Showing papers on "Stochastic process published in 2010"

Numerical Methods for Stochastic Computations: A Spectral Method Approach

Abstract: The first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial chaos (gPC). These fast, efficient, and accurate methods are an extension of the classical spectral methods of high-dimensional random spaces. Designed to simulate complex systems subject to random inputs, these methods are widely used in many areas of computer science and engineering. The book introduces polynomial approximation theory and probability theory; describes the basic theory of gPC methods through numerical examples and rigorous development; details the procedure for converting stochastic equations into deterministic ones; using both the Galerkin and collocation approaches; and discusses the distinct differences and challenges arising from high-dimensional problems. The last section is devoted to the application of gPC methods to critical areas such as inverse problems and data assimilation. Ideal for use by graduate students and researchers both in the classroom and for self-study, Numerical Methods for Stochastic Computations provides the required tools for in-depth research related to stochastic computations.The first graduate-level textbook to focus on the fundamentals of numerical methods for stochastic computations Ideal introduction for graduate courses or self-study Fast, efficient, and accurate numerical methods Polynomial approximation theory and probability theory included Basic gPC methods illustrated through examples

Random Walk: A Modern Introduction

Abstract: Random walks are stochastic processes formed by successive summation of independent, identically distributed random variables and are one of the most studied topics in probability theory. This contemporary introduction evolved from courses taught at Cornell University and the University of Chicago by the first author, who is one of the most highly regarded researchers in the field of stochastic processes. This text meets the need for a modern reference to the detailed properties of an important class of random walks on the integer lattice. It is suitable for probabilists, mathematicians working in related fields, and for researchers in other disciplines who use random walks in modeling.

Multidimensional Stochastic Processes as Rough Paths

Abstract: Rough path analysis provides a fresh perspective on Ito's important theory of stochastic differential equations. Key theorems of modern stochastic analysis (existence and limit theorems for stochastic flows, Freidlin-Wentzell theory, the Stroock-Varadhan support description) can be obtained with dramatic simplifications. Classical approximation results and their limitations (Wong-Zakai, McShane's counterexample) receive 'obvious' rough path explanations. Evidence is building that rough paths will play an important role in the future analysis of stochastic partial differential equations and the authors include some first results in this direction. They also emphasize interactions with other parts of mathematics, including Caratheodory geometry, Dirichlet forms and Malliavin calculus. Based on successful courses at the graduate level, this up-to-date introduction presents the theory of rough paths and its applications to stochastic analysis. Examples, explanations and exercises make the book accessible to graduate students and researchers from a variety of fields.

Consensus Conditions of Multi-Agent Systems With Time-Varying Topologies and Stochastic Communication Noises

Abstract: This paper investigates the average-consensus problem of first-order discrete-time multi-agent networks in uncertain communication environments. Each agent can only use its own and neighbors' information to design its control input. To attenuate the communication noises, a distributed stochastic approximation type protocol is used. By using probability limit theory and algebraic graph theory, consensus conditions for this kind of protocols are obtained: (A) For the case of fixed topologies, a necessary and sufficient condition for mean square average-consensus is given, which is also sufficient for almost sure consensus. (B) For the case of time-varying topologies, sufficient conditions for mean square average-consensus and almost sure consensus are given, respectively. Especially, if the network switches between jointly-containing-spanning-tree, instantaneously balanced graphs, then the designed protocol can guarantee that each individual state converges, both almost surely and in mean square, to a common random variable, whose expectation is right the average of the initial states of the whole system, and whose variance describes the static maximum mean square error between each individual state and the average of the initial states of the whole system.

