Adaptive stepsize based on control theory for stochastic differential equations

The numerical solution of stochastic differential equations (SDEs) has been focused recently on the development of numerical methods with good stability and order properties. These numerical implementations have been made with fixed stepsize, but there are many situations when a fixed stepsize is not appropriate. In the numerical solution of ordinary differential equations, much work has been carried out on developing robust implementation techniques using variable stepsize. It has been necessary, in the deterministic case, to consider the "best" choice for an initial stepsize, as well as developing effective strategies for stepsize control-the same, of course, must be carried out in the stochastic case. In this paper, proportional integral (PI) control is applied to a variable stepsize implementation of an embedded pair of stochastic Runge-Kutta methods used to obtain numerical solutions of nonstiff SDEs. For stiff SDEs, the embedded pair of the balanced Milstein and balanced implicit method is implemented in variable stepsize mode using a predictive controller for the stepsize change. The extension of these stepsize controllers from a digital filter theory point of view via PI with derivative (PID) control will also be implemented. The implementations show the improvement in efficiency that can be attained when using these control theory approaches compared with the regular stepsize change strategy.

Numerical methods for strong solutions of stochastic differential equations : an overview

This paper gives a review of recent progress in the design of numerical methods for computing the trajectories (sample paths) of solutions to stochastic differential equations. We give a brief survey of the area focusing on a number of application areas where approximations to strong solutions are important, with a particular focus on computational biology applications, and give the necessary analytical tools for understanding some of the important concepts associated with stochastic processes. We present the stochastic Taylor series expansion as the fundamental mechanism for constructing effective numerical methods, give general results that relate local and global order of convergence and mention the Magnus expansion as a mechanism for designing methods that preserve the underlying structure of the problem. We also present various classes of explicit and implicit methods for strong solutions, based on the underlying structure of the problem. Finally, we discuss implementation issues relating to maintaining the Brownian path, efficient simulation of stochastic integrals and variable-step-size implementations based on various types of control.

High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

The pioneering work of Runge and Kutta a hundred years ago has ultimately led to suites of sophisticated numerical methods suitable for solving complex systems of deterministic ordinary differential equations. However, in many modelling situations, the appropriate representation is a stochastic differential equation and here numerical methods are much less sophisticated. In this paper a very general class of stochastic Runge-Kutta methods is presented and much more efficient classes of explicit methods than previous extant methods are constructed. In particular, a method of strong order 2 with a deterministic component based on the classical Runge-Kutta method is constructed and some numerical results are presented to demonstrate the efficacy of this approach.

Order conditions of stochastic Runge-Kutta methods by B-series

In this paper, general order conditions and a global convergence proof are given for stochastic Runge Kutta methods applied to stochastic ordinary differential equations ( SODEs) of Stratonovich type. This work generalizes the ideas of B-series as applied to deterministic ordinary differential equations (ODEs) to the stochastic case and allows a completely general formalism for constructing high order stochastic methods, either explicit or implicit. Some numerical results will be given to illustrate this theory.

Adams-Type Methods for the Numerical Solution of Stochastic Ordinary Differential Equations

Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively. (C) 2000 Elsevier Science B.V. All rights reserved.

High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

In recent years considerable attention has been paid to the numerical solution of stochastic ordinary differential equations (SODEs), as SODEs are often more appropriate than their deterministic counterparts in many modelling situations. However, unlike the deterministic case numerical methods for SODEs are considerably less sophisticated due to the difficulty in representing the (possibly large number of) random variable approximations to the stochastic integrals. Although Burrage and Burrage [High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, Applied Numerical Mathematics 22 (1996) 81-101] were able to construct strong local order 1.5 stochastic Runge-Kutta methods for certain cases, it is known that all extant stochastic Runge-Kutta methods suffer an order reduction down to strong order 0.5 if there is non-commutativity between the functions associated with the multiple Wiener processes. This order reduction down to that of the Euler-Maruyama method imposes severe difficulties in obtaining meaningful solutions in a reasonable time frame and this paper attempts to circumvent these difficulties by some new techniques. An additional difficulty in solving SODEs arises even in the Linear case since it is not possible to write the solution analytically in terms of matrix exponentials unless there is a commutativity property between the functions associated with the multiple Wiener processes. Thus in this present paper first the work of Magnus [On the exponential solution of differential equations for a linear operator, Communications on Pure and Applied Mathematics 7 (1954) 649-673] (applied to deterministic non-commutative Linear problems) will be applied to non-commutative linear SODEs and methods of strong order 1.5 for arbitrary, linear, non-commutative SODE systems will be constructed - hence giving an accurate approximation to the general linear problem. Secondly, for general nonlinear non-commutative systems with an arbitrary number (d) of Wiener processes it is shown that strong local order I Runge-Kutta methods with d + 1 stages can be constructed by evaluated a set of Lie brackets as well as the standard function evaluations. A method is then constructed which can be efficiently implemented in a parallel environment for this arbitrary number of Wiener processes. Finally some numerical results are presented which illustrate the efficacy of these approaches. (C) 1999 Elsevier Science B.V. All rights reserved.

