Percolation in soils at Different Bulk Densities: Porosity, Connectivity and Grey Threshold.

To improve percolation modelling on soils the geometrical properties of the pore space must be understood; this includes porosity, particle and pore size distribution and connectivity of the pores. A study was conducted with a soil at different bulk densities based on 3D grey images acquired by X-ray computed tomography. The objective was to analyze the effect in percolation of aspects of pore network geometry and discuss the influence of the grey threshold applied to the images. A model based on random walk algorithms was applied to the images, combining five bulk densities with up to six threshold values per density. This allowed for a dynamical perspective of soil structure in relation to water transport through the inclusion of percolation speed in the analyses. To evaluate separately connectivity and isolate the effect of the grey threshold, a critical value of 35% of porosity was selected for every density. This value was the smallest at which total-percolation walks appeared for the all images of the same porosity and may represent a situation of percolation comparable among bulks densities. This criterion avoided an arbitrary decision in grey thresholds. Besides, a random matrix simulation at 35% of porosity with real images was used to test the existence of pore connectivity as a consequence of a non-random soil structure.

Topology of a percolating soil pore network.

A connectivity function defined by the 3D-Euler number, is a topological indicator and can be related to hydraulic properties (Vogel and Roth, 2001). This study aims to develop connectivity Euler indexes as indicators of the ability of soils for fluid percolation. The starting point was a 3D grey image acquired by X-ray computed tomography of a soil at bulk density of 1.2 mg cm-3. This image was used in the simulation of 40000 particles following a directed random walk algorithms with 7 binarization thresholds. These data consisted of 7 files containing the simulated end points of the 40000 random walks, obtained in Ruiz-Ramos et al. (2010). MATLAB software was used for computing the frequency matrix of the number of particles arriving at every end point of the random walks and their 3D representation.

Systematic analysis of direct-drive baseline designs for shock ignition with the Laser MégaJoule

We present direct-drive target design studies for the laser mégajoule using two distinct initial aspect ratios (A = 34 and A = 5). Laser pulse shapes are optimized by a random walk method and drive power variations are used to cover a wide variety of implosion velocities between 260 km/s and 365 km/s. For selected implosion velocities and for each initial aspect ratio, scaled-target families are built in order to find self-ignition threshold. High-gain shock ignition is also investigated in the context of Laser MégaJoule for marginally igniting targets below their own self-ignition threshold.

Empirical analysis of traffic volume for the application of the options theory to highway concessions

*************************************************************************************** EL WCTR es un Congreso de reconocido prestigio internacional en el ámbito de la investigación del transporte que hasta el 2010 publicaba sus libros de abstracts con ISBN. Por ello consideramos que debería seguir teníendose en cuenta para los indicadores de calidad ******************************************************************************************* Investment projects in the field of transportation infrastructures have a high degree of uncertainty and require an important amount of resources. In highway concessions in particular, the calculation of the Net Present Value (NPV) of the project by means of the discount of cash flows, may lead to erroneous results when the project incorporates certain flexibility. In these cases, the theory of real options is an alternative tool for the valuation of concessions. When the variable that generates uncertainty (in our case, the traffic) follows a random walk (or Geometric Brownian Motion), we can calculate the value of the options embedded in the contract starting directly from the process followed by that variable. This procedure notably simplifies the calculation method. In order to test the hypothesis of the evolution of traffic as a Geometric Brownian Motion, we have used the available series of traffic in Spanish highways, and we have applied the Augmented Dickey-Fuller approach, which is the most widely used test for this kind of study. The main result of the analysis is that we cannot reject the hypothesis that traffic follows a Geometric Brownian Motion in the majority of both toll highways and free highways in Spain.

