Stabilization of stochastic approximation by step size adaptation

A scheme for stabilizing stochastic approximation iterates by adaptively scaling the step sizes is proposed and analyzed. This scheme leads to the same limiting differential equation as the original scheme and therefore has the same limiting behavior, while avoiding the difficulties associated with projection schemes. The proof technique requires only that the limiting o.d.e. descend a certain Lyapunov function outside an arbitrarily large bounded set. (C) 2012 Elsevier B.V. All rights reserved.

Reducing convergence times of self-propelled swarms via modified nearest neighbor rules

Vicsek et al. proposed a biologically inspired model of self-propelled particles, which is now commonly referred to as the Vicsek model. Recently, attention has been directed at modifying the Vicsek model so as to improve convergence properties. In this paper, we propose two modification of the Vicsek model which leads to significant improvements in convergence times. The modifications involve an additional term in the heading update rule which depends only on the current or the past states of the particle's neighbors. The variation in convergence properties as the parameters of these modified versions are changed are closely investigated. It is found that in both cases, there exists an optimal value of the parameter which reduces convergence times significantly and the system undergoes a phase transition as the value of the parameter is increased beyond this optimal value. (C) 2012 Elsevier B.V. All rights reserved.

An operator-splitting Galerkin/SUPG finite element method for population balance equations : stability and convergence

We present a heterogeneous finite element method for the solution of a high-dimensional population balance equation, which depends both the physical and the internal property coordinates. The proposed scheme tackles the two main difficulties in the finite element solution of population balance equation: (i) spatial discretization with the standard finite elements, when the dimension of the equation is more than three, (ii) spurious oscillations in the solution induced by standard Galerkin approximation due to pure advection in the internal property coordinates. The key idea is to split the high-dimensional population balance equation into two low-dimensional equations, and discretize the low-dimensional equations separately. In the proposed splitting scheme, the shape of the physical domain can be arbitrary, and different discretizations can be applied to the low-dimensional equations. In particular, we discretize the physical and internal spaces with the standard Galerkin and Streamline Upwind Petrov Galerkin (SUPG) finite elements, respectively. The stability and error estimates of the Galerkin/SUPG finite element discretization of the population balance equation are derived. It is shown that a slightly more regularity, i.e. the mixed partial derivatives of the solution has to be bounded, is necessary for the optimal order of convergence. Numerical results are presented to support the analysis.

Synchronization of globally coupled two-state stochastic oscillators with a state-dependent refractory period

We present a model of identical coupled two-state stochastic units, each of which in isolation is governed by a fixed refractory period. The nonlinear coupling between units directly affects the refractory period, which now depends on the global state of the system and can therefore itself become time dependent. At weak coupling the array settles into a quiescent stationary state. Increasing coupling strength leads to a saddle node bifurcation, beyond which the quiescent state coexists with a stable limit cycle of nonlinear coherent oscillations. We explicitly determine the critical coupling constant for this transition.

SPLIT-STEP FORWARD MILSTEIN METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS

In this paper, we consider the problem of computing numerical solutions for stochastic differential equations (SDEs) of Ito form. A fully explicit method, the split-step forward Milstein (SSFM) method, is constructed for solving SDEs. It is proved that the SSFM method is convergent with strong order gamma = 1 in the mean-square sense. The analysis of stability shows that the mean-square stability properties of the method proposed in this paper are an improvement on the mean-square stability properties of the Milstein method and three stage Milstein methods.

Zero-Sum Risk-Sensitive Stochastic Differential Games

We study zero-sum risk-sensitive stochastic differential games on the infinite horizon with discounted and ergodic payoff criteria. Under certain assumptions, we establish the existence of values and saddle-point equilibria. We obtain our results by studying the corresponding Hamilton-Jacobi-Isaacs equations. Finally, we show that the value of the ergodic payoff criterion is a constant multiple of the maximal eigenvalue of the generators of the associated nonlinear semigroups.

Existence of Value in Stochastic Differential Games of Mixed Type

In this article, we address stochastic differential games of mixed type with both control and stopping times. Under standard assumptions, we show that the value of the game can be characterized as the unique viscosity solution of corresponding Hamilton-Jacobi-Isaacs (HJI) variational inequalities.

