches are implemented in a numerical example. The solution has shown that the proposed approaches successfully handled uncertainties and produce robust solutions for PDP.
StochPy: A Comprehensive, User-Friendly Tool for Simulating Stochastic Biological Processes
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
Dubrovsky, M.; Hirschi, M.; Spirig, C.
2014-12-01
To quantify impact of the climate change on a specific pest (or any weather-dependent process) in a specific site, we may use a site-calibrated pest (or other) model and compare its outputs obtained with site-specific weather data representing present vs. perturbed climates. The input weather data may be produced by the stochastic weather generator. Apart from the quality of the pest model, the reliability of the results obtained in such experiment depend on an ability of the generator to represent the statistical structure of the real world weather series, and on the sensitivity of the pest model to possible imperfections of the generator. This contribution deals with the multivariate HOWGH weather generator, which is based on a combination of parametric and non-parametric statistical methods. Here, HOWGH is used to generate synthetic hourly series of three weather variables (solar radiation, temperature and precipitation) required by a dynamic pest model SOPRA to simulate the development of codling moth. The contribution presents results of the direct and indirect validation of HOWGH. In the direct validation, the synthetic series generated by HOWGH (various settings of its underlying model are assumed) are validated in terms of multiple climatic characteristics, focusing on the subdaily wet/dry and hot/cold spells. In the indirect validation, we assess the generator in terms of characteristics derived from the outputs of SOPRA model fed by the observed vs. synthetic series. The weather generator may be used to produce weather series representing present and future climates. In the latter case, the parameters of the generator may be modified by the climate change scenarios based on Global or Regional Climate Models. To demonstrate this feature, the results of codling moth simulations for future climate will be shown. Acknowledgements: The weather generator is developed and validated within the frame of projects WG4VALUE (project LD12029 sponsored by the Ministry
Measure of Uncertainty in Process Models Using Stochastic Petri Nets and Shannon Entropy
Directory of Open Access Journals (Sweden)
Martin Ibl
2016-01-01
Full Text Available When modelling and analysing business processes, the main emphasis is usually put on model validity and accuracy, i.e., the model meets the formal specification and also models the relevant system. In recent years, a series of metrics has begun to develop, which allows the quantification of the specific properties of process models. These characteristics are, for instance, complexity, comprehensibility, cohesion, and uncertainty. This work is focused on defining a method that allows us to measure the uncertainty of a process model, which was modelled by using stochastic Petri nets (SPN. The principle of this method consists of mapping of all reachable marking of SPN into the continuous-time Markov chain and then calculating its stationary probabilities. The uncertainty is then measured as the entropy of the Markov chain (it is possible to calculate the uncertainty of the specific subset of places as well as of whole net. Alternatively, the uncertainty index is quantified as a percentage of the calculated entropy against maximum entropy (the resulting value is normalized to the interval <0,1>. The calculated entropy can also be used as a measure of the model complexity.
A customizable stochastic state point process filter (SSPPF) for neural spiking activity.
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.
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 pa...
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)
Characteristics of a Dairy Process under Uncertainty
DEFF Research Database (Denmark)
Cheng, Hongyuan; Friis, Alan
2007-01-01
In this work, the characteristics of a dairy production process under diverse product uncertainties are investigated through a process simulation. The flexibility analysis method of Grossmann and his co-workers (Swaney and Grossmann, 1985) is applied through a process simulation tool, PRO/II. A new...
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
Ferrenberg, Scott; Martinez, Alexander S; Faist, Akasha M
2016-01-01
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. 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. 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 communities and vegetation
Analytic Hierarchy Process (AHP in Ranking Non-Parametric Stochastic Rainfall and Streamflow Models
Directory of Open Access Journals (Sweden)
Masengo Ilunga
2015-08-01
Full Text Available Analytic Hierarchy Process (AHP is used in the selection of categories of non-parametric stochastic models for hydrological data generation and its formulation is based on pairwise comparisons of models. These models or techniques are obtained from a recent study initiated by the Water Research Commission of South Africa (WRC and were compared predominantly based on their capability to extrapolate data beyond the range of historic hydrological data. The different categories of models involved in the selection process were: wavelet (A, reordering (B, K-nearest neighbor (C, kernel density (D and bootstrap (E. In the AHP formulation, criteria for the selection of techniques are: "ability for data to preserve historic characteristics", "ability to generate new hydrological data", "scope of applicability", "presence of negative data generated" and "user friendliness". The pairwise comparisons performed through AHP showed that the overall order of selection (ranking of models was D, C, A, B and C. The weights of these techniques were found to be 27.21%, 24.3 %, 22.15 %, 13.89 % and 11.80 % respectively. Hence, bootstrap category received the highest preference while nearest neighbor received the lowest preference when all selection criteria are taken into consideration.
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.
Mixed effects in stochastic differential equation models
DEFF Research Database (Denmark)
Ditlevsen, Susanne; De Gaetano, Andrea
2005-01-01
maximum likelihood; pharmacokinetics; population estimates; random effects; repeated measurements; stochastic processes......maximum likelihood; pharmacokinetics; population estimates; random effects; repeated measurements; stochastic processes...
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.
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
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
Stochastic models of cell motility
DEFF Research Database (Denmark)
Gradinaru, Cristian
2012-01-01
Cell motility and migration are central to the development and maintenance of multicellular organisms, and errors during this process can lead to major diseases. Consequently, the mechanisms and phenomenology of cell motility are currently under intense study. In recent years, a new...... interdisciplinary field focusing on the study of biological processes at the nanoscale level, with a range of technological applications in medicine and biological research, has emerged. The work presented in this thesis is at the interface of cell biology, image processing, and stochastic modeling. The stochastic...... models introduced here are based on persistent random motion, which I apply to real-life studies of cell motility on flat and nanostructured surfaces. These models aim to predict the time-dependent position of cell centroids in a stochastic manner, and conversely determine directly from experimental...
Stochastic Extended LQR for Optimization-based Motion Planning Under Uncertainty.
Sun, Wen; van den Berg, Jur; Alterovitz, Ron
2016-04-01
We introduce a novel optimization-based motion planner, Stochastic Extended LQR (SELQR), which computes a trajectory and associated linear control policy with the objective of minimizing the expected value of a user-defined cost function. SELQR applies to robotic systems that have stochastic non-linear dynamics with motion uncertainty modeled by Gaussian distributions that can be state- and control-dependent. In each iteration, SELQR uses a combination of forward and backward value iteration to estimate the cost-to-come and the cost-to-go for each state along a trajectory. SELQR then locally optimizes each state along the trajectory at each iteration to minimize the expected total cost, which results in smoothed states that are used for dynamics linearization and cost function quadratization. SELQR progressively improves the approximation of the expected total cost, resulting in higher quality plans. For applications with imperfect sensing, we extend SELQR to plan in the robot's belief space. We show that our iterative approach achieves fast and reliable convergence to high-quality plans in multiple simulated scenarios involving a car-like robot, a quadrotor, and a medical steerable needle performing a liver biopsy procedure.
Confidence estimation as a stochastic process in a neurodynamical system of decision making
Wei, Ziqiang
2015-01-01
Evaluation of confidence about one's knowledge is key to the brain's ability to monitor cognition. To investigate the neural mechanism of confidence assessment, we examined a biologically realistic spiking network model and found that it reproduced salient behavioral observations and single-neuron activity data from a monkey experiment designed to study confidence about a decision under uncertainty. Interestingly, the model predicts that changes of mind can occur in a mnemonic delay when confidence is low; the probability of changes of mind increases (decreases) with task difficulty in correct (error) trials. Furthermore, a so-called “hard-easy effect” observed in humans naturally emerges, i.e., behavior shows underconfidence (underestimation of correct rate) for easy or moderately difficult tasks and overconfidence (overestimation of correct rate) for very difficult tasks. Importantly, in the model, confidence is computed using a simple neural signal in individual trials, without explicit representation of probability functions. Therefore, even a concept of metacognition can be explained by sampling a stochastic neural activity pattern. PMID:25948870
Fractional Stochastic Field Theory
Honkonen, Juha
2018-02-01
Models describing evolution of physical, chemical, biological, social and financial processes are often formulated as differential equations with the understanding that they are large-scale equations for averages of quantities describing intrinsically random processes. Explicit account of randomness may lead to significant changes in the asymptotic behaviour (anomalous scaling) in such models especially in low spatial dimensions, which in many cases may be captured with the use of the renormalization group. Anomalous scaling and memory effects may also be introduced with the use of fractional derivatives and fractional noise. Construction of renormalized stochastic field theory with fractional derivatives and fractional noise in the underlying stochastic differential equations and master equations and the interplay between fluctuation-induced and built-in anomalous scaling behaviour is reviewed and discussed.
Sakellariou, J. S.; Fassois, S. D.
2017-01-01
The identification of a single global model for a stochastic dynamical system operating under various conditions is considered. Each operating condition is assumed to have a pseudo-static effect on the dynamics and be characterized by a single measurable scheduling variable. Identification is accomplished within a recently introduced Functionally Pooled (FP) framework, which offers a number of advantages over Linear Parameter Varying (LPV) identification techniques. The focus of the work is on the extension of the framework to include the important FP-ARMAX model case. Compared to their simpler FP-ARX counterparts, FP-ARMAX models are much more general and offer improved flexibility in describing various types of stochastic noise, but at the same time lead to a more complicated, non-quadratic, estimation problem. Prediction Error (PE), Maximum Likelihood (ML), and multi-stage estimation methods are postulated, and the PE estimator optimality, in terms of consistency and asymptotic efficiency, is analytically established. The postulated estimators are numerically assessed via Monte Carlo experiments, while the effectiveness of the approach and its superiority over its FP-ARX counterpart are demonstrated via an application case study pertaining to simulated railway vehicle suspension dynamics under various mass loading conditions.
Directory of Open Access Journals (Sweden)
Muhammad Ramzan Luhur
2014-01-01
Full Text Available This contribution provides the development of a stochastic lift and drag model for an airfoil FX 79-W-151A under unsteady wind inflow based on wind tunnel measurements. Here we present the integration of the stochastic model into a well-known standard BEM (Blade Element Momentum model to obtain the corresponding aerodynamic forces on a rotating blade element. The stochastic model is integrated as an alternative to static tabulated data used by classical BEM. The results show that in comparison to classical BEM, the BEM with stochastic approach additionally reflects the local force dynamics and therefore provides more information on aerodynamic forces that can be used by wind turbine simulation codes
Huang, Tsung-Yu; Tseng, Ching-Wei; Yeh, Ting-Tso; Yeh, Tien-Tien; Luo, Chih-Wei; Akalin, Tahsin; Yen, Ta-Jen
2015-12-01
We design and demonstrate a flexible, ultrathin and double-sided metamaterial perfect absorber (MPA) at 2.39 terahertz (THz), which enables excellent light absorbance under incidences from two opposite sides. Herein, the MPA is fabricated on a λ0/10.1-thick flexible polyethylene terephthalate substrate of εr = 2.75 × (1 + 0.12i), sandwiched by two identical randomized metallic patterns by our stochastic design process. Such an MPA provides tailored permittivity and permeability to approach the impedance of free space for minimizing reflectance and a great imaginary part of the refractive index for reducing transmittance and finally results in high absorbance. Both experimental measurement and numerical simulation are in a good agreement. The flexible, ultrathin and double-sided MPA significantly differs from traditional quarter-wavelength absorbers and other single-sided perfect absorbers, paving a way toward practical THz applications in thermal emission, sensing and imaging, communications, stealth technique, and even energy harvesting.
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
Fatigue in Welded High-Strength Steel Plate Elements under Stochastic Loading
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...
The probabilistic solution of stochastic oscillators with even nonlinearity under poisson excitation
Guo, Siu-Siu; Er, Guo-Kang
2012-06-01
The probabilistic solutions of nonlinear stochastic oscillators with even nonlinearity driven by Poisson white noise are investigated in this paper. The stationary probability density function (PDF) of the oscillator responses governed by the reduced Fokker-Planck-Kolmogorov equation is obtained with exponentialpolynomial closure (EPC) method. Different types of nonlinear oscillators are considered. Monte Carlo simulation is conducted to examine the effectiveness and accuracy of the EPC method in this case. It is found that the PDF solutions obtained with EPC agree well with those obtained with Monte Carlo simulation, especially in the tail regions of the PDFs of oscillator responses. Numerical analysis shows that the mean of displacement is nonzero and the PDF of displacement is nonsymmetric about its mean when there is even nonlinearity in displacement in the oscillator. Numerical analysis further shows that the mean of velocity always equals zero and the PDF of velocity is symmetrically distributed about its mean.
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.
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
Uezu, Tatsuya
1997-11-01
In learning under external disturbance, it is expected that some tolerance in the system will optimize the learning process. In this paper, we give one example of this in learning from stochastic rules by the Gibbs algorithm. Using the replica method, we show that for the case of output noise, there exists an optimal temperature at which the generalization error is a minimum. This temperature exists even in the limit of large training sets and is determined by the stable replica symmetric solution. On the other hand, for other types of noise no such temperature exists and the asymptotic behaviour is determined by the one-step replica symmetric breaking solution. Further, the asymptotic expressions for learning curves are derived. They are precisely the same as those for the minimum-error algorithm.
