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.

A Hybrid Queue-based Bayesian Network Framework for passenger facilitation modelling

This paper presents a novel framework for the modelling of passenger facilitation in a complex environment. The research is motivated by the challenges in the airport complex system, where there are multiple stakeholders, differing operational objectives and complex interactions and interdependencies between different parts of the airport system. Traditional methods for airport terminal modelling do not explicitly address the need for understanding causal relationships in a dynamic environment. Additionally, existing Bayesian Network (BN) models, which provide a means for capturing causal relationships, only present a static snapshot of a system. A method to integrate a BN complex systems model with stochastic queuing theory is developed based on the properties of the Poisson and Exponential distributions. The resultant Hybrid Queue-based Bayesian Network (HQBN) framework enables the simulation of arbitrary factors, their relationships, and their effects on passenger flow and vice versa. A case study implementation of the framework is demonstrated on the inbound passenger facilitation process at Brisbane International Airport. The predicted outputs of the model, in terms of cumulative passenger flow at intermediary and end points in the inbound process, are found to have an $R^2$ goodness of fit of 0.9994 and 0.9982 respectively over a 10 hour test period. The utility of the framework is demonstrated on a number of usage scenarios including real time monitoring and `what-if' analysis. This framework provides the ability to analyse and simulate a dynamic complex system, and can be applied to other socio-technical systems such as hospitals.

A stochastic thermostat algorithm for coarse-grained thermomechanical modeling of large-scale soft matters : theory and application to microfilaments

As all-atom molecular dynamics method is limited by its enormous computational cost, various coarse-grained strategies have been developed to extend the length scale of soft matters in the modeling of mechanical behaviors. However, the classical thermostat algorithm in highly coarse-grained molecular dynamics method would underestimate the thermodynamic behaviors of soft matters (e.g. microfilaments in cells), which can weaken the ability of materials to overcome local energy traps in granular modeling. Based on all-atom molecular dynamics modeling of microfilament fragments (G-actin clusters), a new stochastic thermostat algorithm is developed to retain the representation of thermodynamic properties of microfilaments at extra coarse-grained level. The accuracy of this stochastic thermostat algorithm is validated by all-atom MD simulation. This new stochastic thermostat algorithm provides an efficient way to investigate the thermomechanical properties of large-scale soft matters.

Motion planning and stochastic control with experimental validation on a planetary rover

Motion planning for planetary rovers must consider control uncertainty in order to maintain the safety of the platform during navigation. Modelling such control uncertainty is difficult due to the complex interaction between the platform and its environment. In this paper, we propose a motion planning approach whereby the outcome of control actions is learned from experience and represented statistically using a Gaussian process regression model. This model is used to construct a control policy for navigation to a goal region in a terrain map built using an on-board RGB-D camera. The terrain includes flat ground, small rocks, and non-traversable rocks. We report the results of 200 simulated and 35 experimental trials that validate the approach and demonstrate the value of considering control uncertainty in maintaining platform safety.

Asymptotic minimax robust and misspecified Lorden quickest change detection for dependent stochastic processes

The quick detection of an abrupt unknown change in the conditional distribution of a dependent stochastic process has numerous applications. In this paper, we pose a minimax robust quickest change detection problem for cases where there is uncertainty about the post-change conditional distribution. Our minimax robust formulation is based on the popular Lorden criteria of optimal quickest change detection. Under a condition on the set of possible post-change distributions, we show that the widely known cumulative sum (CUSUM) rule is asymptotically minimax robust under our Lorden minimax robust formulation as a false alarm constraint becomes more strict. We also establish general asymptotic bounds on the detection delay of misspecified CUSUM rules (i.e. CUSUM rules that are designed with post- change distributions that differ from those of the observed sequence). We exploit these bounds to compare the delay performance of asymptotically minimax robust, asymptotically optimal, and other misspecified CUSUM rules. In simulation examples, we illustrate that asymptotically minimax robust CUSUM rules can provide better detection delay performance at greatly reduced computation effort compared to competing generalised likelihood ratio procedures.

Learned stochastic mobility prediction for planning with control uncertainty on unstructured terrain

Motion planning for planetary rovers must consider control uncertainty in order to maintain the safety of the platform during navigation. Modelling such control uncertainty is difficult due to the complex interaction between the platform and its environment. In this paper, we propose a motion planning approach whereby the outcome of control actions is learned from experience and represented statistically using a Gaussian process regression model. This mobility prediction model is trained using sample executions of motion primitives on representative terrain, and predicts the future outcome of control actions on similar terrain. Using Gaussian process regression allows us to exploit its inherent measure of prediction uncertainty in planning. We integrate mobility prediction into a Markov decision process framework and use dynamic programming to construct a control policy for navigation to a goal region in a terrain map built using an on-board depth sensor. We consider both rigid terrain, consisting of uneven ground, small rocks, and non-traversable rocks, and also deformable terrain. We introduce two methods for training the mobility prediction model from either proprioceptive or exteroceptive observations, and report results from nearly 300 experimental trials using a planetary rover platform in a Mars-analogue environment. Our results validate the approach and demonstrate the value of planning under uncertainty for safe and reliable navigation.

