Resource allocation analysis of the stochastic diffusion search

The Stochastic Diffusion Search (SDS) was developed as a solution to the best-fit search problem. Thus, as a special case it is capable of solving the transform invariant pattern recognition problem. SDS is efficient and, although inherently probabilistic, produces very reliable solutions in widely ranging search conditions. However, to date a systematic formal investigation of its properties has not been carried out. This thesis addresses this problem. The thesis reports results pertaining to the global convergence of SDS as well as characterising its time complexity. However, the main emphasis of the work, reports on the resource allocation aspect of the Stochastic Diffusion Search operations. The thesis introduces a novel model of the algorithm, generalising an Ehrenfest Urn Model from statistical physics. This approach makes it possible to obtain a thorough characterisation of the response of the algorithm in terms of the parameters describing the search conditions in case of a unique best-fit pattern in the search space. This model is further generalised in order to account for different search conditions: two solutions in the search space and search for a unique solution in a noisy search space. Also an approximate solution in the case of two alternative solutions is proposed and compared with predictions of the extended Ehrenfest Urn model. The analysis performed enabled a quantitative characterisation of the Stochastic Diffusion Search in terms of exploration and exploitation of the search space. It appeared that SDS is biased towards the latter mode of operation. This novel perspective on the Stochastic Diffusion Search lead to an investigation of extensions of the standard SDS, which would strike a different balance between these two modes of search space processing. Thus, two novel algorithms were derived from the standard Stochastic Diffusion Search, ‘context-free’ and ‘context-sensitive’ SDS, and their properties were analysed with respect to resource allocation. It appeared that they shared some of the desired features of their predecessor but also possessed some properties not present in the classic SDS. The theory developed in the thesis was illustrated throughout with carefully chosen simulations of a best-fit search for a string pattern, a simple but representative domain, enabling careful control of search conditions.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.

A model for exchange rates with crawling bands: an application to the Colombian peso

This paper builds upon previous research on currency bands, and provides a model for the Colombian peso. Stochastic differential equations are combined with information related to the Colombian currency band to estimate competing models of the behaviour of the Colombian peso within the limits of the currency band. The resulting moments of the density function for the simulated returns describe adequately most of the characteristics of the sample returns data. The factor included to account for the intra-marginal intervention performed to drive the rate towards the Central Parity accounts only for 6.5% of the daily change, which supports the argument that intervention, if performed by the Central Bank, it is not directed to push the currency towards the limits. Moreover, the credibility of the Colombian Central Bank, Banco de la República’s ability to defend the band seems low.

Large-scale length and time scales for use with stochastic convective parameterization

Many numerical models for weather prediction and climate studies are run at resolutions that are too coarse to resolve convection explicitly, but too fine to justify the local equilibrium assumed by conventional convective parameterizations. The Plant-Craig (PC) stochastic convective parameterization scheme, developed in this paper, solves this problem by removing the assumption that a given grid-scale situation must always produce the same sub-grid-scale convective response. Instead, for each timestep and gridpoint, one of the many possible convective responses consistent with the large-scale situation is randomly selected. The scheme requires as input the large-scale state as opposed to the instantaneous grid-scale state, but must nonetheless be able to account for genuine variations in the largescale situation. Here we investigate the behaviour of the PC scheme in three-dimensional simulations of radiative-convective equilibrium, demonstrating in particular that the necessary space-time averaging required to produce a good representation of the input large-scale state is not in conflict with the requirement to capture large-scale variations. The resulting equilibrium profiles agree well with those obtained from established deterministic schemes, and with corresponding cloud-resolving model simulations. Unlike the conventional schemes the statistics for mass flux and rainfall variability from the PC scheme also agree well with relevant theory and vary appropriately with spatial scale. The scheme is further shown to adapt automatically to changes in grid length and in forcing strength.

Working Group 1: Future developments in deterministic and stochastic parametrizations

Our group considered the desirability of including representations of uncertainty in the development of parameterizations. (By ‘uncertainty’ here we mean the deviation of sub-grid scale fluxes or tendencies in any given model grid box from truth.) We unanimously agreed that the ECWMF should attempt to provide a more physical basis for uncertainty estimates than the very effective but ad hoc methods being used at present. Our discussions identified several issues that will arise.

Stochastic parameterization: uncertainties from convection

In 2005, the ECMWF held a workshop on stochastic parameterisation, at which the convection was seen as being a key issue. That much is clear from the working group reports and particularly the statement from working group 1 that “it is clear that a stochastic convection scheme is desirable”. The present note aims to consider our current status in comparison with some of the issues raised and hopes expressed in that working group report.