Global Synchronization for Discrete-Time Stochastic Complex Networks With Randomly Occurred Nonlinearities and Mixed Time Delays

Abstract: In this paper, the problem of stochastic synchronization analysis is investigated for a new array of coupled discrete-time stochastic complex networks with randomly occurred nonlinearities (RONs) and time delays. The discrete-time complex networks under consideration are subject to: (1) stochastic nonlinearities that occur according to the Bernoulli distributed white noise sequences; (2) stochastic disturbances that enter the coupling term, the delayed coupling term as well as the overall network; and (3) time delays that include both the discrete and distributed ones. Note that the newly introduced RONs and the multiple stochastic disturbances can better reflect the dynamical behaviors of coupled complex networks whose information transmission process is affected by a noisy environment (e.g., Internet-based control systems). By constructing a novel Lyapunov-like matrix functional, the idea of delay fractioning is applied to deal with the addressed synchronization analysis problem. By employing a combination of the linear matrix inequality (LMI) techniques, the free-weighting matrix method and stochastic analysis theories, several delay-dependent sufficient conditions are obtained which ensure the asymptotic synchronization in the mean square sense for the discrete-time stochastic complex networks with time delays. The criteria derived are characterized in terms of LMIs whose solution can be solved by utilizing the standard numerical software. A simulation example is presented to show the effectiveness and applicability of the proposed results.

Stochastic epidemic models: a survey.

Abstract: This paper is a survey paper on stochastic epidemic models. A simple stochastic epidemic model is defined and exact and asymptotic (relying on a large community) properties are presented. The purpose of modelling is illustrated by studying effects of vaccination and also in terms of inference procedures for important parameters, such as the basic reproduction number and the critical vaccination coverage. Several generalizations towards realism, e.g. multitype and household epidemic models, are also presented, as is a model for endemic diseases.

Distributed Consensus Algorithms in Sensor Networks: Quantized Data and Random Link Failures

Abstract: The paper studies the problem of distributed average consensus in sensor networks with quantized data and random link failures. To achieve consensus, dither (small noise) is added to the sensor states before quantization. When the quantizer range is unbounded (countable number of quantizer levels), stochastic approximation shows that consensus is asymptotically achieved with probability one and in mean square to a finite random variable. We show that the mean-squared error (mse) can be made arbitrarily small by tuning the link weight sequence, at a cost of the convergence rate of the algorithm. To study dithered consensus with random links when the range of the quantizer is bounded, we establish uniform boundedness of the sample paths of the unbounded quantizer. This requires characterization of the statistical properties of the supremum taken over the sample paths of the state of the quantizer. This is accomplished by splitting the state vector of the quantizer in two components: one along the consensus subspace and the other along the subspace orthogonal to the consensus subspace. The proofs use maximal inequalities for submartingale and supermartingale sequences. From these, we derive probability bounds on the excursions of the two subsequences, from which probability bounds on the excursions of the quantizer state vector follow. The paper shows how to use these probability bounds to design the quantizer parameters and to explore tradeoffs among the number of quantizer levels, the size of the quantization steps, the desired probability of saturation, and the desired level of accuracy ? away from consensus. Finally, the paper illustrates the quantizer design with a numerical study.

Sampling-Based Path Planning on Configuration-Space Costmaps

Abstract: This paper addresses path planning to consider a cost function defined over the configuration space. The proposed planner computes low-cost paths that follow valleys and saddle points of the configuration-space costmap. It combines the exploratory strength of the Rapidly exploring Random Tree (RRT) algorithm with transition tests used in stochastic optimization methods to accept or to reject new potential states. The planner is analyzed and shown to compute low-cost solutions with respect to a path-quality criterion based on the notion of mechanical work. A large set of experimental results is provided to demonstrate the effectiveness of the method. Current limitations and possible extensions are also discussed.