A Hybrid Queue-based Bayesian Network framework for passenger facilitation modelling

This paper presents a novel framework for the modelling of passenger facilitation in a complex environment. The research is motivated by the challenges in the airport complex system, where there are multiple stakeholders, differing operational objectives and complex interactions and interdependencies between different parts of the airport system. Traditional methods for airport terminal modelling do not explicitly address the need for understanding causal relationships in a dynamic environment. Additionally, existing Bayesian Network (BN) models, which provide a means for capturing causal relationships, only present a static snapshot of a system. A method to integrate a BN complex systems model with stochastic queuing theory is developed based on the properties of the Poisson and exponential distributions. The resultant Hybrid Queue-based Bayesian Network (HQBN) framework enables the simulation of arbitrary factors, their relationships, and their effects on passenger flow and vice versa. A case study implementation of the framework is demonstrated on the inbound passenger facilitation process at Brisbane International Airport. The predicted outputs of the model, in terms of cumulative passenger flow at intermediary and end points in the inbound process, are found to have an R2 goodness of fit of 0.9994 and 0.9982 respectively over a 10 h test period. The utility of the framework is demonstrated on a number of usage scenarios including causal analysis and ‘what-if’ analysis. This framework provides the ability to analyse and simulate a dynamic complex system, and can be applied to other socio-technical systems such as hospitals.

Systems modelling of the socio-technical aspects of residential electricity use and network peak demand

Provision of network infrastructure to meet rising network peak demand is increasing the cost of electricity. Addressing this demand is a major imperative for Australian electricity agencies. The network peak demand model reported in this paper provides a quantified decision support tool and a means of understanding the key influences and impacts on network peak demand. An investigation of the system factors impacting residential consumers’ peak demand for electricity was undertaken in Queensland, Australia. Technical factors, such as the customers’ location, housing construction and appliances, were combined with social factors, such as household demographics, culture, trust and knowledge, and Change Management Options (CMOs) such as tariffs, price,managed supply, etc., in a conceptual ‘map’ of the system. A Bayesian network was used to quantify the model and provide insights into the major influential factors and their interactions. The model was also used to examine the reduction in network peak demand with different market-based and government interventions in various customer locations of interest and investigate the relative importance of instituting programs that build trust and knowledge through well designed customer-industry engagement activities. The Bayesian network was implemented via a spreadsheet with a tick box interface. The model combined available data from industry-specific and public sources with relevant expert opinion. The results revealed that the most effective intervention strategies involve combining particular CMOs with associated education and engagement activities. The model demonstrated the importance of designing interventions that take into account the interactions of the various elements of the socio-technical system. The options that provided the greatest impact on peak demand were Off-Peak Tariffs and Managed Supply and increases in the price of electricity. The impact in peak demand reduction differed for each of the locations and highlighted that household numbers, demographics as well as the different climates were significant factors. It presented possible network peak demand reductions which would delay any upgrade of networks, resulting in savings for Queensland utilities and ultimately for households. The use of this systems approach using Bayesian networks to assist the management of peak demand in different modelled locations in Queensland provided insights about the most important elements in the system and the intervention strategies that could be tailored to the targeted customer segments.

Stochastic dynamics of interacting haematopoietic stem cell niche lineages

Since we still know very little about stem cells in their natural environment, it is useful to explore their dynamics through modelling and simulation, as well as experimentally. Most models of stem cell systems are based on deterministic differential equations that ignore the natural heterogeneity of stem cell populations. This is not appropriate at the level of individual cells and niches, when randomness is more likely to affect dynamics. In this paper, we introduce a fast stochastic method for simulating a metapopulation of stem cell niche lineages, that is, many sub-populations that together form a heterogeneous metapopulation, over time. By selecting the common limiting timestep, our method ensures that the entire metapopulation is simulated synchronously. This is important, as it allows us to introduce interactions between separate niche lineages, which would otherwise be impossible. We expand our method to enable the coupling of many lineages into niche groups, where differentiated cells are pooled within each niche group. Using this method, we explore the dynamics of the haematopoietic system from a demand control system perspective. We find that coupling together niche lineages allows the organism to regulate blood cell numbers as closely as possible to the homeostatic optimum. Furthermore, coupled lineages respond better than uncoupled ones to random perturbations, here the loss of some myeloid cells. This could imply that it is advantageous for an organism to connect together its niche lineages into groups. Our results suggest that a potential fruitful empirical direction will be to understand how stem cell descendants communicate with the niche and how cancer may arise as a result of a failure of such communication.

