Managing uncertainty in complex stochastic models: design and emulation of a Rabies model

In this paper we present a novel method for emulating a stochastic, or random output, computer model and show its application to a complex rabies model. The method is evaluated both in terms of accuracy and computational efficiency on synthetic data and the rabies model. We address the issue of experimental design and provide empirical evidence on the effectiveness of utilizing replicate model evaluations compared to a space-filling design. We employ the Mahalanobis error measure to validate the heteroscedastic Gaussian process based emulator predictions for both the mean and (co)variance. The emulator allows efficient screening to identify important model inputs and better understanding of the complex behaviour of the rabies model.

Pattern formation in volumetrically heated fluids

Finite element simulations have been performed along side normal mode analysis on the linear stability that examined the development of volumetrically heated flow patterns in a horizontal layer controlled by the Prandtl number, Pr, and the Grashof number, Gr. The fluid was bounded by an isothermal plane above an adiabatic plane. In the simulations performed here, a number of convective polygonal planforms occurred, as Gr increased above the critical Grashof number, Grc at Pr = 7, while roll structures were observed for Pr < 1 at 2Grc.

Dissipative parametric modulation instability and pattern formation in nonlinear optical systems

We present the essential features of the dissipative parametric instability, in the universal complex Ginzburg- Landau equation. Dissipative parametric instability is excited through a parametric modulation of frequency dependent losses in a zig-zag fashion in the spectral domain. Such damping is introduced respectively for spectral components in the +ΔF and in the -ΔF region in alternating fashion, where F can represent wavenumber or temporal frequency depending on the applications. Such a spectral modulation can destabilize the homogeneous stationary solution of the system leading to growth of spectral sidebands and to the consequent pattern formation: both stable and unstable patterns in one- and in two-dimensional systems can be excited. The dissipative parametric instability provides an useful and interesting tool for the control of pattern formation in nonlinear optical systems with potentially interesting applications in technological applications, like the design of mode- locked lasers emitting pulse trains with tunable repetition rate; but it could also find realizations in nanophotonics circuits or in dissipative polaritonic Bose-Einstein condensates.

Control of pattern formation by time-delay feedback with global and local contributions

We consider the suppression of spatiotemporal chaos in the complex GinzburgLandau equation by a combined global and local time-delay feedback. Feedback terms are implemented as a control scheme, i.e., they are proportional to the difference between the time-delayed state of the system and its current state. We perform a linear stability analysis of uniform oscillations with respect to space-dependent perturbations and compare with numerical simulations. Similarly, for the fixed-point solution that corresponds to amplitude death in the spatially extended system, a linear stability analysis with respect to space-dependent perturbations is performed and complemented by numerical simulations. © 2010 Elsevier B.V. All rights reserved.

Multimode Atomic Pattern Formation via Enhanced Light-atom Interactions

The nonlinear interaction between light and atoms is an extensive field of study with a broad range of applications in quantum information science and condensed matter physics. Nonlinear optical phenomena occurring in cold atoms are particularly interesting because such slowly moving atoms can spatially organize into density gratings, which allows for studies involving optical interactions with structured materials. In this thesis, I describe a novel nonlinear optical effect that arises when cold atoms spatially bunch in an optical lattice. I show that employing this spatial atomic bunching provides access to a unique physical regime with reduced thresholds for nonlinear optical processes and enhanced material properties. Using this method, I observe the nonlinear optical phenomenon of transverse optical pattern formation at record-low powers. These transverse optical patterns are generated by a wave- mixing process that is mediated by the cold atomic vapor. The optical patterns are highly multimode and induce rich non-equilibrium atomic dynamics. In particular, I find that there exists a synergistic interplay between the generated optical pat- terns and the atoms, wherein the scattered fields help the atoms to self-organize into new, multimode structures that are not externally imposed on the atomic sample. These self-organized structures in turn enhance the power in the optical patterns. I provide the first detailed investigation of the motional dynamics of atoms that have self-organized in a multimode geometry. I also show that the transverse optical patterns induce Sisyphus cooling in all three spatial dimensions, which is the first observation of spontaneous three-dimensional cooling. My experiment represents a unique means by which to study nonlinear optics and non-equilibrium dynamics at ultra-low required powers.

