Implicit stochastic Runge-Kutta methods for stochastic differential equations

In this paper we construct implicit stochastic Runge-Kutta (SRK) methods for solving stochastic differential equations of Stratonovich type. Instead of using the increment of a Wiener process, modified random variables are used. We give convergence conditions of the SRK methods with these modified random variables. In particular, the truncated random variable is used. We present a two-stage stiffly accurate diagonal implicit SRK (SADISRK2) method with strong order 1.0 which has better numerical behaviour than extant methods. We also construct a five-stage diagonal implicit SRK method and a six-stage stiffly accurate diagonal implicit SRK method with strong order 1.5. The mean-square and asymptotic stability properties of the trapezoidal method and the SADISRK2 method are analysed and compared with an explicit method and a semi-implicit method. Numerical results are reported for confirming convergence properties and for comparing the numerical behaviour of these methods.

Numerical methods for strong solutions of stochastic differential equations: an overview

This paper gives a review of recent progress in the design of numerical methods for computing the trajectories (sample paths) of solutions to stochastic differential equations. We give a brief survey of the area focusing on a number of application areas where approximations to strong solutions are important, with a particular focus on computational biology applications, and give the necessary analytical tools for understanding some of the important concepts associated with stochastic processes. We present the stochastic Taylor series expansion as the fundamental mechanism for constructing effective numerical methods, give general results that relate local and global order of convergence and mention the Magnus expansion as a mechanism for designing methods that preserve the underlying structure of the problem. We also present various classes of explicit and implicit methods for strong solutions, based on the underlying structure of the problem. Finally, we discuss implementation issues relating to maintaining the Brownian path, efficient simulation of stochastic integrals and variable-step-size implementations based on various types of control.

A note on the Balanced method

Recently the Balanced method was introduced as a class of quasi-implicit methods for solving stiff stochastic differential equations. We examine asymptotic and mean-square stability for several implementations of the Balanced method and give a generalized result for the mean-square stability region of any Balanced method. We also investigate the optimal implementation of the Balanced method with respect to strong convergence.

Analysis of trigonometric implicit Runge-Kutta methods

Using generalized collocation techniques based on fitting functions that are trigonometric (rather than algebraic as in classical integrators), we develop a new class of multistage, one-step, variable stepsize, and variable coefficients implicit Runge-Kutta methods to solve oscillatory ODE problems. The coefficients of the methods are functions of the frequency and the stepsize. We refer to this class as trigonometric implicit Runge-Kutta (TIRK) methods. They integrate an equation exactly if its solution is a trigonometric polynomial with a known frequency. We characterize the order and A-stability of the methods and establish results similar to that of classical algebraic collocation RK methods. (c) 2006 Elsevier B.V. All rights reserved.

On functionally-fitted Runge-Kutta methods

Functionally-fitted methods are generalizations of collocation techniques to integrate an equation exactly if its solution is a linear combination of a chosen set of basis functions. When these basis functions are chosen as the power functions, we recover classical algebraic collocation methods. This paper shows that functionally-fitted methods can be derived with less restrictive conditions than previously stated in the literature, and that other related results can be derived in a much more elegant way. The novelty in our approach is to fully retain the collocation framework without reverting back into derivations based on cumbersome Taylor series expansions.

Adaptive stepsize based on control theory for stochastic differential equations

The numerical solution of stochastic differential equations (SDEs) has been focussed recently on the development of numerical methods with good stability and order properties. These numerical implementations have been made with fixed stepsize, but there are many situations when a fixed stepsize is not appropriate. In the numerical solution of ordinary differential equations, much work has been carried out on developing robust implementation techniques using variable stepsize. It has been necessary, in the deterministic case, to consider the best choice for an initial stepsize, as well as developing effective strategies for stepsize control-the same, of course, must be carried out in the stochastic case. In this paper, proportional integral (PI) control is applied to a variable stepsize implementation of an embedded pair of stochastic Runge-Kutta methods used to obtain numerical solutions of nonstiff SDEs. For stiff SDEs, the embedded pair of the balanced Milstein and balanced implicit method is implemented in variable stepsize mode using a predictive controller for the stepsize change. The extension of these stepsize controllers from a digital filter theory point of view via PI with derivative (PID) control will also be implemented. The implementations show the improvement in efficiency that can be attained when using these control theory approaches compared with the regular stepsize change strategy. (C) 2004 Elsevier B.V. All rights reserved.

