Approximate Bayesian techniques for inference in stochastic dynamical systems

This thesis is concerned with approximate inference in dynamical systems, from a variational Bayesian perspective. When modelling real world dynamical systems, stochastic differential equations appear as a natural choice, mainly because of their ability to model the noise of the system by adding a variant of some stochastic process to the deterministic dynamics. Hence, inference in such processes has drawn much attention. Here two new extended frameworks are derived and presented that are based on basis function expansions and local polynomial approximations of a recently proposed variational Bayesian algorithm. It is shown that the new extensions converge to the original variational algorithm and can be used for state estimation (smoothing). However, the main focus is on estimating the (hyper-) parameters of these systems (i.e. drift parameters and diffusion coefficients). The new methods are numerically validated on a range of different systems which vary in dimensionality and non-linearity. These are the Ornstein-Uhlenbeck process, for which the exact likelihood can be computed analytically, the univariate and highly non-linear, stochastic double well and the multivariate chaotic stochastic Lorenz '63 (3-dimensional model). The algorithms are also applied to the 40 dimensional stochastic Lorenz '96 system. In this investigation these new approaches are compared with a variety of other well known methods such as the ensemble Kalman filter / smoother, a hybrid Monte Carlo sampler, the dual unscented Kalman filter (for jointly estimating the systems states and model parameters) and full weak-constraint 4D-Var. Empirical analysis of their asymptotic behaviour as a function of observation density or length of time window increases is provided.

Solvable model for distribution networks on random graphs

We propose a simple model that captures the salient properties of distribution networks, and study the possible occurrence of blackouts, i.e., sudden failings of large portions of such networks. The model is defined on a random graph of finite connectivity. The nodes of the graph represent hubs of the network, while the edges of the graph represent the links of the distribution network. Both, the nodes and the edges carry dynamical two state variables representing the functioning or dysfunctional state of the node or link in question. We describe a dynamical process in which the breakdown of a link or node is triggered when the level of maintenance it receives falls below a given threshold. This form of dynamics can lead to situations of catastrophic breakdown, if levels of maintenance are themselves dependent on the functioning of the net, once maintenance levels locally fall below a critical threshold due to fluctuations. We formulate conditions under which such systems can be analyzed in terms of thermodynamic equilibrium techniques, and under these conditions derive a phase diagram characterizing the collective behavior of the system, given its model parameters. The phase diagram is confirmed qualitatively and quantitatively by simulations on explicit realizations of the graph, thus confirming the validity of our approach. © 2007 The American Physical Society.

Quantifying simulator discrepancy in discrete-time dynamical simulators

When making predictions with complex simulators it can be important to quantify the various sources of uncertainty. Errors in the structural specification of the simulator, for example due to missing processes or incorrect mathematical specification, can be a major source of uncertainty, but are often ignored. We introduce a methodology for inferring the discrepancy between the simulator and the system in discrete-time dynamical simulators. We assume a structural form for the discrepancy function, and show how to infer the maximum-likelihood parameter estimates using a particle filter embedded within a Monte Carlo expectation maximization (MCEM) algorithm. We illustrate the method on a conceptual rainfall-runoff simulator (logSPM) used to model the Abercrombie catchment in Australia. We assess the simulator and discrepancy model on the basis of their predictive performance using proper scoring rules. This article has supplementary material online. © 2011 International Biometric Society.

Intelligent Model of User Behavior in Distributed Systems

We present a complex neural network model of user behavior in distributed systems. The model reflects both dynamical and statistical features of user behavior and consists of three components: on-line and off-line models and change detection module. On-line model reflects dynamical features by predicting user actions on the basis of previous ones. Off-line model is based on the analysis of statistical parameters of user behavior. In both cases neural networks are used to reveal uncharacteristic activity of users. Change detection module is intended for trends analysis in user behavior. The efficiency of complex model is verified on real data of users of Space Research Institute of NASU-NSAU.