A Probabilistic Particle-Control Approximation of Chance-Constrained Stochastic Predictive Control

Abstract: Robotic systems need to be able to plan control actions that are robust to the inherent uncertainty in the real world. This uncertainty arises due to uncertain state estimation, disturbances, and modeling errors, as well as stochastic mode transitions such as component failures. Chance-constrained control takes into account uncertainty to ensure that the probability of failure, due to collision with obstacles, for example, is below a given threshold. In this paper, we present a novel method for chance-constrained predictive stochastic control of dynamic systems. The method approximates the distribution of the system state using a finite number of particles. By expressing these particles in terms of the control variables, we are able to approximate the original stochastic control problem as a deterministic one; furthermore, the approximation becomes exact as the number of particles tends to infinity. This method applies to arbitrary noise distributions, and for systems with linear or jump Markov linear dynamics, we show that the approximate problem can be solved using efficient mixed-integer linear-programming techniques. We also introduce an important weighting extension that enables the method to deal with low-probability mode transitions such as failures. We demonstrate in simulation that the new method is able to control an aircraft in turbulence and can control a ground vehicle while being robust to brake failures.

Theory and Applications of Stochastic Processes: An Analytical Approach

Abstract: The Physical Brownian Motion: Diffusion And Noise.- The Probability Space of Brownian Motion.- It#x00F4 Integration and Calculus.- Stochastic Differential Equations.- The Discrete Approach and Boundary Behavior.- The First Passage Time of Diffusions.- Markov Processes and their Diffusion Approximations.- Diffusion Approximations to Langevin#x2019 s Equation.- Large Deviations of Markovian Jump Processes.- Noise-Induced Escape From an Attractor.- Stochastic Stability.

ARIMA-Based Time Series Model of Stochastic Wind Power Generation

Abstract: This paper proposes a stochastic wind power model based on an autoregressive integrated moving average (ARIMA) process. The model takes into account the nonstationarity and physical limits of stochastic wind power generation. The model is constructed based on wind power measurement of one year from the Nysted offshore wind farm in Denmark. The proposed limited-ARIMA (LARIMA) model introduces a limiter and characterizes the stochastic wind power generation by mean level, temporal correlation and driving noise. The model is validated against the measurement in terms of temporal correlation and probability distribution. The LARIMA model outperforms a first-order transition matrix based discrete Markov model in terms of temporal correlation, probability distribution and model parameter number. The proposed LARIMA model is further extended to include the monthly variation of the stochastic wind power generation.

Robust Exponential Stability of Markovian Jump Impulsive Stochastic Cohen-Grossberg Neural Networks With Mixed Time Delays

Abstract: This paper is concerned with the problem of exponential stability for a class of Markovian jump impulsive stochastic Cohen-Grossberg neural networks with mixed time delays and known or unknown parameters. The jumping parameters are determined by a continuous-time, discrete-state Markov chain, and the mixed time delays under consideration comprise both time-varying delays and continuously distributed delays. To the best of the authors' knowledge, till now, the exponential stability problem for this class of generalized neural networks has not yet been solved since continuously distributed delays are considered in this paper. The main objective of this paper is to fill this gap. By constructing a novel Lyapunov-Krasovskii functional, and using some new approaches and techniques, several novel sufficient conditions are obtained to ensure the exponential stability of the trivial solution in the mean square. The results presented in this paper generalize and improve many known results. Finally, two numerical examples and their simulations are given to show the effectiveness of the theoretical results.

A useful lemma for capacity analysis of fading interference channels

Abstract: This paper presents a simple new expression for the exact evaluation of averages of the form E [ln (1+x1+...xN/y1+...+yM+1)], where x1,..., xN, y1..., yM are arbitrary non-negative random variables, in terms of the joint moment generating functions of these random variables. Application examples are given for the ergodic capacity evaluation of some multiuser wireless communication systems which are difficult to solve by the known classical methods.