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
Stochastic thermoelastic problem of a functionally graded plate under random temperature load
Energy Technology Data Exchange (ETDEWEB)
Chiba, R. [Miyagi National College of Technology, Department of Mechanical Engineering, Natori (Japan); Sugano, Y. [Iwate University, Department of Mechanical Engineering, Morioka (Japan)
2007-04-15
This study attempts to derive the statistics of temperature and thermal stress in functionally graded material (FGM) plates exposed to random external temperatures. The thermomechanical properties of the FGM plates are assumed to vary arbitrarily only in the plate thickness direction. The external temperatures are expressed as random functions with respect to time. The transient temperature field in the FGM plate is determined by solving a nonhomogeneous heat conduction problem for a multilayered plate with linear nonhomogeneous thermal conductivity and different homogeneous heat capacity in each layer. The autocorrelations and power spectrum densities (PSDs) of temperature and thermal stress are derived analytically. These statistics for FGM plates composed of partially stabilised zirconia (PSZ) and austenitic stainless steel (SUS304) are computed under the condition that the fluctuation in the external temperature can be considered as white noise or a stationary Markov process. (orig.)
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.
Multistage stochastic optimization
Pflug, Georg Ch
2014-01-01
Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization. It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book
Algebraic and stochastic coding theory
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.
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
Tang, T B; Chen, H; Murray, A F
2004-02-01
An adaptive stochastic classifier based on a simple, novel neural architecture--the Continuous Restricted Boltzmann Machine (CRBM) is demonstrated. Together with sensors and signal conditioning circuits, the classifier is capable of measuring and classifying (with high accuracy) the H+ ion concentration, in the presence of both random noise and sensor drift. Training on-line, the stochastic classifier is able to overcome significant drift of real incomplete sensor data dynamically. As analogue hardware, this signal-level sensor fusion scheme is therefore suitable for real-time analysis in a miniaturised multisensor microsystem such as a Lab-in-a-Pill (LIAP).
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.
Managing flowback and produced water from hydraulic fracturing under stochastic environment
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.
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.
Multi-period project portfolio selection under risk considerations and stochastic income
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.
Stochastic cortical neurodynamics underlying the memory and cognitive changes in aging.
Rolls, Edmund T; Deco, Gustavo
2015-02-01
The relatively random spiking times of individual neurons provide a source of noise in the brain. We show how this noise interacting with altered depth in the basins of attraction of networks involved in short-term memory, attention, and episodic memory provide an approach to understanding some of the cognitive changes in normal aging. The effects of the neurobiological changes in aging that are considered include reduced synaptic modification and maintenance during learning produced in part through reduced acetylcholine in normal aging, reduced dopamine which reduces NMDA-receptor mediated effects, reduced noradrenaline which increases cAMP and thus shunts excitatory synaptic inputs, and the effects of a reduction in acetylcholine in increasing spike frequency adaptation. Using integrate-and-fire simulations of an attractor network implementing memory recall and short-term memory, it is shown that all these changes associated with aging reduce the firing rates of the excitatory neurons, which in turn reduce the depth of the basins of attraction, resulting in a much decreased probability in maintaining in short-term memory what has been recalled from the attractor network. This stochastic dynamics approach opens up new ways to understand and potentially treat the effects of normal aging on memory and cognitive functions. Copyright © 2014 Elsevier Inc. All rights reserved.
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.
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.
Supporting chemical process design under uncertainty
Directory of Open Access Journals (Sweden)
A. Wechsung
2010-09-01
Full Text Available A major challenge in chemical process design is to make design decisions based on partly incomplete or imperfect design input data. Still, process engineers are expected to design safe, dependable and cost-efficient processes under these conditions. The complexity of typical process models limits intuitive engineering estimates to judge the impact of uncertain parameters on the proposed design. In this work, an approach to quantify the effect of uncertainty on a process design in order to enhance comparisons among different designs is presented. To facilitate automation, a novel relaxation-based heuristic to differentiate between numerical and physical infeasibility when simulations do not converge is introduced. It is shown how this methodology yields more details about limitations of a studied process design.
Energy Technology Data Exchange (ETDEWEB)
Hernandez Ramos, Hugo
2008-12-15
The electrical energy prices own very particular characteristics that make them different from the prices of any good which are immersed under the fluctuation of the laws of supply and demand. The present work proposes a revision and modification of the model for the prices of electrical energy based on stochastic processes, developed in 2002 by M.T. Barlow. Our model satisfactorily explains the dynamics of the prices, having as an example the case of the energy market of Alberta, CA. The proposed model is based on the power transformation of Yeo-Johnson in 2000, which does not have dominion restrictions. Also, it is assumed that the energy price depends on the demand, which is modeled as a process of Ornstein-Uhlenbeck. The proposed model was applied to real data, obtaining corresponding estimations of the interest parameters, as well as their validation. Also simulation results are shown to determine the empirical distribution of the estimators of maximum credibility of the parameters. [Spanish] Los precios de energia electrica poseen caracteristicas muy particulares que los hacen diferentes a los precios de cualquier bien que estan inmersos bajo la fluctuacion de las leyes de la oferta y la demanda. El presente trabajo propone una revision y modificacion del modelo para los precios de energia electrica basado en procesos estocasticos, desarrollado en 2002 por M. T. Barlow. Nuestro modelo explica satisfactoriamente la dinamica de los precios, teniendo como ejemplo el caso del mercado de energia de Alberta, Ca. El modelo propuesto esta basado en la transformacion potencia de Yeo-Johnson en 2000, la cual no tiene restricciones de dominio. Tambien, se asume que el precio de la energia depende de la demanda, la cual es modelada como un proceso de Ornstein-Uhlenbeck. El modelo propuesto se aplico a datos reales, obteniendo estimaciones correspondientes de los parametros de interes, asi como su validacion. Tambien se muestran resultados de simulacion para determinar la
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.
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...
Stochastic quantization and supersymmetry
International Nuclear Information System (INIS)
Kirschner, R.
1984-04-01
In the last years interest in stochastic quantization has increased. The method of quantization by stochastic relaxation processes has been proposed by Parisi and Wu, inspired by the extensive application of Monte Carlo simulations to quantum systems. Starting with the classical equations of motion of the system (field theory) and adding random force terms - the random force obeys a Gaussian distribution (white noise) - stochastic differential equations are obtained, in this context called Langevin equations, which are a central object in the theory of stochastic processes. (author)
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
Hirschi, M.; Stöckli, S.; Dubrovsky, M.; Spirig, C.; Rotach, M. W.; Calanca, P.; Samietz, J.
2010-09-01
As a consequence of current and projected climate change in temperate regions of Europe, agricultural pests and diseases are expected to occur more frequently and possibly to extend to previously unaffected regions. Given their economic and ecological relevance, detailed forecasting tools for various pests have been developed, which model the infestation depending on actual weather conditions. Assessing the future risk of pest-related damages therefore requires future weather data at high temporal and spatial resolution. In particular, pest forecast models are often not based on screen temperature and precipitation alone (i.e., the most generally projected climate variables), but might require input variables such as soil temperature, in-canopy net radiation or leaf wetness. Here, we use a stochastic weather and a re-sampling procedure for producing site-specific hourly weather data from regional climate change scenarios for 2050 in Switzerland. The climate change scenarios were derived from multi-model projections and provide probabilistic information on future regional changes in temperature and precipitation. Hourly temperature, precipitation and radiation data were produced by first generating daily weather data for these climate scenarios and then using a nearest neighbor re-sampling approach for creating realistic diurnal cycles. These hourly weather time series were then used for modeling important phases in the lifecycle of codling moth, the major insect pest in apple orchards worldwide. First results indicate a shift in the occurrence and duration of phases relevant for pest disease control for projected as compared to current climate (e.g. the flight of the codling moth starts about ten days earlier in future climate), continuing an already observed trend towards more favorable conditions for this insect during the last 20 years.
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.
Demography and the statistics of lifetime economic transfers under individual stochasticity
Directory of Open Access Journals (Sweden)
Hal Caswell
2015-02-01
Full Text Available Background: As individuals progress through the life cycle, they receive income and consume goods and services. The age schedules of labor income, consumption, and life cycle deficit reflect the economic roles played at different ages. Lifetime accumulation of economic variables has been less well studied, and our goal here is to rectify that. Objective: To derive and apply a method to compute the lifetime accumulated labor income, consumption, and life cycle deficit, and to go beyond the calculation of mean lifetime accumulation to calculate statistics of variability among individuals in lifetime accumulation. Methods: To quantify variation among individuals, we calculate the mean, standard deviation, coefficient of variation, and skewness of lifetime accumulated transfers, using the theory of Markov chains with rewards (Caswell 2011, applied to National Transfer Account data for Germany of 1978, and 2003. Results: The age patterns of lifetime accumulated labor income are relatively stable over time. Both the mean and the standard deviation of remaining lifetime labor income decline with age; the coefficient of variation, measuring variation relative to the mean, increases dramatically with age. The skewness becomes large and positive at older ages. Education level affects all the statistics. About 30Š of the variance in lifetime income is due to variance in age-specific income, and about 70Š is contributed by the mortality schedule. Lifetime consumption is less variable (as measured by the CV than lifetime labor income. Conclusions: We conclude that demographic Markov chains with rewards can add a potentially valuable perspective to studies of the economic lifecycle. The variation among individuals in lifetime accumulations in our results reflects individual stochasticity, not heterogeneity among individuals. Incorporating heterogeneity remains an important problem.
Directory of Open Access Journals (Sweden)
Mohammad Soltani
2016-08-01
Full Text Available Inside individual cells, expression of genes is inherently stochastic and manifests as cell-to-cell variability or noise in protein copy numbers. Since proteins half-lives can be comparable to the cell-cycle length, randomness in cell-division times generates additional intercellular variability in protein levels. Moreover, as many mRNA/protein species are expressed at low-copy numbers, errors incurred in partitioning of molecules between two daughter cells are significant. We derive analytical formulas for the total noise in protein levels when the cell-cycle duration follows a general class of probability distributions. Using a novel hybrid approach the total noise is decomposed into components arising from i stochastic expression; ii partitioning errors at the time of cell division and iii random cell-division events. These formulas reveal that random cell-division times not only generate additional extrinsic noise, but also critically affect the mean protein copy numbers and intrinsic noise components. Counter intuitively, in some parameter regimes, noise in protein levels can decrease as cell-division times become more stochastic. Computations are extended to consider genome duplication, where transcription rate is increased at a random point in the cell cycle. We systematically investigate how the timing of genome duplication influences different protein noise components. Intriguingly, results show that noise contribution from stochastic expression is minimized at an optimal genome-duplication time. Our theoretical results motivate new experimental methods for decomposing protein noise levels from synchronized and asynchronized single-cell expression data. Characterizing the contributions of individual noise mechanisms will lead to precise estimates of gene expression parameters and techniques for altering stochasticity to change phenotype of individual cells.
Limits for Stochastic Reaction Networks
DEFF Research Database (Denmark)
Cappelletti, Daniele
at a certain time are stochastically modelled by means of a continuous-time Markov chain. Our work concerns primarily stochastic reaction systems, and their asymptotic properties. In Paper I, we consider a reaction system with intermediate species, i.e. species that are produced and fast degraded along a path...... network tends to that of the original one. In particular, we prove a uniform punctual convergence in distribution and weak convergence of the integrals of continuous functions along the paths of the two models. Under some extra conditions, we also prove weak convergence of the two processes. The result....... Such species, in the deterministic modelling regime, assume always the same value at any positive steady state. In the stochastic setting, we prove that, if the initial condition is a point in the basin of attraction of a positive steady state of the corresponding deterministic model and tends to innity...
Fundamentals of stochastic nature sciences
Klyatskin, Valery I
2017-01-01
This book addresses the processes of stochastic structure formation in two-dimensional geophysical fluid dynamics based on statistical analysis of Gaussian random fields, as well as stochastic structure formation in dynamic systems with parametric excitation of positive random fields f(r,t) described by partial differential equations. Further, the book considers two examples of stochastic structure formation in dynamic systems with parametric excitation in the presence of Gaussian pumping. In dynamic systems with parametric excitation in space and time, this type of structure formation either happens – or doesn’t! However, if it occurs in space, then this almost always happens (exponentially quickly) in individual realizations with a unit probability. In the case considered, clustering of the field f(r,t) of any nature is a general feature of dynamic fields, and one may claim that structure formation is the Law of Nature for arbitrary random fields of such type. The study clarifies the conditions under wh...
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
Joseph Buongiorno
2001-01-01
Faustmann's formula gives the land value, or the forest value of land with trees, under deterministic assumptions regarding future stand growth and prices, over an infinite horizon. Markov decision process (MDP) models generalize Faustmann's approach by recognizing that future stand states and prices are known only as probabilistic distributions. The...
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.
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.
PC analysis of stochastic differential equations driven by Wiener noise
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.
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.
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.
