NONLINEAR TIME SERIES/SYSTEM ANALYSIS (STATE-SPACE, DYNAMICS, INTERVENTION, RESILIENCE, KALMAN)

A discussion of nonlinear dynamics, demonstrated by the familiar automobile, is followed by the development of a systematic method of analysis of a possibly nonlinear time series using difference equations in the general state-space format. This format allows recursive state-dependent parameter estimation after each observation thereby revealing the dynamics inherent in the system in combination with random external perturbations.^ The one-step ahead prediction errors at each time period, transformed to have constant variance, and the estimated parametric sequences provide the information to (1) formally test whether time series observations y(,t) are some linear function of random errors (ELEM)(,s), for some t and s, or whether the series would more appropriately be described by a nonlinear model such as bilinear, exponential, threshold, etc., (2) formally test whether a statistically significant change has occurred in structure/level either historically or as it occurs, (3) forecast nonlinear system with a new and innovative (but very old numerical) technique utilizing rational functions to extrapolate individual parameters as smooth functions of time which are then combined to obtain the forecast of y and (4) suggest a measure of resilience, i.e. how much perturbation a structure/level can tolerate, whether internal or external to the system, and remain statistically unchanged. Although similar to one-step control, this provides a less rigid way to think about changes affecting social systems.^ Applications consisting of the analysis of some familiar and some simulated series demonstrate the procedure. Empirical results suggest that this state-space or modified augmented Kalman filter may provide interesting ways to identify particular kinds of nonlinearities as they occur in structural change via the state trajectory.^ A computational flow-chart detailing computations and software input and output is provided in the body of the text. IBM Advanced BASIC program listings to accomplish most of the analysis are provided in the appendix. ^

Interpretation of the pressuremeter test using numerical models based on deformation tensor equations

The pressuremeter test in boreholes has proven itself as a useful tool in geotechnical explorations, especially comparing its results with those obtained from a mathematical model ruled by a soil representative constitutive equation. The numerical model shown in this paper is aimed to be the reference framework for the interpretation of this test. The model analyses variables such as: the type of response, the initial state, the drainage regime and the constitutive equations. It is a model of finite elements able to work with a mesh without deformation or one adapted to it.

Factor Markets in Applied Equilibrium Models: The current state and planned extensions towards an improved presentation of factor markets in agriculture. Factor Markets Working Paper No. 23, February 2012

This paper describes how factor markets are presented in applied equilibrium models and how we plan to improve and to extend the presentation of factor markets in two specific models: MAGNET and ESIM. We do not argue that partial equilibrium models should become more ‘general’ in the sense of integrating all factor markets, but that the shift of agricultural income policies to decoupled payments linked to land in the EU necessitates the inclusion of land markets in policy-relevant modelling tools. To this end, this paper outlines options to integrate land markets in partial equilibrium models. A special feature of general equilibrium models is the inclusion of fully integrated factor markets in the system of equations to describe the functionality of a single country or a group of countries. Thus, this paper focuses on the implementation and improved representation of agricultural factor markets (land, labour and capital) in computable general equilibrium (CGE) models. This paper outlines the presentation of factor markets with an overview of currently applied CGE models and describes selected options to improve and extend the current factor market modelling in the MAGNET model, which also uses the results and empirical findings of our partners in this FP project.

Evaluation of the AASHTO design equations and recommended improvements /

"SHRP-P-394."

The gap equations for spin singlet and triplet ferromagnetic superconductors

We derive gap equations for superconductivity in coexistence with ferromagnetism. We treat singlet and triplet states With either equal spin pairing (ESP) or opposite spin pairing (OSP) states, and study the behaviour of these states as a function of exchange splitting. For the s-wave singlet state we find that our gap equations correctly reproduce the Clogston-Chandrasekhar limiting behaviour and the phase diagram of the Baltensperger-Sarma equation (excluding the FFLO region). The singlet superconducting order parameter is shown to be independent of exchange splitting at zero temperature, as is assumed in the derivation of the Clogston-Chandrasekhar limit. P-wave triplet states of the OSP type behave similarly to the singlet state as a function of exchange splitting. On the other hand, ESP triplet states show a very different behaviour. In particular, there is no Clogston-Chandrasekhar limiting and the superconducting critical temperature, T-C, is actually increased by exchange splitting.