Modelos para el análisis dinámico y la predicción a corto plazo de los precios de la electricidad en mercados liberalizados

En esta tesis se va a describir y aplicar de forma novedosa la técnica del alisado exponencial multivariante a la predicción a corto plazo, a un día vista, de los precios horarios de la electricidad, un problema que se está estudiando intensivamente en la literatura estadística y económica reciente. Se van a demostrar ciertas propiedades interesantes del alisado exponencial multivariante que permiten reducir el número de parámetros para caracterizar la serie temporal y que al mismo tiempo permiten realizar un análisis dinámico factorial de la serie de precios horarios de la electricidad. En particular, este proceso multivariante de elevada dimensión se estimará descomponiéndolo en un número reducido de procesos univariantes independientes de alisado exponencial caracterizado cada uno por un solo parámetro de suavizado que variará entre cero (proceso de ruido blanco) y uno (paseo aleatorio). Para ello, se utilizará la formulación en el espacio de los estados para la estimación del modelo, ya que ello permite conectar esa secuencia de modelos univariantes más eficientes con el modelo multivariante. De manera novedosa, las relaciones entre los dos modelos se obtienen a partir de un simple tratamiento algebraico sin requerir la aplicación del filtro de Kalman. De este modo, se podrán analizar y poner al descubierto las razones últimas de la dinámica de precios de la electricidad. Por otra parte, la vertiente práctica de esta metodología se pondrá de manifiesto con su aplicación práctica a ciertos mercados eléctricos spot, tales como Omel, Powernext y Nord Pool. En los citados mercados se caracterizará la evolución de los precios horarios y se establecerán sus predicciones comparándolas con las de otras técnicas de predicción. ABSTRACT This thesis describes and applies the multivariate exponential smoothing technique to the day-ahead forecast of the hourly prices of electricity in a whole new way. This problem is being studied intensively in recent statistics and economics literature. It will start by demonstrating some interesting properties of the multivariate exponential smoothing that reduce drastically the number of parameters to characterize the time series and that at the same time allow a dynamic factor analysis of the hourly prices of electricity series. In particular this very complex multivariate process of dimension 24 will be estimated by decomposing a very reduced number of univariate independent of exponentially smoothing processes each characterized by a single smoothing parameter that varies between zero (white noise process) and one (random walk). To this end, the formulation is used in the state space model for the estimation, since this connects the sequence of efficient univariate models to the multivariate model. Through a novel way, relations between the two models are obtained from a simple algebraic treatment without applying the Kalman filter. Thus, we will analyze and expose the ultimate reasons for the dynamics of the electricity price. Moreover, the practical aspect of this methodology will be shown by applying this new technique to certain electricity spot markets such as Omel, Powernext and Nord Pool. In those markets the behavior of prices will be characterized, their predictions will be formulated and the results will be compared with those of other forecasting techniques.

Orthogonal MCMC algorithms

Monte Carlo (MC) methods are widely used in signal processing, machine learning and stochastic optimization. A well-known class of MC methods are Markov Chain Monte Carlo (MCMC) algorithms. In this work, we introduce a novel parallel interacting MCMC scheme, where the parallel chains share information using another MCMC technique working on the entire population of current states. These parallel ?vertical? chains are led by random-walk proposals, whereas the ?horizontal? MCMC uses a independent proposal, which can be easily adapted by making use of all the generated samples. Numerical results show the advantages of the proposed sampling scheme in terms of mean absolute error, as well as robustness w.r.t. to initial values and parameter choice.

Charge transfer and transport in DNA

We explore charge migration in DNA, advancing two distinct mechanisms of charge separation in a donor (d)–bridge ({Bj})–acceptor (a) system, where {Bj} = B1,B2, … , BN are the N-specific adjacent bases of B-DNA: (i) two-center unistep superexchange induced charge transfer, d*{Bj}a → d∓{Bj}a±, and (ii) multistep charge transport involves charge injection from d* (or d+) to {Bj}, charge hopping within {Bj}, and charge trapping by a. For off-resonance coupling, mechanism i prevails with the charge separation rate and yield exhibiting an exponential dependence ∝ exp(−βR) on the d-a distance (R). Resonance coupling results in mechanism ii with the charge separation lifetime τ ∝ Nη and yield Y ≃ (1 + δ̄ Nη)−1 exhibiting a weak (algebraic) N and distance dependence. The power parameter η is determined by charge hopping random walk. Energetic control of the charge migration mechanism is exerted by the energetics of the ion pair state d∓B1±B2 … BNa relative to the electronically excited donor doorway state d*B1B2 … BNa. The realization of charge separation via superexchange or hopping is determined by the base sequence within the bridge. Our energetic–dynamic relations, in conjunction with the energetic data for d*/d− and for B/B+, determine the realization of the two distinct mechanisms in different hole donor systems, establishing the conditions for “chemistry at a distance” after charge transport in DNA. The energetic control of the charge migration mechanisms attained by the sequence specificity of the bridge is universal for large molecular-scale systems, for proteins, and for DNA.

