Periodicities in the Hodgkin-Huxley model and versions of this model with stochastic input

A field of computational neuroscience develops mathematical models to describe neuronal systems. The aim is to better understand the nervous system. Historically, the integrate-and-fire model, developed by Lapique in 1907, was the first model describing a neuron. In 1952 Hodgkin and Huxley [8] described the so called Hodgkin-Huxley model in the article “A Quantitative Description of Membrane Current and Its Application to Conduction and Excitation in Nerve”. The Hodgkin-Huxley model is one of the most successful and widely-used biological neuron models. Based on experimental data from the squid giant axon, Hodgkin and Huxley developed their mathematical model as a four-dimensional system of first-order ordinary differential equations. One of these equations characterizes the membrane potential as a process in time, whereas the other three equations depict the opening and closing state of sodium and potassium ion channels. The membrane potential is proportional to the sum of ionic current flowing across the membrane and an externally applied current. For various types of external input the membrane potential behaves differently. This thesis considers the following three types of input: (i) Rinzel and Miller [15] calculated an interval of amplitudes for a constant applied current, where the membrane potential is repetitively spiking; (ii) Aihara, Matsumoto and Ikegaya [1] said that dependent on the amplitude and the frequency of a periodic applied current the membrane potential responds periodically; (iii) Izhikevich [12] stated that brief pulses of positive and negative current with different amplitudes and frequencies can lead to a periodic response of the membrane potential. In chapter 1 the Hodgkin-Huxley model is introduced according to Izhikevich [12]. Besides the definition of the model, several biological and physiological notes are made, and further concepts are described by examples. Moreover, the numerical methods to solve the equations of the Hodgkin-Huxley model are presented which were used for the computer simulations in chapter 2 and chapter 3. In chapter 2 the statements for the three different inputs (i), (ii) and (iii) will be verified, and periodic behavior for the inputs (ii) and (iii) will be investigated. In chapter 3 the inputs are embedded in an Ornstein-Uhlenbeck process to see the influence of noise on the results of chapter 2.

Stochastic local volatility model for fx markets

Questa tesi verte sullo studio di un modello a volatilità stocastica e locale, utilizzato per valutare opzioni esotiche nei mercati dei cambio. La difficoltà nell'implementare un modello di tal tipo risiede nella calibrazione della leverage surface e uno degli scopi principali di questo lavoro è quello di mostrarne la procedura.

Stochastic knock detection model for spark ignited engines

This report presents the development of a Stochastic Knock Detection (SKD) method for combustion knock detection in a spark-ignition engine using a model based design approach. Knock Signal Simulator (KSS) was developed as the plant model for the engine. The KSS as the plant model for the engine generates cycle-to-cycle accelerometer knock intensities following a stochastic approach with intensities that are generated using a Monte Carlo method from a lognormal distribution whose parameters have been predetermined from engine tests and dependent upon spark-timing, engine speed and load. The lognormal distribution has been shown to be a good approximation to the distribution of measured knock intensities over a range of engine conditions and spark-timings for multiple engines in previous studies. The SKD method is implemented in Knock Detection Module (KDM) which processes the knock intensities generated by KSS with a stochastic distribution estimation algorithm and outputs estimates of high and low knock intensity levels which characterize knock and reference level respectively. These estimates are then used to determine a knock factor which provides quantitative measure of knock level and can be used as a feedback signal to control engine knock. The knock factor is analyzed and compared with a traditional knock detection method to detect engine knock under various engine operating conditions. To verify the effectiveness of the SKD method, a knock controller was also developed and tested in a model-in-loop (MIL) system. The objective of the knock controller is to allow the engine to operate as close as possible to its border-line spark-timing without significant engine knock. The controller parameters were tuned to minimize the cycle-to-cycle variation in spark timing and the settling time of the controller in responding to step increase in spark advance resulting in the onset of engine knock. The simulation results showed that the combined system can be used adequately to model engine knock and evaluated knock control strategies for a wide range of engine operating conditions.

MODEL UPDATING AND STRUCTURAL HEALTH MONITORING OF HORIZONTAL AXIS WIND TURBINES VIA ADVANCED SPINNING FINITE ELEMENTS AND STOCHASTIC SUBSPACE IDENTIFICATION METHODS

Wind energy has been one of the most growing sectors of the nation’s renewable energy portfolio for the past decade, and the same tendency is being projected for the upcoming years given the aggressive governmental policies for the reduction of fossil fuel dependency. Great technological expectation and outstanding commercial penetration has shown the so called Horizontal Axis Wind Turbines (HAWT) technologies. Given its great acceptance, size evolution of wind turbines over time has increased exponentially. However, safety and economical concerns have emerged as a result of the newly design tendencies for massive scale wind turbine structures presenting high slenderness ratios and complex shapes, typically located in remote areas (e.g. offshore wind farms). In this regard, safety operation requires not only having first-hand information regarding actual structural dynamic conditions under aerodynamic action, but also a deep understanding of the environmental factors in which these multibody rotating structures operate. Given the cyclo-stochastic patterns of the wind loading exerting pressure on a HAWT, a probabilistic framework is appropriate to characterize the risk of failure in terms of resistance and serviceability conditions, at any given time. Furthermore, sources of uncertainty such as material imperfections, buffeting and flutter, aeroelastic damping, gyroscopic effects, turbulence, among others, have pleaded for the use of a more sophisticated mathematical framework that could properly handle all these sources of indetermination. The attainable modeling complexity that arises as a result of these characterizations demands a data-driven experimental validation methodology to calibrate and corroborate the model. For this aim, System Identification (SI) techniques offer a spectrum of well-established numerical methods appropriated for stationary, deterministic, and data-driven numerical schemes, capable of predicting actual dynamic states (eigenrealizations) of traditional time-invariant dynamic systems. As a consequence, it is proposed a modified data-driven SI metric based on the so called Subspace Realization Theory, now adapted for stochastic non-stationary and timevarying systems, as is the case of HAWT’s complex aerodynamics. Simultaneously, this investigation explores the characterization of the turbine loading and response envelopes for critical failure modes of the structural components the wind turbine is made of. In the long run, both aerodynamic framework (theoretical model) and system identification (experimental model) will be merged in a numerical engine formulated as a search algorithm for model updating, also known as Adaptive Simulated Annealing (ASA) process. This iterative engine is based on a set of function minimizations computed by a metric called Modal Assurance Criterion (MAC). In summary, the Thesis is composed of four major parts: (1) development of an analytical aerodynamic framework that predicts interacted wind-structure stochastic loads on wind turbine components; (2) development of a novel tapered-swept-corved Spinning Finite Element (SFE) that includes dampedgyroscopic effects and axial-flexural-torsional coupling; (3) a novel data-driven structural health monitoring (SHM) algorithm via stochastic subspace identification methods; and (4) a numerical search (optimization) engine based on ASA and MAC capable of updating the SFE aerodynamic model.