Reducing the time period of steady state does not affect the accuracy of energy expenditure measurements by indirect calorimetry

Achievement of steady state during indirect calorimetry measurements of resting energy expenditure (REE) is necessary to reduce error and ensure accuracy in the measurement. Steady state is often defined as 5 consecutive min (5-min SS) during which oxygen consumption and carbon dioxide production vary by +/-10%. These criteria, however, are stringent and often difficult to satisfy. This study aimed to assess whether reducing the time period for steady state (4-min SS or 3-min SS) produced measurements of REE that were significantly different from 5-min SS. REE was measured with the use of open-circuit indirect calorimetry in 39 subjects, of whom only 21 (54%) met the 5-min SS criteria. In these 21 subjects, median biases in REE between 5-min SS and 4-min SS and between 5-min SS and 3-min SS were 0.1 and 0.01%, respectively. For individuals, 4-min SS measured REE within a clinically acceptable range of +/-2% of 5-min SS, whereas 3-min SS measured REE within a range of -2-3% of 5-min SS. Harris-Benedict prediction equations estimated REE for individuals within +/-20-30% of 5-min SS. Reducing the time period of steady state to 4 min produced measurements of REE for individuals that were within clinically acceptable, predetermined limits. The limits of agreement for 3-min SS fell outside the predefined limits of +/-2%; however, both 4-min SS and 3-min SS criteria greatly increased the proportion of subjects who satisfied steady state within smaller limits than would be achieved if relying on prediction equations.

Quantum trajectories for the realistic measurement of a solid-state charge qubit

We present a new model for the continuous measurement of a coupled quantum dot charge qubit. We model the effects of a realistic measurement, namely adding noise to, and filtering, the current through the detector. This is achieved by embedding the detector in an equivalent circuit for measurement. Our aim is to describe the evolution of the qubit state conditioned on the macroscopic output of the external circuit. We achieve this by generalizing a recently developed quantum trajectory theory for realistic photodetectors [P. Warszawski, H. M. Wiseman, and H. Mabuchi, Phys. Rev. A 65, 023802 (2002)] to treat solid-state detectors. This yields stochastic equations whose (numerical) solutions are the realistic quantum trajectories of the conditioned qubit state. We derive our general theory in the context of a low transparency quantum point contact. Areas of application for our theory and its relation to previous work are discussed.

On the steady-state assumption and its application to the rotating disk voltammetry of adsorbed enzymes

Rotating disk voltammetry is routinely used to study electrochemically driven enzyme catalysis because of the assumption that the method produces a steady-state system. This assumption is based on the sigmoidal shape of the voltammograms. We have introduced an electrochemical adaptation of the King-Altman method to simulate voltammograms in which the enzyme catalysis, within an immobilized enzyme layer, is steadystate. This method is readily adaptable to any mechanism and provides a readily programmable means of obtaining closed form analytical equations for a steady-state system. The steady-state simulations are compared to fully implicit finite difference (FIFD) simulations carried out without any steady-state assumptions. On the basis of our simulations, we conclude that, under typical experimental conditions, steady-state enzyme catalysis is unlikely to occur within electrode-immobilized enzyme layers and that typically sigmoidal rotating disk voltammograms merely reflect a mass transfer steady state as opposed to a true steady state of enzyme intermediates at each potential.

Effective cell-centred time-domain Maxwell's equations numerical solvers

This research work analyses techniques for implementing a cell-centred finite-volume time-domain (ccFV-TD) computational methodology for the purpose of studying microwave heating. Various state-of-the-art spatial and temporal discretisation methods employed to solve Maxwell's equations on multidimensional structured grid networks are investigated, and the dispersive and dissipative errors inherent in those techniques examined. Both staggered and unstaggered grid approaches are considered. Upwind schemes using a Riemann solver and intensity vector splitting are studied and evaluated. Staggered and unstaggered Leapfrog and Runge-Kutta time integration methods are analysed in terms of phase and amplitude error to identify which method is the most accurate and efficient for simulating microwave heating processes. The implementation and migration of typical electromagnetic boundary conditions. from staggered in space to cell-centred approaches also is deliberated. In particular, an existing perfectly matched layer absorbing boundary methodology is adapted to formulate a new cell-centred boundary implementation for the ccFV-TD solvers. Finally for microwave heating purposes, a comparison of analytical and numerical results for standard case studies in rectangular waveguides allows the accuracy of the developed methods to be assessed. © 2004 Elsevier Inc. All rights reserved.