Jia, Wantao; Zhu, Weiqiu
2014-03-01
A stochastic averaging method for predicting the response of quasi-partially integrable and non-resonant Hamiltonian systems to combined Gaussian and Poisson white noise excitations is proposed. For the case with r (1
Colwell, Robert K; Rangel, Thiago F
2010-11-27
Quaternary glacial-interglacial cycles repeatedly forced thermal zones up and down the slopes of mountains, at all latitudes. Although no one doubts that these temperature cycles have left their signature on contemporary patterns of geography and phylogeny, the relative roles of ecology and evolution are not well understood, especially for the tropics. To explore key mechanisms and their interactions in the context of chance events, we constructed a geographical range-based, stochastic simulation model that incorporates speciation, anagenetic evolution, niche conservatism, range shifts and extinctions under late Quaternary temperature cycles along tropical elevational gradients. In the model, elevational patterns of species richness arise from the differential survival of founder lineages, consolidated by speciation and the inheritance of thermal niche characteristics. The model yields a surprisingly rich variety of realistic patterns of phylogeny and biogeography, including close matches to a variety of contemporary elevational richness profiles from an elevational transect in Costa Rica. Mountaintop extinctions during interglacials and lowland extinctions at glacial maxima favour mid-elevation lineages, especially under the constraints of niche conservatism. Asymmetry in temperature (greater duration of glacial than of interglacial episodes) and in lateral area (greater land area at low than at high elevations) have opposing effects on lowland extinctions and the elevational pattern of species richness in the model--and perhaps in nature, as well.
Lin, Y. Q.; Ren, W. X.; Fang, S. E.
2011-11-01
Although most vibration-based damage detection methods can acquire satisfactory verification on analytical or numerical structures, most of them may encounter problems when applied to real-world structures under varying environments. The damage detection methods that directly extract damage features from the periodically sampled dynamic time history response measurements are desirable but relevant research and field application verification are still lacking. In this second part of a two-part paper, the robustness and performance of the statistics-based damage index using the forward innovation model by stochastic subspace identification of a vibrating structure proposed in the first part have been investigated against two prestressed reinforced concrete (RC) beams tested in the laboratory and a full-scale RC arch bridge tested in the field under varying environments. Experimental verification is focused on temperature effects. It is demonstrated that the proposed statistics-based damage index is insensitive to temperature variations but sensitive to the structural deterioration or state alteration. This makes it possible to detect the structural damage for the real-scale structures experiencing ambient excitations and varying environmental conditions.
Stochastic processes in climate modeling: from Lorenz to the El-Niño recharge oscillator and beyond
Ghil, M.; Chekroun, M. D.; Simonnet, E.
2009-04-01
In the past few years, much of the climate community's work has gone toward building highly detailed, IPCC-class general circulation models (GCMs) capable of simulating climate change. In this context, subgrid-scale physics has increasingly been modeled using stochastic processes, but the broader consequences of this approach have not yet been sufficiently explored. Stochastic subgrid-scale parametrizations have substantial non-local effects on the low-frequency dynamics itself. Moreover, due to the random forcing present in these parametrizations, traditional dynamical systems concepts — e.g., strange attractors and deterministic bifurcations — are no longer appropriate. In this talk, we present and apply mathematical concepts and tools developed by L. Arnold and his Bremen school during the last two decades. These tools have not been widely exploited so far in climate research, although they offer powerful theoretical and numerical ways of investigating stochastic models. More specifically, we use random dynamical systems (RDS) theory to analyze the stochastic dynamics of climate models. To illustrate our approach, we consider at first simple conceptual models. The first example is the well-known 3-variable Lorenz (1963) model, to which we add multiplicative noise. We show how to obtain a full description of the resulting stochastic dynamics by computing this model's random attractor and its associated invariant measure. The second example is Timmermann and Jin's (GRL, 2002) nonlinear recharge-discharge model of the El Niño/Southern Oscillation (ENSO), a model that captures several essential features of ENSO physics. A multiplicative noise term is added to this TJ model to represent wind bursts. Numerical simulations of the modified TJ model's random attractor show that Smale horseshoes are excited by the multiplicative noise, even for a parameter regime in which a Hopf bifurcation occurs in the deterministic system; such intricate structures only arise in
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.
The Orienteering Problem under Uncertainty Stochastic Programming and Robust Optimization compared
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
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
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)
Lp -norm minimization for stochastic process power spectrum estimation subject to incomplete data
Zhang, Yuanjin; Comerford, Liam; Kougioumtzoglou, Ioannis A.; Beer, Michael
2018-02-01
A general Lp norm (0 process power spectra subject to realizations with incomplete/missing data. Specifically, relying on the assumption that the recorded incomplete data exhibit a significant degree of sparsity in a given domain, employing appropriate Fourier and wavelet bases, and focusing on the L1 and L1/2 norms, it is shown that the approach can satisfactorily estimate the spectral content of the underlying process. Further, the accuracy of the approach is significantly enhanced by utilizing an adaptive basis re-weighting scheme. Finally, the effect of the chosen norm on the power spectrum estimation error is investigated, and it is shown that the L1/2 norm provides almost always a sparser solution than the L1 norm. Numerical examples consider several stationary, non-stationary, and multi-dimensional processes for demonstrating the accuracy and robustness of the approach, even in cases of up to 80% missing data.
International Nuclear Information System (INIS)
Hosseinloo, Ashkan Haji; Turitsyn, Konstantin
2016-01-01
Vibratory energy harvesters as potential replacements for conventional batteries are not as robust as batteries. Their performance can drastically deteriorate in the presence of uncertainty in their parameters. Parametric uncertainty is inevitable with any physical device mainly due to manufacturing tolerances, defects, and environmental effects such as temperature and humidity. Hence, uncertainty propagation analysis and optimization under uncertainty seem indispensable with any energy harvester design. Here we propose a new modeling philosophy for optimization under uncertainty; optimization for the worst-case scenario (minimum power) rather than for the ensemble expectation of the power. The proposed optimization philosophy is practically very useful when there is a minimum requirement on the harvested power. We formulate the problems of uncertainty propagation and optimization under uncertainty in a generic and architecture-independent fashion, and then apply them to a single-degree-of-freedom linear piezoelectric energy harvester with uncertainty in its different parameters. The simulation results show that there is a significant improvement in the worst-case power of the designed harvester compared to that of a naively optimized (deterministically optimized) harvester. For instance, for a 10% uncertainty in the natural frequency of the harvester (in terms of its standard deviation) this improvement is about 570%. (paper)
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.
Effluent trading in river systems through stochastic decision-making process: a case study.
Zolfagharipoor, Mohammad Amin; Ahmadi, Azadeh
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.
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.
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. PMID:25215326
Jonrinaldi, Primadi, M. Yugo; Hadiguna, Rika Ampuh
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.
Streamer inception from hydrometeors as a stochastic process with a particle-based model
Rutjes, Casper; Dubinova, Anna; Ebert, Ute; Teunissen, Jannis; Buitink, Stijn; Scholten, Olaf; Trihn, Gia
2017-04-01
In thunderstorms, streamers (as precursors for lightning leaders) can be initiated from hydrometeors (droplets, graupel, ice needles, etc.) which enhance the thundercloud electric field to values above electric breakdown; and initial electrons may come from extensive air showers [1]. Typically, streamer inception from hydrometeors is theoretically studied with deterministic fluid simulations (i.e. drift-diffusion-reaction coupled with Poisson), see [1, 2, 3] and references therein. However, electrons will only multiply in the area above breakdown, which is of the order of a cubic millimeter for hydrometeors of sub-centimeter scale. Initial electron densities, even in extreme extensive air shower events, do not exceed 10 per cubic millimeter. Hence only individual electron avalanches - with their intrinsically random nature - are entering the breakdown area sequentially. On these scales, a deterministic fluid description is thus not valid. Therefore, we developed a new stochastic particle-based model to study the behavior of the system described above, to calculate the probability of streamer inception, for given hydrometeor, electric field and initial electron density. Results show that the discharge starts with great jitter and usually off the symmetry axis, demanding stochastic approach in full 3D for streamer inception in realistic thunderstorm conditions. The developed software will be made publically available as an open source project. [1] Dubinova et al. 2015. Phys. Rev. Lett. 115(1), 015002. [2] Liu et al. 2012. Phys. Rev. Lett. 109(2), 025002. [3] Babich et al. 2016. J. Geophys. Res. Atmos. 121, 6393-6403.
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
Directory of Open Access Journals (Sweden)
Jorge Barrientos
2018-02-01
Full Text Available The introduction of non-conventional energy sources (NCES to industrial processes is a viable alternative to reducing the energy consumed from the grid. However, a robust coordination of the local energy resources with the power imported from the distribution grid is still an open issue, especially in countries that do not allow selling energy surpluses to the main grid. In this paper, we propose a stochastic-programming-based energy management system (EMS focused on self-consumption that provides robustness to both sudden NCES or load variations, while preventing power injection to the main grid. The approach is based on a finite number of scenarios that combines a deterministic structure based on spectral analysis and a stochastic model that represents variability. The parameters to generate these scenarios are updated when new information arrives. We tested the proposed approach with data from a copper extraction mining process. It was compared to a traditional EMS with perfect prediction, i.e., a best case scenario. Test results show that the proposed EMS is comparable to the EMS with perfect prediction in terms of energy imported from the grid (slightly higher, but with less power changes in the distribution side and enhanced dynamic response to transients of wind power and load. This improvement is achieved with a non-significant computational time overload.
DEFF Research Database (Denmark)
Stentoft, Peter Alexander; Munk-Nielsen, Thomas; Mikkelsen, Peter Steen
2017-01-01
In the alternating activated sludge process with rule-based control, online N-measurements are of great importance for maintaining good control. These measurements can be delayed due to sensor processing time, turbulence at the location in the aeration tank where the sensor is placed, etc....... The measurements may also be temporarily unavailable because of recalibration, communication faults or other errors. Here we present a method that handles such delay and missing observations. The model is based on zero order hold stochastic differential equations which use binary signals for influent flow...... and aeration to determine the state of the alternating process. It also uses measured ammonium and nitrate concentrations, which are shifted to account for delay. The method is developed and tested with data from a WWTP located in Kolding, Denmark. Results indicate that even though the model is simple...
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.
Directory of Open Access Journals (Sweden)
Francisco L. Silva-González
2014-01-01
Full Text Available A non-Gaussian stochastic equivalent linearization (NSEL method for estimating the non-Gaussian response of inelastic non-linear structural systems subjected to seismic ground motions represented as nonstationary random processes is presented. Based on a model that represents the time evolution of the joint probability density function (PDF of the structural response, mathematical expressions of equivalent linearization coefficients are derived. The displacement and velocity are assumed jointly Gaussian and the marginal PDF of the hysteretic component of the displacement is modeled by a mixed PDF which is Gaussian when the structural behavior is linear and turns into a bimodal PDF when the structural behavior is hysteretic. The proposed NSEL method is applied to calculate the response of hysteretic single-degree-of-freedom systems with different vibration periods and different design displacement ductility values. The results corresponding to the proposed method are compared with those calculated by means of Monte Carlo simulation, as well as by a Gaussian equivalent linearization method. It is verified that the NSEL approach proposed herein leads to maximum structural response standard deviations similar to those obtained with Monte Carlo technique. In addition, a brief discussion about the extension of the method to muti-degree-of-freedom systems is presented.
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
A stochastic constrained optimization technique and its application to detector array processing.
Winkler, L. P.; Schwartz, M.
1971-01-01
A stochastic projected gradient algorithm is proposed which can be used for finding a constrained optimum point for a concave or convex objective function subject to nonlinear constraints which form a connected region even when only a noisy estimate of the objective function is available. For a constraint described by a single linear equation, convergence to the constrained optimum value is proved, and the rate of convergence of the algorithm to the constrained optimum value is determined. The algorithm is applied to the nonlinear problem of obtaining automatically an array of detectors which forms a beam in a desired direction in space in the presence of interfering noise so as to maximize the SNR subject to a constraint on the super-gain ratio.
Stochastic modelling of landfill processes incorporating waste heterogeneity and data uncertainty
International Nuclear Information System (INIS)
Zacharof, A.I.; Butler, A.P.
2004-01-01
A landfill is a very complex heterogeneous environment and as such it presents many modelling challenges. Attempts to develop models that reproduce these complexities generally involve the use of large numbers of spatially dependent parameters that cannot be properly characterised in the face of data uncertainty. An alternative method is presented, which couples a simplified microbial degradation model with a stochastic hydrological and contaminant transport model. This provides a framework for incorporating the complex effects of spatial heterogeneity within the landfill in a simplified manner, along with other key variables. A methodology for handling data uncertainty is also integrated into the model structure. Illustrative examples of the model's output are presented to demonstrate effects of data uncertainty on leachate composition and gas volume prediction
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)
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
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 ...
Ma, Chao; Ma, Qinghua; Yao, Haixiang; Hou, Tiancheng
2018-03-01
In this paper, we propose to use the Fractional Stable Process (FSP) for option pricing. The FSP is one of the few candidates to directly model a number of desired empirical properties of asset price risk neutral dynamics. However, pricing the vanilla European option under FSP is difficult and problematic. In the paper, built upon the developed Feynman Path Integral inspired techniques, we present a novel computational model for option pricing, i.e. the Fractional Stable Process Path Integral (FSPPI) model under a general fractional stable distribution that tackles this problem. Numerical and empirical experiments show that the proposed pricing model provides a correction of the Black-Scholes pricing error - overpricing long term options, underpricing short term options; overpricing out-of-the-money options, underpricing in-the-money options without any additional structures such as stochastic volatility and a jump process.
Stochastic R matrix for Uq (An(1))
Kuniba, A.; Mangazeev, V. V.; Maruyama, S.; Okado, M.