Reduced epithelial suppressor of cytokine signalling 1 in severe eosinophilic asthma

Severe asthma represents a major unmet clinical need. Eosinophilic inflammation persists in the airways of many patients with uncontrolled asthma, despite high-dose inhaled corticosteroid therapy. Suppressors of cytokine signalling (SOCS) are a family of molecules involved in the regulation of cytokine signalling via inhibition of the Janus kinase-signal transducers and activators of transcription pathway. We examined SOCS expression in the airways of asthma patients and investigated whether this is associated with persistent eosinophilia.

Healthy controls, mild/moderate asthmatics and severe asthmatics were studied. Whole genome expression profiling, quantitative PCR and immunohistochemical analysis were used to examine expression of SOCS1, SOCS2 and SOCS3 in bronchial biopsies. Bronchial epithelial cells were utilised to examine the role of SOCS1 in regulating interleukin (IL)-13 signalling in vitro.

SOCS1 gene expression was significantly lower in the airways of severe asthmatics compared with mild/moderate asthmatics, and was inversely associated with airway eosinophilia and other measures of T-helper type 2 (Th2) inflammation. Immunohistochemistry demonstrated SOCS1 was predominantly localised to the bronchial epithelium. SOCS1 overexpression inhibited IL-13-mediated chemokine ligand (CCL) 26 (eotaxin-3) mRNA expression in bronchial epithelial cells.

Severe asthma patients with persistent airway eosinophilia and Th2 inflammation have reduced airway epithelial SOCS1 expression. SOCS1 inhibits epithelial IL-13 signalling, supporting its key role in regulating Th2-driven eosinophilia in severe asthma.

Pattern formation with a conservation law

Pattern formation in systems with a conserved quantity is considered by studying the appropriate amplitude equations. The conservation law leads to a large-scale neutral mode that must be included in the asymptotic analysis for pattern formation near onset. Near a stationary bifurcation, the usual Ginzburg--Landau equation for the amplitude of the pattern is then coupled to an equation for the large-scale mode. These amplitude equations show that for certain parameters all roll-type solutions are unstable. This new instability differs from the Eckhaus instability in that it is amplitude-driven and is supercritical. Beyond the stability boundary, there exist stable stationary solutions in the form of strongly modulated patterns. The envelope of these modulations is calculated in terms of Jacobi elliptic functions and, away from the onset of modulation, is closely approximated by a sech profile. Numerical simulations indicate that as the modulation becomes more pronounced, the envelope broadens. A number of applications are considered, including convection with fixed-flux boundaries and convection in a magnetic field, resulting in new instabilities for these systems.

Controlling Pattern Formation in Nanoparticle Assemblies via Directed Solvent Dewetting

We have achieved highly localised control of pattern formation in two dimensional nanoparticle assemblies by direct modification of solvent dewetting dynamics. A striking dependence of nanoparticle organisation on the size of atomic force microscope-generated surface heterogeneities is observed and reproduced in numerical simulations. Nanoscale features induce rupture of the solvent-nanoparticle film, causing the local flow of solvent to carry nanoparticles into confinement. Microscale heterogeneities instead slow the evaporation of the solvent, producing a remarkably abrupt interface between different nanoparticle patterns.

