Non-Markovian stochastic processes and their applications: from anomalous diffusion to time series analysis

This work provides a forward step in the study and comprehension of the relationships between stochastic processes and a certain class of integral-partial differential equation, which can be used in order to model anomalous diffusion and transport in statistical physics. In the first part, we brought the reader through the fundamental notions of probability and stochastic processes, stochastic integration and stochastic differential equations as well. In particular, within the study of H-sssi processes, we focused on fractional Brownian motion (fBm) and its discrete-time increment process, the fractional Gaussian noise (fGn), which provide examples of non-Markovian Gaussian processes. The fGn, together with stationary FARIMA processes, is widely used in the modeling and estimation of long-memory, or long-range dependence (LRD). Time series manifesting long-range dependence, are often observed in nature especially in physics, meteorology, climatology, but also in hydrology, geophysics, economy and many others. We deepely studied LRD, giving many real data examples, providing statistical analysis and introducing parametric methods of estimation. Then, we introduced the theory of fractional integrals and derivatives, which indeed turns out to be very appropriate for studying and modeling systems with long-memory properties. After having introduced the basics concepts, we provided many examples and applications. For instance, we investigated the relaxation equation with distributed order time-fractional derivatives, which describes models characterized by a strong memory component and can be used to model relaxation in complex systems, which deviates from the classical exponential Debye pattern. Then, we focused in the study of generalizations of the standard diffusion equation, by passing through the preliminary study of the fractional forward drift equation. Such generalizations have been obtained by using fractional integrals and derivatives of distributed orders. In order to find a connection between the anomalous diffusion described by these equations and the long-range dependence, we introduced and studied the generalized grey Brownian motion (ggBm), which is actually a parametric class of H-sssi processes, which have indeed marginal probability density function evolving in time according to a partial integro-differential equation of fractional type. The ggBm is of course Non-Markovian. All around the work, we have remarked many times that, starting from a master equation of a probability density function f(x,t), it is always possible to define an equivalence class of stochastic processes with the same marginal density function f(x,t). All these processes provide suitable stochastic models for the starting equation. Studying the ggBm, we just focused on a subclass made up of processes with stationary increments. The ggBm has been defined canonically in the so called grey noise space. However, we have been able to provide a characterization notwithstanding the underline probability space. We also pointed out that that the generalized grey Brownian motion is a direct generalization of a Gaussian process and in particular it generalizes Brownain motion and fractional Brownain motion as well. Finally, we introduced and analyzed a more general class of diffusion type equations related to certain non-Markovian stochastic processes. We started from the forward drift equation, which have been made non-local in time by the introduction of a suitable chosen memory kernel K(t). The resulting non-Markovian equation has been interpreted in a natural way as the evolution equation of the marginal density function of a random time process l(t). We then consider the subordinated process Y(t)=X(l(t)) where X(t) is a Markovian diffusion. The corresponding time-evolution of the marginal density function of Y(t) is governed by a non-Markovian Fokker-Planck equation which involves the same memory kernel K(t). We developed several applications and derived the exact solutions. Moreover, we considered different stochastic models for the given equations, providing path simulations.

Probabilistic approaches in civil engineering: generation of random fields and structural identification with genetic algorithms

The inherent stochastic character of most of the physical quantities involved in engineering models has led to an always increasing interest for probabilistic analysis. Many approaches to stochastic analysis have been proposed. However, it is widely acknowledged that the only universal method available to solve accurately any kind of stochastic mechanics problem is Monte Carlo Simulation. One of the key parts in the implementation of this technique is the accurate and efficient generation of samples of the random processes and fields involved in the problem at hand. In the present thesis an original method for the simulation of homogeneous, multi-dimensional, multi-variate, non-Gaussian random fields is proposed. The algorithm has proved to be very accurate in matching both the target spectrum and the marginal probability. The computational efficiency and robustness are very good too, even when dealing with strongly non-Gaussian distributions. What is more, the resulting samples posses all the relevant, welldefined and desired properties of “translation fields”, including crossing rates and distributions of extremes. The topic of the second part of the thesis lies in the field of non-destructive parametric structural identification. Its objective is to evaluate the mechanical characteristics of constituent bars in existing truss structures, using static loads and strain measurements. In the cases of missing data and of damages that interest only a small portion of the bar, Genetic Algorithm have proved to be an effective tool to solve the problem.