Exponential Stabilization of a Class of Stochastic System With Markovian Jump Parameters and Mode-Dependent Mixed Time-Delays

Abstract: In this technical note, the globally exponential stabilization problem is investigated for a general class of stochastic systems with both Markovian jumping parameters and mixed time-delays. The mixed mode-dependent time-delays consist of both discrete and distributed delays. We aim to design a memoryless state feedback controller such that the closed-loop system is stochastically exponentially stable in the mean square sense. First, by introducing a new Lyapunov-Krasovskii functional that accounts for the mode-dependent mixed delays, stochastic analysis is conducted in order to derive a criterion for the exponential stabilizability problem. Then, a variation of such a criterion is developed to facilitate the controller design by using the linear matrix inequality (LMI) approach. Finally, it is shown that the desired state feedback controller can be characterized explicitly in terms of the solution to a set of LMIs. Numerical simulation is carried out to demonstrate the effectiveness of the proposed methods.

Efficient stochastic thermostatting of path integral molecular dynamics.

Abstract: The path integral molecular dynamics (PIMD) method provides a convenient way to compute the quantum mechanical structural and thermodynamic properties of condensed phase systems at the expense of introducing an additional set of high frequency normal modes on top of the physical vibrations of the system. Efficiently sampling such a wide range of frequencies provides a considerable thermostatting challenge. Here we introduce a simple stochastic path integral Langevin equation (PILE) thermostat which exploits an analytic knowledge of the free path integral normal mode frequencies. We also apply a recently developed colored noise thermostat based on a generalized Langevin equation (GLE), which automatically achieves a similar, frequency-optimized sampling. The sampling efficiencies of these thermostats are compared with that of the more conventional Nose–Hoover chain (NHC) thermostat for a number of physically relevant properties of the liquid water and hydrogen-in-palladium systems. In nearly every case, the new PILE thermostat is found to perform just as well as the NHC thermostat while allowing for a computationally more efficient implementation. The GLE thermostat also proves to be very robust delivering a near-optimum sampling efficiency in all of the cases considered. We suspect that these simple stochastic thermostats will therefore find useful application in many future PIMD simulations.

Weakly dependent functional data

Abstract: Functional data often arise from measurements on fine time grids and are obtained by separating an almost continuous time record into natural consecutive intervals, for example, days. The functions thus obtained form a functional time series, and the central issue in the analysis of such data consists in taking into account the temporal dependence of these functional observations. Examples include daily curves of financial transaction data and daily patterns of geophysical and environmental data. For scalar and vector valued stochastic processes, a large number of dependence notions have been proposed, mostly involving mixing type distances between $\sigma$-algebras. In time series analysis, measures of dependence based on moments have proven most useful (autocovariances and cumulants). We introduce a moment-based notion of dependence for functional time series which involves $m$-dependence. We show that it is applicable to linear as well as nonlinear functional time series. Then we investigate the impact of dependence thus quantified on several important statistical procedures for functional data. We study the estimation of the functional principal components, the long-run covariance matrix, change point detection and the functional linear model. We explain when temporal dependence affects the results obtained for i.i.d. functional observations and when these results are robust to weak dependence.

Distance Distributions in Finite Uniformly Random Networks: Theory and Applications

Abstract: In wireless networks, knowledge of internode distances is essential for performance analysis and protocol design. When determining distance distributions in random networks, the underlying nodal arrangement is almost universally taken to be a stationary Poisson point process. While this may be a good approximation in some cases, there are also certain shortcomings to this model, such as the fact that, in practical networks, the number of nodes in disjoint areas is not independent. This paper considers a more-realistic network model where a known and fixed number of nodes are independently distributed in a given region and characterizes the distribution of the Euclidean internode distances. The key finding is that, when the nodes are uniformly randomly placed inside a ball of arbitrary dimensions, the probability density function (pdf) of the internode distances follows a generalized beta distribution. This result is applied to study wireless network characteristics such as energy consumption, interference, outage, and connectivity.

