Stabilization of stochastic approximation by step size adaptation

A scheme for stabilizing stochastic approximation iterates by adaptively scaling the step sizes is proposed and analyzed. This scheme leads to the same limiting differential equation as the original scheme and therefore has the same limiting behavior, while avoiding the difficulties associated with projection schemes. The proof technique requires only that the limiting o.d.e. descend a certain Lyapunov function outside an arbitrarily large bounded set. (C) 2012 Elsevier B.V. All rights reserved.

Robust solver based on modified particle swarm optimization for improved solution of diffusion transport through containment facilities

Accurate estimation of mass transport parameters is necessary for overall design and evaluation processes of the waste disposal facilities. The mass transport parameters, such as effective diffusion coefficient, retardation factor and diffusion accessible porosity, are estimated from observed diffusion data by inverse analysis. Recently, particle swarm optimization (PSO) algorithm has been used to develop inverse model for estimating these parameters that alleviated existing limitations in the inverse analysis. However, PSO solver yields different solutions in successive runs because of the stochastic nature of the algorithm and also because of the presence of multiple optimum solutions. Thus the estimated mean solution from independent runs is significantly different from the best solution. In this paper, two variants of the PSO algorithms are proposed to improve the performance of the inverse analysis. The proposed algorithms use perturbation equation for the gbest particle to gain information around gbest region on the search space and catfish particles in alternative iterations to improve exploration capabilities. Performance comparison of developed solvers on synthetic test data for two different diffusion problems reveals that one of the proposed solvers, CPPSO, significantly improves overall performance with improved best, worst and mean fitness values. The developed solver is further used to estimate transport parameters from 12 sets of experimentally observed diffusion data obtained from three diffusion problems and compared with published values from the literature. The proposed solver is quick, simple and robust on different diffusion problems. (C) 2012 Elsevier Ltd. All rights reserved.

Synchronization of globally coupled two-state stochastic oscillators with a state-dependent refractory period

We present a model of identical coupled two-state stochastic units, each of which in isolation is governed by a fixed refractory period. The nonlinear coupling between units directly affects the refractory period, which now depends on the global state of the system and can therefore itself become time dependent. At weak coupling the array settles into a quiescent stationary state. Increasing coupling strength leads to a saddle node bifurcation, beyond which the quiescent state coexists with a stable limit cycle of nonlinear coherent oscillations. We explicitly determine the critical coupling constant for this transition.

SPLIT-STEP FORWARD MILSTEIN METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS

In this paper, we consider the problem of computing numerical solutions for stochastic differential equations (SDEs) of Ito form. A fully explicit method, the split-step forward Milstein (SSFM) method, is constructed for solving SDEs. It is proved that the SSFM method is convergent with strong order gamma = 1 in the mean-square sense. The analysis of stability shows that the mean-square stability properties of the method proposed in this paper are an improvement on the mean-square stability properties of the Milstein method and three stage Milstein methods.

Zero-Sum Risk-Sensitive Stochastic Differential Games

We study zero-sum risk-sensitive stochastic differential games on the infinite horizon with discounted and ergodic payoff criteria. Under certain assumptions, we establish the existence of values and saddle-point equilibria. We obtain our results by studying the corresponding Hamilton-Jacobi-Isaacs equations. Finally, we show that the value of the ergodic payoff criterion is a constant multiple of the maximal eigenvalue of the generators of the associated nonlinear semigroups.

Existence of Value in Stochastic Differential Games of Mixed Type

In this article, we address stochastic differential games of mixed type with both control and stopping times. Under standard assumptions, we show that the value of the game can be characterized as the unique viscosity solution of corresponding Hamilton-Jacobi-Isaacs (HJI) variational inequalities.

Optimal Control of Markov Processes with Age-Dependent Transition Rates

We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite horizon average cost problems. Our approach is via the construction of an equivalent semi-Markov decision process. We characterise the value function and optimal controls for both discounted and average cost cases.

Computational algorithms inspired by biological processes and evolution

In recent times computational algorithms inspired by biological processes and evolution are gaining much popularity for solving science and engineering problems. These algorithms are broadly classified into evolutionary computation and swarm intelligence algorithms, which are derived based on the analogy of natural evolution and biological activities. These include genetic algorithms, genetic programming, differential evolution, particle swarm optimization, ant colony optimization, artificial neural networks, etc. The algorithms being random-search techniques, use some heuristics to guide the search towards optimal solution and speed-up the convergence to obtain the global optimal solutions. The bio-inspired methods have several attractive features and advantages compared to conventional optimization solvers. They also facilitate the advantage of simulation and optimization environment simultaneously to solve hard-to-define (in simple expressions), real-world problems. These biologically inspired methods have provided novel ways of problem-solving for practical problems in traffic routing, networking, games, industry, robotics, economics, mechanical, chemical, electrical, civil, water resources and others fields. This article discusses the key features and development of bio-inspired computational algorithms, and their scope for application in science and engineering fields.