Accelerated leap methods for simulating discrete stochastic chemical kinetics

Biologists are increasingly conscious of the critical role that noise plays in cellular functions such as genetic regulation, often in connection with fluctuations in small numbers of key regulatory molecules. This has inspired the development of models that capture this fundamentally discrete and stochastic nature of cellular biology - most notably the Gillespie stochastic simulation algorithm (SSA). The SSA simulates a temporally homogeneous, discrete-state, continuous-time Markov process, and of course the corresponding probabilities and numbers of each molecular species must all remain positive. While accurately serving this purpose, the SSA can be computationally inefficient due to very small time stepping so faster approximations such as the Poisson and Binomial τ-leap methods have been suggested. This work places these leap methods in the context of numerical methods for the solution of stochastic differential equations (SDEs) driven by Poisson noise. This allows analogues of Euler-Maruyuma, Milstein and even higher order methods to be developed through the Itô-Taylor expansions as well as similar derivative-free Runge-Kutta approaches. Numerical results demonstrate that these novel methods compare favourably with existing techniques for simulating biochemical reactions by more accurately capturing crucial properties such as the mean and variance than existing methods.

Spatio-temporal evaluation of neck muscle activation during postural perturbations in healthy subjects

The purpose of this study was to examine the spatio-temporal activation of the sternocleidomastoid (SCM) and cervical extensor (CE) muscles with respect to the deltoid muscle onset during rapid voluntary upper limb movement in healthy volunteers. The repeatability and reliability of the spatio-temporal aspects of the myoelectric signals were also examined. Ten subjects performed bilateral and unilateral rapid upper limb flexion, abduction and extension in response to a visual stimulus. EMG onsets and normalised root mean square (nRMS) values were calculated for the SCM and CE muscles. Subjects attended three testing sessions over non-consecutive days allowing the repeatability and reliability of these measures to be assessed. The SCM and CE muscles demonstrated feed-forward activation (activation within 50 ms of deltoid onset) during rapid arm movements in all directions. The sequence and magnitude of neck muscle activation displayed directional specificity, however, the neck flexor and extensor muscles displayed co-activation during all perturbations. EMG onsets demonstrated high repeatability in terms of repeated measure precision (nSEM in the range 1.9-5.7%). This was less evident for the repeatability of nRMS values. The results of this study provide a greater understanding of cervical neuromotor control strategies. During bilateral and unilateral upper limb perturbations, the SCM and CE muscles demonstrate feed-forward co-activation. It seems apparent that feed-forward activation of neck muscles is a mechanism necessary to achieve stability for the visual and vestibular systems, whilst ensuring stabilisation and protection of the cervical spine. (C) 2004 Elsevier Ltd. All rights reserved.

Numerical simulation of stochastic ordinary differential equations in biomathematical modelling

In this work we discuss the effects of white and coloured noise perturbations on the parameters of a mathematical model of bacteriophage infection introduced by Beretta and Kuang in [Math. Biosc. 149 (1998) 57]. We numerically simulate the strong solutions of the resulting systems of stochastic ordinary differential equations (SDEs), with respect to the global error, by means of numerical methods of both Euler-Taylor expansion and stochastic Runge-Kutta type. (C) 2003 IMACS. Published by Elsevier B.V. All rights reserved.