Robust $H_{\infty}$ Filtering for a Class of Nonlinear Networked Systems With Multiple Stochastic Communication Delays and Packet Dropouts

Abstract: In this paper, the robust H∞ filtering problem is studied for a class of uncertain nonlinear networked systems with both multiple stochastic time-varying communication delays and multiple packet dropouts. A sequence of random variables, all of which are mutually independent but obey Bernoulli distribution, are introduced to account for the randomly occurred communication delays. The packet dropout phenomenon occurs in a random way and the occurrence probability for each sensor is governed by an individual random variable satisfying a certain probabilistic distribution in the interval. The discrete-time system under consideration is also subject to parameter uncertainties, state-dependent stochastic disturbances and sector-bounded nonlinearities. We aim to design a linear full-order filter such that the estimation error converges to zero exponentially in the mean square while the disturbance rejection attenuation is constrained to a give level by means of the H∞ performance index. Intensive stochastic analysis is carried out to obtain sufficient conditions for ensuring the exponential stability as well as prescribed H∞ performance for the overall filtering error dynamics, in the presence of random delays, random dropouts, nonlinearities, and the parameter uncertainties. These conditions are characterized in terms of the feasibility of a set of linear matrix inequalities (LMIs), and then the explicit expression is given for the desired filter parameters. Simulation results are employed to demonstrate the effectiveness of the proposed filter design technique in this paper.

Stochastic modelling of animal movement

Abstract: Modern animal movement modelling derives from two traditions. Lagrangian models, based on random walk behaviour, are useful for multi-step trajectories of single animals. Continuous Eulerian models describe expected behaviour, averaged over stochastic realizations, and are usefully applied to ensembles of individuals. We illustrate three modern research arenas. (i) Models of home-range formation describe the process of an animal ‘settling down’, accomplished by including one or more focal points that attract the animal's movements. (ii) Memory-based models are used to predict how accumulated experience translates into biased movement choices, employing reinforced random walk behaviour, with previous visitation increasing or decreasing the probability of repetition. (iii) Levy movement involves a step-length distribution that is over-dispersed, relative to standard probability distributions, and adaptive in exploring new environments or searching for rare targets. Each of these modelling arenas implies more detail in the movement pattern than general models of movement can accommodate, but realistic empiric evaluation of their predictions requires dense locational data, both in time and space, only available with modern GPS telemetry.

Weakly dependent functional data

Abstract: Functional data often arise from measurements on fine time grids and are obtained by separating an almost continuous time record into natural consecutive intervals, for example, days. The functions thus obtained form a functional time series, and the central issue in the analysis of such data consists in taking into account the temporal dependence of these functional observations. Examples include daily curves of financial transaction data and daily patterns of geophysical and environmental data. For scalar and vector valued stochastic processes, a large number of dependence notions have been proposed, mostly involving mixing type distances between σ-algebras. In time series analysis, measures of dependence based on moments have proven most useful (autocovariances and cumulants). We introduce a moment-based notion of dependence for functional time series which involves m-dependence. We show that it is applicable to linear as well as nonlinear functional time series. Then we investigate the impact of dependence thus quantified on several important statistical procedures for functional data. We study the estimation of the functional principal components, the long-run covariance matrix, change point detection and the functional linear model. We explain when temporal dependence affects the results obtained for i.i.d. functional observations and when these results are robust to weak dependence.

Large Deviations and Ensembles of Trajectories in Stochastic Models

Abstract: We consider ensembles of trajectories associated with large deviations of time-integrated quantities in stochastic models. Motivated by proposals that these ensembles are relevant for physical processes such as shearing and glassy relaxation, we show how they can be generated directly using auxiliary stochastic processes. We illustrate our results using the GlauberIsing chain, for which biased ensembles of trajectories can exhibit ferromagnetic ordering. We discuss the relation between such biased ensembles and quantum phase transitions.