2016-12-01
We show that the quantum R matrix for symmetric tensor representations of Uq (An(1)) satisfies the sum rule required for its stochastic interpretation under a suitable gauge. Its matrix elements at a special point of the spectral parameter are found to factorize into the form that naturally extends Povolotsky's local transition rate in the q-Hahn process for n = 1. Based on these results we formulate new discrete and continuous time integrable Markov processes on a one-dimensional chain in terms of n species of particles obeying asymmetric stochastic dynamics. Bethe ansatz eigenvalues of the Markov matrices are also given.
Stochastic problems in population genetics
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...
Directory of Open Access Journals (Sweden)
Hui Min
2014-01-01
Full Text Available We discuss a new type of fully coupled forward-backward stochastic differential equations (FBSDEs whose coefficients depend on the states of the solution processes as well as their expected values, and we call them fully coupled mean-field forward-backward stochastic differential equations (mean-field FBSDEs. We first prove the existence and the uniqueness theorem of such mean-field FBSDEs under some certain monotonicity conditions and show the continuity property of the solutions with respect to the parameters. Then we discuss the stochastic optimal control problems of mean-field FBSDEs. The stochastic maximum principles are derived and the related mean-field linear quadratic optimal control problems are also discussed.
Energy Technology Data Exchange (ETDEWEB)
Ceschia, M.; Garfagnini, R.; Lavenia, A.; Toppano, E.
The daily average air temperatures collected during 1984 in Udine and Lignano are studied using stochastic processes. In order to obtain the seasonal component, a computational method has been developed involving the Fourier expansion, while the study of the stationary residual series is carried out by means of ARMA recursive filters. It was found that an autoregressive model of the third order represents the residual data fairly well. This method may also be applied to other meteorological parameters with significant frequencies and with a time behaviour which can be made stationary at least in the wide sense. This work was carried out in the scope of the MICMET program which is aimed at obtaining a detailed analysis of micrometeorological phenomena in the region of Friuli-Venezia Giulia.
Modeling bias and variation in the stochastic processes of small RNA sequencing.
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.
Dias, Edgard; Ebdon, James; Taylor, Huw
2015-01-01
This study proposes that calculating and interpreting removal coefficients (K20) for bacteriophages in activated sludge (AS) and trickling filter (TF) systems using stochastic modelling may provide important information that may be used to estimate the removal of phages in such systems using simplified models. In order to achieve this, 14 samples of settled wastewater and post-secondary sedimentation wastewater were collected every 2 weeks, over a 6-month period (May to November), from two AS and two TF systems situated in southern England. Initial results have demonstrated that the removal of somatic coliphages in both AS and TF systems is considerably higher than that of F-RNA coliphages, and that AS more effectively removes both phage groups than TF. The results have also demonstrated that K20 values for phages in AS are higher than in TF, which could be justified by the higher removal rates observed in AS and the models assumed for both systems. The research provides a suggested framework for calculating and predicting removal rates of pathogens and indicator organisms in wastewater treatment systems using simplified models in order to support integrated water and sanitation safety planning approaches to human health risk management.
Memristor-based neural networks: Synaptic versus neuronal stochasticity
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.
Directory of Open Access Journals (Sweden)
Wei Pan
Full Text Available With the high accident rate of civil aviation, medical resource inventory becomes more important for emergency management at the airport. Meanwhile, medical products usually are time-sensitive and short lifetime. Moreover, we find that the optimal medical resource inventory depends on multiple factors such as different risk preferences, the material shelf life and so on. Thus, it becomes very complex in a real-life environment. According to this situation, we construct medical resource inventory decision model for emergency preparation at the airport. Our model is formulated in such a way as to simultaneously consider uncertain demand, stochastic occurrence time and different risk preferences. For solving this problem, a new programming is developed. Finally, a numerical example is presented to illustrate the proposed method. The results show that it is effective for determining the optimal medical resource inventory for emergency preparation with uncertain demand and stochastic occurrence time under considering different risk preferences at the airport.
Sequential stochastic optimization
Cairoli, Renzo
1996-01-01
Sequential Stochastic Optimization provides mathematicians and applied researchers with a well-developed framework in which stochastic optimization problems can be formulated and solved. Offering much material that is either new or has never before appeared in book form, it lucidly presents a unified theory of optimal stopping and optimal sequential control of stochastic processes. This book has been carefully organized so that little prior knowledge of the subject is assumed; its only prerequisites are a standard graduate course in probability theory and some familiarity with discrete-paramet
Stochastic Models of Evolution
Bezruchko, Boris P.; Smirnov, Dmitry A.
To continue the discussion of randomness given in Sect. 2.2.1, we briefly touch on stochastic models of temporal evolution (random processes). They can be specified either via explicit definition of their statistical properties (probability density functions, correlation functions, etc., Sects. 4.1, 4.2 and 4.3) or via stochastic difference or differential equations. Some of the most widely known equations, their properties and applications are discussed in Sects. 4.4 and 4.5.
Optimal processing pathway selection for microalgae-based biorefinery under uncertainty
DEFF Research Database (Denmark)
Rizwan, Muhammad; Zaman, Muhammad; Lee, Jay H.
2015-01-01
to the sMINLP problem determines the processing technologies, material flows, and product portfolio that are optimal with respect to all the sampled scenarios. The developed framework is implemented and tested on a specific case study. The optimal processing pathways selected with and without......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...
Bouchaud, Jean-Philippe; Sornette, Didier
1994-06-01
The ability to price risks and devise optimal investment strategies in thé présence of an uncertain "random" market is thé cornerstone of modern finance theory. We first consider thé simplest such problem of a so-called "European call option" initially solved by Black and Scholes using Ito stochastic calculus for markets modelled by a log-Brownien stochastic process. A simple and powerful formalism is presented which allows us to generalize thé analysis to a large class of stochastic processes, such as ARCH, jump or Lévy processes. We also address thé case of correlated Gaussian processes, which is shown to be a good description of three différent market indices (MATIF, CAC40, FTSE100). Our main result is thé introduction of thé concept of an optimal strategy in the sense of (functional) minimization of the risk with respect to the portfolio. If the risk may be made to vanish for particular continuous uncorrelated 'quasiGaussian' stochastic processes (including Black and Scholes model), this is no longer the case for more general stochastic processes. The value of the residual risk is obtained and suggests the concept of risk-corrected option prices. In the presence of very large deviations such as in Lévy processes, new criteria for rational fixing of the option prices are discussed. We also apply our method to other types of options, `Asian', `American', and discuss new possibilities (`doubledecker'...). The inclusion of transaction costs leads to the appearance of a natural characteristic trading time scale. L'aptitude à quantifier le coût du risque et à définir une stratégie optimale de gestion de portefeuille dans un marché aléatoire constitue la base de la théorie moderne de la finance. Nous considérons d'abord le problème le plus simple de ce type, à savoir celui de l'option d'achat `européenne', qui a été résolu par Black et Scholes à l'aide du calcul stochastique d'Ito appliqué aux marchés modélisés par un processus Log
Indian Academy of Sciences (India)
IAS Admin
V S Borkar is the Institute. Chair Professor of. Electrical Engineering at. IIT Bombay. His research interests are stochastic optimization, theory, algorithms and applica- tions. 1 'Markov Chain Monte Carlo' is another one (see [1]), not to mention schemes that combine both. Stochastic approximation is one of the unsung.
Stochastic differential equations, backward SDEs, partial differential equations
Pardoux, Etienne
2014-01-01
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each chapter. Stochastic calculus and stochastic differential equations (SDEs) were first introduced by K. Itô in the 1940s, in order to construct the path of diffusion processes (which are continuous time Markov processes with continuous trajectories taking their values in a finite dimensional vector space or manifold), which had been studied from a more analytic point of view by Kolmogorov in the 1930s. Since then, this topic has...
DEFF Research Database (Denmark)
Pang, Kar Mun; Jangi, Mehdi; Bai, X.-S.
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...... 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...
Wang, Yong; Zhang, Guang J.; He, Yu-Jun
2017-12-01
With the incorporation of the Plant-Craig stochastic deep convection scheme into the Zhang-McFarlane deterministic parameterization in the Community Atmospheric Model version 5 (CAM5), its impact on extreme precipitation at different resolutions (2°, 1°, and 0.5°) is investigated. CAM5 with the stochastic deep convection scheme (experiment (EXP)) simulates the precipitation extreme indices better than the standard version (control). At 2° and 1° resolutions, EXP increases high percentile (>99th) daily precipitation over the United States, Europe, and China, resulting in a better agreement with observations. However, at 0.5° resolution, due to enhanced grid-scale precipitation with increasing resolution, EXP overestimates extreme precipitation over southeastern U.S. and eastern Europe. The reduced biases in EXP at each resolution benefit from a broader probability distribution function of convective precipitation intensity simulated. Among EXP simulations at different resolutions, if the spatial averaging area over which input quantities used in convective closure are spatially averaged in the stochastic convection scheme is comparable, the modeled convective precipitation intensity decreases with increasing resolution, when gridded to the same resolution, while the total precipitation is not sensitive to model resolution, exhibiting some degree of scale-awareness. Sensitivity tests show that for the same resolution, increasing the size of spatial averaging area decreases convective precipitation but increases the grid-scale precipitation.
Working under the PJVA gas processing agreement
International Nuclear Information System (INIS)
Collins, S.
1996-01-01
The trend in the natural gas industry is towards custom processing. New gas reserves tend to be smaller and in tighter reservoirs than in the past. This has resulted in plants having processing and transportation capacity available to be leased to third parties. Major plant operators and owners are finding themselves in the business of custom processing in a more focused way. Operators recognize that the dilution of operating costs can result in significant benefits to the plant owners as well as the third party processor. The relationship between the gas processor and the gas producer as they relate to the Petroleum Joint Venture Association (PJVA) Gas Processing Agreement were discussed. Details of the standard agreement that clearly defines the responsibilities of the third party producer and the processor were explained. In addition to outlining obligations of the parties, it also provides a framework for fee negotiation. It was concluded that third party processing can lower facility operating costs, extend facility life, and keep Canadian gas more competitive in holding its own in North American gas markets
Papalexiou, Simon Michael
2018-05-01
Hydroclimatic processes come in all "shapes and sizes". They are characterized by different spatiotemporal correlation structures and probability distributions that can be continuous, mixed-type, discrete or even binary. Simulating such processes by reproducing precisely their marginal distribution and linear correlation structure, including features like intermittency, can greatly improve hydrological analysis and design. Traditionally, modelling schemes are case specific and typically attempt to preserve few statistical moments providing inadequate and potentially risky distribution approximations. Here, a single framework is proposed that unifies, extends, and improves a general-purpose modelling strategy, based on the assumption that any process can emerge by transforming a specific "parent" Gaussian process. A novel mathematical representation of this scheme, introducing parametric correlation transformation functions, enables straightforward estimation of the parent-Gaussian process yielding the target process after the marginal back transformation, while it provides a general description that supersedes previous specific parameterizations, offering a simple, fast and efficient simulation procedure for every stationary process at any spatiotemporal scale. This framework, also applicable for cyclostationary and multivariate modelling, is augmented with flexible parametric correlation structures that parsimoniously describe observed correlations. Real-world simulations of various hydroclimatic processes with different correlation structures and marginals, such as precipitation, river discharge, wind speed, humidity, extreme events per year, etc., as well as a multivariate example, highlight the flexibility, advantages, and complete generality of the method.
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt
This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G∗ of Potthoff--Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discusse...
DEFF Research Database (Denmark)
E. Barndorff-Nielsen, Ole; Benth, Fred Espen; Szozda, Benedykt
This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G* of Potthoff-Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discussed...
Ghasemi, Fatemeh; Sahimi, Muhammad; Peinke, J; Friedrich, R; Jafari, G Reza; Tabar, M Reza Rahimi
2007-06-01
We describe a general method for analyzing a nonstationary stochastic process X(t) which, unlike many of the previous analysis methods, does not require X(t) to have any scaling feature. The method is used to study the fluctuations in the daily price of oil. It is shown that the returns time series, y(t)=ln[X(t+1)X(t)] , is a stationary and Markov process, characterized by a Markov time scale t_{M} . The coefficients of the Kramers-Moyal expansion for the probability density function P(y,tmid R:y_{0},t_{0}) are computed. P(y,tmid R:,y_{0},t_{0}) satisfies a Fokker-Planck equation, which is equivalent to a Langevin equation for y(t) that provides quantitative predictions for the oil price over times that are of the order of t_{M}. Also studied is the average frequency of positive-slope crossings, nu_{alpha};{+}=P(y_{i}>alpha,y_{i-1}
Directory of Open Access Journals (Sweden)
Svetlana Strbac Savic
2015-01-01
Full Text Available Forecasting the operational efficiency of an existing underground mine plays an important role in strategic planning of production. Degree of Operating Leverage (DOL is used to express the operational efficiency of production. The forecasting model should be able to involve common time horizon, taking the characteristics of the input variables that directly affect the value of DOL. Changes in the magnitude of any input variable change the value of DOL. To establish the relationship describing the way of changing we applied multivariable grey modeling. Established time sequence multivariable response formula is also used to forecast the future values of operating leverage. Operational efficiency of production is often associated with diverse sources of uncertainties. Incorporation of these uncertainties into multivariable forecasting model enables mining company to survive in today’s competitive environment. Simulation of mean reversion process and geometric Brownian motion is used to describe the stochastic diffusion nature of metal price, as a key element of revenues, and production costs, respectively. By simulating a forecasting model, we imitate its action in order to measure its response to different inputs. The final result of simulation process is the expected value of DOL for every year of defined time horizon.