Stochastic models and graph theory for Zipf's law

In questo elaborato ci siamo occupati della legge di Zipf sia da un punto di vista applicativo che teorico. Tale legge empirica afferma che il rango in frequenza (RF) delle parole di un testo seguono una legge a potenza con esponente -1. Per quanto riguarda l'approccio teorico abbiamo trattato due classi di modelli in grado di ricreare leggi a potenza nella loro distribuzione di probabilità. In particolare, abbiamo considerato delle generalizzazioni delle urne di Polya e i processi SSR (Sample Space Reducing). Di questi ultimi abbiamo dato una formalizzazione in termini di catene di Markov. Infine abbiamo proposto un modello di dinamica delle popolazioni capace di unificare e riprodurre i risultati dei tre SSR presenti in letteratura. Successivamente siamo passati all'analisi quantitativa dell'andamento del RF sulle parole di un corpus di testi. Infatti in questo caso si osserva che la RF non segue una pura legge a potenza ma ha un duplice andamento che può essere rappresentato da una legge a potenza che cambia esponente. Abbiamo cercato di capire se fosse possibile legare l'analisi dell'andamento del RF con le proprietà topologiche di un grafo. In particolare, a partire da un corpus di testi abbiamo costruito una rete di adiacenza dove ogni parola era collegata tramite un link alla parola successiva. Svolgendo un'analisi topologica della struttura del grafo abbiamo trovato alcuni risultati che sembrano confermare l'ipotesi che la sua struttura sia legata al cambiamento di pendenza della RF. Questo risultato può portare ad alcuni sviluppi nell'ambito dello studio del linguaggio e della mente umana. Inoltre, siccome la struttura del grafo presenterebbe alcune componenti che raggruppano parole in base al loro significato, un approfondimento di questo studio potrebbe condurre ad alcuni sviluppi nell'ambito della comprensione automatica del testo (text mining).

Modeling the skin pattern of fishes

Complicated patterns showing various spatial scales have been obtained in the past by coupling Turing systems in such a way that the scales of the independent systems resonate. This produces superimposed patterns with different length scales. Here we propose a model consisting of two identical reaction-diffusion systems coupled together in such a way that one of them produces a simple Turing pattern of spots or stripes, and the other traveling wave fronts that eventually become stationary. The basic idea is to assume that one of the systems becomes fixed after some time and serves as a source of morphogens for the other system. This mechanism produces patterns very similar to the pigmentation patterns observed in different species of stingrays and other fishes. The biological mechanisms that support the realization of this model are discussed.

Time correlation function in systems with two coexisting biological species

We study a stochastic lattice model describing the dynamics of coexistence of two interacting biological species. The model comprehends the local processes of birth, death, and diffusion of individuals of each species and is grounded on interaction of the predator-prey type. The species coexistence can be of two types: With self-sustained coupled time oscillations of population densities and without oscillations. We perform numerical simulations of the model on a square lattice and analyze the temporal behavior of each species by computing the time correlation functions as well as the spectral densities. This analysis provides an appropriate characterization of the different types of coexistence. It is also used to examine linked population cycles in nature and in experiment.

Stochastic simulation of the morphology of fluvial sand channels reservoirs

Dissertação para obtenção do Grau de Mestre em Engenharia Geológica (Georrecursos)