Hybrid Methods for Resource Allocation and Scheduling Problems in Deterministic and Stochastic Environments

This work presents exact, hybrid algorithms for mixed resource Allocation and Scheduling problems; in general terms, those consist into assigning over time finite capacity resources to a set of precedence connected activities. The proposed methods have broad applicability, but are mainly motivated by applications in the field of Embedded System Design. In particular, high-performance embedded computing recently witnessed the shift from single CPU platforms with application-specific accelerators to programmable Multi Processor Systems-on-Chip (MPSoCs). Those allow higher flexibility, real time performance and low energy consumption, but the programmer must be able to effectively exploit the platform parallelism. This raises interest in the development of algorithmic techniques to be embedded in CAD tools; in particular, given a specific application and platform, the objective if to perform optimal allocation of hardware resources and to compute an execution schedule. On this regard, since embedded systems tend to run the same set of applications for their entire lifetime, off-line, exact optimization approaches are particularly appealing. Quite surprisingly, the use of exact algorithms has not been well investigated so far; this is in part motivated by the complexity of integrated allocation and scheduling, setting tough challenges for ``pure'' combinatorial methods. The use of hybrid CP/OR approaches presents the opportunity to exploit mutual advantages of different methods, while compensating for their weaknesses. In this work, we consider in first instance an Allocation and Scheduling problem over the Cell BE processor by Sony, IBM and Toshiba; we propose three different solution methods, leveraging decomposition, cut generation and heuristic guided search. Next, we face Allocation and Scheduling of so-called Conditional Task Graphs, explicitly accounting for branches with outcome not known at design time; we extend the CP scheduling framework to effectively deal with the introduced stochastic elements. Finally, we address Allocation and Scheduling with uncertain, bounded execution times, via conflict based tree search; we introduce a simple and flexible time model to take into account duration variability and provide an efficient conflict detection method. The proposed approaches achieve good results on practical size problem, thus demonstrating the use of exact approaches for system design is feasible. Furthermore, the developed techniques bring significant contributions to combinatorial optimization methods.

Secondary Microseisms Characterization and Green’s Function Extraction at the Larderello-Travale Geothermal Field (Italy)

Over the past ten years, the cross-correlation of long-time series of ambient seismic noise (ASN) has been widely adopted to extract the surface-wave part of the Green’s Functions (GF). This stochastic procedure relies on the assumption that ASN wave-field is diffuse and stationary. At frequencies <1Hz, the ASN is mainly composed by surface-waves, whose origin is attributed to the sea-wave climate. Consequently, marked directional properties may be observed, which call for accurate investigation about location and temporal evolution of the ASN-sources before attempting any GF retrieval. Within this general context, this thesis is aimed at a thorough investigation about feasibility and robustness of the noise-based methods toward the imaging of complex geological structures at the local (∼10-50km) scale. The study focused on the analysis of an extended (11 months) seismological data set collected at the Larderello-Travale geothermal field (Italy), an area for which the underground geological structures are well-constrained thanks to decades of geothermal exploration. Focusing on the secondary microseism band (SM;f>0.1Hz), I first investigate the spectral features and the kinematic properties of the noise wavefield using beamforming analysis, highlighting a marked variability with time and frequency. For the 0.1-0.3Hz frequency band and during Spring- Summer-time, the SMs waves propagate with high apparent velocities and from well-defined directions, likely associated with ocean-storms in the south- ern hemisphere. Conversely, at frequencies >0.3Hz the distribution of back- azimuths is more scattered, thus indicating that this frequency-band is the most appropriate for the application of stochastic techniques. For this latter frequency interval, I tested two correlation-based methods, acting in the time (NCF) and frequency (modified-SPAC) domains, respectively yielding esti- mates of the group- and phase-velocity dispersions. Velocity data provided by the two methods are markedly discordant; comparison with independent geological and geophysical constraints suggests that NCF results are more robust and reliable.

Effects of stochastic hypoxia events on the benthic communities of transitional waters

Hypoxia is one of the most important and faster spreading threats to marine life and its occurrence has significantly increased in the last century. The effects of hypoxia on marine organisms and communities has mostly been studied in light of the intensity of the disturbance but not a lot of attention has been given to its interaction with other stressors and the timing of its appearance. In this thesis I started to explore these topics through laboratory and manipulative field experiments. I studied the interactive effects of thermal stress and hypoxia on a European native bivalve species (Cerastoderma edule; Linnaeus, 1758 ) and a non native one (Ruditapes philippinarum; Adams & Reeve, 1850) through a laboratory experiment performed in the Netherlands. The non native species displayed a greater tolerance to oxygen depletion than the native one. The first field experiment was performed in an Italian brackish coastal lagoon (Pialassa Baiona) and tested the effects of different timing regimes of hypoxia on the benthic community. It emerged that the main factor affecting the community is the duration of the hypoxia. The ability of the communities to recover after repeated hypoxic periods was explored in the second manipulative field experiment. We imposed three different timing regimes of hypoxia on sediment patches in Pialassa Baiona and we monitored the changes of both the benthic and the microbial communities after the disturbances. The preliminary analyses of the data from this last work suggest that the experimental manipulations caused limited detrimental effects on the communities. Overall this thesis work suggests that the duration of hypoxic events, their repetitive nature and the associated thermal stress are key factors in determining their effects on the communities and that management measures should point towards a reduction of the duration of the single hypoxic periods more than their frequency.