Quantification of lean bodyweight

Background: Lean bodyweight (LBW) has been recommended for scaling drug doses. However, the current methods for predicting LBW are inconsistent at extremes of size and could be misleading with respect to interpreting weight-based regimens. Objective: The objective of the present study was to develop a semi-mechanistic model to predict fat-free mass (FFM) from subject characteristics in a population that includes extremes of size. FFM is considered to closely approximate LBW. There are several reference methods for assessing FFM, whereas there are no reference standards for LBW. Patients and methods: A total of 373 patients (168 male, 205 female) were included in the study. These data arose from two populations. Population A (index dataset) contained anthropometric characteristics, FFM estimated by dual-energy x-ray absorptiometry (DXA - a reference method) and bioelectrical impedance analysis (BIA) data. Population B (test dataset) contained the same anthropometric measures and FFM data as population A, but excluded BIA data. The patients in population A had a wide range of age (18-82 years), bodyweight (40.7-216.5kg) and BMI values (17.1-69.9 kg/m(2)). Patients in population B had BMI values of 18.7-38.4 kg/m(2). A two-stage semi-mechanistic model to predict FFM was developed from the demographics from population A. For stage 1 a model was developed to predict impedance and for stage 2 a model that incorporated predicted impedance was used to predict FFM. These two models were combined to provide an overall model to predict FFM from patient characteristics. The developed model for FFM was externally evaluated by predicting into population B. Results: The semi-mechanistic model to predict impedance incorporated sex, height and bodyweight. The developed model provides a good predictor of impedance for both males and females (r(2) = 0.78, mean error [ME] = 2.30 x 10(-3), root mean square error [RMSE] = 51.56 [approximately 10% of mean]). The final model for FFM incorporated sex, height and bodyweight. The developed model for FFM provided good predictive performance for both males and females (r(2) = 0.93, ME = -0.77, RMSE = 3.33 [approximately 6% of mean]). In addition, the model accurately predicted the FFM of subjects in population B (r(2) = 0.85, ME -0.04, RMSE = 4.39 [approximately 7% of mean]). Conclusions: A semi-mechanistic model has been developed to predict FFM (and therefore LBW) from easily accessible patient characteristics. This model has been prospectively evaluated and shown to have good predictive performance.

Predicting residue-wise contact orders in proteins by support vector regression

Background: The residue-wise contact order (RWCO) describes the sequence separations between the residues of interest and its contacting residues in a protein sequence. It is a new kind of one-dimensional protein structure that represents the extent of long-range contacts and is considered as a generalization of contact order. Together with secondary structure, accessible surface area, the B factor, and contact number, RWCO provides comprehensive and indispensable important information to reconstructing the protein three-dimensional structure from a set of one-dimensional structural properties. Accurately predicting RWCO values could have many important applications in protein three-dimensional structure prediction and protein folding rate prediction, and give deep insights into protein sequence-structure relationships. Results: We developed a novel approach to predict residue-wise contact order values in proteins based on support vector regression (SVR), starting from primary amino acid sequences. We explored seven different sequence encoding schemes to examine their effects on the prediction performance, including local sequence in the form of PSI-BLAST profiles, local sequence plus amino acid composition, local sequence plus molecular weight, local sequence plus secondary structure predicted by PSIPRED, local sequence plus molecular weight and amino acid composition, local sequence plus molecular weight and predicted secondary structure, and local sequence plus molecular weight, amino acid composition and predicted secondary structure. When using local sequences with multiple sequence alignments in the form of PSI-BLAST profiles, we could predict the RWCO distribution with a Pearson correlation coefficient (CC) between the predicted and observed RWCO values of 0.55, and root mean square error (RMSE) of 0.82, based on a well-defined dataset with 680 protein sequences. Moreover, by incorporating global features such as molecular weight and amino acid composition we could further improve the prediction performance with the CC to 0.57 and an RMSE of 0.79. In addition, combining the predicted secondary structure by PSIPRED was found to significantly improve the prediction performance and could yield the best prediction accuracy with a CC of 0.60 and RMSE of 0.78, which provided at least comparable performance compared with the other existing methods. Conclusion: The SVR method shows a prediction performance competitive with or at least comparable to the previously developed linear regression-based methods for predicting RWCO values. In contrast to support vector classification (SVC), SVR is very good at estimating the raw value profiles of the samples. The successful application of the SVR approach in this study reinforces the fact that support vector regression is a powerful tool in extracting the protein sequence-structure relationship and in estimating the protein structural profiles from amino acid sequences.