General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems

In many modeling situations in which parameter values can only be estimated or are subject to noise, the appropriate mathematical representation is a stochastic ordinary differential equation (SODE). However, unlike the deterministic case in which there are suites of sophisticated numerical methods, numerical methods for SODEs are much less sophisticated. Until a recent paper by K. Burrage and P.M. Burrage (1996), the highest strong order of a stochastic Runge-Kutta method was one. But K. Burrage and P.M. Burrage (1996) showed that by including additional random variable terms representing approximations to the higher order Stratonovich (or Ito) integrals, higher order methods could be constructed. However, this analysis applied only to the one Wiener process case. In this paper, it will be shown that in the multiple Wiener process case all known stochastic Runge-Kutta methods can suffer a severe order reduction if there is non-commutativity between the functions associated with the Wiener processes. Importantly, however, it is also suggested how this order can be repaired if certain commutator operators are included in the Runge-Kutta formulation. (C) 1998 Elsevier Science B.V. and IMACS. All rights reserved.

A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations

In Burrage and Burrage [1] it was shown that by introducing a very general formulation for stochastic Runge-Kutta methods, the previous strong order barrier of order one could be broken without having to use higher derivative terms. In particular, methods of strong order 1.5 were developed in which a Stratonovich integral of order one and one of order two were present in the formulation. In this present paper, general order results are proven about the maximum attainable strong order of these stochastic Runge-Kutta methods (SRKs) in terms of the order of the Stratonovich integrals appearing in the Runge-Kutta formulation. In particular, it will be shown that if an s-stage SRK contains Stratonovich integrals up to order p then the strong order of the SRK cannot exceed min{(p + 1)/2, (s - 1)/2), p greater than or equal to 2, s greater than or equal to 3 or 1 if p = 1.

Exponential asymptotics of free surface flow due to a line source

The steady problem of free surface flow due to a submerged line source is revisited for the case in which the fluid depth is finite and there is a stagnation point on the free surface directly above the source. Both the strength of the source and the fluid speed in the far field are measured by a dimensionless parameter, the Froude number. By applying techniques in exponential asymptotics, it is shown that there is a train of periodic waves on the surface of the fluid with an amplitude which is exponentially small in the limit that the Froude number vanishes. This study clarifies that periodic waves do form for flows due to a source, contrary to a suggestion by Chapman & Vanden-Broeck (2006, J. Fluid Mech., 567, 299--326). The exponentially small nature of the waves means they appear beyond all orders of the original power series expansion; this result explains why attempts at describing these flows using a finite number of terms in an algebraic power series incorrectly predict a flat free surface in the far field.

Smartphone malware evolution revisited : Android next target?

Smartphones started being targets for malware in June 2004 while malware count increased steadily until the introduction of a mandatory application signing mechanism for Symbian OS in 2006. From this point on, only few news could be read on this topic. Even despite of new emerging smartphone platforms, e.g. android and iPhone, malware writers seemed to lose interest in writing malware for smartphones giving users an unappropriate feeling of safety. In this paper, we revisit smartphone malware evolution for completing the appearance list until end of 2008. For contributing to smartphone malware research, we continue this list by adding descriptions on possible techniques for creating the first malware(s) for Android platform. Our approach involves usage of undocumented Android functions enabling us to execute native Linux application even on retail Android devices. This can be exploited to create malicious Linux applications and daemons using various methods to attack a device. In this manner, we also show that it is possible to bypass the Android permission system by using native Linux applications.

Collaborative intrusion detection framework : characteristics, adversarial opportunities and countermeasures

Complex Internet attacks may come from multiple sources, and target multiple networks and technologies. Nevertheless, Collaborative Intrusion Detection Systems (CIDS) emerges as a promising solution by using information from multiple sources to gain a better understanding of objective and impact of complex Internet attacks. CIDS also help to cope with classical problems of Intrusion Detection Systems (IDS) such as zero-day attacks, high false alarm rates and architectural challenges, e. g., centralized designs exposing the Single-Point-of-Failure. Improved complexity on the other hand gives raise to new exploitation opportunities for adversaries. The contribution of this paper is twofold. We first investigate related research on CIDS to identify the common building blocks and to understand vulnerabilities of the Collaborative Intrusion Detection Framework (CIDF). Second, we focus on the problem of anonymity preservation in a decentralized intrusion detection related message exchange scheme. We use techniques from design theory to provide multi-path peer-to-peer communication scheme where the adversary can not perform better than guessing randomly the originator of an alert message.