Wolff, Hans
This paper deals with a stochastic process for the approximation of the root of a regression equation. This process was first suggested by Robbins and Monro. The main result here is a necessary and sufficient condition on the iteration coefficients for convergence of the process (convergence with probability one and convergence in the quadratic…
Obsolescence – understanding the underlying processes
Thomsen, A.F.
2017-01-01
Obsolescence, defined as the process of declining performance of buildings, is a serious threat for the value, the usefulness and the life span of built properties. Thomsen and van der Flier (2011) developed a model in which obsolescence is categorised on the basis of two distinctions, i.e. between
Stochastic Pi-calculus Revisited
DEFF Research Database (Denmark)
Cardelli, Luca; Mardare, Radu Iulian
2013-01-01
We develop a version of stochastic Pi-calculus with a semantics based on measure theory. We dene the behaviour of a process in a rate environment using measures over the measurable space of processes induced by structural congruence. We extend the stochastic bisimulation to include the concept...
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
In this paper we revisit the classical channel model by Saleh & Valenzuela via the theory of spatial point processes. By reformulating this model as a particular point process and by repeated application of Campbell’s Theorem we provide concise and elegant access to its overall structure and unde......In this paper we revisit the classical channel model by Saleh & Valenzuela via the theory of spatial point processes. By reformulating this model as a particular point process and by repeated application of Campbell’s Theorem we provide concise and elegant access to its overall structure...... to define, analyze, and compare most channel models already suggested in literature and that the powerful tools of this framework have not been fully exploited in this context yet....
McKean, Henry P
2005-01-01
This little book is a brilliant introduction to an important boundary field between the theory of probability and differential equations. -E. B. Dynkin, Mathematical Reviews This well-written book has been used for many years to learn about stochastic integrals. The book starts with the presentation of Brownian motion, then deals with stochastic integrals and differentials, including the famous Itô lemma. The rest of the book is devoted to various topics of stochastic integral equations, including those on smooth manifolds. Originally published in 1969, this classic book is ideal for supplemen
Bundled tungsten oxide nanowires under thermal processing
International Nuclear Information System (INIS)
Sun Shibin; Zhao Yimin; Xia Yongde; Zhu Yanqiu; Zou Zengda; Min Guanghui
2008-01-01
Ultra-thin W 18 O 49 nanowires were initially obtained by a simple solvothermal method using tungsten chloride and cyclohexanol as precursors. Thermal processing of the resulting bundled nanowires has been carried out in air in a tube furnace. The morphology and phase transformation behavior of the as-synthesized nanowires as a function of annealing temperature have been characterized by x-ray diffraction and electron microscopy. The nanostructured bundles underwent a series of morphological evolution with increased annealing temperature, becoming straighter, larger in diameter, and smaller in aspect ratio, eventually becoming irregular particles with size up to 5 μm. At 500 deg. C, the monoclinic W 18 O 49 was completely transformed to monoclinic WO 3 phase, which remains stable at high processing temperature. After thermal processing at 400 deg. C and 450 deg. C, the specific surface areas of the resulting nanowires dropped to 110 m 2 g -1 and 66 m 2 g -1 respectively, compared with that of 151 m 2 g -1 for the as-prepared sample. This study may shed light on the understanding of the geometrical and structural evolution occurring in nanowires whose working environment may involve severe temperature variations
Hermann, Philipp; Mrkvička, Tomáš; Mattfeldt, Torsten; Minárová, Mária; Helisová, Kateřina; Nicolis, Orietta; Wartner, Fabian; Stehlík, Milan
2015-08-15
Fractals are models of natural processes with many applications in medicine. The recent studies in medicine show that fractals can be applied for cancer detection and the description of pathological architecture of tumors. This fact is not surprising, as due to the irregular structure, cancerous cells can be interpreted as fractals. Inspired by Sierpinski carpet, we introduce a flexible parametric model of random carpets. Randomization is introduced by usage of binomial random variables. We provide an algorithm for estimation of parameters of the model and illustrate theoretical and practical issues in generation of Sierpinski gaskets and Hausdorff measure calculations. Stochastic geometry models can also serve as models for binary cancer images. Recently, a Boolean model was applied on the 200 images of mammary cancer tissue and 200 images of mastopathic tissue. Here, we describe the Quermass-interaction process, which can handle much more variations in the cancer data, and we apply it to the images. It was found out that mastopathic tissue deviates significantly stronger from Quermass-interaction process, which describes interactions among particles, than mammary cancer tissue does. The Quermass-interaction process serves as a model describing the tissue, which structure is broken to a certain level. However, random fractal model fits well for mastopathic tissue. We provide a novel discrimination method between mastopathic and mammary cancer tissue on the basis of complex wavelet-based self-similarity measure with classification rates more than 80%. Such similarity measure relates to Hurst exponent and fractional Brownian motions. The R package FractalParameterEstimation is developed and introduced in the paper. Copyright © 2015 John Wiley & Sons, Ltd.
Counseling as a Stochastic Process: Fitting a Markov Chain Model to Initial Counseling Interviews
Lichtenberg, James W.; Hummel, Thomas J.
1976-01-01
The goodness of fit of a first-order Markov chain model to six counseling interviews was assessed by using chi-square tests of homogeneity and simulating sampling distributions of selected process characteristics against which the same characteristics in the actual interviews were compared. The model fit four of the interviews. Presented at AERA,…
Directory of Open Access Journals (Sweden)
Liang Jing
2013-01-01
Full Text Available This paper proposes a hybrid stochastic-interval analytic hierarchy process (SIAHP approach to address uncertainty in group decision making by integrating interval judgment, probabilistic distribution, lexicographic goal programming, and Monte Carlo simulation. A case study related to wastewater treatment plant (WWTP effluent reuse was conducted to demonstrate the feasibility of the proposed approach. Four candidate alternatives including city moat landscaping, municipal reuse, industrial reuse, and agricultural irrigation were evaluated by five experts according to technical, economic, and environmental criteria. The results suggest that industrial reuse (0.18–0.3 is more preferred over municipal reuse (0.16–0.25 or agricultural irrigation (0.17–0.26 in most replications. The final score of city moat landscaping ranges from 0.11 to 0.31 which indicates a great divergence of expert opinions. It can be concluded that choosing industrial reuse seems to give the best overall account of technical, economic, and environmental concerns. The proposed SIAHP approach can aid group decision making by accommodating linguistic information and dealing with insufficient information or biased opinions.
spate: An R Package for Spatio-Temporal Modeling with a Stochastic Advection-Diffusion Process
Directory of Open Access Journals (Sweden)
Fabio Sigrist
2015-02-01
This package aims at providing tools for simulating and modeling of spatio-temporal processes using an SPDE based approach. The package contains functions for obtaining parametrizations, such as propagator or innovation covariance matrices, of the spatio-temporal model. This allows for building customized hierarchical Bayesian models using the SPDE based model at the process stage. The functions of the package then provide computationally efficient algorithms needed for doing inference with the hierarchical model. Furthermore, an adaptive Markov chain Monte Carlo (MCMC algorithm implemented in the package can be used as an algorithm for doing inference without any additional modeling. This function is flexible and allows for application specific customizing. The MCMC algorithm supports data that follow a Gaussian or a censored distribution with point mass at zero. Spatio-temporal covariates can be included in the model through a regression term.
Lux, Slawomir A; Wnuk, Andrzej; Vogt, Heidrun; Belien, Tim; Spornberger, Andreas; Studnicki, Marcin
2016-01-01
The paper reports application of a Markov-like stochastic process agent-based model and a "virtual farm" concept for enhancement of site-specific Integrated Pest Management. Conceptually, the model represents a "bottom-up ethological" approach and emulates behavior of the "primary IPM actors"-large cohorts of individual insects-within seasonally changing mosaics of spatiotemporally complex faming landscape, under the challenge of the local IPM actions. Algorithms of the proprietary PESTonFARM model were adjusted to reflect behavior and ecology of R. cerasi. Model parametrization was based on compiled published information about R. cerasi and the results of auxiliary on-farm experiments. The experiments were conducted on sweet cherry farms located in Austria, Germany, and Belgium. For each farm, a customized model-module was prepared, reflecting its spatiotemporal features. Historical data about pest monitoring, IPM treatments and fruit infestation were used to specify the model assumptions and calibrate it further. Finally, for each of the farms, virtual IPM experiments were simulated and the model-generated results were compared with the results of the real experiments conducted on the same farms. Implications of the findings for broader applicability of the model and the "virtual farm" approach-were discussed.
Lux, Slawomir A.; Wnuk, Andrzej; Vogt, Heidrun; Belien, Tim; Spornberger, Andreas; Studnicki, Marcin
2016-01-01
The paper reports application of a Markov-like stochastic process agent-based model and a “virtual farm” concept for enhancement of site-specific Integrated Pest Management. Conceptually, the model represents a “bottom-up ethological” approach and emulates behavior of the “primary IPM actors”—large cohorts of individual insects—within seasonally changing mosaics of spatiotemporally complex faming landscape, under the challenge of the local IPM actions. Algorithms of the proprietary PESTonFARM model were adjusted to reflect behavior and ecology of R. cerasi. Model parametrization was based on compiled published information about R. cerasi and the results of auxiliary on-farm experiments. The experiments were conducted on sweet cherry farms located in Austria, Germany, and Belgium. For each farm, a customized model-module was prepared, reflecting its spatiotemporal features. Historical data about pest monitoring, IPM treatments and fruit infestation were used to specify the model assumptions and calibrate it further. Finally, for each of the farms, virtual IPM experiments were simulated and the model-generated results were compared with the results of the real experiments conducted on the same farms. Implications of the findings for broader applicability of the model and the “virtual farm” approach—were discussed. PMID:27602000
Directory of Open Access Journals (Sweden)
Slawomir Antoni Lux
2016-08-01
Full Text Available The paper reports application of a Markov-like stochastic process agent-based model and a ‘virtual farm’ concept for enhancement of site-specific Integrated Pest Management. Conceptually, the model represents a ‘bottom-up ethological’ approach and emulates behaviour of the ‘primary IPM actors’ - large cohorts of individual insects - within seasonally changing mosaics of spatiotemporally complex faming landscape, under the challenge of the local IPM actions. Algorithms of the proprietary PESTonFARM model were adjusted to reflect behaviour and ecology of R. cerasi. Model parametrization was based on compiled published information about R. cerasi and the results of auxiliary on-farm experiments. The experiments were conducted on sweet cherry farms located in Austria, Germany and Belgium. For each farm, a customised model-module was prepared, reflecting its spatiotemporal features. Historical data about pest monitoring, IPM treatments and fruit infestation were used to specify the model assumptions and calibrate it further. Finally, for each of the farms, virtual IPM experiments were simulated and the model-generated results were compared with the results of the real experiments conducted on the same farms. Implications of the findings for broader applicability of the model and the ‘virtual farm’ approach - were discussed.
International Nuclear Information System (INIS)
Luo, B.; Maqsood, I.; Huang, G.H.; Yin, Y.Y.; Han, D.J.
2005-01-01
Reduction of nonpoint source (NPS) pollution from agricultural lands is a major concern in most countries. One method to reduce NPS pollution is through land retirement programs. This method, however, may result in enormous economic costs especially when large sums of croplands need to be retired. To reduce the cost, effluent trading can be employed to couple with land retirement programs. However, the trading efforts can also become inefficient due to various uncertainties existing in stochastic, interval, and fuzzy formats in agricultural systems. Thus, it is desired to develop improved methods to effectively quantify the efficiency of potential trading efforts by considering those uncertainties. In this respect, this paper presents an inexact fuzzy two-stage stochastic programming model to tackle such problems. The proposed model can facilitate decision-making to implement trading efforts for agricultural NPS pollution reduction through land retirement programs. The applicability of the model is demonstrated through a hypothetical effluent trading program within a subcatchment of the Lake Tai Basin in China. The study results indicate that the efficiency of the trading program is significantly influenced by precipitation amount, agricultural activities, and level of discharge limits of pollutants. The results also show that the trading program will be more effective for low precipitation years and with stricter discharge limits
Directory of Open Access Journals (Sweden)
Jing Liu
2017-05-01
Full Text Available In this study, a semi-infinite interval-stochastic risk management (SIRM model is developed for river water pollution control, where various policy scenarios are explored in response to economic penalties due to randomness and functional intervals. SIRM can also control the variability of the recourse cost as well as capture the notion of risk in stochastic programming. Then, the SIRM model is applied to water pollution control of the Xiangxihe watershed. Tradeoffs between risks and benefits are evaluated, indicating any change in the targeted benefit and risk level would yield varied expected benefits. Results disclose that the uncertainty of system components and risk preference of decision makers have significant effects on the watershed's production generation pattern and pollutant control schemes as well as system benefit. Decision makers with risk-aversive attitude would accept a lower system benefit (with lower production level and pollutant discharge; a policy based on risk-neutral attitude would lead to a higher system benefit (with higher production level and pollutant discharge. The findings can facilitate the decision makers in identifying desired product generation plans in association with financial risk minimization and pollution mitigation.
