Implicit Taylor methods for stiff stochastic differential equations

In this paper we discuss implicit Taylor methods for stiff Ito stochastic differential equations. Based on the relationship between Ito stochastic integrals and backward stochastic integrals, we introduce three implicit Taylor methods: the implicit Euler-Taylor method with strong order 0.5, the implicit Milstein-Taylor method with strong order 1.0 and the implicit Taylor method with strong order 1.5. The mean-square stability properties of the implicit Euler-Taylor and Milstein-Taylor methods are much better than those of the corresponding semi-implicit Euler and Milstein methods and these two implicit methods can be used to solve stochastic differential equations which are stiff in both the deterministic and the stochastic components. Numerical results are reported to show the convergence properties and the stability properties of these three implicit Taylor methods. The stability analysis and numerical results show that the implicit Euler-Taylor and Milstein-Taylor methods are very promising methods for stiff stochastic differential equations.

Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations

In this paper we discuss implicit methods based on stiffly accurate Runge-Kutta methods and splitting techniques for solving Stratonovich stochastic differential equations (SDEs). Two splitting techniques: the balanced splitting technique and the deterministic splitting technique, are used in this paper. We construct a two-stage implicit Runge-Kutta method with strong order 1.0 which is corrected twice and no update is needed. The stability properties and numerical results show that this approach is suitable for solving stiff SDEs. (C) 2001 Elsevier Science B.V. All rights reserved.

Stochastic gauges in quantum dynamics for many-body simulations

Quantum dynamics simulations can be improved using novel quasiprobability distributions based on non-orthogonal Hermitian kernel operators. This introduces arbitrary functions (gauges) into the stochastic equations. which can be used to tailor them for improved calculations. A possible application to full quantum dynamic simulations of BEC's is presented. (C) 2001 Elsevier Science B.V. All rights reserved.

Stochastic Schrodinger equation approach to quantum noise in resonant tunneling current

We apply the quantum trajectory method to current noise in resonant tunneling devices. The results from dynamical simulation are compared with those from unconditional master equation approach. We show that the stochastic Schrodinger equation approach is useful in modeling the dynamical processes in mesoscopic electronic systems.

Predictions of quantum mechanics and stochastic electrodynamics in travelling wave second harmonic generation

We show that stochastic electrodynamics and quantum mechanics give quantitatively different predictions for the quantum nondemolition (QND) correlations in travelling wave second harmonic generation. Using phase space methods and stochastic integration, we calculate correlations in both the positive-P and truncated Wigner representations, the latter being equivalent to the semi-classical theory of stochastic electrodynamics. We show that the semiclassical results are different in the regions where the system performs best in relation to the QND criteria, and that they significantly overestimate the performance in these regions. (C) 2001 Published by Elsevier Science B.V.

Patchy populations in stochastic environments: Critical number of patches for persistence

We introduce a model for the dynamics of a patchy population in a stochastic environment and derive a criterion for its persistence. This criterion is based on the geometric mean (GM) through time of the spatial-arithmetic mean of growth rates. For the population to persist, the GM has to be greater than or equal to1. The GM increases with the number of patches (because the sampling error is reduced) and decreases with both the variance and the spatial covariance of growth rates. We derive analytical expressions for the minimum number of patches (and the maximum harvesting rate) required for the persistence of the population. As the magnitude of environmental fluctuations increases, the number of patches required for persistence increases, and the fraction of individuals that can be harvested decreases. The novelty of our approach is that we focus on Malthusian local population dynamics with high dispersal and strong environmental variability from year to year. Unlike previous models of patchy populations that assume an infinite number of patches, we focus specifically on the effect that the number of patches has on population persistence. Our work is therefore directly relevant to patchily distributed organisms that are restricted to a small number of habitat patches.