A Two Layered Model for Evolving Web Resources

In this paper the key features of a two-layered model for describing the semantic of dynamical web resources are introduced. In the current Semantic Web proposal [Berners-Lee et al., 2001] web resources are classified into static ontologies which describes the semantic network of their inter-relationships [Kalianpur, 2001][Handschuh & Staab, 2002] and complex constraints described by logical quantified formula [Boley et al., 2001][McGuinnes & van Harmelen, 2004][McGuinnes et al., 2004], the basic idea is that software agents can use techniques of automatic reasoning in order to relate resources and to support sophisticated web application. On the other hand, web resources are also characterized by their dynamical aspects, which are not adequately addressed by current web models. Resources on the web are dynamical since, in the minimal case, they can appear or disappear from the web and their content is upgraded. In addition, resources can traverse different states, which characterized the resource life-cycle, each resource state corresponding to different possible uses of the resource. Finally most resources are timed, i.e. they information they provide make sense only if contextualised with respect to time, and their validity and accuracy is greatly bounded by time. Temporal projection and deduction based on dynamical and time constraints of the resources can be made and exploited by software agents [Hendler, 2001] in order to make previsions about the availability and the state of a resource, for deciding when consulting the resource itself or in order to deliberately induce a resource state change for reaching some agent goal, such as in the automated planning framework [Fikes & Nilsson, 1971][Bacchus & Kabanza,1998].

Complex Oscillations and Limit Cycles in Autonomous Two-Component Incommensurate Fractional Dynamical Systems

MSC 2010: 26A33, 34D05, 37C25

A Harrod modell strukturális stabilitása (Structural stability of the Harrod model)

In this study it is shown that the nontrivial hyperbolic fixed point of a nonlinear dynamical system, which is formulated by means of the adaptive expectations, corresponds to the unstable equilibrium of Harrod. We prove that this nonlinear dynamical (in the sense of Harrod) model is structurally stable under suitable economic conditions. In the case of structural stability, small changes of the functions (C1-perturbations of the vector field) describing the expected and the true time variation of the capital coefficients do not influence the qualitative properties of the endogenous variables, that is, although the trajectories may slightly change, their structure is the same as that of the unperturbed one, and therefore these models are suitable for long-time predictions. In this situation the critique of Lucas or Engel is not valid. There is no topological conjugacy between the perturbed and unperturbed models; the change of the growth rate between two levels may require different times for the perturbed and unperturbed models.

Soliton based DPSK encoded sequences:stability and dynamical properties

We study the dynamical properties of the RZ-DPSK encoded sequences of bits, focusing on the instabilities in the train leading to the bit stream corruption. The problem is studied within the framework of the complex Toda chain model for optical solitons. We show how the bit composition of the pattern affects the initial stage of the train dynamics and explain the general mechanisms of the appearance of unstable collective soliton modes. Then we discuss the nonlinear regime using the asymptotic properties of the pulse stream at large propagation distances and analyze the dynamical behavior of the train elucidating different scenarios for the pattern instabilities. ©2010 Crown.

Out-of-equilibrium dynamical fluctuations in glassy systems

"In this paper we extend the earlier treatment of out-of-equilibrium mesoscopic fluctuations in glassy systems in several significant ways. First, via extensive simulations, we demonstrate that models of glassy behavior without quenched disorder display scalings of the probability of local two-time correlators that are qualitatively similar to that of models with short-ranged quenched interactions. The key ingredient for such scaling properties is shown to be the development of a criticallike dynamical correlation length, and not other microscopic details. This robust data collapse may be described in terms of a time-evolving "extreme value" distribution. We develop a theory to describe both the form and evolution of these distributions based on a effective sigma model approach."

An impulsive differential equation model for Marek's disease

Many dynamical processes are subject to abrupt changes in state. Often these perturbations can be periodic and of short duration relative to the evolving process. These types of phenomena are described well by what are referred to as impulsive differential equations, systems of differential equations coupled with discrete mappings in state space. In this thesis we employ impulsive differential equations to model disease transmission within an industrial livestock barn. In particular we focus on the poultry industry and a viral disease of poultry called Marek's disease. This system lends itself well to impulsive differential equations. Entire cohorts of poultry are introduced and removed from a barn concurrently. Additionally, Marek's disease is transmitted indirectly and the viral particles can survive outside the host for weeks. Therefore, depopulating, cleaning, and restocking of the barn are integral factors in modelling disease transmission and can be completely captured by the impulsive component of the model. Our model allows us to investigate how modern broiler farm practices can make disease elimination difficult or impossible to achieve. It also enables us to investigate factors that may contribute to virulence evolution. Our model suggests that by decrease the cohort duration or by decreasing the flock density, Marek's disease can be eliminated from a barn with no increase in cleaning effort. Unfortunately our model also suggests that these practices will lead to disease evolution towards greater virulence. Additionally, our model suggests that if intensive cleaning between cohorts does not rid the barn of disease, it may drive evolution and cause the disease to become more virulent.