Directory of Open Access Journals (Sweden)
Petrică Andreea-Cristina
2017-07-01
Full Text Available Modeling exchange rate volatility became an important topic for research debate starting with 1973, when many countries switched to floating exchange rate system. In this paper, we focus on the EUR/RON exchange rate both as an economic measure and present the implied economic links, and also as a financial investment and analyze its movements and fluctuations through two volatility stochastic processes: the Standard Generalized Autoregressive Conditionally Heteroscedastic Model (GARCH and the Exponential Generalized Autoregressive Conditionally Heteroscedastic Model (EGARCH. The objective of the conditional variance processes is to capture dependency in the return series of the EUR/RON exchange rate. On this account, analyzing exchange rates could be seen as the input for economic decisions regarding Romanian macroeconomics - the exchange rates being influenced by many factors such as: interest rates, inflation, trading relationships with other countries (imports and exports, or investments - portfolio optimization, risk management, asset pricing. Therefore, we talk about political stability and economic performance of a country that represents a link between the two types of inputs mentioned above and influences both the macroeconomics and the investments. Based on time-varying volatility, we examine implied volatility of daily returns of EUR/RON exchange rate using the standard GARCH model and the asymmetric EGARCH model, whose parameters are estimated through the maximum likelihood method and the error terms follow two distributions (Normal and Student’s t. The empirical results show EGARCH(2,1 with Asymmetric order 2 and Student’s t error terms distribution performs better than all the estimated standard GARCH models (GARCH(1,1, GARCH(1,2, GARCH(2,1 and GARCH(2,2. This conclusion is supported by the major advantage of the EGARCH model compared to the GARCH model which consists in allowing good and bad news having different impact on the
A Hierarchical Latent Stochastic Differential Equation Model for Affective Dynamics
Oravecz, Zita; Tuerlinckx, Francis; Vandekerckhove, Joachim
2011-01-01
In this article a continuous-time stochastic model (the Ornstein-Uhlenbeck process) is presented to model the perpetually altering states of the core affect, which is a 2-dimensional concept underlying all our affective experiences. The process model that we propose can account for the temporal changes in core affect on the latent level. The key…
Stochastic Integration in Abstract Spaces
Directory of Open Access Journals (Sweden)
J. K. Brooks
2010-01-01
-valued process (∫ called the stochastic integral. The Lebesgue space of these integrable processes is studied and convergence theorems are given. Extensions to general locally convex spaces are presented.
Be'er, Shay; Assaf, Michael; Meerson, Baruch
2015-06-01
We study the dynamics of colonization of a territory by a stochastic population at low immigration pressure. We assume a sufficiently strong Allee effect that introduces, in deterministic theory, a large critical population size for colonization. At low immigration rates, the average precolonization population size is small, thus invalidating the WKB approximation to the master equation. We circumvent this difficulty by deriving an exact zero-flux solution of the master equation and matching it with an approximate nonzero-flux solution of the pertinent Fokker-Planck equation in a small region around the critical population size. This procedure provides an accurate evaluation of the quasistationary probability distribution of population sizes in the precolonization state and of the mean time to colonization, for a wide range of immigration rates. At sufficiently high immigration rates our results agree with WKB results obtained previously. At low immigration rates the results can be very different.
Be'er, Shay; Assaf, Michael; Meerson, Baruch
2015-06-01
We study the dynamics of colonization of a territory by a stochastic population at low immigration pressure. We assume a sufficiently strong Allee effect that introduces, in deterministic theory, a large critical population size for colonization. At low immigration rates, the average precolonization population size is small, thus invalidating the WKB approximation to the master equation. We circumvent this difficulty by deriving an exact zero-flux solution of the master equation and matching it with an approximate nonzero-flux solution of the pertinent Fokker-Planck equation in a small region around the critical population size. This procedure provides an accurate evaluation of the quasistationary probability distribution of population sizes in the precolonization state and of the mean time to colonization, for a wide range of immigration rates. At sufficiently high immigration rates our results agree with WKB results obtained previously. At low immigration rates the results can be very different.
Stochastic dynamics and irreversibility
Tomé, Tânia
2015-01-01
This textbook presents an exposition of stochastic dynamics and irreversibility. It comprises the principles of probability theory and the stochastic dynamics in continuous spaces, described by Langevin and Fokker-Planck equations, and in discrete spaces, described by Markov chains and master equations. Special concern is given to the study of irreversibility, both in systems that evolve to equilibrium and in nonequilibrium stationary states. Attention is also given to the study of models displaying phase transitions and critical phenomema both in thermodynamic equilibrium and out of equilibrium. These models include the linear Glauber model, the Glauber-Ising model, lattice models with absorbing states such as the contact process and those used in population dynamic and spreading of epidemic, probabilistic cellular automata, reaction-diffusion processes, random sequential adsorption and dynamic percolation. A stochastic approach to chemical reaction is also presented.The textbook is intended for students of ...
International Nuclear Information System (INIS)
Sadeghi, Mahmood; Kalantar, Mohsen
2014-01-01
Highlights: • Defining a DG dynamic planning problem. • Applying a new evolutionary algorithm called “CMAES” in planning process. • Considering electricity price and fuel price variation stochastic conditions. • Scenario generation and reduction with MCS and backward reduction programs. • Considering approximately all of the costs of the distribution system. - Abstract: This paper presents a dynamic DG planning problem considering uncertainties related to the intermittent nature of the DG technologies such as wind turbines and solar units in addition to the stochastic economic conditions. The stochastic economic situation includes the uncertainties related to the fuel and electricity price of each year. The Monte Carlo simulation is used to generate the possible scenarios of uncertain situations and the produced scenarios are reduced through backward reduction program. The aim of this paper is to maximize the revenue of the distribution system through the benefit cost analysis alongside the encouraging and punishment functions. In order to close to reality, the different growth rates for the planning period are selected. In this paper the Covariance Matrix Adaptation Evolutionary Strategy is introduced and is used to find the best planning scheme of the DG units. The different DG types are considered in the planning problem. The main assumption of this paper is that the DISCO is the owner of the distribution system and the DG units. The proposed method is tested on a 9 bus test distribution system and the results are compared with the known genetic algorithm and PSO methods to show the applicability of the CMAES method in this problem
Stochastic renewal process models for estimation of damage cost over the life-cycle of a structure
Pandey, Mahesh D.; van der Weide, J.A.M.
2017-01-01
In the life-cycle cost analysis of a structure, the total cost of damage caused by external hazards like earthquakes, wind storms and flood is an important but highly uncertain component. In the literature, the expected damage cost is typically analyzed under the assumption of either the homogeneous Poisson process or the renewal process in an infinite time horizon (i.e., asymptotic solution). The paper reformulates the damage cost estimation problem as a compound renewal process and derives ...
Stochastic models in reliability and maintenance
2002-01-01
Our daily lives can be maintained by the high-technology systems. Computer systems are typical examples of such systems. We can enjoy our modern lives by using many computer systems. Much more importantly, we have to maintain such systems without failure, but cannot predict when such systems will fail and how to fix such systems without delay. A stochastic process is a set of outcomes of a random experiment indexed by time, and is one of the key tools needed to analyze the future behavior quantitatively. Reliability and maintainability technologies are of great interest and importance to the maintenance of such systems. Many mathematical models have been and will be proposed to describe reliability and maintainability systems by using the stochastic processes. The theme of this book is "Stochastic Models in Reliability and Main tainability. " This book consists of 12 chapters on the theme above from the different viewpoints of stochastic modeling. Chapter 1 is devoted to "Renewal Processes," under which cla...
Directory of Open Access Journals (Sweden)
Apostolos Bozikas
2018-04-01
Full Text Available During the last decades, life expectancy has risen significantly in the most developed countries all over the world. Greece is a case in point; consequently, higher governmental financial responsibilities occur as well as serious concerns are raised owing to population ageing. To address this issue, an efficient forecasting method is required. Therefore, the most important stochastic models were comparatively applied to Greek data for the first time. An analysis of their fitting behaviour by gender was conducted and the corresponding forecasting results were evaluated. In particular, we incorporated the Greek population data into seven stochastic mortality models under a common age-period-cohort framework. The fitting performance of each model was thoroughly evaluated based on information criteria values as well as the likelihood ratio test and their robustness to period changes was investigated. In addition, parameter risk in forecasts was assessed by employing bootstrapping techniques. For completeness, projection results for both genders were also illustrated in pricing insurance-related products.
Stochastic optimization methods
Marti, Kurt
2005-01-01
Optimization problems arising in practice involve random parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insensitive with respect to random parameter variations, deterministic substitute problems are needed. Based on the distribution of the random data, and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into deterministic substitute problems. Due to the occurring probabilities and expectations, approximative solution techniques must be applied. Deterministic and stochastic approximation methods and their analytical properties are provided: Taylor expansion, regression and response surface methods, probability inequalities, First Order Reliability Methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation methods, differentiation of probability and mean value functions. Convergence results of the resulting iterative solution procedures are given.
Lukacs, Eugene; Lukacs, E
1975-01-01
Stochastic Convergence, Second Edition covers the theoretical aspects of random power series dealing with convergence problems. This edition contains eight chapters and starts with an introduction to the basic concepts of stochastic convergence. The succeeding chapters deal with infinite sequences of random variables and their convergences, as well as the consideration of certain sets of random variables as a space. These topics are followed by discussions of the infinite series of random variables, specifically the lemmas of Borel-Cantelli and the zero-one laws. Other chapters evaluate the po
An optimization methodology for identifying robust process integration investments under uncertainty
International Nuclear Information System (INIS)
Svensson, Elin; Berntsson, Thore; Stroemberg, Ann-Brith; Patriksson, Michael
2009-01-01
Uncertainties in future energy prices and policies strongly affect decisions on investments in process integration measures in industry. In this paper, we present a five-step methodology for the identification of robust investment alternatives incorporating explicitly such uncertainties in the optimization model. Methods for optimization under uncertainty (or, stochastic programming) are thus combined with a deep understanding of process integration and process technology in order to achieve a framework for decision-making concerning the investment planning of process integration measures under uncertainty. The proposed methodology enables the optimization of investments in energy efficiency with respect to their net present value or an environmental objective. In particular, as a result of the optimization approach, complex investment alternatives, allowing for combinations of energy efficiency measures, can be analyzed. Uncertainties as well as time-dependent parameters, such as energy prices and policies, are modelled using a scenario-based approach, enabling the identification of robust investment solutions. The methodology is primarily an aid for decision-makers in industry, but it will also provide insight for policy-makers into how uncertainties regarding future price levels and policy instruments affect the decisions on investments in energy efficiency measures
An optimization methodology for identifying robust process integration investments under uncertainty
Energy Technology Data Exchange (ETDEWEB)
Svensson, Elin; Berntsson, Thore [Department of Energy and Environment, Division of Heat and Power Technology, Chalmers University of Technology, SE-412 96 Goeteborg (Sweden); Stroemberg, Ann-Brith [Fraunhofer-Chalmers Research Centre for Industrial Mathematics, Chalmers Science Park, SE-412 88 Gothenburg (Sweden); Patriksson, Michael [Department of Mathematical Sciences, Chalmers University of Technology and Department of Mathematical Sciences, University of Gothenburg, SE-412 96 Goeteborg (Sweden)
2009-02-15
Uncertainties in future energy prices and policies strongly affect decisions on investments in process integration measures in industry. In this paper, we present a five-step methodology for the identification of robust investment alternatives incorporating explicitly such uncertainties in the optimization model. Methods for optimization under uncertainty (or, stochastic programming) are thus combined with a deep understanding of process integration and process technology in order to achieve a framework for decision-making concerning the investment planning of process integration measures under uncertainty. The proposed methodology enables the optimization of investments in energy efficiency with respect to their net present value or an environmental objective. In particular, as a result of the optimization approach, complex investment alternatives, allowing for combinations of energy efficiency measures, can be analyzed. Uncertainties as well as time-dependent parameters, such as energy prices and policies, are modelled using a scenario-based approach, enabling the identification of robust investment solutions. The methodology is primarily an aid for decision-makers in industry, but it will also provide insight for policy-makers into how uncertainties regarding future price levels and policy instruments affect the decisions on investments in energy efficiency measures. (author)
Formation process of Malaysian modern architecture under influence of nationalism
宇高, 雄志; 山崎, 大智
2001-01-01
This paper examines the Formation Process of Malaysian Modern Architecture under Influence of Nationalism,through the process of independence of Malaysia. The national style as "Malaysian national architecture" which hasengaged on background of political environment under the post colonial situation. Malaysian urban design is alsodetermined under the balance of both of ethnic culture and the national culture. In Malaysia, they decided to choosethe Malay ethnic culture as the national culture....
Schillinger, Dominik
2013-07-01
The method of separation can be used as a non-parametric estimation technique, especially suitable for evolutionary spectral density functions of uniformly modulated and strongly narrow-band stochastic processes. The paper at hand provides a consistent derivation of method of separation based spectrum estimation for the general multi-variate and multi-dimensional case. The validity of the method is demonstrated by benchmark tests with uniformly modulated spectra, for which convergence to the analytical solution is demonstrated. The key advantage of the method of separation is the minimization of spectral dispersion due to optimum time- or space-frequency localization. This is illustrated by the calibration of multi-dimensional and multi-variate geometric imperfection models from strongly narrow-band measurements in I-beams and cylindrical shells. Finally, the application of the method of separation based estimates for the stochastic buckling analysis of the example structures is briefly discussed. © 2013 Elsevier Ltd.