A simulated annealing algorithm for finding consensus sequences

Motivation: A consensus sequence for a family of related sequences is, as the name suggests, a sequence that captures the features common to most members of the family. Consensus sequences are important in various DNA sequencing applications and are a convenient way to characterize a family of molecules. Results: This paper describes a new algorithm for finding a consensus sequence, using the popular optimization method known as simulated annealing. Unlike the conventional approach of finding a consensus sequence by first forming a multiple sequence alignment, this algorithm searches for a sequence that minimises the sum of pairwise distances to each of the input sequences. The resulting consensus sequence can then be used to induce a multiple sequence alignment. The time required by the algorithm scales linearly with the number of input sequences and quadratically with the length of the consensus sequence. We present results demonstrating the high quality of the consensus sequences and alignments produced by the new algorithm. For comparison, we also present similar results obtained using ClustalW. The new algorithm outperforms ClustalW in many cases.

Model specification tests in nonparametric stochastic regression models

In this paper, we consider testing for additivity in a class of nonparametric stochastic regression models. Two test statistics are constructed and their asymptotic distributions are established. We also conduct a small sample study for one of the test statistics through a simulated example. (C) 2002 Elsevier Science (USA).

Interval training program optimization in highly trained endurance cyclists

Purpose: The purpose of this study was to examine the influence of three different high-intensity interval training (HIT) regimens on endurance performance in highly trained endurance athletes. Methods: Before, and after 2 and 4 wk of training, 38 cyclists and triathletes (mean +/- SD; age = 25 +/- 6 yr; mass = 75 +/- 7 kg; (V)over dot O-2peak = 64.5 +/- 5.2 mL.kg(-1).min(-1)) performed: 1) a progressive cycle test to measure peak oxygen consumption ((V)over dotO(2peak)) and peak aerobic power output (PPO), 2) a time to exhaustion test (T-max) at their (V)over dotO(2peak) power output (P-max), as well as 3) a 40-kin time-trial (TT40). Subjects were matched and assigned to one of four training groups (G(1), N = 8, 8 X 60% T-max P-max, 1:2 work:recovery ratio; G(2), N = 9, 8 X 60% T-max at P-max, recovery at 65% HRmax; G(3), N = 10, 12 X 30 s at 175% PPO, 4.5-min recovery; G(CON), N = 11). In addition to G(1) G(2), and G(3) performing HIT twice per week, all athletes maintained their regular low-intensity training throughout the experimental period. Results: All HIT groups improved TT40 performance (+4.4 to +5.8%) and PPO (+3.0 to +6.2%) significantly more than G(CON) (-0.9 to + 1.1 %; P < 0.05). Furthermore, G(1) (+5.4%) and G(2) (+8.1%) improved their (V)over dot O-2peak significantly more than G(CON) (+ 1.0%; P < 0.05). Conclusion: The present study has shown that when HIT incorporates P-max as the interval intensity and 60% of T-max as the interval duration, already highly trained cyclists can significantly improve their 40-km time trial performance. Moreover, the present data confirm prior research, in that repeated supramaximal HIT can significantly improve 40-km time trial performance.

Predictor-corrector methods of Runge-Kutta type for stochastic differential equations

In this paper we construct predictor-corrector (PC) methods based on the trivial predictor and stochastic implicit Runge-Kutta (RK) correctors for solving stochastic differential equations. Using the colored rooted tree theory and stochastic B-series, the order condition theorem is derived for constructing stochastic RK methods based on PC implementations. We also present detailed order conditions of the PC methods using stochastic implicit RK correctors with strong global order 1.0 and 1.5. A two-stage implicit RK method with strong global order 1.0 and a four-stage implicit RK method with strong global order 1.5 used as the correctors are constructed in this paper. The mean-square stability properties and numerical results of the PC methods based on these two implicit RK correctors are reported.

A variable stepsize implementation for stochastic differential equations

Stochastic differential equations (SDEs) arise from physical systems where the parameters describing the system can only be estimated or are subject to noise. Much work has been done recently on developing higher order Runge-Kutta methods for solving SDEs numerically. Fixed stepsize implementations of numerical methods have limitations when, for example, the SDE being solved is stiff as this forces the stepsize to be very small. This paper presents a completely general variable stepsize implementation of an embedded Runge Kutta pair for solving SDEs numerically; in this implementation, there is no restriction on the value used for the stepsize, and it is demonstrated that the integration remains on the correct Brownian path.