Stochastic Simulations Suggest that HIV-1 Survives Close to Its Error Threshold

The use of mutagenic drugs to drive HIV-1 past its error threshold presents a novel intervention strategy, as suggested by the quasispecies theory, that may be less susceptible to failure via viral mutation-induced emergence of drug resistance than current strategies. The error threshold of HIV-1, mu(c), however, is not known. Application of the quasispecies theory to determine mu(c) poses significant challenges: Whereas the quasispecies theory considers the asexual reproduction of an infinitely large population of haploid individuals, HIV-1 is diploid, undergoes recombination, and is estimated to have a small effective population size in vivo. We performed population genetics-based stochastic simulations of the within-host evolution of HIV-1 and estimated the structure of the HIV-1 quasispecies and mu(c). We found that with small mutation rates, the quasispecies was dominated by genomes with few mutations. Upon increasing the mutation rate, a sharp error catastrophe occurred where the quasispecies became delocalized in sequence space. Using parameter values that quantitatively captured data of viral diversification in HIV-1 patients, we estimated mu(c) to be 7 x 10(-5) -1 x 10(-4) substitutions/site/replication, similar to 2-6 fold higher than the natural mutation rate of HIV-1, suggesting that HIV-1 survives close to its error threshold and may be readily susceptible to mutagenic drugs. The latter estimate was weakly dependent on the within-host effective population size of HIV-1. With large population sizes and in the absence of recombination, our simulations converged to the quasispecies theory, bridging the gap between quasispecies theory and population genetics-based approaches to describing HIV-1 evolution. Further, mu(c) increased with the recombination rate, rendering HIV-1 less susceptible to error catastrophe, thus elucidating an added benefit of recombination to HIV-1. Our estimate of mu(c) may serve as a quantitative guideline for the use of mutagenic drugs against HIV-1.

A finite population model of mlecular evolution: theory and computation

This article is concerned with the evolution of haploid organisms that reproduce asexually. In a seminal piece of work, Eigen and coauthors proposed the quasispecies model in an attempt to understand such an evolutionary process. Their work has impacted antiviral treatment and vaccine design strategies. Yet, predictions of the quasispecies model are at best viewed as a guideline, primarily because it assumes an infinite population size, whereas realistic population sizes can be quite small. In this paper we consider a population genetics-based model aimed at understanding the evolution of such organisms with finite population sizes and present a rigorous study of the convergence and computational issues that arise therein. Our first result is structural and shows that, at any time during the evolution, as the population size tends to infinity, the distribution of genomes predicted by our model converges to that predicted by the quasispecies model. This justifies the continued use of the quasispecies model to derive guidelines for intervention. While the stationary state in the quasispecies model is readily obtained, due to the explosion of the state space in our model, exact computations are prohibitive. Our second set of results are computational in nature and address this issue. We derive conditions on the parameters of evolution under which our stochastic model mixes rapidly. Further, for a class of widely used fitness landscapes we give a fast deterministic algorithm which computes the stationary distribution of our model. These computational tools are expected to serve as a framework for the modeling of strategies for the deployment of mutagenic drugs.

General-sum stochastic games: Verifiability conditions for Nash equilibria

Unlike zero-sum stochastic games, a difficult problem in general-sum stochastic games is to obtain verifiable conditions for Nash equilibria. We show in this paper that by splitting an associated non-linear optimization problem into several sub-problems, characterization of Nash equilibria in a general-sum discounted stochastic games is possible. Using the aforementioned sub-problems, we in fact derive a set of necessary and sufficient verifiable conditions (termed KKT-SP conditions) for a strategy-pair to result in Nash equilibrium. Also, we show that any algorithm which tracks the zero of the gradient of the Lagrangian of every sub-problem provides a Nash strategy-pair. (c) 2012 Elsevier Ltd. All rights reserved.

Implication of a Higgs boson at 125 GeV within the stochastic superspace framework

We revisit the issue of considering stochasticity of Grassmannian coordinates in N = 1 superspace, which was analyzed previously by Kobakhidze et al. In this stochastic supersymmetry (SUSY) framework, the soft SUSY breaking terms of the minimal supersymmetric Standard Model (MSSM) such as the bilinear Higgs mixing, trilinear coupling, as well as the gaugino mass parameters are all proportional to a single mass parameter xi, a measure of supersymmetry breaking arising out of stochasticity. While a nonvanishing trilinear coupling at the high scale is a natural outcome of the framework, a favorable signature for obtaining the lighter Higgs boson mass m(h) at 125 GeV, the model produces tachyonic sleptons or staus turning to be too light. The previous analyses took Lambda, the scale at which input parameters are given, to be larger than the gauge coupling unification scale M-G in order to generate acceptable scalar masses radiatively at the electroweak scale. Still, this was inadequate for obtaining m(h) at 125 GeV. We find that Higgs at 125 GeV is highly achievable, provided we are ready to accommodate a nonvanishing scalar mass soft SUSY breaking term similar to what is done in minimal anomaly mediated SUSY breaking (AMSB) in contrast to a pure AMSB setup. Thus, the model can easily accommodate Higgs data, LHC limits of squark masses, WMAP data for dark matter relic density, flavor physics constraints, and XENON100 data. In contrast to the previous analyses, we consider Lambda = M-G, thus avoiding any ambiguities of a post-grand unified theory physics. The idea of stochastic superspace can easily be generalized to various scenarios beyond the MSSM. DOI: 10.1103/PhysRevD.87.035022

Assessing future rainfall projections using multiple GCMs and a multi-site stochastic downscaling model