Stochastic Simulations Suggest that HIV-1 Survives Close to Its Error Threshold

The use of mutagenic drugs to drive HIV-1 past its error threshold presents a novel intervention strategy, as suggested by the quasispecies theory, that may be less susceptible to failure via viral mutation-induced emergence of drug resistance than current strategies. The error threshold of HIV-1, mu(c), however, is not known. Application of the quasispecies theory to determine mu(c) poses significant challenges: Whereas the quasispecies theory considers the asexual reproduction of an infinitely large population of haploid individuals, HIV-1 is diploid, undergoes recombination, and is estimated to have a small effective population size in vivo. We performed population genetics-based stochastic simulations of the within-host evolution of HIV-1 and estimated the structure of the HIV-1 quasispecies and mu(c). We found that with small mutation rates, the quasispecies was dominated by genomes with few mutations. Upon increasing the mutation rate, a sharp error catastrophe occurred where the quasispecies became delocalized in sequence space. Using parameter values that quantitatively captured data of viral diversification in HIV-1 patients, we estimated mu(c) to be 7 x 10(-5) -1 x 10(-4) substitutions/site/replication, similar to 2-6 fold higher than the natural mutation rate of HIV-1, suggesting that HIV-1 survives close to its error threshold and may be readily susceptible to mutagenic drugs. The latter estimate was weakly dependent on the within-host effective population size of HIV-1. With large population sizes and in the absence of recombination, our simulations converged to the quasispecies theory, bridging the gap between quasispecies theory and population genetics-based approaches to describing HIV-1 evolution. Further, mu(c) increased with the recombination rate, rendering HIV-1 less susceptible to error catastrophe, thus elucidating an added benefit of recombination to HIV-1. Our estimate of mu(c) may serve as a quantitative guideline for the use of mutagenic drugs against HIV-1.

Peraluminous sapphirine-cordierite pods in Mg-rich orthopyroxene granulite from southern India: Implications for lower crustal processes

Sapphirine-cordierite intergrowths occur as pods within garnet-absent, high-Mg orthopyroxene-granulite xenoliths in the Kambam valley, Madurai Block, southern India. Whereas the cores of the pods are composed of sapphirine (X-Mg = 0.871-0.897) - cordierite (X-Mg = 0.892-0.931) intergrowth along with rutile, zircon and monazite, the rims are characterized by cordierite, apatite, plagioclase, K-feldspar, quartz and minor calcite. The surrounding matrix comprises orthopyroxene (maximum Al2O3 4.1 wt.%, X-Mg 0.848-0.850), plagioclase, biotite and quartz, similar to the assemblage in the surrounding charnockites. Sapphirine in the Kambam rocks is characterized by high Al contents with an end-member composition in the range of 7:9:3 and 3:5:1. The occurrence of peraluminous sapphirine in association with cordierite and in the absence of phases such as sillimanite and garnet is distinct from ultrahigh-temperature assemblages in other localities within the Madurai Block. The peraluminous composition of the pods suggests that these domains could represent cryptic pathways through which aluminous melts migrated. The reaction of such peraluminous melts with Mg-rich orthopyroxene in the host granulite at temperatures of 1025 degrees C and pressures around 8 kbar as computed from phase equilibria modeling followed by an isobaric cooling is inferred to have generated the sapphirine-cordierite pods. The unusual high-Mg orthopyroxene granulite suggests interaction of supracrustal rocks with mafic magmas, which probably acted as the heat source for the partial melting of lower crust and UHT metamorphism.

General-sum stochastic games: Verifiability conditions for Nash equilibria

Unlike zero-sum stochastic games, a difficult problem in general-sum stochastic games is to obtain verifiable conditions for Nash equilibria. We show in this paper that by splitting an associated non-linear optimization problem into several sub-problems, characterization of Nash equilibria in a general-sum discounted stochastic games is possible. Using the aforementioned sub-problems, we in fact derive a set of necessary and sufficient verifiable conditions (termed KKT-SP conditions) for a strategy-pair to result in Nash equilibrium. Also, we show that any algorithm which tracks the zero of the gradient of the Lagrangian of every sub-problem provides a Nash strategy-pair. (c) 2012 Elsevier Ltd. All rights reserved.

q-Gaussian based Smoothed Functional Algorithms for Stochastic Optimization

The q-Gaussian distribution results from maximizing certain generalizations of Shannon entropy under some constraints. The importance of q-Gaussian distributions stems from the fact that they exhibit power-law behavior, and also generalize Gaussian distributions. In this paper, we propose a Smoothed Functional (SF) scheme for gradient estimation using q-Gaussian distribution, and also propose an algorithm for optimization based on the above scheme. Convergence results of the algorithm are presented. Performance of the proposed algorithm is shown by simulation results on a queuing model.