Stochastic perturbations to dynamical systems: a response theory approach

Using the formalism of the Ruelle response theory, we study how the invariant measure of an Axiom A dynamical system changes as a result of adding noise, and describe how the stochastic perturbation can be used to explore the properties of the underlying deterministic dynamics. We first find the expression for the change in the expectation value of a general observable when a white noise forcing is introduced in the system, both in the additive and in the multiplicative case. We also show that the difference between the expectation value of the power spectrum of an observable in the stochastically perturbed case and of the same observable in the unperturbed case is equal to the variance of the noise times the square of the modulus of the linear susceptibility describing the frequency-dependent response of the system to perturbations with the same spatial patterns as the considered stochastic forcing. This provides a conceptual bridge between the change in the fluctuation properties of the system due to the presence of noise and the response of the unperturbed system to deterministic forcings. Using Kramers-Kronig theory, it is then possible to derive the real and imaginary part of the susceptibility and thus deduce the Green function of the system for any desired observable. We then extend our results to rather general patterns of random forcing, from the case of several white noise forcings, to noise terms with memory, up to the case of a space-time random field. Explicit formulas are provided for each relevant case analysed. As a general result, we find, using an argument of positive-definiteness, that the power spectrum of the stochastically perturbed system is larger at all frequencies than the power spectrum of the unperturbed system. We provide an example of application of our results by considering the spatially extended chaotic Lorenz 96 model. These results clarify the property of stochastic stability of SRB measures in Axiom A flows, provide tools for analysing stochastic parameterisations and related closure ansatz to be implemented in modelling studies, and introduce new ways to study the response of a system to external perturbations. Taking into account the chaotic hypothesis, we expect that our results have practical relevance for a more general class of system than those belonging to Axiom A.

On a stochastic Trotter formula with application to spontaneous localization models

We consider the relation between so called continuous localization models—i.e. non-linear stochastic Schrödinger evolutions—and the discrete GRW-model of wave function collapse. The former can be understood as scaling limit of the GRW process. The proof relies on a stochastic Trotter formula, which is of interest in its own right. Our Trotter formula also allows to complement results on existence theory of stochastic Schrödinger evolutions by Holevo and Mora/Rebolledo.

Determination of tube theory parameters using a simple grid model as an example

Although the tube theory is successful in describing entangled polymers qualitatively, a more quantitative description requires precise and consistent definitions of its parameters. Here we investigate the simplest model of entangled polymers, namely a single Rouse chain in a cubic lattice of line obstacles, and illustrate the typical problems and uncertainties of the tube theory. In particular we show that in general one needs 3 entanglement related parameters, but only 2 combinations of them are relevant for the long-time dynamics. Conversely, the plateau modulus can not be determined from these two parameters and requires a more detailed model of entanglements with explicit entanglement forces, such as the slipsprings model. It is shown that for the grid model the Rouse time within the tube is larger than the Rouse time of the free chain, in contrast to what the standard tube theory assumes.

Structure, conduct and the stochastic volatility of food markets: theory and empirics

The relationship between price volatility and competition is examined. Atheoretic, vector auto regressions on farm prices of wheat and retail prices of derivatives (flour, bread, pasta, bulgur and cookies) are compared to results from a dynamic, simultaneous-equations model with theory-based farm-to-retail linkages. Analytical results yield insights about numbers of firms and their impacts on demand- and supply-side multipliers, but the applications to Turkish time series (1988:1-1996:12) yield mixed results.

Lattice Boltzmann method for simulating the viscous flow in large distensible blood vessels

A lattice Boltzmann method for simulating the viscous flow in large distensible blood vessels is presented by introducing a boundary condition for elastic and moving boundaries. The mass conservation for the boundary condition is tested in detail. The viscous flow in elastic vessels is simulated with a pressure-radius relationship similar to that of the Pulmonary blood vessels. The numerical results for steady flow agree with the analytical prediction to very high accuracy, and the simulation results for pulsatile flow are comparable with those of the aortic flows observed experimentally. The model is expected to find many applications for studying blood flows in large distensible arteries, especially in those suffering from atherosclerosis. stenosis. aneurysm, etc.