Torsional directed walks, entropic elasticity, and DNA twist stiffness

DNA and other biopolymers differ from classical polymers because of their torsional stiffness. This property changes the statistical character of their conformations under tension from a classical random walk to a problem we call the “torsional directed walk.” Motivated by a recent experiment on single lambda-DNA molecules [Strick, T. R., Allemand, J.-F., Bensimon, D., Bensimon, A. & Croquette, V. (1996) Science 271, 1835–1837], we formulate the torsional directed walk problem and solve it analytically in the appropriate force regime. Our technique affords a direct physical determination of the microscopic twist stiffness C and twist-stretch coupling D relevant for DNA functionality. The theory quantitatively fits existing experimental data for relative extension as a function of overtwist over a wide range of applied force; fitting to the experimental data yields the numerical values C = 120 nm and D = 50 nm. Future experiments will refine these values. We also predict that the phenomenon of reduction of effective twist stiffness by bend fluctuations should be testable in future single-molecule experiments, and we give its analytic form.

Anterograde flow of cargo across the Golgi stack potentially mediated via bidirectional “percolating” COPI vesicles

How do secretory proteins and other cargo targeted to post-Golgi locations traverse the Golgi stack? We report immunoelectron microscopy experiments establishing that a Golgi-restricted SNARE, GOS 28, is present in the same population of COPI vesicles as anterograde cargo marked by vesicular stomatitis virus glycoprotein, but is excluded from the COPI vesicles containing retrograde-targeted cargo (marked by KDEL receptor). We also report that GOS 28 and its partnering t-SNARE heavy chain, syntaxin 5, reside together in every cisterna of the stack. Taken together, these data raise the possibility that the anterograde cargo-laden COPI vesicles, retained locally by means of tethers, are inherently capable of fusing with neighboring cisternae on either side. If so, quanta of exported proteins would transit the stack in GOS 28–COPI vesicles via a bidirectional random walk, entering at the cis face and leaving at the trans face and percolating up and down the stack in between. Percolating vesicles carrying both post-Golgi cargo and Golgi residents up and down the stack would reconcile disparate observations on Golgi transport in cells and in cell-free systems.

Evidence for nonrandom hydrophobicity structures in protein chains.

The question of whether proteins originate from random sequences of amino acids is addressed. A statistical analysis is performed in terms of blocked and random walk values formed by binary hydrophobic assignments of the amino acids along the protein chains. Theoretical expectations of these variables from random distributions of hydrophobicities are compared with those obtained from functional proteins. The results, which are based upon proteins in the SWISS-PROT data base, convincingly show that the amino acid sequences in proteins differ from what is expected from random sequences in a statistically significant way. By performing Fourier transforms on the random walks, one obtains additional evidence for nonrandomness of the distributions. We have also analyzed results from a synthetic model containing only two amino acid types, hydrophobic and hydrophilic. With reasonable criteria on good folding properties in terms of thermodynamical and kinetic behavior, sequences that fold well are isolated. Performing the same statistical analysis on the sequences that fold well indicates similar deviations from randomness as for the functional proteins. The deviations from randomness can be interpreted as originating from anticorrelations in terms of an Ising spin model for the hydrophobicities. Our results, which differ from some previous investigations using other methods, might have impact on how permissive with respect to sequence specificity protein folding process is-only sequences with nonrandom hydrophobicity distributions fold well. Other distributions give rise to energy landscapes with poor folding properties and hence did not survive the evolution.

Least activation path for protein folding: investigation of staphylococcal nuclease folding by stopped-flow circular dichroism.