Intrinsically disordered proteins and conformational noise Implications in cancer

Intrinsically disordered proteins, IDPs, are proteins that lack a rigid 3D structure under physiological conditions, at least in vitro. Despite the lack of structure, IDPs play important roles in biological processes and transition from disorder to order upon binding to their targets. With multiple conformational states and rapid conformational dynamics, they engage in myriad and often ``promiscuous'' interactions. These stochastic interactions between IDPs and their partners, defined here as conformational noise, is an inherent characteristic of IDP interactions. The collective effect of conformational noise is an ensemble of protein network configurations, from which the most suitable can be explored in response to perturbations, conferring protein networks with remarkable flexibility and resilience. Moreover, the ubiquitous presence of IDPs as transcriptional factors and, more generally, as hubs in protein networks, is indicative of their role in propagation of transcriptional (genetic) noise. As effectors of transcriptional and conformational noise, IDPs rewire protein networks and unmask latent interactions in response to perturbations. Thus, noise-driven activation of latent pathways could underlie state-switching events such as cellular transformation in cancer. To test this hypothesis, we created a model of a protein network with the topological characteristics of a cancer protein network and tested its response to a perturbation in presence of IDP hubs and conformational noise. Because numerous IDPs are found to be epigenetic modifiers and chromatin remodelers, we hypothesize that they could further channel noise into stable, heritable genotypic changes.

Stochastic optimization for adaptive labor staffing in service systems

Service systems are labor intensive. Further, the workload tends to vary greatly with time. Adapting the staffing levels to the workloads in such systems is nontrivial due to a large number of parameters and operational variations, but crucial for business objectives such as minimal labor inventory. One of the central challenges is to optimize the staffing while maintaining system steady-state and compliance to aggregate SLA constraints. We formulate this problem as a parametrized constrained Markov process and propose a novel stochastic optimization algorithm for solving it. Our algorithm is a multi-timescale stochastic approximation scheme that incorporates a SPSA based algorithm for ‘primal descent' and couples it with a ‘dual ascent' scheme for the Lagrange multipliers. We validate this optimization scheme on five real-life service systems and compare it with a state-of-the-art optimization tool-kit OptQuest. Being two orders of magnitude faster than OptQuest, our scheme is particularly suitable for adaptive labor staffing. Also, we observe that it guarantees convergence and finds better solutions than OptQuest in many cases.

Implication of a Higgs boson at 125 GeV within the stochastic superspace framework

We revisit the issue of considering stochasticity of Grassmannian coordinates in N = 1 superspace, which was analyzed previously by Kobakhidze et al. In this stochastic supersymmetry (SUSY) framework, the soft SUSY breaking terms of the minimal supersymmetric Standard Model (MSSM) such as the bilinear Higgs mixing, trilinear coupling, as well as the gaugino mass parameters are all proportional to a single mass parameter xi, a measure of supersymmetry breaking arising out of stochasticity. While a nonvanishing trilinear coupling at the high scale is a natural outcome of the framework, a favorable signature for obtaining the lighter Higgs boson mass m(h) at 125 GeV, the model produces tachyonic sleptons or staus turning to be too light. The previous analyses took Lambda, the scale at which input parameters are given, to be larger than the gauge coupling unification scale M-G in order to generate acceptable scalar masses radiatively at the electroweak scale. Still, this was inadequate for obtaining m(h) at 125 GeV. We find that Higgs at 125 GeV is highly achievable, provided we are ready to accommodate a nonvanishing scalar mass soft SUSY breaking term similar to what is done in minimal anomaly mediated SUSY breaking (AMSB) in contrast to a pure AMSB setup. Thus, the model can easily accommodate Higgs data, LHC limits of squark masses, WMAP data for dark matter relic density, flavor physics constraints, and XENON100 data. In contrast to the previous analyses, we consider Lambda = M-G, thus avoiding any ambiguities of a post-grand unified theory physics. The idea of stochastic superspace can easily be generalized to various scenarios beyond the MSSM. DOI: 10.1103/PhysRevD.87.035022