Research in Stochastic Processes.
1982-10-31
Medicine 70, (1981), 960-970. G. Kallianpur, Same ramifications of Wiener’s ideas on nonlinear prediction, in Norbert Wiener , Collected Works Volume III... Norbert Wiener " at the Meetings of the American Mathematical Society at the University of Maryland, College Park, Maryland (October 1982). (8) The Layman...joint error M5E(SP) is computed when the input is Gaussian. For a Wiener input, the joint distribution of the sanple point and predictive errors is
Stochastic processes an introduction
Jones, Peter Watts
2009-01-01
Some Background on ProbabilityIntroduction Probability Conditional probability and independence Discrete random variables Continuous random variables Mean and variance Some standard discrete probability distributions Some standard continuous probability distributions Generating functions Conditional expectationSome Gambling ProblemsGambler's ruin Probability of ruin Some numerical simulations Duration of the game Some variations of gambler's ruinRandom WalksIntroduction Unrestricted random walks The probability distribution after n steps First returns of the symmetric random walkMarkov ChainsS
Stochastic dynamics and control
Sun, Jian-Qiao; Zaslavsky, George
2006-01-01
This book is a result of many years of author's research and teaching on random vibration and control. It was used as lecture notes for a graduate course. It provides a systematic review of theory of probability, stochastic processes, and stochastic calculus. The feedback control is also reviewed in the book. Random vibration analyses of SDOF, MDOF and continuous structural systems are presented in a pedagogical order. The application of the random vibration theory to reliability and fatigue analysis is also discussed. Recent research results on fatigue analysis of non-Gaussian stress proc
Kirstein, Bernd
2015-01-01
The volume is dedicated to Lev Sakhnovich, who made fundamental contributions in operator theory and related topics. Besides bibliographic material, it includes a number of selected papers related to Lev Sakhnovich's research interests. The papers are related to operator identities, moment problems, random matrices and linear stochastic systems.
Directory of Open Access Journals (Sweden)
Tahereh Poorbagheri
2014-11-01
Full Text Available In this study, a vendor-managed inventory model is developed for a single-vendor multiple-retailer single-warehouse (SV-MR-SV supply chain problem based on the economic order quantity in which demands are stochastic and follow a uniform probability distribution. In order to reduce holding costs and to help balanced on-hand inventory cost between the vendor and the retailers, it is assumed that all inventory is held at a central warehouse with the lowest cost among the parties. The capacity of the central warehouse is limited. The objective is to find the warehouse replenishment frequency, the vendor's replenishment frequency, the order points, and the order quantities of the retailers such that the total inventory cost of the integrated supply chain is minimized. The proposed model is a mixed integer nonlinear programming problem (MINLP; hence, a genetic algorithm (GA is utilized to solve this NP-hard problem. The parameters of the GA are calibrated using the Taguchi method to find better solutions. Some numerical illustrations are solved at the end to demonstrate the applicability of the proposed methodology and to evaluate the performance of the solution method.
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Nezir Aydin
2016-03-01
Full Text Available In this study, we consider field hospital location decisions for emergency treatment points in response to large scale disasters. Specifically, we developed a two-stage stochastic model that determines the number and locations of field hospitals and the allocation of injured victims to these field hospitals. Our model considers the locations as well as the failings of the existing public hospitals while deciding on the location of field hospitals that are anticipated to be opened. The model that we developed is a variant of the P-median location model and it integrates capacity restrictions both on field hospitals that are planned to be opened and the disruptions that occur in existing public hospitals. We conducted experiments to demonstrate how the proposed model can be utilized in practice in a real life problem case scenario. Results show the effects of the failings of existing hospitals, the level of failure probability and the capacity of projected field hospitals to deal with the assessment of any given emergency treatment system’s performance. Crucially, it also specifically provides an assessment on the average distance within which a victim needs to be transferred in order to be treated properly and then from this assessment, the proportion of total satisfied demand is then calculated.
Stochastic Estimation via Polynomial Chaos
2015-10-01
processes. As originally developed by Norbert Weiner, a polynomial chaos represents key properties of a stochastic process through the application of...polynomial chaos method for representing the properties of second order stochastic processes. As originally developed by Norbert Weiner, a...any real or complex functional ][xF in 2L converges to ][xF in the 2L sense with Wiener measure.[3] In the same reference, the orthogonality of
Set-Valued Stochastic Lebesque Integral and Representation Theorems
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Jungang Li
2008-06-01
Full Text Available In this paper, we shall firstly illustrate why we should introduce set-valued stochastic integrals, and then we shall discuss some properties of set-valued stochastic processes and the relation between a set-valued stochastic process and its selection set. After recalling the Aumann type definition of stochastic integral, we shall introduce a new definition of Lebesgue integral of a set-valued stochastic process with respect to the time t . Finally we shall prove the presentation theorem of set-valued stochastic integral and dis- cuss further properties that will be useful to study set-valued stochastic differential equations with their applications.
American option valuation under time changed tempered stable Lévy processes
Gong, Xiaoli; Zhuang, Xintian
2017-01-01
Given that the underlying assets in financial markets exhibit stylized facts such as leptokurtosis, asymmetry, clustering properties and heteroskedasticity effect, this paper presents a novel model for pricing American option under the assumptions that the stock price processes are governed by time changed tempered stable Lévy process. As this model is constructed by introducing random time changes into tempered stable (TS) processes which specially refer to normal tempered stable (NTS) distribution as well as classical tempered stable (CTS) distribution, it permits infinite jumps as well as capturing random varying time in stochastic volatility, consequently taking into account the empirical facts such as leptokurtosis, skewness and volatility clustering behaviors. We employ the Fourier-cosine technique to calculate American option and propose the improved Particle Swarm optimization (IPSO) intelligent algorithm for model calibration. To demonstrate the advantage of the constructed model, we carry out empirical research on American index option in financial markets across wide ranges of models, with the time changing normal tempered stable distribution model yielding a superior performance than others.
Variance decomposition in stochastic simulators
Le Maître, O. P.
2015-06-28
This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.
Stability of prebiotic, laminaran oligosaccharide under food processing conditions
Chamidah, A.
2018-04-01
Prebiotic stability tests on laminaran oligosaccharide under food processing conditions were urgently performed to determine the ability of prebiotics deal with processing. Laminaran, oligosaccharide is produced from enzymatic hydrolysis. To further apply this prebiotic, it is necessary to test its performance on food processing. Single prebiotic or in combination with probiotic can improve human digestive health. The effectiveness evaluation of prebiotic should be taken into account in regards its chemical and functional stabilities. This study aims to investigate the stability of laminaran, oligosaccharide under food processing condition.
AESS: Accelerated Exact Stochastic Simulation
Jenkins, David D.; Peterson, Gregory D.
2011-12-01
The Stochastic Simulation Algorithm (SSA) developed by Gillespie provides a powerful mechanism for exploring the behavior of chemical systems with small species populations or with important noise contributions. Gene circuit simulations for systems biology commonly employ the SSA method, as do ecological applications. This algorithm tends to be computationally expensive, so researchers seek an efficient implementation of SSA. In this program package, the Accelerated Exact Stochastic Simulation Algorithm (AESS) contains optimized implementations of Gillespie's SSA that improve the performance of individual simulation runs or ensembles of simulations used for sweeping parameters or to provide statistically significant results. Program summaryProgram title: AESS Catalogue identifier: AEJW_v1_0 Program summary URL:http://cpc.cs.qub.ac.uk/summaries/AEJW_v1_0.html Program obtainable from: CPC Program Library, Queen's University, Belfast, N. Ireland Licensing provisions: University of Tennessee copyright agreement No. of lines in distributed program, including test data, etc.: 10 861 No. of bytes in distributed program, including test data, etc.: 394 631 Distribution format: tar.gz Programming language: C for processors, CUDA for NVIDIA GPUs Computer: Developed and tested on various x86 computers and NVIDIA C1060 Tesla and GTX 480 Fermi GPUs. The system targets x86 workstations, optionally with multicore processors or NVIDIA GPUs as accelerators. Operating system: Tested under Ubuntu Linux OS and CentOS 5.5 Linux OS Classification: 3, 16.12 Nature of problem: Simulation of chemical systems, particularly with low species populations, can be accurately performed using Gillespie's method of stochastic simulation. Numerous variations on the original stochastic simulation algorithm have been developed, including approaches that produce results with statistics that exactly match the chemical master equation (CME) as well as other approaches that approximate the CME. Solution
Kallianpur, Gopinath; Hida, Takeyuki
1987-01-01
The use of probabilistic methods in the biological sciences has been so well established by now that mathematical biology is regarded by many as a distinct dis cipline with its own repertoire of techniques. The purpose of the Workshop on sto chastic methods in biology held at Nagoya University during the week of July 8-12, 1985, was to enable biologists and probabilists from Japan and the U. S. to discuss the latest developments in their respective fields and to exchange ideas on the ap plicability of the more recent developments in stochastic process theory to problems in biology. Eighteen papers were presented at the Workshop and have been grouped under the following headings: I. Population genetics (five papers) II. Measure valued diffusion processes related to population genetics (three papers) III. Neurophysiology (two papers) IV. Fluctuation in living cells (two papers) V. Mathematical methods related to other problems in biology, epidemiology, population dynamics, etc. (six papers) An important f...
Entropy Production in Stochastics
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Demetris Koutsoyiannis
2017-10-01
Full Text Available While the modern definition of entropy is genuinely probabilistic, in entropy production the classical thermodynamic definition, as in heat transfer, is typically used. Here we explore the concept of entropy production within stochastics and, particularly, two forms of entropy production in logarithmic time, unconditionally (EPLT or conditionally on the past and present having been observed (CEPLT. We study the theoretical properties of both forms, in general and in application to a broad set of stochastic processes. A main question investigated, related to model identification and fitting from data, is how to estimate the entropy production from a time series. It turns out that there is a link of the EPLT with the climacogram, and of the CEPLT with two additional tools introduced here, namely the differenced climacogram and the climacospectrum. In particular, EPLT and CEPLT are related to slopes of log-log plots of these tools, with the asymptotic slopes at the tails being most important as they justify the emergence of scaling laws of second-order characteristics of stochastic processes. As a real-world application, we use an extraordinary long time series of turbulent velocity and show how a parsimonious stochastic model can be identified and fitted using the tools developed.
A Stochastic Model for Malaria Transmission Dynamics
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Rachel Waema Mbogo
2018-01-01
Full Text Available Malaria is one of the three most dangerous infectious diseases worldwide (along with HIV/AIDS and tuberculosis. In this paper we compare the disease dynamics of the deterministic and stochastic models in order to determine the effect of randomness in malaria transmission dynamics. Relationships between the basic reproduction number for malaria transmission dynamics between humans and mosquitoes and the extinction thresholds of corresponding continuous-time Markov chain models are derived under certain assumptions. The stochastic model is formulated using the continuous-time discrete state Galton-Watson branching process (CTDSGWbp. The reproduction number of deterministic models is an essential quantity to predict whether an epidemic will spread or die out. Thresholds for disease extinction from stochastic models contribute crucial knowledge on disease control and elimination and mitigation of infectious diseases. Analytical and numerical results show some significant differences in model predictions between the stochastic and deterministic models. In particular, we find that malaria outbreak is more likely if the disease is introduced by infected mosquitoes as opposed to infected humans. These insights demonstrate the importance of a policy or intervention focusing on controlling the infected mosquito population if the control of malaria is to be realized.
Processes underlying treatment success and failure in assertive community treatment.
Stull, Laura G; McGrew, John H; Salyers, Michelle P
2012-02-01
Processes underlying success and failure in assertive community treatment (ACT), a widely investigated treatment model for persons with severe mental illness, are poorly understood. The purpose of the current study was to examine processes in ACT by (1) understanding how consumers and staff describe the processes underlying treatment success and failure and (2) comparing processes identified by staff and consumers. Investigators conducted semi-structured interviews with 25 staff and 23 consumers from four ACT teams. Both staff and consumers identified aspects of the ACT team itself as the most critical in the process of consumer success. For failure, consumers identified consumer characteristics as most critical and staff identified lack of social relationships. Processes underlying failure were not viewed as merely the opposite of processes underlying success. In addition, there was notable disagreement between staff and consumers on important processes. Findings overlap with critical ingredients identified in previous studies, including aspects of the ACT team, social involvement and employment. In contrast to prior studies, there was little emphasis on hospitalizations and greater emphasis on not abusing substances, obtaining wants and desires, and consumer characteristics.
Dispute settlement process under GATT/WTO diplomatic or judicial ...
African Journals Online (AJOL)
This paper probes the mechanisms of the dispute resolution process under the World Trade Organisation (WTO) and the General Agreement on Tariff and Trade (GATT). It tries to analyse the evolution of the dispute process which was initially based on diplomatic procedures and gives an account of its evolution and ...