Is the pathway of protein folding determined by the relative stability of folding intermediates, or by the relative height of the activation barriers leading to these intermediates? This is a fundamental question for resolving the Levinthal paradox, which stated that protein folding by a random search mechanism would require a time too long to be plausible. To answer this question, we have studied the guanidinium chloride (GdmCl)-induced folding/unfolding of staphylococcal nuclease [(SNase, formerly EC 3.1.4.7; now called microbial nuclease or endonuclease, EC 3.1.31.1] by stopped-flow circular dichroism (CD) and differential scanning microcalorimetry (DSC). The data show that while the equilibrium transition is a quasi-two-state process, kinetics in the 2-ms to 500-s time range are triphasic. Data support the sequential mechanism for SNase folding: U3 <--> U2 <--> U1 <--> N0, where U1, U2, and U3 are substates of the unfolded protein and N0 is the native state. Analysis of the relative population of the U1, U2, and U3 species in 2.0 M GdmCl gives delta-G values for the U3 --> U2 reaction of +0.1 kcal/mol and for the U2 --> U1 reaction of -0.49 kcal/mol. The delta-G value for the U1 --> N0 reaction is calculated to be -4.5 kcal/mol from DSC data. The activation energy, enthalpy, and entropy for each kinetic step are also determined. These results allow us to make the following four conclusions. (i) Although the U1, U2, and U3 states are nearly isoenergetic, no random walk occurs among them during the folding. The pathway of folding is unique and sequential. In other words, the relative stability of the folding intermediates does not dictate the folding pathway. Instead, the folding is a descent toward the global free-energy minimum of the native state via the least activation path in the vast energy landscape. Barrier avoidance leads the way, and barrier height limits the rate. Thus, the Levinthal paradox is not applicable to the protein-folding problem. (ii) The main folding reaction (U1 --> N0), in which the peptide chain acquires most of its free energy (via van der Waals' contacts, hydrogen bonding, and electrostatic interactions), is a highly concerted process. These energy-acquiring events take place in a single kinetic phase. (iii) U1 appears to be a compact unfolded species; the rate of conversion of U2 to U1 depends on the viscosity of solution. (iv) All four relaxation times reported here depend on GdmCl concentrations: it is likely that none involve the cis/trans isomerization of prolines. Finally, a mechanism is presented in which formation of sheet-like chain conformations and a hydrophobic condensation event precede the main-chain folding reaction.

A new betweenness centrality measure based on an algorithm for ranking the nodes of a network

We propose and discuss a new centrality index for urban street patterns represented as networks in geographical space. This centrality measure, that we call ranking-betweenness centrality, combines the idea behind the random-walk betweenness centrality measure and the idea of ranking the nodes of a network produced by an adapted PageRank algorithm. We initially use a PageRank algorithm in which we are able to transform some information of the network that we want to analyze into numerical values. Numerical values summarizing the information are associated to each of the nodes by means of a data matrix. After running the adapted PageRank algorithm, a ranking of the nodes is obtained, according to their importance in the network. This classification is the starting point for applying an algorithm based on the random-walk betweenness centrality. A detailed example of a real urban street network is discussed in order to understand the process to evaluate the ranking-betweenness centrality proposed, performing some comparisons with other classical centrality measures.

Aspects of Markov Chains and Particle Systems

Thesis (Ph.D.)--University of Washington, 2016-06

On the inverse parabolicity of pdf equations in turbulent flows

The focus of the present work is the well-known feature of the probability density function (PDF) transport equations in turbulent flows-the inverse parabolicity of the equations. While it is quite common in fluid mechanics to interpret equations with direct (forward-time) parabolicity as diffusive (or as a combination of diffusion, convection and reaction), the possibility of a similar interpretation for equations with inverse parabolicity is not clear. According to Einstein's point of view, a diffusion process is associated with the random walk of some physical or imaginary particles, which can be modelled by a Markov diffusion process. In the present paper it is shown that the Markov diffusion process directly associated with the PDF equation represents a reasonable model for dealing with the PDFs of scalars but it significantly underestimates the diffusion rate required to simulate turbulent dispersion when the velocity components are considered.

Heavy tails, importance sampling and cross-entropy

We consider the problem of estimating P(Yi + (...) + Y-n > x) by importance sampling when the Yi are i.i.d. and heavy-tailed. The idea is to exploit the cross-entropy method as a toot for choosing good parameters in the importance sampling distribution; in doing so, we use the asymptotic description that given P(Y-1 + (...) + Y-n > x), n - 1 of the Yi have distribution F and one the conditional distribution of Y given Y > x. We show in some specific parametric examples (Pareto and Weibull) how this leads to precise answers which, as demonstrated numerically, are close to being variance minimal within the parametric class under consideration. Related problems for M/G/l and GI/G/l queues are also discussed.