A Bayesian state space modelling approach to probabilistic quantitative precipitation forecasting

The generation of very short range forecasts of precipitation in the 0-6 h time window is traditionally referred to as nowcasting. Most existing nowcasting systems essentially extrapolate radar observations in some manner, however, very few systems account for the uncertainties involved. Thus deterministic forecast are produced, which have a limited use when decisions must be made, since they have no measure of confidence or spread of the forecast. This paper develops a Bayesian state space modelling framework for quantitative precipitation nowcasting which is probabilistic from conception. The model treats the observations (radar) as noisy realisations of the underlying true precipitation process, recognising that this process can never be completely known, and thus must be represented probabilistically. In the model presented here the dynamics of the precipitation are dominated by advection, so this is a probabilistic extrapolation forecast. The model is designed in such a way as to minimise the computational burden, while maintaining a full, joint representation of the probability density function of the precipitation process. The update and evolution equations avoid the need to sample, thus only one model needs be run as opposed to the more traditional ensemble route. It is shown that the model works well on both simulated and real data, but that further work is required before the model can be used operationally. © 2004 Elsevier B.V. All rights reserved.

Variational mean-field algorithm for efficient inference in large systems of stochastic differential equations

This work introduces a Gaussian variational mean-field approximation for inference in dynamical systems which can be modeled by ordinary stochastic differential equations. This new approach allows one to express the variational free energy as a functional of the marginal moments of the approximating Gaussian process. A restriction of the moment equations to piecewise polynomial functions, over time, dramatically reduces the complexity of approximate inference for stochastic differential equation models and makes it comparable to that of discrete time hidden Markov models. The algorithm is demonstrated on state and parameter estimation for nonlinear problems with up to 1000 dimensional state vectors and compares the results empirically with various well-known inference methodologies.

Free energy functional expansion as the generalized approach to the equation of state of dense fluids

A version of the thermodynamic perturbation theory based on a scaling transformation of the partition function has been applied to the statistical derivation of the equation of state in a highpressure region. Two modifications of the equations of state have been obtained on the basis of the free energy functional perturbation series. The comparative analysis of the experimental PV T- data on the isothermal compression for the supercritical fluids of inert gases has been carried out. © 2012.

Langevin dynamics, large deviations and instantons for the quasi-geostrophic model and two-dimensional Euler equations

We investigate a class of simple models for Langevin dynamics of turbulent flows, including the one-layer quasi-geostrophic equation and the two-dimensional Euler equations. Starting from a path integral representation of the transition probability, we compute the most probable fluctuation paths from one attractor to any state within its basin of attraction. We prove that such fluctuation paths are the time reversed trajectories of the relaxation paths for a corresponding dual dynamics, which are also within the framework of quasi-geostrophic Langevin dynamics. Cases with or without detailed balance are studied. We discuss a specific example for which the stationary measure displays either a second order (continuous) or a first order (discontinuous) phase transition and a tricritical point. In situations where a first order phase transition is observed, the dynamics are bistable. Then, the transition paths between two coexisting attractors are instantons (fluctuation paths from an attractor to a saddle), which are related to the relaxation paths of the corresponding dual dynamics. For this example, we show how one can analytically determine the instantons and compute the transition probabilities for rare transitions between two attractors.

Quantum transition state theory and solving a first order master equation for complex reactions numerically

The field of chemical kinetics is an exciting and active field. The prevailing theories make a number of simplifying assumptions that do not always hold in actual cases. Another current problem concerns a development of efficient numerical algorithms for solving the master equations that arise in the description of complex reactions. The objective of the present work is to furnish a completely general and exact theory of reaction rates, in a form reminiscent of transition state theory, valid for all fluid phases and also to develop a computer program that can solve complex reactions by finding the concentrations of all participating substances as a function of time. To do so, the full quantum scattering theory is used for deriving the exact rate law, and then the resulting cumulative reaction probability is put into several equivalent forms that take into account all relativistic effects if applicable, including one that is strongly reminiscent of transition state theory, but includes corrections from scattering theory. Then two programs, one for solving complex reactions, the other for solving first order linear kinetic master equations to solve them, have been developed and tested for simple applications.

Dynamic instabilities in scalar neural field equations with space-dependent delays

In this paper we consider a class of scalar integral equations with a form of space-dependent delay. These non-local models arise naturally when modelling neural tissue with active axons and passive dendrites. Such systems are known to support a dynamic (oscillatory) Turing instability of the homogeneous steady state. In this paper we develop a weakly nonlinear analysis of the travelling and standing waves that form beyond the point of instability. The appropriate amplitude equations are found to be the coupled mean-field Ginzburg-Landau equations describing a Turing-Hopf bifurcation with modulation group velocity of O(1). Importantly we are able to obtain the coefficients of terms in the amplitude equations in terms of integral transforms of the spatio-temporal kernels defining the neural field equation of interest. Indeed our results cover not only models with axonal or dendritic delays but those which are described by a more general distribution of delayed spatio-temporal interactions. We illustrate the predictive power of this form of analysis with comparison against direct numerical simulations, paying particular attention to the competition between standing and travelling waves and the onset of Benjamin-Feir instabilities.