Dimensionality hyper-reduction and machine learning for dynamical systems with varying parameters

Thesis (Ph.D.)--University of Washington, 2016-08

Machine learning and data decompositions for complex networked dynamical systems

Thesis (Ph.D.)--University of Washington, 2016-08

The three dimensional model with the affection of stratified density (Caspian Sea)

The hydro dynamical actions in big Lakes directly influence dynamic, physical and chemical affairs. The circulation's models and temperature have something to do with the movements of fluids, and analysis for circulation in Caspian sea is because of the lack of observation through which the circulations and out comings are determined. Through the studies, three dimensional simulations (Large- Scale) are planned and performed, according to Smolakiewicz and Margolin works. This is a non- hydrostatic and Boussinesq approximation is used in its formulation is used in its formulation on the basis of Lipps (1990) theorem and curve lines, the fluid is constant adiabatic and stratified, and the wind power is considered zero. The profile of speed according to previous depth and before ridge can be drawn on the basis of density available between northern and southern ridges. The circulation field is drawn from 3 cm/s to 13 cm/s on the plate z= 5 cm , the vertical changes of speed on the plate is 0.02 m/s. Vertical profile , horizontal speed in previous on, and after the ridges on are drawn on different spaces. It changes from 0.5 cm/s to 1 cm/s before ridges.

Exotic dynamics in a firing rate model of neural tissue with threshold accommodation

Many of the equations describing the dynamics of neural systems are written in terms of firing rate functions, which themselves are often taken to be threshold functions of synaptic activity. Dating back to work by Hill in 1936 it has been recognized that more realistic models of neural tissue can be obtained with the introduction of state-dependent dynamic thresholds. In this paper we treat a specific phenomenological model of threshold accommodation that mimics many of the properties originally described by Hill. Importantly we explore the consequences of this dynamic threshold at the tissue level, by modifying a standard neural field model of Wilson-Cowan type. As in the case without threshold accommodation classical Mexican-Hat connectivity is shown to allow for the existence of spatially localized states (bumps) in both one and two dimensions. Importantly an analysis of bump stability in one dimension, using recent Evans function techniques, shows that bumps may undergo instabilities leading to the emergence of both breathers and traveling waves. Moreover, a similar analysis for traveling pulses leads to the conditions necessary to observe a stable traveling breather. In the regime where a bump solution does not exist direct numerical simulations show the possibility of self-replicating bumps via a form of bump splitting. Simulations in two space dimensions show analogous localized and traveling solutions to those seen in one dimension. Indeed dynamical behavior in this neural model appears reminiscent of that seen in other dissipative systems that support localized structures, and in particular those of coupled cubic complex Ginzburg-Landau equations. Further numerical explorations illustrate that the traveling pulses in this model exhibit particle like properties, similar to those of dispersive solitons observed in some three component reaction-diffusion systems. A preliminary account of this work first appeared in S Coombes and M R Owen, Bumps, breathers, and waves in a neural network with spike frequency adaptation, Physical Review Letters 94 (2005), 148102(1-4).

Model predictive control applied to a supply chain management problem

Supply chains are ubiquitous in any commercial delivery systems. The exchange of goods and services, from different supply points to distinct destinations scattered along a given geographical area, requires the management of stocks and vehicles fleets in order to minimize costs while maintaining good quality services. Even if the operating conditions remain constant over a given time horizon, managing a supply chain is a very complex task. Its complexity increases exponentially with both the number of network nodes and the dynamical operational changes. Moreover, the management system must be adaptive in order to easily cope with several disturbances such as machinery and vehicles breakdowns or changes in demand. This work proposes the use of a model predictive control paradigm in order to tackle the above referred issues. The obtained simulation results suggest that this strategy promotes an easy tasks rescheduling in case of disturbances or anticipated changes in operating conditions. © Springer International Publishing Switzerland 2017