Assessing eco-environmental performance of agricultural production in OECD countries : combination of soil surface, soil system and farm gate methods of nutrient auditing

Nitrogen balance is increasingly used as an indicator of the environmental performance of agricultural sector in national, international, and global contexts. There are three main methods of accounting the national nitrogen balance: farm gate, soil surface, and soil system. OECD (2008) recently reported the nitrogen and phosphorus balances for member countries for the 1985 - 2004 period using the soil surface method. The farm gate and soil system methods were also used in some international projects. Some studies have provided the comparison among these methods and the conclusion is mixed. The motivation of this present paper was to combine these three methods to provide a more detailed auditing of the nitrogen balance and flows for national agricultural production. In addition, the present paper also provided a new strategy of using reliable international and national data sources to calculate nitrogen balance using the farm gate method. The empirical study focused on the nitrogen balance of OECD countries for the period from 1985 to 2003. The N surplus sent to the total environment of OECD surged dramatically in early 1980s, gradually decreased during 1990s but exhibited an increasing trends in early 2000s. The overall N efficiency however fluctuated without a clear increasing trend. The eco-environmental ranking shows that Australia and Ireland were the worst while Korea and Greece were the best.

Timed Up and Go Tests in cardiac rehabilitation : reliability and comparison with the 6-minute walk test

PURPOSE: To test the reliability of Timed Up and Go Tests (TUGTs) in cardiac rehabilitation (CR) and compare TUGTs to the 6-Minute Walk Test (6MWT) for outcome measurement. METHODS: Sixty-one of 154 consecutive community-based CR patients were prospectively recruited. Subjects undertook repeated TUGTs and 6MWTs at the start of CR (start-CR), postdischarge from CR (post-CR), and 6 months postdischarge from CR (6 months post-CR). The main outcome measurements were TUGT time (TUGTT) and 6MWT distance (6MWD). RESULTS: Mean (SD) TUGTT1 and TUGTT2 at the 3 assessments were 6.29 (1.30) and 5.94 (1.20); 5.81 (1.22) and 5.53 (1.09); and 5.39 (1.60) and 5.01 (1.28) seconds, respectively. A reduction in TUGTT occurred between each outcome point (P ≤ .002). Repeated TUGTTs were strongly correlated at each assessment, intraclass correlation (95% CI) = 0.85 (0.76–0.91), 0.84 (0.73–0.91), and 0.90 (0.83–0.94), despite a reduction between TUGTT1 and TUGTT2 of 5%, 5%, and 7%, respectively (P ≤ .006). Relative decreases in TUGTT1 (TUGTT2) occurred from start-CR to post-CR and from start-CR to 6 months post-CR of −7.5% (−6.9%) and −14.2% (−15.5%), respectively, while relative increases in 6MWD1 (6MWD2) occurred, 5.1% (7.2%) and 8.4% (10.2%), respectively (P < .001 in all cases). Pearson correlation coefficients for 6MWD1 to TUGTT1 and TUGTT2 across all times were −0.60 and −0.68 (P < .001) and the intraclass correlations (95% CI) for the speeds derived from averaged 6MWDs and TUGTTs were 0.65 (0.54, 0.73) (P < .001). CONCLUSIONS: Similar relative changes occurred for the TUGT and the 6MWT in CR. A significant correlation between the TUGTT and 6MWD was demonstrated, and we suggest that the TUGT may provide a related or a supplementary measurement of functional capacity in CR.

Video-based training combined with flotation tank recovery does not improve three-point shooting in basketball

Video-based training combined with flotation tank recovery may provide an additional stimulus for improving shooting in basketball. A pre-post controlled trial was conducted to assess the effectiveness of a 3 wk intervention combining video-based training and flotation tank recovery on three-point shooting performance in elite female basketball players. Players were assigned to an experimental (n=10) and control group (n=9). A 3 wk intervention consisted of 2 x 30 min float sessions a week which included 10 min of video-based training footage, followed by a 3 wk retention phase. A total of 100 three-point shots were taken from 5 designated positions on the court at each week to assess three-point shooting performance. There was no clear difference in the mean change in the number of successful three-point shots between the groups (-3%; ±18%, mean; ±90% confidence limits). Video-based training combined with flotation recovery had little effect on three-point shooting performance.