Studying the contact point and interface moving in a sinusoidal tube with lattice Boltzmann method

The multicomponent nonideal gas lattice Boltzmann model by Shan and Chen (S-C) is used to study the immiscible displacement in a sinusoidal tube. The movement of interface and the contact point (contact line in three-dimension) is studied. Due to the roughness of the boundary, the contact point shows "stick-slip" mechanics. The "stick-slip" effect decreases as the speed of the interface increases. For fluids that are nonwetting, the interface is almost perpendicular to the boundaries at most time, although its shapes at different position of the tube are rather different. When the tube becomes narrow, the interface turns a complex curves rather than remains simple menisci. The velocity is found to vary considerably between the neighbor nodes close to the contact point, consistent with the experimental observation that the velocity is multi-values on the contact line. Finally, the effect of three boundary conditions is discussed. The average speed is found different for different boundary conditions. The simple bounce-back rule makes the contact point move fastest. Both the simple bounce-back and the no-slip bounce-back rules are more sensitive to the roughness of the boundary in comparison with the half-way bounce-back rule. The simulation results suggest that the S-C model may be a promising tool in simulating the displacement behaviour of two immiscible fluids in complex geometry.

Lattice Boltzmann simulation of viscous fluid systems with elastic boundaries

A lattice Boltzmann model able to simulate viscous fluid systems with elastic and movable boundaries is proposed. By introducing the virtual distribution function at the boundary, the Galilean invariance is recovered for the full system. As examples of application, the how in elastic vessels is simulated with the pressure-radius relationship similar to that of the pulmonary blood vessels. The numerical results for steady how are in good agreement with the analytical prediction, while the simulation results for pulsative how agree with the experimental observation of the aortic flows qualitatively. The approach has potential application in the study of the complex fluid systems such as the suspension system as well as the arterial blood flow.

Stochastic climate theory and modeling

Stochastic methods are a crucial area in contemporary climate research and are increasingly being used in comprehensive weather and climate prediction models as well as reduced order climate models. Stochastic methods are used as subgrid-scale parameterizations (SSPs) as well as for model error representation, uncertainty quantification, data assimilation, and ensemble prediction. The need to use stochastic approaches in weather and climate models arises because we still cannot resolve all necessary processes and scales in comprehensive numerical weather and climate prediction models. In many practical applications one is mainly interested in the largest and potentially predictable scales and not necessarily in the small and fast scales. For instance, reduced order models can simulate and predict large-scale modes. Statistical mechanics and dynamical systems theory suggest that in reduced order models the impact of unresolved degrees of freedom can be represented by suitable combinations of deterministic and stochastic components and non-Markovian (memory) terms. Stochastic approaches in numerical weather and climate prediction models also lead to the reduction of model biases. Hence, there is a clear need for systematic stochastic approaches in weather and climate modeling. In this review, we present evidence for stochastic effects in laboratory experiments. Then we provide an overview of stochastic climate theory from an applied mathematics perspective. We also survey the current use of stochastic methods in comprehensive weather and climate prediction models and show that stochastic parameterizations have the potential to remedy many of the current biases in these comprehensive models.

The impact of uncertain precipitation data on insurance loss estimates using a flood catastrophe model

Catastrophe risk models used by the insurance industry are likely subject to significant uncertainty, but due to their proprietary nature and strict licensing conditions they are not available for experimentation. In addition, even if such experiments were conducted, these would not be repeatable by other researchers because commercial confidentiality issues prevent the details of proprietary catastrophe model structures from being described in public domain documents. However, such experimentation is urgently required to improve decision making in both insurance and reinsurance markets. In this paper we therefore construct our own catastrophe risk model for flooding in Dublin, Ireland, in order to assess the impact of typical precipitation data uncertainty on loss predictions. As we consider only a city region rather than a whole territory and have access to detailed data and computing resources typically unavailable to industry modellers, our model is significantly more detailed than most commercial products. The model consists of four components, a stochastic rainfall module, a hydrological and hydraulic flood hazard module, a vulnerability module, and a financial loss module. Using these we undertake a series of simulations to test the impact of driving the stochastic event generator with four different rainfall data sets: ground gauge data, gauge-corrected rainfall radar, meteorological reanalysis data (European Centre for Medium-Range Weather Forecasts Reanalysis-Interim; ERA-Interim) and a satellite rainfall product (The Climate Prediction Center morphing method; CMORPH). Catastrophe models are unusual because they use the upper three components of the modelling chain to generate a large synthetic database of unobserved and severe loss-driving events for which estimated losses are calculated. We find the loss estimates to be more sensitive to uncertainties propagated from the driving precipitation data sets than to other uncertainties in the hazard and vulnerability modules, suggesting that the range of uncertainty within catastrophe model structures may be greater than commonly believed.