Impact of global warming on daily rainfall is examined using atmospheric variables from five General Circulation Models (GCMs) and a stochastic downscaling model. Daily rainfall at eleven raingauges over Malaprabha catchment of India and National Center for Environmental Prediction (NCEP) reanalysis data at grid points over the catchment for a continuous time period 1971-2000 (current climate) are used to calibrate the downscaling model. The downscaled rainfall simulations obtained using GCM atmospheric variables corresponding to the IPCC-SRES (Intergovernmental Panel for Climate Change - Special Report on Emission Scenarios) A2 emission scenario for the same period are used to validate the results. Following this, future downscaled rainfall projections are constructed and examined for two 20 year time slices viz. 2055 (i.e. 2046-2065) and 2090 (i.e. 2081-2100). The model results show reasonable skill in simulating the rainfall over the study region for the current climate. The downscaled rainfall projections indicate no significant changes in the rainfall regime in this catchment in the future. More specifically, 2% decrease by 2055 and 5% decrease by 2090 in monsoon (HAS) rainfall compared to the current climate (1971-2000) under global warming conditions are noticed. Also, pre-monsoon (JFMAM) and post-monsoon (OND) rainfall is projected to increase respectively, by 2% in 2055 and 6% in 2090 and, 2% in 2055 and 12% in 2090, over the region. On annual basis slight decreases of 1% and 2% are noted for 2055 and 2090, respectively.

A novel filtering framework through Girsanov correction for the identification of nonlinear dynamical systems

Using a Girsanov change of measures, we propose novel variations within a particle-filtering algorithm, as applied to the inverse problem of state and parameter estimations of nonlinear dynamical systems of engineering interest, toward weakly correcting for the linearization or integration errors that almost invariably occur whilst numerically propagating the process dynamics, typically governed by nonlinear stochastic differential equations (SDEs). Specifically, the correction for linearization, provided by the likelihood or the Radon-Nikodym derivative, is incorporated within the evolving flow in two steps. Once the likelihood, an exponential martingale, is split into a product of two factors, correction owing to the first factor is implemented via rejection sampling in the first step. The second factor, which is directly computable, is accounted for via two different schemes, one employing resampling and the other using a gain-weighted innovation term added to the drift field of the process dynamics thereby overcoming the problem of sample dispersion posed by resampling. The proposed strategies, employed as add-ons to existing particle filters, the bootstrap and auxiliary SIR filters in this work, are found to non-trivially improve the convergence and accuracy of the estimates and also yield reduced mean square errors of such estimates vis-a-vis those obtained through the parent-filtering schemes.

Stochastic analysis of epidemics on adaptive time varying networks

Many studies investigating the effect of human social connectivity structures (networks) and human behavioral adaptations on the spread of infectious diseases have assumed either a static connectivity structure or a network which adapts itself in response to the epidemic (adaptive networks). However, human social connections are inherently dynamic or time varying. Furthermore, the spread of many infectious diseases occur on a time scale comparable to the time scale of the evolving network structure. Here we aim to quantify the effect of human behavioral adaptations on the spread of asymptomatic infectious diseases on time varying networks. We perform a full stochastic analysis using a continuous time Markov chain approach for calculating the outbreak probability, mean epidemic duration, epidemic reemergence probability, etc. Additionally, we use mean-field theory for calculating epidemic thresholds. Theoretical predictions are verified using extensive simulations. Our studies have uncovered the existence of an ``adaptive threshold,'' i.e., when the ratio of susceptibility (or infectivity) rate to recovery rate is below the threshold value, adaptive behavior can prevent the epidemic. However, if it is above the threshold, no amount of behavioral adaptations can prevent the epidemic. Our analyses suggest that the interaction patterns of the infected population play a major role in sustaining the epidemic. Our results have implications on epidemic containment policies, as awareness campaigns and human behavioral responses can be effective only if the interaction levels of the infected populace are kept in check.

Application of the random eigenvalue problem in forced response analysis of a linear stochastic structure

The random eigenvalue problem arises in frequency and mode shape determination for a linear system with uncertainties in structural properties. Among several methods of characterizing this random eigenvalue problem, one computationally fast method that gives good accuracy is a weak formulation using polynomial chaos expansion (PCE). In this method, the eigenvalues and eigenvectors are expanded in PCE, and the residual is minimized by a Galerkin projection. The goals of the current work are (i) to implement this PCE-characterized random eigenvalue problem in the dynamic response calculation under random loading and (ii) to explore the computational advantages and challenges. In the proposed method, the response quantities are also expressed in PCE followed by a Galerkin projection. A numerical comparison with a perturbation method and the Monte Carlo simulation shows that when the loading has a random amplitude but deterministic frequency content, the proposed method gives more accurate results than a first-order perturbation method and a comparable accuracy as the Monte Carlo simulation in a lower computational time. However, as the frequency content of the loading becomes random, or for general random process loadings, the method loses its accuracy and computational efficiency. Issues in implementation, limitations, and further challenges are also addressed.