On the problematic of reserving and stochastic loss models

Abstract Traditionally, the common reserving methods used by the non-life actuaries are based on the assumption that future claims are going to behave in the same way as they did in the past. There are two main sources of variability in the processus of development of the claims: the variability of the speed with which the claims are settled and the variability between the severity of the claims from different accident years. High changes in these processes will generate distortions in the estimation of the claims reserves. The main objective of this thesis is to provide an indicator which firstly identifies and quantifies these two influences and secondly to determine which model is adequate for a specific situation. Two stochastic models were analysed and the predictive distributions of the future claims were obtained. The main advantage of the stochastic models is that they provide measures of variability of the reserves estimates. The first model (PDM) combines one conjugate family Dirichlet - Multinomial with the Poisson distribution. The second model (NBDM) improves the first one by combining two conjugate families Poisson -Gamma (for distribution of the ultimate amounts) and Dirichlet Multinomial (for distribution of the incremental claims payments). It was found that the second model allows to find the speed variability in the reporting process and development of the claims severity as function of two above mentioned distributions' parameters. These are the shape parameter of the Gamma distribution and the Dirichlet parameter. Depending on the relation between them we can decide on the adequacy of the claims reserve estimation method. The parameters have been estimated by the Methods of Moments and Maximum Likelihood. The results were tested using chosen simulation data and then using real data originating from the three lines of business: Property/Casualty, General Liability, and Accident Insurance. These data include different developments and specificities. The outcome of the thesis shows that when the Dirichlet parameter is greater than the shape parameter of the Gamma, resulting in a model with positive correlation between the past and future claims payments, suggests the Chain-Ladder method as appropriate for the claims reserve estimation. In terms of claims reserves, if the cumulated payments are high the positive correlation will imply high expectations for the future payments resulting in high claims reserves estimates. The negative correlation appears when the Dirichlet parameter is lower than the shape parameter of the Gamma, meaning low expected future payments for the same high observed cumulated payments. This corresponds to the situation when claims are reported rapidly and fewer claims remain expected subsequently. The extreme case appears in the situation when all claims are reported at the same time leading to expectations for the future payments of zero or equal to the aggregated amount of the ultimate paid claims. For this latter case, the Chain-Ladder is not recommended.

Analysis of Industrial Granular Flow Applications by Using Advanced Collision Models

Granular flow phenomena are frequently encountered in the design of process and industrial plants in the traditional fields of the chemical, nuclear and oil industries as well as in other activities such as food and materials handling. Multi-phase flow is one important branch of the granular flow. Granular materials have unusual kinds of behavior compared to normal materials, either solids or fluids. Although some of the characteristics are still not well-known yet, one thing is confirmed: the particle-particle interaction plays a key role in the dynamics of granular materials, especially for dense granular materials. At the beginning of this thesis, detailed illustration of developing two models for describing the interaction based on the results of finite-element simulation, dimension analysis and numerical simulation is presented. The first model is used to describing the normal collision of viscoelastic particles. Based on some existent models, more parameters are added to this model, which make the model predict the experimental results more accurately. The second model is used for oblique collision, which include the effects from tangential velocity, angular velocity and surface friction based on Coulomb's law. The theoretical predictions of this model are in agreement with those by finite-element simulation. I n the latter chapters of this thesis, the models are used to predict industrial granular flow and the agreement between the simulations and experiments also shows the validation of the new model. The first case presents the simulation of granular flow passing over a circular obstacle. The simulations successfully predict the existence of a parabolic steady layer and show how the characteristics of the particles, such as coefficients of restitution and surface friction affect the separation results. The second case is a spinning container filled with granular material. Employing the previous models, the simulation could also reproduce experimentally observed phenomena, such as a depression in the center of a high frequency rotation. The third application is about gas-solid mixed flow in a vertically vibrated device. Gas phase motion is added to coherence with the particle motion. The governing equations of the gas phase are solved by using the Large eddy simulation (LES) and particle motion is predicted by using the Lagrangian method. The simulation predicted some pattern formation reported by experiment.

Analysis of Stochastic Volatility Sequences Generated by Product Autoregressive Models

The classical methods of analysing time series by Box-Jenkins approach assume that the observed series uctuates around changing levels with constant variance. That is, the time series is assumed to be of homoscedastic nature. However, the nancial time series exhibits the presence of heteroscedasticity in the sense that, it possesses non-constant conditional variance given the past observations. So, the analysis of nancial time series, requires the modelling of such variances, which may depend on some time dependent factors or its own past values. This lead to introduction of several classes of models to study the behaviour of nancial time series. See Taylor (1986), Tsay (2005), Rachev et al. (2007). The class of models, used to describe the evolution of conditional variances is referred to as stochastic volatility modelsThe stochastic models available to analyse the conditional variances, are based on either normal or log-normal distributions. One of the objectives of the present study is to explore the possibility of employing some non-Gaussian distributions to model the volatility sequences and then study the behaviour of the resulting return series. This lead us to work on the related problem of statistical inference, which is the main contribution of the thesis