Description of stochastic and chaotic series using visibility graphs

Abstract: Nonlinear time series analysis is an active field of research that studies the structure of complex signals in order to derive information of the process that generated those series, for understanding, modeling and forecasting purposes. In the last years, some methods mapping time series to network representations have been proposed. The purpose is to investigate on the properties of the series through graph theoretical tools recently developed in the core of the celebrated complex network theory. Among some other methods, the so-called visibility algorithm has received much attention, since it has been shown that series correlations are captured by the algorithm and translated in the associated graph, opening the possibility of building fruitful connections between time series analysis, nonlinear dynamics, and graph theory. Here we use the horizontal visibility algorithm to characterize and distinguish between correlated stochastic, uncorrelated and chaotic processes. We show that in every case the series maps into a graph with exponential degree distribution P(k)∼exp(-λk), where the value of λ characterizes the specific process. The frontier between chaotic and correlated stochastic processes, λ=ln(3/2) , can be calculated exactly, and some other analytical developments confirm the results provided by extensive numerical simulations and (short) experimental time series.

Robust $H_{\infty }$ Fuzzy Output-Feedback Control With Multiple Probabilistic Delays and Multiple Missing Measurements

Abstract: In this paper, the robust H∞-control problem is investigated for a class of uncertain discrete-time fuzzy systems with both multiple probabilistic delays and multiple missing measurements. A sequence of random variables, all of which are mutually independent but obey the Bernoulli distribution, is introduced to account for the probabilistic communication delays. The measurement-missing phenomenon occurs in a random way. The missing probability for each sensor satisfies a certain probabilistic distribution in the interval. Here, the attention is focused on the analysis and design of H∞ fuzzy output-feedback controllers such that the closed-loop Takagi-Sugeno (T-S) fuzzy-control system is exponentially stable in the mean square. The disturbance-rejection attenuation is constrained to a given level by means of the H∞-performance index. Intensive analysis is carried out to obtain sufficient conditions for the existence of admissible output feedback controllers, which ensures the exponential stability as well as the prescribed H∞ performance. The cone-complementarity-linearization procedure is employed to cast the controller-design problem into a sequential minimization one that is solved by the semi-definite program method. Simulation results are utilized to demonstrate the effectiveness of the proposed design technique in this paper.

Fractional Brownian motion and motion governed by the fractional Langevin equation in confined geometries.

Abstract: Motivated by subdiffusive motion of biomolecules observed in living cells, we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and restricted to a finite domain. We investigate by analytic calculations and simulations how time-averaged observables (e.g., the time-averaged mean-squared displacement and displacement correlation) are affected by spatial confinement and dimensionality. In particular, we study the degree of weak ergodicity breaking and scatter between different single trajectories for this confined motion in the subdiffusive domain. The general trend is that deviations from ergodicity are decreased with decreasing size of the movement volume and with increasing dimensionality. We define the displacement correlation function and find that this quantity shows distinct features for fractional Brownian motion, fractional Langevin equation, and continuous time subdiffusion, such that it appears an efficient measure to distinguish these different processes based on single-particle trajectory data.

Output Feedback Regulation of Stochastic Nonlinear Systems With Stochastic iISS Inverse Dynamics

Abstract: This paper develops a unifying framework for output feedback regulation of stochastic nonlinear systems with more general stochastic inverse dynamics. The contributions of this work are characterized by the following novel features: (1) Motivated by the concept of integral input-to-state stability (iISS) in deterministic systems and stochastic input-to-state stability (SISS) using Lyapunov function in stochastic systems, a concept of stochastic integral input-to-state stability (SiISS) using Lyapunov function is first introduced, two important properties of SiISS are obtained: (i) SiISS is strictly weaker than SISS using Lyapunov function; (ii) SiISS is stronger than the minimum-phase property. However, only under the minimum-phase assumption, there is no dynamic output feedback control law for global stabilization in probability. (2) Almost sure boundedness, a reasonable and stronger concept than boundedness in probability, is introduced. The purpose of introducing the concept is to prove the boundedness and convergence of some signals in the closed-loop control system. (3) Some important mathematical tools which play an essential role in the boundedness and convergence analysis of the closed-loop system are established. (4) A unifying framework is proposed to design a dynamic output feedback control law, which drives the states to the origin almost surely while maintaining all the closed-loop signals bounded almost surely.