Zheng, Ying; Wong, David Shan-Hill; Wang, Yan-Wei; Fang, Huajing
2014-07-01
In many batch-based industrial manufacturing processes, feedback run-to-run control is used to improve production quality. However, measurements may be expensive and cannot always be performed online. Thus, the measurement delay always exists. The metrology delay will affect the stability and performance of the process. Moreover, since quality measurements are performed offline, delay is not fixed but is stochastic in nature. In this paper, a modeling approach Takagi-Sugeno (T-S) model is presented to handle stochastic metrology delay in both single-product and mixed-product processes. Based on the Markov characteristics of the delay, the membership of the T-S model is derived. Performance indices such as the mean and the variance of the closed-loop output of the exponentially weighted moving average (EWMA) control algorithm can be derived. A steady-state error of the process output always exists, which leads the output deviating from the target. To remove the steady-state error, an algorithm called compensatory EWMA run-to-run (COM-EWMA-RtR) algorithm is proposed. The validity of the T-S model analysis and the efficiency of the proposed COM-EWMA-RtR algorithm are confirmed by simulation.
Horowitz, Jordan M
2015-07-28
The stochastic thermodynamics of a dilute, well-stirred mixture of chemically reacting species is built on the stochastic trajectories of reaction events obtained from the chemical master equation. However, when the molecular populations are large, the discrete chemical master equation can be approximated with a continuous diffusion process, like the chemical Langevin equation or low noise approximation. In this paper, we investigate to what extent these diffusion approximations inherit the stochastic thermodynamics of the chemical master equation. We find that a stochastic-thermodynamic description is only valid at a detailed-balanced, equilibrium steady state. Away from equilibrium, where there is no consistent stochastic thermodynamics, we show that one can still use the diffusive solutions to approximate the underlying thermodynamics of the chemical master equation.
Stochastic estimation of electricity consumption
International Nuclear Information System (INIS)
Electricity consumption forecasting represents a part of the stable functioning of the power system. It is very important because of rationality and increase of control process efficiency and development planning of all aspects of society. On a scientific basis, forecasting is a possible way to solve problems. Among different models that have been used in the area of forecasting, the stochastic aspect of forecasting as a part of quantitative models takes a very important place in applications. ARIMA models and Kalman filter as stochastic estimators have been treated together for electricity consumption forecasting. Therefore, the main aim of this paper is to present the stochastic forecasting aspect using short time series. (author)
The multivariate supOU stochastic volatility model
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole; Stelzer, Robert
structure of the volatility, the log returns, as well as their "squares" are discussed in detail. Moreover, we give several examples in which long memory effects occur and study how the model as well as the simple Ornstein-Uhlenbeck type stochastic volatility model behave under linear transformations......Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence effects. The finiteness of moments and the second order....... In particular, the models are shown to be preserved under invertible linear transformations. Finally, we discuss how (sup)OU stochastic volatility models can be combined with a factor modelling approach....
Stochastic dynamics and combinatorial optimization
Ovchinnikov, Igor V.; Wang, Kang L.
2017-11-01
Natural dynamics is often dominated by sudden nonlinear processes such as neuroavalanches, gamma-ray bursts, solar flares, etc., that exhibit scale-free statistics much in the spirit of the logarithmic Ritcher scale for earthquake magnitudes. On phase diagrams, stochastic dynamical systems (DSs) exhibiting this type of dynamics belong to the finite-width phase (N-phase for brevity) that precedes ordinary chaotic behavior and that is known under such names as noise-induced chaos, self-organized criticality, dynamical complexity, etc. Within the recently proposed supersymmetric theory of stochastic dynamics, the N-phase can be roughly interpreted as the noise-induced “overlap” between integrable and chaotic deterministic dynamics. As a result, the N-phase dynamics inherits the properties of the both. Here, we analyze this unique set of properties and conclude that the N-phase DSs must naturally be the most efficient optimizers: on one hand, N-phase DSs have integrable flows with well-defined attractors that can be associated with candidate solutions and, on the other hand, the noise-induced attractor-to-attractor dynamics in the N-phase is effectively chaotic or aperiodic so that a DS must avoid revisiting solutions/attractors thus accelerating the search for the best solution. Based on this understanding, we propose a method for stochastic dynamical optimization using the N-phase DSs. This method can be viewed as a hybrid of the simulated and chaotic annealing methods. Our proposition can result in a new generation of hardware devices for efficient solution of various search and/or combinatorial optimization problems.
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...... Sci 42:1093–1104, 1996). To our knowledge, nobody has ever tested whether the optimal solutions obtained in those papers are valid if the real system is exposed to randomness: with regard to demand process as well as with regard to the deterioration process. The motivation is that although the real...
Moschos, Evangelos; Manou, Georgia; Georganta, Xristina; Dimitriadis, Panayiotis; Iliopoulou, Theano; Tyralis, Hristos; Koutsoyiannis, Demetris; Tsoukala, Vicky
2017-04-01
The large energy potential of ocean dynamics is not yet being efficiently harvested mostly due to several technological and financial drawbacks. Nevertheless, modern renewable energy systems include wave and tidal energy in cases of nearshore locations. Although the variability of tidal waves can be adequately predictable, wind-generated waves entail a much larger uncertainty due to their dependence to the wind process. Recent research has shown, through estimation of the wave energy potential in coastal areas of the Aegean Sea, that installation of wave energy converters in nearshore locations could be an applicable scenario, assisting the electrical network of Greek islands. In this context, we analyze numerous of observations and we investigate the long-term behaviour of wave height and wave period processes. Additionally, we examine the case of a remote island in the Aegean sea, by estimating the local wave climate through past analysis data and numerical methods, and subsequently applying a parsimonious stochastic model to a theoretical scenario of wave energy production. 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.
Gopalan, M; Subramanian, R
1991-01-01
A volume of this nature containing a collection of papers has been brought out to honour a gentleman - a friend and a colleague - whose work has, to a large extent, advanced and popularized the use of stochastic point processes. Professor Srinivasan celebrated his sixt~ first 1:!irth d~ on December 16,1990 and will be retiring as Professor of Applied Mathematics from the Indian Institute of Technolo~, Madras on June 30,1991. In view of his outstanding contributions to the theor~ and applications of stochastic processes over a time span of thirt~ ~ears, it seemed appropriate not to let his birth d~ and retirement pass unnoticed. A s~posium in his honour and the publication of the proceedings appeared to us to be the most natural and sui table ~ to mark the occasion. The Indian Societ~ for ProbabU it~ and Statistics volunteered to organize the S~posium as part of their XII Annual conference in Bomba~. We requested a number of long-time friends, colleagues and former students of Professor Srinivasan to contribut...
Stochastic Analysis and Related Topics
Ustunel, Ali
1988-01-01
The Silvri Workshop was divided into a short summer school and a working conference, producing lectures and research papers on recent developments in stochastic analysis on Wiener space. The topics treated in the lectures relate to the Malliavin calculus, the Skorohod integral and nonlinear functionals of white noise. Most of the research papers are applications of these subjects. This volume addresses researchers and graduate students in stochastic processes and theoretical physics.
The levels of processing effect under nitrogen narcosis.
Kneller, Wendy; Hobbs, Malcolm
2013-01-01
Previous research has consistently demonstrated that inert gas (nitrogen) narcosis affects free recall but not recognition memory in the depth range of 30 to 50 meters of sea water (msw), possibly as a result of narcosis preventing processing when learned material is encoded. The aim of the current research was to test this hypothesis by applying a levels of processing approach to the measurement of free recall under narcosis. Experiment 1 investigated the effect of depth (0-2 msw vs. 37-39 msw) and level of processing (shallow vs. deep) on free recall memory performance in 67 divers. When age was included as a covariate, recall was significantly worse in deep water (i.e., under narcosis), compared to shallow water, and was significantly higher in the deep processing compared to shallow processing conditions in both depth conditions. Experiment 2 demonstrated that this effect was not simply due to the different underwater environments used for the depth conditions in Experiment 1. It was concluded memory performance can be altered by processing under narcosis and supports the contention that narcosis affects the encoding stage of memory as opposed to self-guided search (retrieval).
Directory of Open Access Journals (Sweden)
S. Aberkane
2007-01-01
Full Text Available This paper deals with dynamic output feedback control of continuous-time active fault tolerant control systems with Markovian parameters (AFTCSMP and state-dependent noise. The main contribution is to formulate conditions for multiperformance design, related to this class of stochastic hybrid systems, that take into account the problematic resulting from the fact that the controller only depends on the fault detection and isolation (FDI process. The specifications and objectives under consideration include stochastic stability, ℋ2 and ℋ∞ (or more generally, stochastic integral quadratic constraints performances. Results are formulated as matrix inequalities. The theoretical results are illustrated using a classical example from literature.
Gazijahani, Farhad Samadi; Ravadanegh, Sajad Najafi; Salehi, Javad
2018-02-01
The inherent volatility and unpredictable nature of renewable generations and load demand pose considerable challenges for energy exchange optimization of microgrids (MG). To address these challenges, this paper proposes a new risk-based multi-objective energy exchange optimization for networked MGs from economic and reliability standpoints under load consumption and renewable power generation uncertainties. In so doing, three various risk-based strategies are distinguished by using conditional value at risk (CVaR) approach. The proposed model is specified as a two-distinct objective function. The first function minimizes the operation and maintenance costs, cost of power transaction between upstream network and MGs as well as power loss cost, whereas the second function minimizes the energy not supplied (ENS) value. Furthermore, the stochastic scenario-based approach is incorporated into the approach in order to handle the uncertainty. Also, Kantorovich distance scenario reduction method has been implemented to reduce the computational burden. Finally, non-dominated sorting genetic algorithm (NSGAII) is applied to minimize the objective functions simultaneously and the best solution is extracted by fuzzy satisfying method with respect to risk-based strategies. To indicate the performance of the proposed model, it is performed on the modified IEEE 33-bus distribution system and the obtained results show that the presented approach can be considered as an efficient tool for optimal energy exchange optimization of MGs. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.
A stochastic model for the financial market with discontinuous prices
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Leda D. Minkova
1996-01-01
Full Text Available This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.
Optimal fuel-mix in CHP plants under a stochastic permit price. Risk-neutrality versus risk-aversion
International Nuclear Information System (INIS)
Lappi, Pauli; Ollikka, Kimmo; Ollikainen, Markku
2010-01-01
This paper studies the optimal fuel-mix of a CHP producer under emission permit price risk. The producer's multi-fuel plant uses two CO 2 -intensive fuels and one clean fuel. Using a mean-variance framework we develop three models. The models are divided into spot-models (risk neutral and risk averse cases) and a forward-model (risk averse case). We derive the effects of price risk on optimal fuel use. An increase in price risk can in fact increase the use of CO 2 -intensive fuel in the spot-model. In the forward-model, the production and financial decisions are separate. We also evaluate the risk-bearing behavior of seven Finnish CHP producers. We found that risk-neutrality describes behavior better than risk-aversion. (author)
Reach tracking reveals dissociable processes underlying cognitive control.
Erb, Christopher D; Moher, Jeff; Sobel, David M; Song, Joo-Hyun
2016-07-01
The current study uses reach tracking to investigate how cognitive control is implemented during online performance of the Stroop task (Experiment 1) and the Eriksen flanker task (Experiment 2). We demonstrate that two of the measures afforded by reach tracking, initiation time and reach curvature, capture distinct patterns of effects that have been linked to dissociable processes underlying cognitive control in electrophysiology and functional neuroimaging research. Our results suggest that initiation time reflects a response threshold adjustment process involving the inhibition of motor output, while reach curvature reflects the degree of co-activation between response alternatives registered by a monitoring process over the course of a trial. In addition to shedding new light on fundamental questions concerning how these processes contribute to the cognitive control of behavior, these results present a framework for future research to investigate how these processes function across different tasks, develop across the lifespan, and differ among individuals. Copyright © 2016 Elsevier B.V. All rights reserved.
Explaining individual differences in cognitive processes underlying hindsight bias.
Coolin, Alisha; Erdfelder, Edgar; Bernstein, Daniel M; Thornton, Allen E; Thornton, Wendy Loken
2015-04-01
After learning an event's outcome, people's recollection of their former prediction of that event typically shifts toward the actual outcome. Erdfelder and Buchner (Journal of Experimental Psychology: Learning, Memory, and Cognition, 24, 387-414, 1998) developed a multinomial processing tree (MPT) model to identify the underlying processes contributing to this hindsight bias (HB) phenomenon. More recent applications of this model have revealed that, in comparison to younger adults, older adults are more susceptible to two underlying HB processes: recollection bias and reconstruction bias. However, the impact of cognitive functioning on these processes remains unclear. In this article, we extend the MPT model for HB by incorporating individual variation in cognitive functioning into the estimation of the model's core parameters in older and younger adults. In older adults, our findings revealed that (1) better episodic memory was associated with higher recollection ability in the absence of outcome knowledge, (2) better episodic memory and inhibitory control and higher working memory capacity were associated with higher recollection ability in the presence of outcome knowledge, and (3) better inhibitory control was associated with less reconstruction bias. Although the pattern of effects was similar in younger adults, the cognitive covariates did not significantly predict the underlying HB processes in this age group. In sum, we present a novel approach to modeling individual variability in MPT models. We applied this approach to the HB paradigm to identify the cognitive mechanisms contributing to the underlying HB processes. Our results show that working memory capacity and inhibitory control, respectively, drive individual differences in recollection bias and reconstruction bias, particularly in older adults.