Stochastic growth models for analyzing crustacean data

The contemporary methodology for growth models of organisms is based on continuous trajectories and thus it hinders us from modelling stepwise growth in crustacean populations. Growth models for fish are normally assumed to follow a continuous function, but a different type of model is needed for crustacean growth. Crustaceans must moult in order for them to grow. The growth of crustaceans is a discontinuous process due to the periodical shedding of the exoskeleton in moulting. The stepwise growth of crustaceans through the moulting process makes the growth estimation more complex. Stochastic approaches can be used to model discontinuous growth or what are commonly known as "jumps" (Figure 1). However, in stochastic growth model we need to ensure that the stochastic growth model results in only positive jumps. In view of this, we will introduce a subordinator that is a special case of a Levy process. A subordinator is a non-decreasing Levy process, that will assist in modelling crustacean growth for better understanding of the individual variability and stochasticity in moulting periods and increments. We develop the estimation methods for parameter estimation and illustrate them with the help of a dataset from laboratory experiments. The motivational dataset is from the ornate rock lobster, Panulirus ornatus, which can be found between Australia and Papua New Guinea. Due to the presence of sex effects on the growth (Munday et al., 2004), we estimate the growth parameters separately for each sex. Since all hard parts are shed too often, the exact age determination of a lobster can be challenging. However, the growth parameters for the aforementioned moult processes from tank data being able to estimate through: (i) inter-moult periods, and (ii) moult increment. We will attempt to derive a joint density, which is made up of two functions: one for moult increments and the other for time intervals between moults. We claim these functions are conditionally independent given pre-moult length and the inter-moult periods. The variables moult increments and inter-moult periods are said to be independent because of the Markov property or conditional probability. Hence, the parameters in each function can be estimated separately. Subsequently, we integrate both of the functions through a Monte Carlo method. We can therefore obtain a population mean for crustacean growth (e. g. red curve in Figure 1). [GRAPHICS]

Modelling the potential spread of Solenopsis invicta Buren (Hymenoptera: Formicidae) (red imported fire ant) in Australia

Quantifying the potential spread and density of an invading organism enables decision-makers to determine the most appropriate response to incursions. We present two linked models that estimate the spread of Solenopsis invicta Buren (red imported fire ant) in Australia based on limited data gathered after its discovery in Brisbane in 2001. A stochastic cellular automaton determines spread within a location (100 km by 100 km) and this is coupled with a model that simulates human-mediated movement of S. invicta to new locations. In the absence of any control measures, the models predict that S. invicta could cover 763 000–4 066 000 km2 by the year 2035 and be found at 200 separate locations around Australia by 2017–2027, depending on the rate of spread. These estimated rates of expansion (assuming no control efforts were in place) are higher than those experienced in the USA in the 1940s during the early invasion phases in that country. Active control efforts and quarantine controls in the USA (including a concerted eradication attempt in the 1960s) may have slowed spread. Further, milder winters, the presence of the polygynous social form, increased trade and human mobility in Australia in 2000s compared with the USA in 1940s could contribute to faster range expansion.

Special Issue on Spatial Moment Techniques for Modelling Biological Processes

Over the last two decades, there has been an increasing awareness of, and interest in, the use of spatial moment techniques to provide insight into a range of biological and ecological processes. Models that incorporate spatial moments can be viewed as extensions of mean-field models. These mean-field models often consist of systems of classical ordinary differential equations and partial differential equations, whose derivation, at some point, hinges on the simplifying assumption that individuals in the underlying stochastic process encounter each other at a rate that is proportional to the average abundance of individuals. This assumption has several implications, the most striking of which is that mean-field models essentially neglect any impact of the spatial structure of individuals in the system. Moment dynamics models extend traditional mean-field descriptions by accounting for the dynamics of pairs, triples and higher n-tuples of individuals. This means that moment dynamics models can, to some extent, account for how the spatial structure affects the dynamics of the system in question.

Stochastic demography and population dynamics in the red kangaroo Macropus rufus

1. Many organisms inhabit strongly fluctuating environments but their demography and population dynamics are often analysed using deterministic models and elasticity analysis, where elasticity is defined as the proportional change in population growth rate caused by a proportional change in a vital rate. Deterministic analyses may not necessarily be informative because large variation in a vital rate with a small deterministic elasticity may affect the population growth rate more than a small change in a less variable vital rate having high deterministic elasticity. 2. We analyse a stochastic environment model of the red kangaroo (Macropus rufus), a species inhabiting an environment characterized by unpredictable and highly variable rainfall, and calculate the elasticity of the stochastic growth rate with respect to the mean and variability in vital rates. 3. Juvenile survival is the most variable vital rate but a proportional change in the mean adult survival rate has a much stronger effect on the stochastic growth rate. 4. Even if changes in average rainfall have a larger impact on population growth rate, increased variability in rainfall may still be important also in long-lived species. The elasticity with respect to the standard deviation of rainfall is comparable to the mean elasticities of all vital rates but the survival in age class 3 because increased variation in rainfall affects both the mean and variability of vital rates. 5. Red kangaroos are harvested and, under the current rainfall pattern, an annual harvest fraction of c. 20% would yield a stochastic growth rate about unity. However, if average rainfall drops by more than c. 10%, any level of harvesting may be unsustainable, emphasizing the need for integrating climate change predictions in population management and increase our understanding of how environmental stochasticity translates into population growth rate.