A Dynamic Stochastic Frontier Production Model with Time-Varying Efficiency

In this paper we introduce technical efficiency via the intercept that evolve over time as a AR(1) process in a stochastic frontier (SF) framework in a panel data framework. Following are the distinguishing features of the model. First, the model is dynamic in nature. Second, it can separate technical inefficiency from fixed firm-specific effects which are not part of inefficiency. Third, the model allows one to estimate technical change separate from change in technical efficiency. We propose the ML method to estimate the parameters of the model. Finally, we derive expressions to calculate/predict technical inefficiency (efficiency).

A stochastic model updating method for parameter variability quantification based on response surface models and Monte Carlo simulation

Stochastic model updating must be considered for quantifying uncertainties inherently existing in real-world engineering structures. By this means the statistical properties,instead of deterministic values, of structural parameters can be sought indicating the parameter variability. However, the implementation of stochastic model updating is much more complicated than that of deterministic methods particularly in the aspects of theoretical complexity and low computational efficiency. This study attempts to propose a simple and cost-efficient method by decomposing a stochastic updating process into a series of deterministic ones with the aid of response surface models and Monte Carlo simulation. The response surface models are used as surrogates for original FE models in the interest of programming simplification, fast response computation and easy inverse optimization. Monte Carlo simulation is adopted for generating samples from the assumed or measured probability distributions of responses. Each sample corresponds to an individual deterministic inverse process predicting the deterministic values of parameters. Then the parameter means and variances can be statistically estimated based on all the parameter predictions by running all the samples. Meanwhile, the analysis of variance approach is employed for the evaluation of parameter variability significance. The proposed method has been demonstrated firstly on a numerical beam and then a set of nominally identical steel plates tested in the laboratory. It is found that compared with the existing stochastic model updating methods, the proposed method presents similar accuracy while its primary merits consist in its simple implementation and cost efficiency in response computation and inverse optimization.

Human Search for a Target on a Textured Background is Consistent with a Stochastic Model

This research was supported by the James S. McDonnell Foundation (ARH). Early version was supported by EPSRC grants EP/F02553X/1 and EP/D059364/1.

A stochastic model for prisoner's dilemma.

Includes bibliography.

"Model T": a demonstration of image multiplication using stochastic sequences,

On cover: C00-1469-145.

Stochastic volatility and the goodness-of-fit of the Heston model

Recently, Drǎgulescu and Yakovenko proposed an analytical formula for computing the probability density function of stock log returns, based on the Heston model, which they tested empirically. Their research design inadvertently favourably biased the fit of the data to the Heston model, thus overstating their empirical results. Furthermore, Drǎgulescu and Yakovenko did not perform any goodness-of-fit statistical tests. This study employs a research design that facilitates statistical tests of the goodness-of-fit of the Heston model to empirical returns. Robustness checks are also performed. In brief, the Heston model outperformed the Gaussian model only at high frequencies and even so does not provide a statistically acceptable fit to the data. The Gaussian model performed (marginally) better at medium and low frequencies, at which points the extra parameters of the Heston model have adverse impacts on the test statistics. © 2005 Taylor & Francis Group Ltd.

Managing uncertainty in complex stochastic models: design and emulation of a Rabies model

In this paper we present a novel method for emulating a stochastic, or random output, computer model and show its application to a complex rabies model. The method is evaluated both in terms of accuracy and computational efficiency on synthetic data and the rabies model. We address the issue of experimental design and provide empirical evidence on the effectiveness of utilizing replicate model evaluations compared to a space-filling design. We employ the Mahalanobis error measure to validate the heteroscedastic Gaussian process based emulator predictions for both the mean and (co)variance. The emulator allows efficient screening to identify important model inputs and better understanding of the complex behaviour of the rabies model.

Detecting Precipitation Climate Changes: An Approach Based on a Stochastic Daily Precipitation Model

2002 Mathematics Subject Classification: 62M10.

The stochastic geometric machine model

This paper introduces the stochastic version of the Geometric Machine Model for the modelling of sequential, alternative, parallel (synchronous) and nondeterministic computations with stochastic numbers stored in a (possibly infinite) shared memory. The programming language L(D! 1), induced by the Coherence Space of Processes D! 1, can be applied to sequential and parallel products in order to provide recursive definitions for such processes, together with a domain-theoretic semantics of the Stochastic Arithmetic. We analyze both the spacial (ordinal) recursion, related to spacial modelling of the stochastic memory, and the temporal (structural) recursion, given by the inclusion relation modelling partial objects in the ordered structure of process construction.